Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Jul. 31, 2015 | |
Document and Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | American Capital Agency Corp | |
Entity Central Index Key | 1,423,689 | |
Entity Filer Category | Large Accelerated Filer | |
Current Fiscal Year End Date | --12-31 | |
Entity Common Stock, Shares Outstanding | 348,802,157 | |
Trading Symbol | AGNC |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Assets: | ||
Agency securities, at fair value (including pledged securities of $48,128 and $51,629, respectively) | $ 50,976 | $ 55,482 |
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 1,142 | 1,266 |
U.S. Treasury securities, at fair value (including pledged securities of $4,756 and $2,375, respectively) | 5,124 | 2,427 |
REIT equity securities, at fair value | 60 | 68 |
Cash and cash equivalents | 1,510 | 1,720 |
Restricted cash | 778 | 713 |
Derivative assets, at fair value | 164 | 408 |
Receivable for securities sold (including pledged securities of $221 and $79, respectively) | 221 | 239 |
Receivable under reverse repurchase agreements | 2,741 | 5,218 |
Other assets | 169 | 225 |
Total assets | 62,885 | 67,766 |
Liabilities: | ||
Repurchase agreements | 50,178 | 50,296 |
Debt of consolidated variable interest entities, at fair value | 674 | 761 |
Payable for agency securities purchased | 90 | 843 |
Derivative liabilities, at fair value | 844 | 890 |
Dividend payable | 77 | 85 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 2,230 | 5,363 |
Accounts payable and other accrued liabilities | 74 | 100 |
Total liabilities | 54,167 | 58,338 |
Stockholders' equity: | ||
Preferred stock - $0.01 par value; 10.0 shares authorized: Redeemable Preferred Stock; $0.01 par value; 6.9 shares issued and outstanding (aggregate liquidation preference of $348 and $173, respectively) | 336 | 336 |
Common stock - $0.01 par value; 600.0 shares authorized; 352.8 and 356.2 shares issued and outstanding, respectively | 4 | 4 |
Additional paid-in capital | 10,253 | 10,332 |
Retained deficit | (1,879) | (1,674) |
Accumulated other comprehensive income | 4 | 430 |
Total stockholders' equity | 8,718 | 9,428 |
Total liabilities and stockholders' equity | $ 62,885 | $ 67,766 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parentheticals) - USD ($) shares in Millions, $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Statement of Financial Position [Abstract] | ||
Available-for-sale Securities Pledged as Collateral | $ 48,128 | $ 51,629 |
Trading Securities Pledged as Collateral | 4,756 | 2,375 |
Assets Pledged included in Receivable for Securities Sold | $ 221 | $ 79 |
Preferred Stock, Par or Stated Value Per Share (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Stock, Shares Authorized | 10 | 10 |
Preferred Stock, Shares Issued | 6.9 | 6.9 |
Preferred Stock, Shares Outstanding | 6.9 | 6.9 |
Preferred Stock Liquidation Preference | $ 348 | $ 348 |
Common Stock, Par or Stated Value Per Share (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 600 | 600 |
Common Stock, Shares, Issued | 348.8 | 352.8 |
Common Stock, Shares, Outstanding | 348.8 | 352.8 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) shares in Millions, $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest income: | ||||
Interest income | $ 414 | $ 385 | $ 797 | $ 784 |
Interest expense | 81 | 95 | 167 | 203 |
Net interest income | 333 | 290 | 630 | 581 |
Other income, net: | ||||
Gain (loss) on sale of agency securities, net | (22) | 22 | 14 | 3 |
Gain (loss) on derivative instruments and other securities, net | 237 | (244) | (312) | (621) |
Total other income, net | 215 | (222) | (298) | (618) |
Expenses: | ||||
Management fees | 29 | 30 | 59 | 59 |
General and administrative expenses | 7 | 6 | 13 | 12 |
Total expenses | 36 | 36 | 72 | 71 |
Net income (loss) | 512 | 32 | 260 | (108) |
Dividend on preferred stock | 7 | 5 | 14 | 9 |
Net income (loss) available (attributable) to common stockholders | 505 | 27 | 246 | (117) |
Other comprehensive income (loss): | ||||
Unrealized Gains and (Losses), Net | (872) | 790 | (481) | 1,312 |
Unrealized gain on derivative instruments, net | 26 | 40 | 55 | 83 |
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net, De-Designated Interest Rate Swaps | (55) | (83) | ||
Other comprehensive income (loss) | (846) | 830 | (426) | 1,395 |
Comprehensive (loss) income | (334) | 862 | (166) | 1,287 |
Comprehensive (loss) income (attributable) available to common stockholders | $ (341) | $ 857 | $ (180) | $ 1,278 |
Weighted average number of common shares outstanding-basic and diluted (shares) | 352.1 | 352.8 | 352.5 | 353.8 |
Net loss per common share - basic and diluted (dollars per share) | $ 1.43 | $ 0.08 | $ 0.70 | $ (0.33) |
Dividends declared per common share | $ 0.62 | $ 0.65 | $ 1.28 | $ 1.30 |
Consolidated Statement of Stock
Consolidated Statement of Stockholders' Equity - USD ($) shares in Millions, $ in Millions | Total | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] | Accumulated Other Comprehensive Income (Loss) [Member] |
Balance, value at Dec. 31, 2013 | $ 8,697 | $ 167 | $ 4 | $ 10,406 | $ (497) | $ (1,383) |
Balance, Preferred Stock, shares at Dec. 31, 2013 | 6.9 | |||||
Balance, Common Stock, shares at Dec. 31, 2013 | 356.2 | |||||
Net income (loss) | (108) | (108) | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | 1,312 | 1,312 | ||||
Amounts reclassified from accumulated OCI | 83 | 83 | ||||
Proceeds from Issuance of Preferred Stock and Preference Stock | 169 | |||||
Repurchase of common stock | (74) | (74) | ||||
Repurchase of common stock shares | (3.4) | |||||
Preferred dividends declared | (9) | (9) | ||||
Common dividends declared | (459) | (459) | ||||
Balance, value at Jun. 30, 2014 | 9,611 | $ 336 | $ 4 | 10,332 | (1,073) | 12 |
Balance, Preferred Stock, shares at Jun. 30, 2014 | 6.9 | |||||
Balance, Common Stock, shares at Jun. 30, 2014 | 352.8 | |||||
Balance, value at Dec. 31, 2014 | $ 9,428 | $ 336 | $ 4 | 10,332 | (1,674) | 430 |
Balance, Preferred Stock, shares at Dec. 31, 2014 | 6.9 | 6.9 | ||||
Balance, Common Stock, shares at Dec. 31, 2014 | 352.8 | 352.8 | ||||
Net income (loss) | $ 260 | 260 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | (481) | (481) | ||||
Amounts reclassified from accumulated OCI | 55 | 55 | ||||
Proceeds from Issuance of Preferred Stock and Preference Stock | 0 | |||||
Repurchase of common stock | (79) | (79) | ||||
Repurchase of common stock shares | (4) | |||||
Preferred dividends declared | (14) | (14) | ||||
Common dividends declared | (451) | (451) | ||||
Balance, value at Jun. 30, 2015 | $ 8,718 | $ 336 | $ 4 | $ 10,253 | $ (1,879) | $ 4 |
Balance, Preferred Stock, shares at Jun. 30, 2015 | 6.9 | 6.9 | ||||
Balance, Common Stock, shares at Jun. 30, 2015 | 348.8 | 348.8 |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Operating activities: | ||
Net income (loss) | $ 260 | $ (108) |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Amortization of agency securities premiums and discounts, net | 202 | 251 |
Amortization of accumulated other comprehensive loss on interest rate swaps de-designated as qualifying hedges | 55 | 83 |
(Gain) loss on sale of agency securities, net | 14 | 3 |
Loss on derivative instruments and other securities, net | 312 | 621 |
Decrease in other assets | 56 | 64 |
(Decrease) increase in accounts payable and other accrued liabilities | (3) | 24 |
Accretion of discounts on debt of consolidated variable interest entities | 3 | 0 |
Net cash provided by operating activities | 871 | 932 |
Investing activities: | ||
Purchases of agency securities | (18,882) | (6,677) |
Proceeds from sale of agency securities | 18,006 | 15,660 |
Principal collections on agency securities | 4,106 | 3,713 |
Purchases of U.S. Treasury securities | (36,811) | (16,640) |
Proceeds from sale of U.S. Treasury securities | 30,854 | 23,324 |
Net proceeds from (payments on) reverse repurchase agreements | 2,477 | (4,740) |
Net (payments on) proceeds from other derivative instruments | (3) | 225 |
Purchases of REIT equity securities | (11) | (204) |
Proceeds from sale of REIT equity securities | 11 | 238 |
Increase in restricted cash | (65) | (682) |
Other investing cash flows, net | (13) | (277) |
Net cash (used in) provided by investing activities | (331) | 13,940 |
Financing activities: | ||
Proceeds from repurchase arrangements, net | 232,533 | 143,771 |
Repayments on repurchase agreements | (232,651) | (158,590) |
Repayments on debt of consolidated variable interest entities | (80) | (76) |
Proceeds from Issuance of Preferred Stock and Preference Stock | 0 | 169 |
Payments made on common stock repurchases | (79) | (74) |
Cash dividends paid | (473) | (468) |
Net cash used in financing activities | (750) | (15,268) |
Net change in cash and cash equivalents | (210) | (396) |
Cash and cash equivalents at beginning of period | 1,720 | 2,143 |
Cash and cash equivalents at end of period | $ 1,510 | $ 1,747 |
Interim Consolidated Financial
Interim Consolidated Financial Statements | 6 Months Ended |
Jun. 30, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Information [Text Block] | Unaudited Interim Consolidated Financial Statements The unaudited interim consolidated financial statements of American Capital Agency Corp. (referred throughout this report as the "Company", "we", "us" and "our") are prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Our unaudited interim consolidated financial statements include the accounts of our wholly-owned subsidiaries, American Capital Agency TRS, LLC and Old Georgetown Insurance Co., LLC, and variable interest entities for which the Company is the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year. |
Organization
Organization | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization We were organized in Delaware on January 7, 2008, and commenced operations on May 20, 2008 following the completion of our initial public offering ("IPO"). Our common stock is traded on The NASDAQ Global Select Market under the symbol "AGNC." We are externally managed by American Capital AGNC Management, LLC (our "Manager"), an affiliate of American Capital, Ltd. ("American Capital"). We operate so as to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code"). As a REIT, we are required to distribute annually 90% of our taxable net income. As long as we continue to qualify as a REIT, we will generally not be subject to U.S. federal or state corporate taxes on our taxable net income to the extent that we distribute all of our annual taxable net income to our stockholders. It is our intention to distribute 100% of our taxable net income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. We earn income primarily from investing on a leveraged basis in agency mortgage-backed securities ("agency MBS"). These investments consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") for which the principal and interest payments are guaranteed by a government-sponsored enterprise, such as the Federal National Mortgage Association ("Fannie Mae") and the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or by a U.S. Government agency, such as the Government National Mortgage Association ("Ginnie Mae") (collectively referred to as "GSEs"). We may also invest in agency debenture securities issued by Freddie Mac, Fannie Mae or the Federal Home Loan Bank ("FHLB") and in other assets reasonably related to agency securities. Our principal objective is to generate attractive risk-adjusted returns for distribution to our stockholders through regular monthly dividends from the combination of our net interest income and net realized gains and losses on our investments and hedging activities while preserving our net asset value (also referred to as "net book value," "NAV" and "stockholders' equity"). We fund our investments primarily through short-term borrowings structured as repurchase agreements. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Investment Securities ASC Topic 320, Investments—Debt and Equity Securities ("ASC 320"), requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Securities classified as trading and available-for-sale are reported at fair value, while securities classified as held-to-maturity are reported at amortized cost. We may sell any of our agency securities as part of our overall management of our investment portfolio. Accordingly, we typically designate our agency securities as available-for-sale. All securities classified as available-for-sale are reported at fair value, with unrealized gains and losses reported in accumulated other comprehensive income (loss) ("OCI"), a separate component of stockholders' equity. Upon the sale of a security, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. Interest-only securities and inverse interest-only securities (collectively referred to as "interest-only securities") represent our right to receive a specified proportion of the contractual interest flows of specific agency CMO securities. Principal-only securities represent our right to receive the contractual principal flows of specific agency CMO securities. Interest and principal-only securities are measured at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our investments in interest and principal-only securities are included in agency securities, at fair value on the accompanying consolidated balance sheets. REIT equity securities represent investments in the common stock of other publicly traded mortgage REITs that invest predominantly in agency MBS. We designate our investments in REIT equity securities as trading securities and report them at fair value on the accompanying consolidated balance sheets. We estimate the fair value of our agency securities based on valuations obtained from third-party pricing services and non-binding dealer quotes derived from common market pricing methods using observable (or "Level 2") inputs. Such methods incorporate, but are not limited to, reported trades and executable bid and asked prices for similar securities, benchmark interest rate curves, such as the spread to the U.S. Treasury rate and interest rate swap curves, convexity, duration and the underlying characteristics of the particular security, including coupon, periodic and life caps, rate reset period, issuer, additional credit support and expected life of the security. We estimate the fair value of our REIT equity securities based on a market approach using quoted market prices (or "Level 1" inputs). Refer to Note 8 for further discussion of fair value measurements. We evaluate our agency securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired may involve judgments and assumptions based on subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if any one of the following three conditions exists as of the financial reporting date: (i) we intend to sell the security (that is, a decision has been made to sell the security), (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover the security's amortized cost basis, even if we do not intend to sell the security and it is not more likely than not that we will be required to sell the security. A general allowance for unidentified impairments in a portfolio of securities is not permitted. The liquidity of the agency securities market allows us to obtain competitive bids and execute on a sale transaction typically within a day of making the decision to sell a security and, therefore, we generally do not make decisions to sell specific agency securities until shortly prior to initiating a sell order. In some instances, we may sell specific agency securities by delivering such securities into existing short to-be-announced ("TBA") contracts. TBA market conventions require the identification of the specific securities to be delivered no later than 48 hours prior to settlement. If we settle a short TBA contract through the delivery of securities, we will generally identify the specific securities to be delivered within one to two days of the 48-hour deadline. Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of investment securities are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs ("ASC 310-20"). We estimate long-term prepayment speeds of our agency securities using a third-party service and market data. The third-party service estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates and mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the prepayment speeds estimated by the third-party service. As market conditions may change rapidly, we may make adjustments for different securities based on our Manager's judgment. Various market participants could use materially different assumptions. Actual and anticipated prepayment experience is reviewed quarterly and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) the actual prepayments to date plus our currently estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate risk, prepayment risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The principal instruments that we use are interest rate swaps and options to enter into interest rate swaps ("swaptions"). We also utilize forward contracts for the purchase or sale of agency MBS securities in the "to-be-announced" market on a generic pool basis ("TBA securities") and U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also purchase or write put or call options on TBA securities and we may invest in mortgage derivatives, such as interest and principal-only securities, and other types of derivative instruments. We may also enter into TBA contracts as a means of investing in and financing agency securities (thereby increasing our "at risk" leverage) or as a means of disposing of or reducing our exposure to agency securities (thereby reducing our "at risk" leverage). Pursuant to TBA contracts, we agree to purchase or sell, for future delivery, agency securities with certain principal and interest terms and certain types of collateral, but the particular agency securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a "pair off"), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a "dollar roll." The agency securities purchased or sold for a forward settlement date are typically priced at a discount to agency securities for settlement in the current month. This difference (or discount) is referred to as the "price drop." The price drop is the economic equivalent of net interest carry income on the underlying agency securities over the roll period (interest income less implied financing cost) and is commonly referred to as "dollar roll income/loss." Consequently, forward purchases of agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. The use of derivative instruments creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We attempt to minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. Discontinuation of hedge accounting for interest rate swap agreements Prior to September 30, 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps. Upon discontinuation of hedge accounting, the net deferred loss related to our de-designated interest rate swaps remained in accumulated OCI and is being reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap. Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with borrowings made under our repurchase agreement facilities. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on one, three or six-month LIBOR ("payer swaps") with terms up to 20 years . The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market, with swap agreements entered into subsequent to May 2013 subject to central clearing through a registered commodities exchange ("centrally cleared swaps"). We estimate the fair value of our centrally cleared interest rate swaps using the daily settlement price determined by the respective exchange. Centrally cleared swaps are valued by the exchange using a pricing model that references the underlying rates including the overnight index swap rate and LIBOR forward rate to produce the daily settlement price. We estimate the fair value of our "non-centrally cleared" interest rate swaps based on valuations obtained from third-party pricing services and the swap counterparty (collectively, “third-party valuations”). The third-party valuations are model-driven using observable inputs consisting of LIBOR and the forward yield curve. We also consider the creditworthiness of both us and our counterparties and the impact of netting and credit enhancement provisions contained in each derivative agreement, such as collateral postings. All of our "non-centrally cleared" interest rate swaps are subject to bilateral collateral arrangements. Consequently, no credit valuation adjustment was made in determining the fair value of such instruments. Interest rate swaptions We purchase interest rate swaptions generally to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our swaption agreements typically provide us the option to enter into a pay fixed rate interest rate swap, which we refer as "payer swaptions." We may also enter into swaption agreements that provide us the option to enter into a receive fixed interest rate swap, which we refer to as "receiver swaptions." The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. We estimate the fair value of our interest rate swaption agreements based on model-driven valuations obtained from third-party pricing services and the swaption counterparty using observable inputs, taking into account the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option, adjusted for non-performance risk, if any. TBA securities A TBA security is a forward contract for the purchase ("long position") or sale ("short position") of agency MBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific agency MBS delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. We may enter into TBA contracts as a means of hedging against short-term changes in interest rates. We may also enter into TBA contracts as a means of acquiring or disposing of agency securities and we may from time to time utilize TBA dollar roll transactions to finance agency MBS purchases. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will take physical delivery of the agency security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts and dollar roll transactions are recognized in our consolidated statements of comprehensive income in gain (loss) on derivative instruments and other securities, net. We estimate the fair value of TBA securities based on similar methods used to value our agency MBS securities. U.S. Treasury securities We purchase or sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Investment Securities
Investment Securities | 6 Months Ended |
Jun. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | 3 years and ≤ 5 years 19,708 19,456 3.27% 2.39% 22,153 21,820 3.26% 2.40% > 5 years and ≤10 years 30,905 31,073 3.70% 2.93% 33,271 33,055 3.73% 2.92% > 10 years 837 835 3.11% 3.06% 633 621 3.28% 3.15% Total $ 51,747 $ 51,659 3.52% 2.72% $ 56,346 $ 55,776 3.54% 2.72% _______________________ 1. Excludes interest and principal-only strips. The weighted average life of our interest-only strips was 6.2 and 6.0 years as of June 30, 2015 and December 31, 2014 , respectively. The weighted average life of our principal-only strips was 8.3 and 8.1 years as of June 30, 2015 and December 31, 2014 , respectively. Our agency securities classified as available-for-sale are reported at fair value, with unrealized gains and losses excluded from earnings and reported in accumulated OCI, a separate component of stockholders' equity. Refer to Note 9 for a summary of changes in accumulated OCI for our available-for-sale securities for the three and six months ended June 30, 2015 and 2014 . The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of June 30, 2015 and December 31, 2014 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Agency Securities Classified as Available-for-Sale Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss June 30, 2015 $ 17,613 $ (258 ) $ 7,512 $ (136 ) $ 25,125 $ (394 ) December 31, 2014 $ 778 $ (2 ) $ 11,679 $ (186 ) $ 12,457 $ (188 ) As of the end of each respective reporting period, a decision had not been made to sell any of these agency securities and we do not believe it is more likely than not we will be required to sell the agency securities before recovery of their amortized cost basis. The unrealized losses on these agency securities are not due to credit losses given the GSE guarantees, but are rather due to changes in interest rates and prepayment expectations. We did not recognize any OTTI charges on our investment securities for the three and six months ended June 30, 2015 and 2014 . However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our agency securities upon selecting specific securities to sell. Gains and Losses The following table is a summary of our net gain (loss) from the sale of agency securities classified as available-for-sale for the three and six months ended June 30, 2015 and 2014 (in millions): Three Months Ended June 30, Six Months Ended June 30, Agency Securities Classified as 2015 2014 2015 2014 Agency MBS sold, at cost $ (10,241 ) $ (7,166 ) $ (17,974 ) $ (16,877 ) Proceeds from agency MBS sold 1 10,219 7,188 17,988 16,880 Net (loss) gain on sale of agency MBS $ (22 ) $ 22 $ 14 $ 3 Gross gain on sale of agency MBS $ 22 $ 49 $ 79 $ 91 Gross loss on sale of agency MBS (44 ) (27 ) (65 ) (88 ) Net (loss) gain on sale of agency MBS $ (22 ) $ 22 $ 14 $ 3 ________________________ 1. Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end. For the three and six months ended June 30, 2015 , we recognized an unrealized loss of $7 million and an unrealized gain of $4 million , respectively, and for the three and six months ended June 30, 2014 we recognized an unrealized gain of $15 million and $27 million , respectively, for the change in value of investments in interest and principal-only strips in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Over the same periods, we did not recognize any realized gains or losses on our interest or principal-only securities. Securitizations and Variable Interest Entities As of June 30, 2015 and December 31, 2014 , we held investments in CMO trusts, which are variable interest entities ("VIEs"). We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate agency MBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac. In connection with our consolidated CMO trusts, we recognized agency securities with a total fair value of $1.1 billion and $1.3 billion as of June 30, 2015 and December 31, 2014 , respectively, and debt, at fair value, of $674 million and $761 million , respectively, in our accompanying consolidated balance sheets. As of June 30, 2015 and December 31, 2014 , the agency securities had an aggregate unpaid principal balance of $1.1 billion and $1.2 billion , respectively, and the debt had an aggregate unpaid principal balance of $662 million and $742 million , respectively. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For the three and six months ended June 30, 2015 , we recorded a gain of $9 million associated with our consolidated debt. For the three and six months ended June 30, 2014 , we recognized a loss of $9 million and $12 million associated with our consolidated debt, respectively. Our involvement with the consolidated trusts is limited to the agency securities transferred by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts. As of June 30, 2015 and December 31, 2014 , the fair value of our CMO securities and interest and principal-only securities was $1.4 billion and $1.6 billion , respectively, excluding the consolidated CMO trusts discussed above, or $1.9 billion and $2.1 billion , respectively, including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $250 million and $274 million as of June 30, 2015 and December 31, 2014 , respectively." id="sjs-B4">Investment Securities As of June 30, 2015 and December 31, 2014 , our investment portfolio consisted of $52.1 billion and $56.7 billion of agency MBS, respectively, and a $7.1 billion and $14.8 billion net long TBA position, at fair value, respectively. Our TBA positions are reported at their net carrying value of $(46) million and $192 million as of June 30, 2015 and December 31, 2014 , respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying agency security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying agency security. (See Note 6 for further details of our net TBA position as of June 30, 2015 and December 31, 2014 .) As of June 30, 2015 and December 31, 2014 , the net unamortized premium balance on our agency MBS was $2.3 billion and $2.5 billion , respectively, including interest and principal-only strips. The following tables summarize our investments in agency MBS as of June 30, 2015 and December 31, 2014 (dollars in millions): June 30, 2015 Agency MBS Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Fixed rate $ 50,019 $ 444 $ (393 ) $ 50,070 Adjustable rate 584 15 — 599 CMO 1,056 23 (1 ) 1,078 Interest-only and principal-only strips 335 38 (2 ) 371 Total agency MBS $ 51,994 $ 520 $ (396 ) $ 52,118 December 31, 2014 Agency MBS Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Fixed rate $ 53,945 $ 715 $ (187 ) $ 54,473 Adjustable rate 659 19 — 678 CMO 1,172 24 (1 ) 1,195 Interest-only and principal-only strips 372 33 (3 ) 402 Total agency MBS $ 56,148 $ 791 $ (191 ) $ 56,748 June 30, 2015 Agency MBS Fannie Mae Freddie Mac Ginnie Mae Total Available-for-sale agency MBS: Agency MBS, par $ 38,954 $ 10,374 $ 136 $ 49,464 Unamortized discount (35 ) (4 ) — (39 ) Unamortized premium 1,706 525 3 2,234 Amortized cost 40,625 10,895 139 51,659 Gross unrealized gains 371 109 2 482 Gross unrealized losses (287 ) (107 ) — (394 ) Total available-for-sale agency MBS, at fair value 40,709 10,897 141 51,747 Agency MBS remeasured at fair value through earnings: Interest-only and principal-only strips, amortized cost 1 313 22 — 335 Gross unrealized gains 34 4 — 38 Gross unrealized losses (1 ) (1 ) — (2 ) Total agency MBS remeasured at fair value through earnings 346 25 — 371 Total agency MBS, at fair value $ 41,055 $ 10,922 $ 141 $ 52,118 Weighted average coupon as of June 30, 2015 2 3.60 % 3.72 % 3.28 % 3.62 % Weighted average yield as of June 30, 2015 3 2.75 % 2.77 % 1.86 % 2.75 % Weighted average yield for the quarter ended June 30, 2015 3 2.94 % 3.01 % 2.26 % 2.95 % ________________________ 1. The underlying unamortized principal balance ("UPB" or "par value") of our interest-only agency MBS strips was $1.1 billion and the weighted average contractual interest we are entitled to receive was 5.43% of this amount as of June 30, 2015 . The par value of our principal-only agency MBS strips was $224 million as of June 30, 2015 . 2. The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of June 30, 2015 . 3. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of June 30, 2015 . December 31, 2014 Agency MBS Fannie Mae Freddie Mac Ginnie Mae Total Available-for-sale agency MBS: Agency MBS, par $ 42,749 $ 10,566 $ 107 $ 53,422 Unamortized discount (37 ) (5 ) — (42 ) Unamortized premium 1,880 514 2 2,396 Amortized cost 44,592 11,075 109 55,776 Gross unrealized gains 610 145 3 758 Gross unrealized losses (127 ) (61 ) — (188 ) Total available-for-sale agency MBS, at fair value 45,075 11,159 112 56,346 Agency MBS remeasured at fair value through earnings: Interest-only and principal-only strips, amortized cost 1 348 24 — 372 Gross unrealized gains 30 3 — 33 Gross unrealized losses (2 ) (1 ) — (3 ) Total agency MBS remeasured at fair value through earnings 376 26 — 402 Total agency MBS, at fair value $ 45,451 $ 11,185 $ 112 $ 56,748 Weighted average coupon as of December 31, 2014 2 3.63 % 3.70 % 3.52 % 3.65 % Weighted average yield as of December 31, 2014 3 2.75 % 2.73 % 1.87 % 2.74 % Weighted average yield for the year ended December 31, 2014 3 2.62 % 2.64 % 1.66 % 2.63 % ________________________ 1. The underlying UPB of our interest-only agency MBS strips was $1.2 billion and the weighted average contractual interest we are entitled to receive was 5.46% of this amount as of December 31, 2014 . The par value of our principal-only agency MBS strips was $242 million as of December 31, 2014 . 2. The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of December 31, 2014 . 3. Incorporates a weighted average future constant prepayment rate assumption of 9% based on forward rates as of December 31, 2014 . The actual maturities of our agency MBS are generally shorter than the stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic contractual principal payments and principal prepayments. As of June 30, 2015 and December 31, 2014 , our weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate agency MBS portfolio was 8% and 9% , respectively. Our estimates differ materially for different types of securities and thus individual holdings have a wide range of projected CPRs. The following table summarizes our agency MBS classified as available-for-sale as of June 30, 2015 and December 31, 2014 according to their estimated weighted average life classification (dollars in millions): June 30, 2015 December 31, 2014 Estimated Weighted Average Life of Agency MBS Classified as Available-for-Sale 1 Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield ≥ 1 year and ≤ 3 years 297 295 3.63% 2.10% 289 280 4.08% 2.62% > 3 years and ≤ 5 years 19,708 19,456 3.27% 2.39% 22,153 21,820 3.26% 2.40% > 5 years and ≤10 years 30,905 31,073 3.70% 2.93% 33,271 33,055 3.73% 2.92% > 10 years 837 835 3.11% 3.06% 633 621 3.28% 3.15% Total $ 51,747 $ 51,659 3.52% 2.72% $ 56,346 $ 55,776 3.54% 2.72% _______________________ 1. Excludes interest and principal-only strips. The weighted average life of our interest-only strips was 6.2 and 6.0 years as of June 30, 2015 and December 31, 2014 , respectively. The weighted average life of our principal-only strips was 8.3 and 8.1 years as of June 30, 2015 and December 31, 2014 , respectively. Our agency securities classified as available-for-sale are reported at fair value, with unrealized gains and losses excluded from earnings and reported in accumulated OCI, a separate component of stockholders' equity. Refer to Note 9 for a summary of changes in accumulated OCI for our available-for-sale securities for the three and six months ended June 30, 2015 and 2014 . The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of June 30, 2015 and December 31, 2014 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Agency Securities Classified as Available-for-Sale Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss June 30, 2015 $ 17,613 $ (258 ) $ 7,512 $ (136 ) $ 25,125 $ (394 ) December 31, 2014 $ 778 $ (2 ) $ 11,679 $ (186 ) $ 12,457 $ (188 ) As of the end of each respective reporting period, a decision had not been made to sell any of these agency securities and we do not believe it is more likely than not we will be required to sell the agency securities before recovery of their amortized cost basis. The unrealized losses on these agency securities are not due to credit losses given the GSE guarantees, but are rather due to changes in interest rates and prepayment expectations. We did not recognize any OTTI charges on our investment securities for the three and six months ended June 30, 2015 and 2014 . However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our agency securities upon selecting specific securities to sell. Gains and Losses The following table is a summary of our net gain (loss) from the sale of agency securities classified as available-for-sale for the three and six months ended June 30, 2015 and 2014 (in millions): Three Months Ended June 30, Six Months Ended June 30, Agency Securities Classified as 2015 2014 2015 2014 Agency MBS sold, at cost $ (10,241 ) $ (7,166 ) $ (17,974 ) $ (16,877 ) Proceeds from agency MBS sold 1 10,219 7,188 17,988 16,880 Net (loss) gain on sale of agency MBS $ (22 ) $ 22 $ 14 $ 3 Gross gain on sale of agency MBS $ 22 $ 49 $ 79 $ 91 Gross loss on sale of agency MBS (44 ) (27 ) (65 ) (88 ) Net (loss) gain on sale of agency MBS $ (22 ) $ 22 $ 14 $ 3 ________________________ 1. Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end. For the three and six months ended June 30, 2015 , we recognized an unrealized loss of $7 million and an unrealized gain of $4 million , respectively, and for the three and six months ended June 30, 2014 we recognized an unrealized gain of $15 million and $27 million , respectively, for the change in value of investments in interest and principal-only strips in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Over the same periods, we did not recognize any realized gains or losses on our interest or principal-only securities. Securitizations and Variable Interest Entities As of June 30, 2015 and December 31, 2014 , we held investments in CMO trusts, which are variable interest entities ("VIEs"). We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate agency MBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac. In connection with our consolidated CMO trusts, we recognized agency securities with a total fair value of $1.1 billion and $1.3 billion as of June 30, 2015 and December 31, 2014 , respectively, and debt, at fair value, of $674 million and $761 million , respectively, in our accompanying consolidated balance sheets. As of June 30, 2015 and December 31, 2014 , the agency securities had an aggregate unpaid principal balance of $1.1 billion and $1.2 billion , respectively, and the debt had an aggregate unpaid principal balance of $662 million and $742 million , respectively. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For the three and six months ended June 30, 2015 , we recorded a gain of $9 million associated with our consolidated debt. For the three and six months ended June 30, 2014 , we recognized a loss of $9 million and $12 million associated with our consolidated debt, respectively. Our involvement with the consolidated trusts is limited to the agency securities transferred by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts. As of June 30, 2015 and December 31, 2014 , the fair value of our CMO securities and interest and principal-only securities was $1.4 billion and $1.6 billion , respectively, excluding the consolidated CMO trusts discussed above, or $1.9 billion and $2.1 billion , respectively, including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $250 million and $274 million as of June 30, 2015 and December 31, 2014 , respectively. |
Repurchase Agreements And Other
Repurchase Agreements And Other Debt | 6 Months Ended |
Jun. 30, 2015 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements And Other Debt | 1 to ≤ 3 months 11,879 0.40 % 55 20,223 0.38 % 61 > 3 to ≤ 6 months 3,084 0.53 % 132 6,654 0.42 % 120 > 6 to ≤ 9 months 1,829 0.49 % 239 1,575 0.50 % 225 > 9 to ≤ 12 months 1,763 0.57 % 300 2,678 0.54 % 313 > 12 to ≤ 24 months 803 0.63 % 493 600 0.57 % 551 > 24 to ≤ 36 months 717 0.64 % 894 952 0.60 % 999 > 36 to ≤ 48 months 750 0.70 % 1,257 650 0.64 % 1,266 > 48 to < 60 months 2,300 0.72 % 1,601 900 0.68 % 1,542 Total agency MBS 45,186 0.45 % 177 48,389 0.41 % 143 U.S. Treasury securities: 1 day 4,992 0.17 % 2 1,907 0.09 % 1 Total / Weighted Average $ 50,178 0.42 % 160 $ 50,296 0.40 % 138 ________________________ 1. Includes $20 million of Federal Home Loan Bank advances as of June 30, 2015 Debt of Consolidated Variable Interest Entities As of June 30, 2015 and December 31, 2014 , debt of consolidated VIEs, at fair value ("other debt") was $674 million and $761 million , respectively. As of June 30, 2015 and December 31, 2014 , our other debt had a weighted average interest rate of LIBOR plus 43 basis points and a principal balance of $662 million and $742 million , respectively. The actual maturities of our other debt are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing our other debt and periodic principal prepayments of such underlying securities. The estimated weighted average life of our other debt as of June 30, 2015 and December 31, 2014 was 5.2 and 5.8 years, respectively. TBA Dollar Roll Financing Transactions As of June 30, 2015 and December 31, 2014 , we also had outstanding forward commitments to purchase and sell agency securities through the TBA market of $7.1 billion and $14.6 billion (cost basis), respectively (see Notes 3 and 6). These transactions, also referred to as TBA dollar roll transactions, represent a form of "off-balance sheet" financing and serve to either increase, in the case of forward purchases, or decrease, in the case of forward sales, our total "at risk" leverage. However, pursuant to ASC 815, we account for such transactions as one or more series of derivative transactions and, consequently, they are not recognized as debt on our consolidated balance sheet and are excluded from commensurate measurements of our balance sheet debt to equity leverage ratios. Federal Home Loan Bank of Des Moines Advances In April 2015, our wholly owned subsidiary, Old Georgetown Insurance Co., LLC, was accepted for membership in the Federal Home Loan Bank ("FHLB") of Des Moines. As a member of the FHLB, our subsidiary has access to a variety of products and services offered by the FHLB, including secured advances. As of June 30, 2015, our subsidiary had $20 million in outstanding secured advances, with a weighted average borrowing rate of 0.29% and a weighted average term to maturity of ≤ 1 month. Our outstanding FHLB advances are reported under repurchase agreements on our consolidated balance sheet. The ability to borrow from the FHLB is subject to our subsidiary's continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with the FHLB. Each advance requires approval by the FHLB and is secured by collateral in accordance with the FHLB’s credit and collateral guidelines, as may be revised from time to time by the FHLB." id="sjs-B4">Repurchase Agreements and Other Debt We pledge certain of our securities as collateral under repurchase and other financing arrangements with financial institutions, the terms and conditions of which are typically negotiated on a transaction-by-transaction basis. For additional information regarding our pledged assets please refer to Note 7. Interest rates on these borrowings are generally based on LIBOR plus or minus a margin and amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of June 30, 2015 , we had met all margin call requirements. Repurchase Agreements The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by remaining maturities as of June 30, 2015 and December 31, 2014 (dollars in millions): June 30, 2015 December 31, 2014 Remaining Maturity Repurchase Agreements 1 Weighted Average Interest Rate Weighted Average Days to Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Agency MBS: ≤ 1 month $ 22,061 0.40 % 15 $ 14,157 0.37 % 15 > 1 to ≤ 3 months 11,879 0.40 % 55 20,223 0.38 % 61 > 3 to ≤ 6 months 3,084 0.53 % 132 6,654 0.42 % 120 > 6 to ≤ 9 months 1,829 0.49 % 239 1,575 0.50 % 225 > 9 to ≤ 12 months 1,763 0.57 % 300 2,678 0.54 % 313 > 12 to ≤ 24 months 803 0.63 % 493 600 0.57 % 551 > 24 to ≤ 36 months 717 0.64 % 894 952 0.60 % 999 > 36 to ≤ 48 months 750 0.70 % 1,257 650 0.64 % 1,266 > 48 to < 60 months 2,300 0.72 % 1,601 900 0.68 % 1,542 Total agency MBS 45,186 0.45 % 177 48,389 0.41 % 143 U.S. Treasury securities: 1 day 4,992 0.17 % 2 1,907 0.09 % 1 Total / Weighted Average $ 50,178 0.42 % 160 $ 50,296 0.40 % 138 ________________________ 1. Includes $20 million of Federal Home Loan Bank advances as of June 30, 2015 Debt of Consolidated Variable Interest Entities As of June 30, 2015 and December 31, 2014 , debt of consolidated VIEs, at fair value ("other debt") was $674 million and $761 million , respectively. As of June 30, 2015 and December 31, 2014 , our other debt had a weighted average interest rate of LIBOR plus 43 basis points and a principal balance of $662 million and $742 million , respectively. The actual maturities of our other debt are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing our other debt and periodic principal prepayments of such underlying securities. The estimated weighted average life of our other debt as of June 30, 2015 and December 31, 2014 was 5.2 and 5.8 years, respectively. TBA Dollar Roll Financing Transactions As of June 30, 2015 and December 31, 2014 , we also had outstanding forward commitments to purchase and sell agency securities through the TBA market of $7.1 billion and $14.6 billion (cost basis), respectively (see Notes 3 and 6). These transactions, also referred to as TBA dollar roll transactions, represent a form of "off-balance sheet" financing and serve to either increase, in the case of forward purchases, or decrease, in the case of forward sales, our total "at risk" leverage. However, pursuant to ASC 815, we account for such transactions as one or more series of derivative transactions and, consequently, they are not recognized as debt on our consolidated balance sheet and are excluded from commensurate measurements of our balance sheet debt to equity leverage ratios. Federal Home Loan Bank of Des Moines Advances In April 2015, our wholly owned subsidiary, Old Georgetown Insurance Co., LLC, was accepted for membership in the Federal Home Loan Bank ("FHLB") of Des Moines. As a member of the FHLB, our subsidiary has access to a variety of products and services offered by the FHLB, including secured advances. As of June 30, 2015, our subsidiary had $20 million in outstanding secured advances, with a weighted average borrowing rate of 0.29% and a weighted average term to maturity of ≤ 1 month. Our outstanding FHLB advances are reported under repurchase agreements on our consolidated balance sheet. The ability to borrow from the FHLB is subject to our subsidiary's continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with the FHLB. Each advance requires approval by the FHLB and is secured by collateral in accordance with the FHLB’s credit and collateral guidelines, as may be revised from time to time by the FHLB. |
Derivative and Other Hedging In
Derivative and Other Hedging Instruments | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative and Other Hedging Instruments | Derivative and Other Hedging Instruments In connection with our risk management strategy, we hedge a portion of our interest rate risk by entering into derivative and other hedging instrument contracts. We typically enter into agreements for interest rate swaps and interest rate swaptions and purchase or short TBA and U.S. Treasury securities. We may also purchase or write put or call options on TBA securities or we may invest in mortgage derivatives, such as interest and principal-only securities, and other types of derivative instruments. Our risk management strategy attempts to manage the overall risk of the portfolio, reduce fluctuations in book value and generate additional income distributable to stockholders. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 3. Prior to September 30, 2011, our interest rate swaps were typically designated as cash flow hedges under ASC 815; however, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps in order to increase our funding flexibility. For the three and six months ended June 30, 2015 , we reclassified $26 million and $55 million , respectively, and for the three and six months ended June 30, 2014 , we reclassified, $40 million and $83 million , respectively, of net deferred losses from accumulated OCI into interest expense related to our de-designated interest rate swaps and recognized an equal, but offsetting, amount in other comprehensive income. Our total net periodic interest costs on our swap portfolio was $125 million and $238 million for the three and six months ended June 30, 2015 , respectively, and $127 million and $253 million for the three and six months ended June 30, 2014 , respectively. The difference between our total net periodic interest costs on our swap portfolio and the amount recorded in interest expense related to our de-designated hedges is reported in our accompanying consolidated statements of comprehensive income in gain (loss) on derivative instruments and other securities, net (totaling $99 million and $183 million for the three and six months ended June 30, 2015 , respectively, and $87 million and $170 million for the three and six months ended June 30, 2014 , respectively). As of June 30, 2015 , the remaining net deferred loss in accumulated OCI related to de-designated interest rate swaps was $85 million and will be reclassified from OCI into interest expense over a remaining weighted average period of 1.0 years. As of June 30, 2015 , the net deferred loss expected to be reclassified from OCI into interest expense over the next twelve months was $77 million . Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of June 30, 2015 and December 31, 2014 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location June 30, 2015 December 31, 2014 Interest rate swaps Derivative assets, at fair value $ 104 $ 136 Swaptions Derivative assets, at fair value 45 75 TBA securities Derivative assets, at fair value 11 197 U.S. Treasury futures - short Derivative assets, at fair value 4 — Total $ 164 $ 408 Interest rate swaps Derivative liabilities, at fair value $ (784 ) $ (880 ) TBA securities Derivative liabilities, at fair value (57 ) (5 ) U.S. Treasury futures - short Derivative liabilities, at fair value — (5 ) Other Derivative liabilities, at fair value (3 ) — Total $ (844 ) $ (890 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 5,124 $ 2,427 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value 1 (2,230 ) (5,363 ) Total - (short)/long, net $ 2,894 $ (2,936 ) ________________________ 1. Our obligation to return securities borrowed under reverse repurchase agreements as of June 30, 2015 and December 31, 2014 relates to securities borrowed to cover short sales of U.S. Treasury securities from which we received total sale proceeds of $2.2 billion and $5.4 billion , respectively. The change in fair value of the borrowed securities is recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. The following tables summarize our interest rate swap agreements outstanding as of June 30, 2015 and December 31, 2014 (dollars in millions): June 30, 2015 Payer Interest Rate Swaps Notional Amount 1 Average Fixed Pay Rate 2 Average Receive Rate 3 Net Estimated Fair Value Average Maturity (Years) ≤ 3 years $ 15,925 1.21% 0.26% $ (91 ) 1.8 > 3 to ≤ 5 years 10,200 1.84% 0.28% (107 ) 4.2 > 5 to ≤ 7 years 7,725 2.51% 0.28% (168 ) 6.2 > 7 to ≤ 10 years 9,050 2.60% 0.28% (226 ) 8.3 > 10 years 2,025 3.16% 0.28% (88 ) 13.1 Total Payer Interest Rate Swaps $ 44,925 1.94% 0.27% $ (680 ) 4.9 ________________________ 1. Notional amount includes forward starting swaps of $8.8 billion with an average forward start date of 0.8 years and an average maturity of 6.6 years from June 30, 2015 . 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.69% as of June 30, 2015 . 3. Average receive rate excludes forward starting swaps. December 31, 2014 Payer Interest Rate Swaps Notional 1 Average 2 Average 3 Net Average ≤ 3 years $ 12,300 1.33% 0.21% $ (87 ) 2.0 > 3 to ≤ 5 years 8,975 1.63% 0.24% (4 ) 4.2 > 5 to ≤ 7 years 7,250 2.47% 0.23% (139 ) 6.1 > 7 to ≤ 10 years 10,775 2.48% 0.24% (223 ) 8.3 > 10 years 4,400 3.19% 0.23% (291 ) 12.6 Total Payer Interest Rate Swaps $ 43,700 2.05% 0.23% $ (744 ) 5.8 ________________________ 1. Notional amount includes forward starting swaps of $12.4 billion with an average forward start date of 1.1 years and an average maturity of 7.9 years from December 31, 2014 . 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.68% as of December 31, 2014 . 3. Average receive rate excludes forward starting swaps. The following table summarizes our interest rate payer swaption agreements outstanding as of June 30, 2015 and December 31, 2014 (dollars in millions): Payer Swaptions Option Underlying Payer Swap Years to Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Fixed Pay Rate Average Receive Rate (LIBOR) Average Term (Years) June 30, 2015 ≤ 1 year $ 126 $ 44 5 $ 5,100 3.35% 3M 7.2 > 1 to ≤ 2 years 10 1 14 350 3.95% 3M 5.0 Total Payer Swaptions $ 136 $ 45 6 $ 5,450 3.39% 3M 7.1 December 31, 2014 ≤ 1 year $ 113 $ 36 6 $ 5,600 3.15% 3M 6.4 > 1 to ≤ 2 years 32 10 16 1,200 3.87% 3M 5.1 Total Payer Swaptions $ 145 $ 46 8 $ 6,800 3.28% 3M 6.2 The following table summarizes our interest rate receiver swaption agreements outstanding as of December 31, 2014 (dollars in millions). We had no interest rate receiver swaptions outstanding as of June 30, 2015 . Receiver Swaptions Option Underlying Receiver Swap Years to Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Fixed Receive Rate Average Pay Rate (LIBOR) Average Term (Years) December 31, 2014 ≤ 1 year $ 18 $ 29 5 $ 4,250 1.78% 3M 6.4 The following table summarizes our U.S. Treasury securities as of June 30, 2015 and December 31, 2014 (in millions): June 30, 2015 December 31, 2014 Maturity Face Amount Net Long / (Short) Cost Basis Market Value Face Amount Net Long / (Short) Cost Basis Market Value 3 years $ (900 ) $ (899 ) $ (902 ) $ — $ — $ — 5 years 808 803 804 (4,674 ) (4,650 ) (4,645 ) 7 years 2,109 2,084 2,085 (717 ) (717 ) (718 ) 10 years 925 913 907 2,410 2,422 2,427 Total U.S. Treasury securities, net $ 2,942 $ 2,901 $ 2,894 $ (2,981 ) $ (2,945 ) $ (2,936 ) The following tables summarize our TBA securities as of June 30, 2015 and December 31, 2014 (in millions): June 30, 2015 December 31, 2014 TBA Securities by Coupon Notional Amount - Long (Short) 1 Cost Basis 2 Market Value 3 Net Carrying Value 4 Notional Amount - Long (Short) 1 Cost Basis 2 Market Value 3 Net Carrying Value 4 15-Year TBA securities: 2.5% $ (644 ) $ (649 ) $ (651 ) $ (2 ) $ 962 $ 968 $ 980 $ 12 3.0% (82 ) (84 ) (85 ) (1 ) 2,779 2,889 2,888 (1 ) 3.5% 826 870 871 1 (468 ) (495 ) (494 ) 1 4.0% — — — — (13 ) (14 ) (14 ) — Total 15-Year TBAs 100 137 135 (2 ) 3,260 3,348 3,360 12 30-Year TBA securities: 3.0% 3,794 3,820 3,781 (39 ) 5,254 5,259 5,313 54 3.5% 3,206 3,309 3,308 (1 ) 7,902 8,151 8,232 81 4.0% (159 ) (162 ) (166 ) (4 ) (1,853 ) (2,019 ) (1,974 ) 45 4.5% — — — — (151 ) (163 ) (163 ) — Total 30-Year TBAs 6,841 6,967 6,923 (44 ) 11,152 11,228 11,408 180 Total net TBA securities $ 6,941 $ 7,104 $ 7,058 $ (46 ) $ 14,412 $ 14,576 $ 14,768 $ 192 June 30, 2015 December 31, 2014 TBA Securities by Issuer Notional Amount - Long (Short) 1 Cost Basis 2 Market Value 3 Net Carrying Value 4 Notional Amount - Long (Short) 1 Cost Basis 2 Market Value 3 Net Carrying Value 4 Fannie Mae $ 4,379 $ 4,473 $ 4,444 $ (29 ) $ 15,127 $ 15,316 $ 15,509 $ 193 Freddie Mac 437 426 423 (3 ) (715 ) (740 ) (741 ) (1 ) Ginnie Mae 2,125 2,205 2,191 (14 ) — — — — TBA securities, net $ 6,941 $ 7,104 $ 7,058 $ (46 ) $ 14,412 $ 14,576 $ 14,768 $ 192 _____________________ 1. Notional amount represents the par value (or principal balance) of the underlying agency security. 2. Cost basis represents the forward price to be paid / (received) for the underlying agency security. 3. Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end. 4. Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets. Gain (Loss) From Derivative Instruments and Other Securities, Net The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2015 and 2014 (in millions): Three Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Long/(Short) March 31, 2015 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 4,873 18,367 (16,299 ) $ 6,941 $ (110 ) Interest rate swaps $ (44,925 ) — — $ (44,925 ) 434 Payer swaptions $ (5,200 ) (500 ) 250 $ (5,450 ) 13 Receiver swaptions $ 750 — (750 ) $ — (13 ) U.S. Treasury securities - short position $ (3,353 ) (2,224 ) 3,327 $ (2,250 ) 18 U.S. Treasury securities - long position $ 4,261 11,649 (10,718 ) $ 5,192 (116 ) U.S. Treasury futures contracts - short position $ (730 ) (730 ) 730 $ (730 ) 15 $ 241 ________________________________ 1. Excludes a net loss of $6 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidated VIEs and a net loss of $7 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Three Months Ended June 30, 2014 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2014 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 13,909 65,946 (62,044 ) $ 17,811 $ 543 Interest rate swaps $ (46,400 ) (2,800 ) 1,300 $ (47,900 ) (587 ) Payer swaptions $ (8,000 ) (1,250 ) 1,600 $ (7,650 ) (41 ) Receiver swaptions $ 1,000 750 — $ 1,750 — U.S. Treasury securities - short position $ (6,786 ) (8,615 ) 9,413 $ (5,988 ) (173 ) U.S. Treasury securities - long position $ 200 3,035 (1,985 ) $ 1,250 8 U.S. Treasury futures contracts - short position $ (730 ) (730 ) 730 $ (730 ) (19 ) TBA put option $ — (100 ) — $ (100 ) — $ (269 ) ______________________ 1. Excludes a net gain of $24 million from investments in REIT equity securities, a net loss of $9 million from debt of consolidated VIEs, a net gain of $15 million from interest and principal-only securities and other miscellaneous net losses of $5 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Long/(Short) December 31, 2014 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 14,412 63,867 (71,338 ) $ 6,941 $ 124 Interest rate swaps $ (43,700 ) (3,500 ) 2,275 $ (44,925 ) (312 ) Payer swaptions $ (6,800 ) (500 ) 1,850 $ (5,450 ) (4 ) Receiver swaptions $ 4,250 — (4,250 ) $ — 4 U.S. Treasury securities - short position $ (5,392 ) (6,397 ) 9,539 $ (2,250 ) (64 ) U.S. Treasury securities - long position $ 2,411 27,211 (24,430 ) $ 5,192 (64 ) U.S. Treasury futures contracts - short position $ (730 ) (1,460 ) 1,460 $ (730 ) (5 ) $ (321 ) ________________________________ 1. Excludes a net loss of $4 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidated VIEs and a net gain of $4 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2014 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2014 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 2,119 90,322 (74,630 ) $ 17,811 $ 604 Interest rate swaps $ (43,250 ) (8,700 ) 4,050 $ (47,900 ) (967 ) Payer swaptions $ (14,250 ) (2,250 ) 8,850 $ (7,650 ) (146 ) Receiver swaptions $ — 1,750 — $ 1,750 — U.S. Treasury securities - short position $ (2,007 ) (15,856 ) 11,875 $ (5,988 ) (218 ) U.S. Treasury securities - long position $ 3,927 4,935 (7,612 ) $ 1,250 80 U.S. Treasury futures contracts - short position $ (1,730 ) (1,460 ) 2,460 $ (730 ) (55 ) TBA put option $ — (150 ) 50 $ (100 ) — $ (702 ) ______________________ 1. Excludes a net gain of $73 million from investments in REIT equity securities, a net loss of $12 million from debt of consolidated VIEs, a net gain of $27 million from interest and principal-only securities and other miscellaneous net losses of $7 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Pledged Assets
Pledged Assets | 6 Months Ended |
Jun. 30, 2015 | |
Pledged Assets [Abstract] | |
Pledged Assets | 30 and ≤ 60 days 9,436 9,417 27 10,912 10,789 30 > 60 and ≤ 90 days 3,420 3,387 9 10,205 10,109 28 > 90 days 13,431 13,442 38 16,402 16,227 47 Total agency MBS 48,736 48,669 137 52,124 51,578 146 U.S. Treasury securities: 1 day 5,023 5,035 11 1,904 1,899 5 Total $ 53,759 $ 53,704 $ 148 $ 54,028 $ 53,477 $ 151 As of June 30, 2015 and December 31, 2014 , none of our borrowings backed by agency MBS were due on demand or mature overnight. Assets Pledged from Counterparties As of June 30, 2015 and December 31, 2014 , we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). June 30, 2015 December 31, 2014 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Total Reverse Repurchase Agreements Derivative Agreements Total Agency MBS - fair value $ — $ 11 $ 11 $ — $ 43 $ 43 U.S. Treasury securities - fair value 2,725 10 2,735 5,363 47 5,410 Cash — 15 15 — 28 28 Total $ 2,725 $ 36 $ 2,761 $ 5,363 $ 118 $ 5,481 U.S Treasury securities received as collateral under our reverse repurchase agreements are accounted for as securities borrowing transactions and are used to cover short sales of the same securities. We recognize a corresponding obligation to return the borrowed securities at fair value on the accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of June 30, 2015 and December 31, 2014 (in millions): Offsetting of Financial Assets and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Received 2 June 30, 2015 Interest rate swap and swaption agreements, at fair value 1 $ 149 $ — $ 149 $ (70 ) $ (36 ) $ 43 Receivable under reverse repurchase agreements 2,741 — 2,741 (2,741 ) — — Total derivative, other hedging instruments and other assets $ 2,890 $ — $ 2,890 $ (2,811 ) $ (36 ) $ 43 December 31, 2014 Interest rate swap and swaption agreements, at fair value 1 $ 211 $ — $ 211 $ (94 ) $ (83 ) $ 34 Receivable under reverse repurchase agreements 5,218 — 5,218 (4,690 ) (528 ) — Total derivative, other hedging instruments and other assets $ 5,429 $ — $ 5,429 $ (4,784 ) $ (611 ) $ 34 Offsetting of Financial Liabilities and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Pledged 2 June 30, 2015 Interest rate swap agreements, at fair value 1 $ 784 $ — $ 784 $ (70 ) $ (714 ) $ — Repurchase agreements 50,178 — 50,178 (2,741 ) (47,344 ) 93 Total derivative, other hedging instruments and other liabilities $ 50,962 $ — $ 50,962 $ (2,811 ) $ (48,058 ) $ 93 December 31, 2014 Interest rate swap agreements, at fair value 1 $ 880 $ — $ 880 $ (94 ) $ (782 ) $ 4 Repurchase agreements 50,296 — 50,296 (4,690 ) (45,606 ) — Total derivative, other hedging instruments and other liabilities $ 51,176 $ — $ 51,176 $ (4,784 ) $ (46,388 ) $ 4 _______________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities received / pledged as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable." id="sjs-B4">Pledged Assets Our repurchase agreements, FLHB funding agreement and derivative contracts require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. In addition, obligations under our derivative agreements will typically vary over time based on similar factors as well as the remaining term of the derivative contract. We are also typically required to post initial collateral upon execution of derivative transactions, such as interest rate swap agreements and TBA contracts. If we breach any of these provisions, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral. Our counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value. Our agreements do not specify the haircut; rather haircuts are determined on an individual transaction basis. Consequently, the use of repurchase agreements and derivative instruments exposes us to credit risk relating to potential losses that could be recognized in the event that our counterparties fail to perform their obligations under such agreements. We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses, and we monitor our positions with individual counterparties. In the event of a default by a counterparty we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments provided for under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark to market margin requirements and clearinghouse guarantee funds and other resources that are available in the event of a clearing member default. Further, each of our International Swaps and Derivatives Association ("ISDA") Master Agreements also contains a cross default provision under which a default under certain of our other indebtedness in excess of a certain threshold causes an event of default under the agreement. Threshold amounts vary by lender. Following an event of default, we could be required to settle our obligations under the agreements. Additionally, under certain of our ISDA Master Agreements, we could be required to settle our obligations under the agreements if we fail to maintain certain minimum stockholders' equity thresholds or our REIT status or if we fail to comply with limits on our leverage above certain specified levels. As of June 30, 2015 , the fair value of additional collateral that could be required to be posted as a result of the credit-risk-related contingent features being triggered was not material to our financial statements. As of June 30, 2015 , our amount at risk with any counterparty related to our repurchase agreements was less than 5% of our stockholders' equity and our amount at risk with any counterparty related to our interest rate swap and swaption agreements, excluding centrally cleared swaps, was less than 1% of our stockholders' equity. Assets Pledged to Counterparties The following tables summarize our assets pledged as collateral under our financing, derivative and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of June 30, 2015 and December 31, 2014 (in millions): June 30, 2015 Assets Pledged to Counterparties Repurchase Agreements 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 47,594 $ 1,142 $ 57 $ 477 $ 49,270 U.S. Treasury securities - fair value 2 5,023 — 449 — 5,472 Accrued interest on pledged securities 144 3 1 — 148 Restricted cash 5 — 768 5 778 Total $ 52,766 $ 1,145 $ 1,275 $ 482 $ 55,668 _______________________ 1. Includes $21 million of collateral pledged to the FHLB of Des Moines under our secured advance agreement. 2. Includes $495 million of repledged collateral received from counterparties. December 31, 2014 Assets Pledged to Counterparties Repurchase Agreements Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 50,858 $ 1,266 $ 69 $ 702 $ 52,895 U.S. Treasury securities - fair value 1,904 — 550 — 2,454 Accrued interest on pledged securities 147 4 2 — 153 Restricted cash 6 — 698 9 713 Total $ 52,915 $ 1,270 $ 1,319 $ 711 $ 56,215 The cash and cash equivalents and agency securities pledged as collateral under our derivative agreements are included in restricted cash and agency securities, at fair value, respectively, on our consolidated balance sheets. The following table summarizes our securities pledged as collateral under our financing agreements by remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of June 30, 2015 and December 31, 2014 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 . June 30, 2015 December 31, 2014 Agency Securities Pledged by Remaining Maturity of Repurchase Agreements and Debt of Consolidated VIEs Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities Agency MBS: ≤ 30 days $ 22,449 $ 22,423 $ 63 $ 14,605 $ 14,453 $ 41 > 30 and ≤ 60 days 9,436 9,417 27 10,912 10,789 30 > 60 and ≤ 90 days 3,420 3,387 9 10,205 10,109 28 > 90 days 13,431 13,442 38 16,402 16,227 47 Total agency MBS 48,736 48,669 137 52,124 51,578 146 U.S. Treasury securities: 1 day 5,023 5,035 11 1,904 1,899 5 Total $ 53,759 $ 53,704 $ 148 $ 54,028 $ 53,477 $ 151 As of June 30, 2015 and December 31, 2014 , none of our borrowings backed by agency MBS were due on demand or mature overnight. Assets Pledged from Counterparties As of June 30, 2015 and December 31, 2014 , we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). June 30, 2015 December 31, 2014 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Total Reverse Repurchase Agreements Derivative Agreements Total Agency MBS - fair value $ — $ 11 $ 11 $ — $ 43 $ 43 U.S. Treasury securities - fair value 2,725 10 2,735 5,363 47 5,410 Cash — 15 15 — 28 28 Total $ 2,725 $ 36 $ 2,761 $ 5,363 $ 118 $ 5,481 U.S Treasury securities received as collateral under our reverse repurchase agreements are accounted for as securities borrowing transactions and are used to cover short sales of the same securities. We recognize a corresponding obligation to return the borrowed securities at fair value on the accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of June 30, 2015 and December 31, 2014 (in millions): Offsetting of Financial Assets and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Received 2 June 30, 2015 Interest rate swap and swaption agreements, at fair value 1 $ 149 $ — $ 149 $ (70 ) $ (36 ) $ 43 Receivable under reverse repurchase agreements 2,741 — 2,741 (2,741 ) — — Total derivative, other hedging instruments and other assets $ 2,890 $ — $ 2,890 $ (2,811 ) $ (36 ) $ 43 December 31, 2014 Interest rate swap and swaption agreements, at fair value 1 $ 211 $ — $ 211 $ (94 ) $ (83 ) $ 34 Receivable under reverse repurchase agreements 5,218 — 5,218 (4,690 ) (528 ) — Total derivative, other hedging instruments and other assets $ 5,429 $ — $ 5,429 $ (4,784 ) $ (611 ) $ 34 Offsetting of Financial Liabilities and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Pledged 2 June 30, 2015 Interest rate swap agreements, at fair value 1 $ 784 $ — $ 784 $ (70 ) $ (714 ) $ — Repurchase agreements 50,178 — 50,178 (2,741 ) (47,344 ) 93 Total derivative, other hedging instruments and other liabilities $ 50,962 $ — $ 50,962 $ (2,811 ) $ (48,058 ) $ 93 December 31, 2014 Interest rate swap agreements, at fair value 1 $ 880 $ — $ 880 $ (94 ) $ (782 ) $ 4 Repurchase agreements 50,296 — 50,296 (4,690 ) (45,606 ) — Total derivative, other hedging instruments and other liabilities $ 51,176 $ — $ 51,176 $ (4,784 ) $ (46,388 ) $ 4 _______________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities received / pledged as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. |
Fair Value Measurements
Fair Value Measurements | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements We determine the fair value of our agency securities and debt of consolidated VIEs based upon fair value estimates obtained from multiple third party pricing services and dealers. In determining fair value, third party pricing sources use various valuation approaches, including market and income approaches. Factors used by third party sources in estimating the fair value of an instrument may include observable inputs such as coupons, primary and secondary mortgage rates, pricing information, credit data, volatility statistics, and other market data that are current as of the measurement date. The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. Third party pricing sources may also use certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and foreclosures, especially when estimating fair values for securities with lower levels of recent trading activity. We make inquiries of third party pricing sources to understand the significant inputs and assumptions they used to determine their prices. For further information regarding valuation of our derivative instruments, please refer to the discussion of derivative and other hedging instruments in Note 3. We review the various third party fair value estimates and perform procedures to validate their reasonableness, including an analysis of the range of third party estimates for each position, comparison to recent trade activity for similar securities, and management review for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from third party pricing sources, we will exclude third party prices for securities from our determination of fair value if we determine (based on our validation procedures and our market knowledge and expertise) that the price is significantly different from observable market data would indicate and we cannot obtain an understanding from the third party source as to the significant inputs used to determine the price. The validation procedures described above also influence our determination of the appropriate fair value measurement classification. We utilize a three-level valuation hierarchy for disclosure of fair value measurement. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. A financial instrument's categorization within the hierarchy is based upon the lowest level of input that is significant to the fair value measurement. There were no transfers between hierarchy levels during the three and six months ended June 30, 2015 . The three levels of hierarchy are defined as follows: • Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date. • Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated. The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2015 and December 31, 2014 (in millions): June 30, 2015 December 31, 2014 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 50,976 $ — $ — $ 55,482 $ — Agency securities transferred to consolidated VIEs — 1,142 — — 1,266 — U.S. Treasury securities 5,124 — — 2,427 — — Interest rate swaps — 104 — — 136 — Swaptions — 45 — — 75 — REIT equity securities 60 — — 68 — — TBA securities — 11 — — 197 — U.S. Treasury futures 4 — — — — — Total $ 5,188 $ 52,278 $ — $ 2,495 $ 57,156 $ — Liabilities: Debt of consolidated VIEs $ — $ 674 $ — $ — $ 761 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 2,230 — — 5,363 — — Interest rate swaps — 784 — — 880 — TBA securities — 57 — — 5 — U.S. Treasury futures — — — 5 — — Other — 3 — — — — Total $ 2,230 $ 1,518 $ — $ 5,368 $ 1,646 $ — We elected the option to account for debt of consolidated VIEs at fair value with changes in fair value reflected in earnings during the period in which they occur, because we believe this election more appropriately reflects our financial position as both the consolidated agency securities and consolidated debt are presented in a consistent manner, at fair value, on our consolidated balance sheets. We estimate the fair value of the consolidated debt based on the fair value of the agency MBS transferred to consolidated VIEs, less the fair value of our retained interests, which are based on valuations obtained from third-party pricing services and non-binding dealer quotes derived from common market pricing methods using "Level 2" inputs. Excluded from the table above are financial instruments, including cash and cash equivalents, restricted cash, receivables, payables and borrowings under repurchase agreements, which are presented in our consolidated financial statements at cost, which is determined to approximate fair value, primarily due to the short duration of these instruments. The cost basis of repo borrowings with initial terms of greater than one year is also determined to approximate fair value, primarily since such agreements have floating rates based on an index plus or minus a fixed spread and the fixed spread is generally consistent with those demanded in the market. We estimate the fair value of these instruments using "Level 2" inputs. |
Stockholders' Equity
Stockholders' Equity | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders' Equity Preferred Stock Pursuant to our amended and restated certificate of incorporation, we are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. Our Board of Directors has designated 6.9 million shares as 8.000% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") and 8,050 shares as 7.750% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"). As of June 30, 2015 , we had 3.1 million shares of authorized but unissued shares of preferred stock. Our Board of Directors may designate additional series of authorized preferred stock ranking junior to or in parity with the Series A or Series B Preferred Stock or designate additional shares of the Series A or Series B Preferred Stock and authorize the issuance of such shares. In April 2012 , we completed a public offering in which 6.9 million shares of our Series A Preferred Stock were sold to the underwriters at a price of $24.2125 per share for proceeds, net of offering expenses, of $167 million . In May 2014 , we completed a public offering in which 7.0 million depositary shares were sold to the underwriters at a price of $24.2125 per depositary share for proceeds, net of offering expenses, of $169 million . Each depositary share represents a 1/1,000th interest in a share of our Series B Preferred Stock. Our Series A and Series B Preferred Stock have no stated maturity, are not subject to any sinking fund or mandatory redemption and rank on parity with each other. Under certain circumstances upon a change of control, our Series A and Series B Preferred Stock are convertible to shares of our common stock. Holders of our Series A Preferred Stock and depository shares underlying our Series B Preferred Stock have no voting rights, except under limited conditions, and are entitled to receive cumulative cash dividends at a rate of 8.000% and 7.750% per annum, respectively, of their $25.00 per share and $25.00 per depositary share liquidation preference, respectively, before holders of our common stock are entitled to receive any dividends. Shares of our Series A Preferred Stock and depository shares underlying our Series B Preferred Stock are each redeemable at $25.00 per share, plus accumulated and unpaid dividends (whether or not declared) exclusively at our option commencing on April 5, 2017 and May 8, 2019 , respectively, or earlier under certain circumstances intended to preserve our qualification as a REIT for federal income tax purposes. Dividends are payable quarterly in arrears on the 15th day of each January, April, July and October. As of June 30, 2015 , we had declared all required quarterly dividends on our Series A and Series B Preferred Stock. Common Stock Repurchase Program Our Board of Directors adopted a program that authorizes repurchases of our common stock through December 31, 2015, up to a specified amount. Shares of our common stock may be purchased in the open market, including through block purchases, or through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended. The timing, manner, price and amount of any repurchases will be determined at our discretion and the program may be suspended, terminated or modified at any time for any reason. Among other factors, we intend to only consider repurchasing shares of our common stock when the purchase price is less than our estimate of our current net asset value per common share. Generally, when we repurchase our common stock at a discount to our net asset value, the net asset value of our remaining shares of common stock outstanding increases. In addition, we do not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate us to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. During the three and six months ended June 30, 2015 , we repurchased approximately 4.0 million shares of our common stock at an average repurchase price of $19.86 per share, including expenses, totaling $79 million . During the six months ended June 30, 2014, we repurchased approximately 3.4 million shares of our common stock at an average repurchase price of $22.10 per share, including expenses, totaling $74 million . We did not repurchase any shares of our common stock during the three months ended June 30, 2014. As of June 30, 2015 , the total remaining amount authorized for repurchases of our common stock was $913 million . Accumulated Other Comprehensive Income (Loss) The following tables summarize changes to accumulated OCI for the three and six months ended June 30, 2015 and 2014 (in millions): Accumulated Other Comprehensive Income (Loss) Net Unrealized Gain (Loss) on Available-for-Sale MBS Net Unrealized Gain (Loss) on Swaps Total Accumulated OCI Balance Three Months Ended June 30, 2015 Balance as of March 31, 2015 $ 961 $ (111 ) $ 850 OCI before reclassifications (894 ) — (894 ) Amounts reclassified from accumulated OCI 22 26 48 Balance as of June 30, 2015 $ 89 $ (85 ) $ 4 Three Months Ended June 30, 2014 Balance as of March 31, 2014 $ (565 ) $ (253 ) $ (818 ) OCI before reclassifications 812 — 812 Amounts reclassified from accumulated OCI (22 ) 40 18 Balance as of June 30, 2014 $ 225 $ (213 ) $ 12 Six Months Ended June 30, 2015 Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 OCI before reclassifications (467 ) — (467 ) Amounts reclassified from accumulated OCI (14 ) 55 41 Balance as of June 30, 2015 $ 89 $ (85 ) $ 4 Six Months Ended June 30, 2014 Balance as of December 31, 2013 $ (1,087 ) $ (296 ) $ (1,383 ) OCI before reclassifications 1,315 — 1,315 Amounts reclassified from accumulated OCI (3 ) 83 80 Balance as of June 30, 2014 $ 225 $ (213 ) $ 12 The following tables summarize reclassifications out of accumulated OCI for the three and six months ended June 30, 2015 and 2014 (in millions): Three Months Ended June 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2015 2014 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 22 $ (22 ) Gain (loss) on sale of agency securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 26 40 Interest expense Total reclassifications $ 48 $ 18 Six months ended June 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2015 2014 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ (14 ) $ (3 ) Gain (loss) on sale of agency securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 55 83 Interest expense Total reclassifications $ 41 $ 80 |
Subsequent Event
Subsequent Event | 6 Months Ended |
Jun. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Event | Subsequent Events On July 13, 2015 , our Board of Directors declared a monthly dividend of $0.20 per common share, which will be paid on August 7, 2015 , to common stockholders of record as of July 31, 2015 . |
Summary of Significant Accoun17
Summary of Significant Accounting Policies (Policy) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Investment Securities | Investment Securities ASC Topic 320, Investments—Debt and Equity Securities ("ASC 320"), requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Securities classified as trading and available-for-sale are reported at fair value, while securities classified as held-to-maturity are reported at amortized cost. We may sell any of our agency securities as part of our overall management of our investment portfolio. Accordingly, we typically designate our agency securities as available-for-sale. All securities classified as available-for-sale are reported at fair value, with unrealized gains and losses reported in accumulated other comprehensive income (loss) ("OCI"), a separate component of stockholders' equity. Upon the sale of a security, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. Interest-only securities and inverse interest-only securities (collectively referred to as "interest-only securities") represent our right to receive a specified proportion of the contractual interest flows of specific agency CMO securities. Principal-only securities represent our right to receive the contractual principal flows of specific agency CMO securities. Interest and principal-only securities are measured at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our investments in interest and principal-only securities are included in agency securities, at fair value on the accompanying consolidated balance sheets. REIT equity securities represent investments in the common stock of other publicly traded mortgage REITs that invest predominantly in agency MBS. We designate our investments in REIT equity securities as trading securities and report them at fair value on the accompanying consolidated balance sheets. We estimate the fair value of our agency securities based on valuations obtained from third-party pricing services and non-binding dealer quotes derived from common market pricing methods using observable (or "Level 2") inputs. Such methods incorporate, but are not limited to, reported trades and executable bid and asked prices for similar securities, benchmark interest rate curves, such as the spread to the U.S. Treasury rate and interest rate swap curves, convexity, duration and the underlying characteristics of the particular security, including coupon, periodic and life caps, rate reset period, issuer, additional credit support and expected life of the security. We estimate the fair value of our REIT equity securities based on a market approach using quoted market prices (or "Level 1" inputs). Refer to Note 8 for further discussion of fair value measurements. We evaluate our agency securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired may involve judgments and assumptions based on subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if any one of the following three conditions exists as of the financial reporting date: (i) we intend to sell the security (that is, a decision has been made to sell the security), (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover the security's amortized cost basis, even if we do not intend to sell the security and it is not more likely than not that we will be required to sell the security. A general allowance for unidentified impairments in a portfolio of securities is not permitted. The liquidity of the agency securities market allows us to obtain competitive bids and execute on a sale transaction typically within a day of making the decision to sell a security and, therefore, we generally do not make decisions to sell specific agency securities until shortly prior to initiating a sell order. In some instances, we may sell specific agency securities by delivering such securities into existing short to-be-announced ("TBA") contracts. TBA market conventions require the identification of the specific securities to be delivered no later than 48 hours prior to settlement. If we settle a short TBA contract through the delivery of securities, we will generally identify the specific securities to be delivered within one to two days of the 48-hour deadline. |
Interest Income | Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of investment securities are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs ("ASC 310-20"). We estimate long-term prepayment speeds of our agency securities using a third-party service and market data. The third-party service estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates and mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the prepayment speeds estimated by the third-party service. As market conditions may change rapidly, we may make adjustments for different securities based on our Manager's judgment. Various market participants could use materially different assumptions. Actual and anticipated prepayment experience is reviewed quarterly and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) the actual prepayments to date plus our currently estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. |
Derivative Instruments | Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate risk, prepayment risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The principal instruments that we use are interest rate swaps and options to enter into interest rate swaps ("swaptions"). We also utilize forward contracts for the purchase or sale of agency MBS securities in the "to-be-announced" market on a generic pool basis ("TBA securities") and U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also purchase or write put or call options on TBA securities and we may invest in mortgage derivatives, such as interest and principal-only securities, and other types of derivative instruments. We may also enter into TBA contracts as a means of investing in and financing agency securities (thereby increasing our "at risk" leverage) or as a means of disposing of or reducing our exposure to agency securities (thereby reducing our "at risk" leverage). Pursuant to TBA contracts, we agree to purchase or sell, for future delivery, agency securities with certain principal and interest terms and certain types of collateral, but the particular agency securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a "pair off"), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a "dollar roll." The agency securities purchased or sold for a forward settlement date are typically priced at a discount to agency securities for settlement in the current month. This difference (or discount) is referred to as the "price drop." The price drop is the economic equivalent of net interest carry income on the underlying agency securities over the roll period (interest income less implied financing cost) and is commonly referred to as "dollar roll income/loss." Consequently, forward purchases of agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. The use of derivative instruments creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We attempt to minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. Discontinuation of hedge accounting for interest rate swap agreements Prior to September 30, 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps. Upon discontinuation of hedge accounting, the net deferred loss related to our de-designated interest rate swaps remained in accumulated OCI and is being reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap. Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with borrowings made under our repurchase agreement facilities. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on one, three or six-month LIBOR ("payer swaps") with terms up to 20 years . The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market, with swap agreements entered into subsequent to May 2013 subject to central clearing through a registered commodities exchange ("centrally cleared swaps"). We estimate the fair value of our centrally cleared interest rate swaps using the daily settlement price determined by the respective exchange. Centrally cleared swaps are valued by the exchange using a pricing model that references the underlying rates including the overnight index swap rate and LIBOR forward rate to produce the daily settlement price. We estimate the fair value of our "non-centrally cleared" interest rate swaps based on valuations obtained from third-party pricing services and the swap counterparty (collectively, “third-party valuations”). The third-party valuations are model-driven using observable inputs consisting of LIBOR and the forward yield curve. We also consider the creditworthiness of both us and our counterparties and the impact of netting and credit enhancement provisions contained in each derivative agreement, such as collateral postings. All of our "non-centrally cleared" interest rate swaps are subject to bilateral collateral arrangements. Consequently, no credit valuation adjustment was made in determining the fair value of such instruments. Interest rate swaptions We purchase interest rate swaptions generally to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our swaption agreements typically provide us the option to enter into a pay fixed rate interest rate swap, which we refer as "payer swaptions." We may also enter into swaption agreements that provide us the option to enter into a receive fixed interest rate swap, which we refer to as "receiver swaptions." The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. We estimate the fair value of our interest rate swaption agreements based on model-driven valuations obtained from third-party pricing services and the swaption counterparty using observable inputs, taking into account the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option, adjusted for non-performance risk, if any. TBA securities A TBA security is a forward contract for the purchase ("long position") or sale ("short position") of agency MBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific agency MBS delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. We may enter into TBA contracts as a means of hedging against short-term changes in interest rates. We may also enter into TBA contracts as a means of acquiring or disposing of agency securities and we may from time to time utilize TBA dollar roll transactions to finance agency MBS purchases. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will take physical delivery of the agency security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts and dollar roll transactions are recognized in our consolidated statements of comprehensive income in gain (loss) on derivative instruments and other securities, net. We estimate the fair value of TBA securities based on similar methods used to value our agency MBS securities. U.S. Treasury securities We purchase or sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Investment Securities (Tables)
Investment Securities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Components of Investment Securities | The following tables summarize our investments in agency MBS as of June 30, 2015 and December 31, 2014 (dollars in millions): June 30, 2015 Agency MBS Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Fixed rate $ 50,019 $ 444 $ (393 ) $ 50,070 Adjustable rate 584 15 — 599 CMO 1,056 23 (1 ) 1,078 Interest-only and principal-only strips 335 38 (2 ) 371 Total agency MBS $ 51,994 $ 520 $ (396 ) $ 52,118 December 31, 2014 Agency MBS Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Fixed rate $ 53,945 $ 715 $ (187 ) $ 54,473 Adjustable rate 659 19 — 678 CMO 1,172 24 (1 ) 1,195 Interest-only and principal-only strips 372 33 (3 ) 402 Total agency MBS $ 56,148 $ 791 $ (191 ) $ 56,748 |
Agency Securities | December 31, 2014 Agency MBS Fannie Mae Freddie Mac Ginnie Mae Total Available-for-sale agency MBS: Agency MBS, par $ 42,749 $ 10,566 $ 107 $ 53,422 Unamortized discount (37 ) (5 ) — (42 ) Unamortized premium 1,880 514 2 2,396 Amortized cost 44,592 11,075 109 55,776 Gross unrealized gains 610 145 3 758 Gross unrealized losses (127 ) (61 ) — (188 ) Total available-for-sale agency MBS, at fair value 45,075 11,159 112 56,346 Agency MBS remeasured at fair value through earnings: Interest-only and principal-only strips, amortized cost 1 348 24 — 372 Gross unrealized gains 30 3 — 33 Gross unrealized losses (2 ) (1 ) — (3 ) Total agency MBS remeasured at fair value through earnings 376 26 — 402 Total agency MBS, at fair value $ 45,451 $ 11,185 $ 112 $ 56,748 Weighted average coupon as of December 31, 2014 2 3.63 % 3.70 % 3.52 % 3.65 % Weighted average yield as of December 31, 2014 3 2.75 % 2.73 % 1.87 % 2.74 % Weighted average yield for the year ended December 31, 2014 3 2.62 % 2.64 % 1.66 % 2.63 % ________________________ 1. The underlying UPB of our interest-only agency MBS strips was $1.2 billion and the weighted average contractual interest we are entitled to receive was 5.46% of this amount as of December 31, 2014 . The par value of our principal-only agency MBS strips was $242 million as of December 31, 2014 . 2. The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of December 31, 2014 . 3. Incorporates a weighted average future constant prepayment rate assumption of 9% based on forward rates as of December 31, 2014 . June 30, 2015 Agency MBS Fannie Mae Freddie Mac Ginnie Mae Total Available-for-sale agency MBS: Agency MBS, par $ 38,954 $ 10,374 $ 136 $ 49,464 Unamortized discount (35 ) (4 ) — (39 ) Unamortized premium 1,706 525 3 2,234 Amortized cost 40,625 10,895 139 51,659 Gross unrealized gains 371 109 2 482 Gross unrealized losses (287 ) (107 ) — (394 ) Total available-for-sale agency MBS, at fair value 40,709 10,897 141 51,747 Agency MBS remeasured at fair value through earnings: Interest-only and principal-only strips, amortized cost 1 313 22 — 335 Gross unrealized gains 34 4 — 38 Gross unrealized losses (1 ) (1 ) — (2 ) Total agency MBS remeasured at fair value through earnings 346 25 — 371 Total agency MBS, at fair value $ 41,055 $ 10,922 $ 141 $ 52,118 Weighted average coupon as of June 30, 2015 2 3.60 % 3.72 % 3.28 % 3.62 % Weighted average yield as of June 30, 2015 3 2.75 % 2.77 % 1.86 % 2.75 % Weighted average yield for the quarter ended June 30, 2015 3 2.94 % 3.01 % 2.26 % 2.95 % ________________________ 1. The underlying unamortized principal balance ("UPB" or "par value") of our interest-only agency MBS strips was $1.1 billion and the weighted average contractual interest we are entitled to receive was 5.43% of this amount as of June 30, 2015 . The par value of our principal-only agency MBS strips was $224 million as of June 30, 2015 . 2. The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of June 30, 2015 . 3. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of June 30, 2015 . |
Summary Of Agency Securities Estimated Weighted Average Life Classifications | The following table summarizes our agency MBS classified as available-for-sale as of June 30, 2015 and December 31, 2014 according to their estimated weighted average life classification (dollars in millions): June 30, 2015 December 31, 2014 Estimated Weighted Average Life of Agency MBS Classified as Available-for-Sale 1 Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield ≥ 1 year and ≤ 3 years 297 295 3.63% 2.10% 289 280 4.08% 2.62% > 3 years and ≤ 5 years 19,708 19,456 3.27% 2.39% 22,153 21,820 3.26% 2.40% > 5 years and ≤10 years 30,905 31,073 3.70% 2.93% 33,271 33,055 3.73% 2.92% > 10 years 837 835 3.11% 3.06% 633 621 3.28% 3.15% Total $ 51,747 $ 51,659 3.52% 2.72% $ 56,346 $ 55,776 3.54% 2.72% _______________________ 1. Excludes interest and principal-only strips. |
Summary of Changes in Accumulated OCI for Agency Securities | changes in accumulated OCI for our available-for-sale securities for the three and six months ended June 30, 2015 and 2014 . |
Summary of Continuous Unrealized Loss Position of Available for Sale Securities | The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of June 30, 2015 and December 31, 2014 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Agency Securities Classified as Available-for-Sale Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss June 30, 2015 $ 17,613 $ (258 ) $ 7,512 $ (136 ) $ 25,125 $ (394 ) December 31, 2014 $ 778 $ (2 ) $ 11,679 $ (186 ) $ 12,457 $ (188 ) |
Summary of Net Gain from Sale of Agency Securities | The following table is a summary of our net gain (loss) from the sale of agency securities classified as available-for-sale for the three and six months ended June 30, 2015 and 2014 (in millions): Three Months Ended June 30, Six Months Ended June 30, Agency Securities Classified as 2015 2014 2015 2014 Agency MBS sold, at cost $ (10,241 ) $ (7,166 ) $ (17,974 ) $ (16,877 ) Proceeds from agency MBS sold 1 10,219 7,188 17,988 16,880 Net (loss) gain on sale of agency MBS $ (22 ) $ 22 $ 14 $ 3 Gross gain on sale of agency MBS $ 22 $ 49 $ 79 $ 91 Gross loss on sale of agency MBS (44 ) (27 ) (65 ) (88 ) Net (loss) gain on sale of agency MBS $ (22 ) $ 22 $ 14 $ 3 ________________________ 1. Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end. |
Repurchase Agreements and Oth19
Repurchase Agreements and Other Debt (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Borrowings under Repurchase Agreements and Weighted Average Interest Rates | The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by remaining maturities as of June 30, 2015 and December 31, 2014 (dollars in millions): June 30, 2015 December 31, 2014 Remaining Maturity Repurchase Agreements 1 Weighted Average Interest Rate Weighted Average Days to Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Agency MBS: ≤ 1 month $ 22,061 0.40 % 15 $ 14,157 0.37 % 15 > 1 to ≤ 3 months 11,879 0.40 % 55 20,223 0.38 % 61 > 3 to ≤ 6 months 3,084 0.53 % 132 6,654 0.42 % 120 > 6 to ≤ 9 months 1,829 0.49 % 239 1,575 0.50 % 225 > 9 to ≤ 12 months 1,763 0.57 % 300 2,678 0.54 % 313 > 12 to ≤ 24 months 803 0.63 % 493 600 0.57 % 551 > 24 to ≤ 36 months 717 0.64 % 894 952 0.60 % 999 > 36 to ≤ 48 months 750 0.70 % 1,257 650 0.64 % 1,266 > 48 to < 60 months 2,300 0.72 % 1,601 900 0.68 % 1,542 Total agency MBS 45,186 0.45 % 177 48,389 0.41 % 143 U.S. Treasury securities: 1 day 4,992 0.17 % 2 1,907 0.09 % 1 Total / Weighted Average $ 50,178 0.42 % 160 $ 50,296 0.40 % 138 |
Derivative and Other Hedging 20
Derivative and Other Hedging Instruments (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Derivative [Line Items] | |
Schedule of Outstanding Derivatives Not Designated as Hedging Instruments | The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of June 30, 2015 and December 31, 2014 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location June 30, 2015 December 31, 2014 Interest rate swaps Derivative assets, at fair value $ 104 $ 136 Swaptions Derivative assets, at fair value 45 75 TBA securities Derivative assets, at fair value 11 197 U.S. Treasury futures - short Derivative assets, at fair value 4 — Total $ 164 $ 408 Interest rate swaps Derivative liabilities, at fair value $ (784 ) $ (880 ) TBA securities Derivative liabilities, at fair value (57 ) (5 ) U.S. Treasury futures - short Derivative liabilities, at fair value — (5 ) Other Derivative liabilities, at fair value (3 ) — Total $ (844 ) $ (890 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 5,124 $ 2,427 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value 1 (2,230 ) (5,363 ) Total - (short)/long, net $ 2,894 $ (2,936 ) ________________________ 1. Our obligation to return securities borrowed under reverse repurchase agreements as of June 30, 2015 and December 31, 2014 relates to securities borrowed to cover short sales of U.S. Treasury securities from which we received total sale proceeds of $2.2 billion and $5.4 billion , respectively. The change in fair value of the borrowed securities is recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Schedule of Interest Rate Swaption Agreements Outstanding | The following table summarizes our interest rate payer swaption agreements outstanding as of June 30, 2015 and December 31, 2014 (dollars in millions): Payer Swaptions Option Underlying Payer Swap Years to Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Fixed Pay Rate Average Receive Rate (LIBOR) Average Term (Years) June 30, 2015 ≤ 1 year $ 126 $ 44 5 $ 5,100 3.35% 3M 7.2 > 1 to ≤ 2 years 10 1 14 350 3.95% 3M 5.0 Total Payer Swaptions $ 136 $ 45 6 $ 5,450 3.39% 3M 7.1 December 31, 2014 ≤ 1 year $ 113 $ 36 6 $ 5,600 3.15% 3M 6.4 > 1 to ≤ 2 years 32 10 16 1,200 3.87% 3M 5.1 Total Payer Swaptions $ 145 $ 46 8 $ 6,800 3.28% 3M 6.2 The following table summarizes our interest rate receiver swaption agreements outstanding as of December 31, 2014 (dollars in millions). We had no interest rate receiver swaptions outstanding as of June 30, 2015 . Receiver Swaptions Option Underlying Receiver Swap Years to Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Fixed Receive Rate Average Pay Rate (LIBOR) Average Term (Years) December 31, 2014 ≤ 1 year $ 18 $ 29 5 $ 4,250 1.78% 3M 6.4 |
US government securities | The following table summarizes our U.S. Treasury securities as of June 30, 2015 and December 31, 2014 (in millions): June 30, 2015 December 31, 2014 Maturity Face Amount Net Long / (Short) Cost Basis Market Value Face Amount Net Long / (Short) Cost Basis Market Value 3 years $ (900 ) $ (899 ) $ (902 ) $ — $ — $ — 5 years 808 803 804 (4,674 ) (4,650 ) (4,645 ) 7 years 2,109 2,084 2,085 (717 ) (717 ) (718 ) 10 years 925 913 907 2,410 2,422 2,427 Total U.S. Treasury securities, net $ 2,942 $ 2,901 $ 2,894 $ (2,981 ) $ (2,945 ) $ (2,936 ) |
Summary of Long and Short Position of Derivative Instruments | The following tables summarize our TBA securities as of June 30, 2015 and December 31, 2014 (in millions): June 30, 2015 December 31, 2014 TBA Securities by Coupon Notional Amount - Long (Short) 1 Cost Basis 2 Market Value 3 Net Carrying Value 4 Notional Amount - Long (Short) 1 Cost Basis 2 Market Value 3 Net Carrying Value 4 15-Year TBA securities: 2.5% $ (644 ) $ (649 ) $ (651 ) $ (2 ) $ 962 $ 968 $ 980 $ 12 3.0% (82 ) (84 ) (85 ) (1 ) 2,779 2,889 2,888 (1 ) 3.5% 826 870 871 1 (468 ) (495 ) (494 ) 1 4.0% — — — — (13 ) (14 ) (14 ) — Total 15-Year TBAs 100 137 135 (2 ) 3,260 3,348 3,360 12 30-Year TBA securities: 3.0% 3,794 3,820 3,781 (39 ) 5,254 5,259 5,313 54 3.5% 3,206 3,309 3,308 (1 ) 7,902 8,151 8,232 81 4.0% (159 ) (162 ) (166 ) (4 ) (1,853 ) (2,019 ) (1,974 ) 45 4.5% — — — — (151 ) (163 ) (163 ) — Total 30-Year TBAs 6,841 6,967 6,923 (44 ) 11,152 11,228 11,408 180 Total net TBA securities $ 6,941 $ 7,104 $ 7,058 $ (46 ) $ 14,412 $ 14,576 $ 14,768 $ 192 June 30, 2015 December 31, 2014 TBA Securities by Issuer Notional Amount - Long (Short) 1 Cost Basis 2 Market Value 3 Net Carrying Value 4 Notional Amount - Long (Short) 1 Cost Basis 2 Market Value 3 Net Carrying Value 4 Fannie Mae $ 4,379 $ 4,473 $ 4,444 $ (29 ) $ 15,127 $ 15,316 $ 15,509 $ 193 Freddie Mac 437 426 423 (3 ) (715 ) (740 ) (741 ) (1 ) Ginnie Mae 2,125 2,205 2,191 (14 ) — — — — TBA securities, net $ 6,941 $ 7,104 $ 7,058 $ (46 ) $ 14,412 $ 14,576 $ 14,768 $ 192 _____________________ 1. Notional amount represents the par value (or principal balance) of the underlying agency security. 2. Cost basis represents the forward price to be paid / (received) for the underlying agency security. 3. Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end. 4. Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets. |
Schedule Of Outstanding Not Designated As Hedging Instruments | The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2015 and 2014 (in millions): Three Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Long/(Short) March 31, 2015 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 4,873 18,367 (16,299 ) $ 6,941 $ (110 ) Interest rate swaps $ (44,925 ) — — $ (44,925 ) 434 Payer swaptions $ (5,200 ) (500 ) 250 $ (5,450 ) 13 Receiver swaptions $ 750 — (750 ) $ — (13 ) U.S. Treasury securities - short position $ (3,353 ) (2,224 ) 3,327 $ (2,250 ) 18 U.S. Treasury securities - long position $ 4,261 11,649 (10,718 ) $ 5,192 (116 ) U.S. Treasury futures contracts - short position $ (730 ) (730 ) 730 $ (730 ) 15 $ 241 ________________________________ 1. Excludes a net loss of $6 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidated VIEs and a net loss of $7 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Three Months Ended June 30, 2014 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2014 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 13,909 65,946 (62,044 ) $ 17,811 $ 543 Interest rate swaps $ (46,400 ) (2,800 ) 1,300 $ (47,900 ) (587 ) Payer swaptions $ (8,000 ) (1,250 ) 1,600 $ (7,650 ) (41 ) Receiver swaptions $ 1,000 750 — $ 1,750 — U.S. Treasury securities - short position $ (6,786 ) (8,615 ) 9,413 $ (5,988 ) (173 ) U.S. Treasury securities - long position $ 200 3,035 (1,985 ) $ 1,250 8 U.S. Treasury futures contracts - short position $ (730 ) (730 ) 730 $ (730 ) (19 ) TBA put option $ — (100 ) — $ (100 ) — $ (269 ) ______________________ 1. Excludes a net gain of $24 million from investments in REIT equity securities, a net loss of $9 million from debt of consolidated VIEs, a net gain of $15 million from interest and principal-only securities and other miscellaneous net losses of $5 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Long/(Short) December 31, 2014 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 14,412 63,867 (71,338 ) $ 6,941 $ 124 Interest rate swaps $ (43,700 ) (3,500 ) 2,275 $ (44,925 ) (312 ) Payer swaptions $ (6,800 ) (500 ) 1,850 $ (5,450 ) (4 ) Receiver swaptions $ 4,250 — (4,250 ) $ — 4 U.S. Treasury securities - short position $ (5,392 ) (6,397 ) 9,539 $ (2,250 ) (64 ) U.S. Treasury securities - long position $ 2,411 27,211 (24,430 ) $ 5,192 (64 ) U.S. Treasury futures contracts - short position $ (730 ) (1,460 ) 1,460 $ (730 ) (5 ) $ (321 ) ________________________________ 1. Excludes a net loss of $4 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidated VIEs and a net gain of $4 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2014 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2014 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 2,119 90,322 (74,630 ) $ 17,811 $ 604 Interest rate swaps $ (43,250 ) (8,700 ) 4,050 $ (47,900 ) (967 ) Payer swaptions $ (14,250 ) (2,250 ) 8,850 $ (7,650 ) (146 ) Receiver swaptions $ — 1,750 — $ 1,750 — U.S. Treasury securities - short position $ (2,007 ) (15,856 ) 11,875 $ (5,988 ) (218 ) U.S. Treasury securities - long position $ 3,927 4,935 (7,612 ) $ 1,250 80 U.S. Treasury futures contracts - short position $ (1,730 ) (1,460 ) 2,460 $ (730 ) (55 ) TBA put option $ — (150 ) 50 $ (100 ) — $ (702 ) ______________________ 1. Excludes a net gain of $73 million from investments in REIT equity securities, a net loss of $12 million from debt of consolidated VIEs, a net gain of $27 million from interest and principal-only securities and other miscellaneous net losses of $7 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Not Designated as Hedging Instrument [Member] | |
Derivative [Line Items] | |
Schedule Of Interest Rate Swap Agreement By Remaining Maturity | The following tables summarize our interest rate swap agreements outstanding as of June 30, 2015 and December 31, 2014 (dollars in millions): June 30, 2015 Payer Interest Rate Swaps Notional Amount 1 Average Fixed Pay Rate 2 Average Receive Rate 3 Net Estimated Fair Value Average Maturity (Years) ≤ 3 years $ 15,925 1.21% 0.26% $ (91 ) 1.8 > 3 to ≤ 5 years 10,200 1.84% 0.28% (107 ) 4.2 > 5 to ≤ 7 years 7,725 2.51% 0.28% (168 ) 6.2 > 7 to ≤ 10 years 9,050 2.60% 0.28% (226 ) 8.3 > 10 years 2,025 3.16% 0.28% (88 ) 13.1 Total Payer Interest Rate Swaps $ 44,925 1.94% 0.27% $ (680 ) 4.9 ________________________ 1. Notional amount includes forward starting swaps of $8.8 billion with an average forward start date of 0.8 years and an average maturity of 6.6 years from June 30, 2015 . 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.69% as of June 30, 2015 . 3. Average receive rate excludes forward starting swaps. December 31, 2014 Payer Interest Rate Swaps Notional 1 Average 2 Average 3 Net Average ≤ 3 years $ 12,300 1.33% 0.21% $ (87 ) 2.0 > 3 to ≤ 5 years 8,975 1.63% 0.24% (4 ) 4.2 > 5 to ≤ 7 years 7,250 2.47% 0.23% (139 ) 6.1 > 7 to ≤ 10 years 10,775 2.48% 0.24% (223 ) 8.3 > 10 years 4,400 3.19% 0.23% (291 ) 12.6 Total Payer Interest Rate Swaps $ 43,700 2.05% 0.23% $ (744 ) 5.8 ________________________ 1. Notional amount includes forward starting swaps of $12.4 billion with an average forward start date of 1.1 years and an average maturity of 7.9 years from December 31, 2014 . 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.68% as of December 31, 2014 . 3. Average receive rate excludes forward starting swaps. |
Pledged Assets (Tables)
Pledged Assets (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Pledged Assets [Abstract] | |
Schedule of Financial Instruments Owned and Pledged as Collateral | The following tables summarize our assets pledged as collateral under our financing, derivative and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of June 30, 2015 and December 31, 2014 (in millions): June 30, 2015 Assets Pledged to Counterparties Repurchase Agreements 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 47,594 $ 1,142 $ 57 $ 477 $ 49,270 U.S. Treasury securities - fair value 2 5,023 — 449 — 5,472 Accrued interest on pledged securities 144 3 1 — 148 Restricted cash 5 — 768 5 778 Total $ 52,766 $ 1,145 $ 1,275 $ 482 $ 55,668 _______________________ 1. Includes $21 million of collateral pledged to the FHLB of Des Moines under our secured advance agreement. 2. Includes $495 million of repledged collateral received from counterparties. December 31, 2014 Assets Pledged to Counterparties Repurchase Agreements Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 50,858 $ 1,266 $ 69 $ 702 $ 52,895 U.S. Treasury securities - fair value 1,904 — 550 — 2,454 Accrued interest on pledged securities 147 4 2 — 153 Restricted cash 6 — 698 9 713 Total $ 52,915 $ 1,270 $ 1,319 $ 711 $ 56,215 |
Schedules Of Securities Pledged As Collateral Under Repurchase Agreement | The following table summarizes our securities pledged as collateral under our financing agreements by remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of June 30, 2015 and December 31, 2014 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 . June 30, 2015 December 31, 2014 Agency Securities Pledged by Remaining Maturity of Repurchase Agreements and Debt of Consolidated VIEs Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities Agency MBS: ≤ 30 days $ 22,449 $ 22,423 $ 63 $ 14,605 $ 14,453 $ 41 > 30 and ≤ 60 days 9,436 9,417 27 10,912 10,789 30 > 60 and ≤ 90 days 3,420 3,387 9 10,205 10,109 28 > 90 days 13,431 13,442 38 16,402 16,227 47 Total agency MBS 48,736 48,669 137 52,124 51,578 146 U.S. Treasury securities: 1 day 5,023 5,035 11 1,904 1,899 5 Total $ 53,759 $ 53,704 $ 148 $ 54,028 $ 53,477 $ 151 |
Schedule of Securities and Cash Pledged as Collateral from Counterparties | As of June 30, 2015 and December 31, 2014 , we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). June 30, 2015 December 31, 2014 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Total Reverse Repurchase Agreements Derivative Agreements Total Agency MBS - fair value $ — $ 11 $ 11 $ — $ 43 $ 43 U.S. Treasury securities - fair value 2,725 10 2,735 5,363 47 5,410 Cash — 15 15 — 28 28 Total $ 2,725 $ 36 $ 2,761 $ 5,363 $ 118 $ 5,481 |
Offsetting Assets and Liabilities | The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of June 30, 2015 and December 31, 2014 (in millions): Offsetting of Financial Assets and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Received 2 June 30, 2015 Interest rate swap and swaption agreements, at fair value 1 $ 149 $ — $ 149 $ (70 ) $ (36 ) $ 43 Receivable under reverse repurchase agreements 2,741 — 2,741 (2,741 ) — — Total derivative, other hedging instruments and other assets $ 2,890 $ — $ 2,890 $ (2,811 ) $ (36 ) $ 43 December 31, 2014 Interest rate swap and swaption agreements, at fair value 1 $ 211 $ — $ 211 $ (94 ) $ (83 ) $ 34 Receivable under reverse repurchase agreements 5,218 — 5,218 (4,690 ) (528 ) — Total derivative, other hedging instruments and other assets $ 5,429 $ — $ 5,429 $ (4,784 ) $ (611 ) $ 34 |
Offsetting Liabilities | Offsetting of Financial Liabilities and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Pledged 2 June 30, 2015 Interest rate swap agreements, at fair value 1 $ 784 $ — $ 784 $ (70 ) $ (714 ) $ — Repurchase agreements 50,178 — 50,178 (2,741 ) (47,344 ) 93 Total derivative, other hedging instruments and other liabilities $ 50,962 $ — $ 50,962 $ (2,811 ) $ (48,058 ) $ 93 December 31, 2014 Interest rate swap agreements, at fair value 1 $ 880 $ — $ 880 $ (94 ) $ (782 ) $ 4 Repurchase agreements 50,296 — 50,296 (4,690 ) (45,606 ) — Total derivative, other hedging instruments and other liabilities $ 51,176 $ — $ 51,176 $ (4,784 ) $ (46,388 ) $ 4 _______________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities received / pledged as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2015 and December 31, 2014 (in millions): June 30, 2015 December 31, 2014 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 50,976 $ — $ — $ 55,482 $ — Agency securities transferred to consolidated VIEs — 1,142 — — 1,266 — U.S. Treasury securities 5,124 — — 2,427 — — Interest rate swaps — 104 — — 136 — Swaptions — 45 — — 75 — REIT equity securities 60 — — 68 — — TBA securities — 11 — — 197 — U.S. Treasury futures 4 — — — — — Total $ 5,188 $ 52,278 $ — $ 2,495 $ 57,156 $ — Liabilities: Debt of consolidated VIEs $ — $ 674 $ — $ — $ 761 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 2,230 — — 5,363 — — Interest rate swaps — 784 — — 880 — TBA securities — 57 — — 5 — U.S. Treasury futures — — — 5 — — Other — 3 — — — — Total $ 2,230 $ 1,518 $ — $ 5,368 $ 1,646 $ — |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following tables summarize changes to accumulated OCI for the three and six months ended June 30, 2015 and 2014 (in millions): Accumulated Other Comprehensive Income (Loss) Net Unrealized Gain (Loss) on Available-for-Sale MBS Net Unrealized Gain (Loss) on Swaps Total Accumulated OCI Balance Three Months Ended June 30, 2015 Balance as of March 31, 2015 $ 961 $ (111 ) $ 850 OCI before reclassifications (894 ) — (894 ) Amounts reclassified from accumulated OCI 22 26 48 Balance as of June 30, 2015 $ 89 $ (85 ) $ 4 Three Months Ended June 30, 2014 Balance as of March 31, 2014 $ (565 ) $ (253 ) $ (818 ) OCI before reclassifications 812 — 812 Amounts reclassified from accumulated OCI (22 ) 40 18 Balance as of June 30, 2014 $ 225 $ (213 ) $ 12 Six Months Ended June 30, 2015 Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 OCI before reclassifications (467 ) — (467 ) Amounts reclassified from accumulated OCI (14 ) 55 41 Balance as of June 30, 2015 $ 89 $ (85 ) $ 4 Six Months Ended June 30, 2014 Balance as of December 31, 2013 $ (1,087 ) $ (296 ) $ (1,383 ) OCI before reclassifications 1,315 — 1,315 Amounts reclassified from accumulated OCI (3 ) 83 80 Balance as of June 30, 2014 $ 225 $ (213 ) $ 12 The following tables summarize reclassifications out of accumulated OCI for the three and six months ended June 30, 2015 and 2014 (in millions): Three Months Ended June 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2015 2014 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 22 $ (22 ) Gain (loss) on sale of agency securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 26 40 Interest expense Total reclassifications $ 48 $ 18 Six months ended June 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2015 2014 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ (14 ) $ (3 ) Gain (loss) on sale of agency securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 55 83 Interest expense Total reclassifications $ 41 $ 80 |
Organization (Details)
Organization (Details) | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Required distribution of taxable net income on a annual basis | 90.00% |
Intended annual distribution of taxable net income | 100.00% |
Summary of Significant Accoun25
Summary of Significant Accounting Policies (Details) | 6 Months Ended |
Jun. 30, 2015 | |
Maximum [Member] | Interest Rate Swap [Member] | |
Derivative [Line Items] | |
Term of derivative contract | 20 years |
Investment Securities (Narrativ
Investment Securities (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||||
Total agency MBS, at fair value | $ 52,118 | $ 52,118 | $ 56,748 | ||
Weighted average expected constant prepayment rate | 8.00% | 9.00% | |||
Weighted average life of interest-only strips | 6 years 2 months 10 days | 6 years 17 days | |||
Weighted average life of principal-only strips | 8 years 3 months 27 days | 8 years 28 days | |||
Agency securities, total fair value | 1,100 | $ 1,100 | $ 1,300 | ||
Debt, at fair value | 674 | 674 | 761 | ||
Principal balance of agency securities collaterizing debt issued by securitization trust | (1,100) | (1,100) | 1,200 | ||
Principal amount | 662 | 662 | 742 | ||
Gain (loss) associated with consolidated debt | 9 | $ (9) | 9 | $ (12) | |
Fair value of CMO securities and interest-only and principal-only strips | 1,400 | 1,400 | 1,600 | ||
Securitized CMO Securities | 1,900 | 1,900 | 2,100 | ||
CMO and Interest Only, Principal Only Securities, Maximum Loss Exposure | 250 | 274 | |||
Agency Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Unamortized premium balance | 2,300 | 2,300 | 2,500 | ||
Interest Only And Principal Only Strip [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Net unrealized gain | (7) | $ 15 | 4 | $ 27 | |
TBA securities Fifteen Year and Thirty Year Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Net long TBA position, at fair value | 7,100 | 7,100 | 14,800 | ||
TBA, net carrying value | $ (46) | $ (46) | $ 192 |
Investment Securities (Summary
Investment Securities (Summary of Investment in Agency Security) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Amortized cost | $ 51,659 | $ 55,776 |
Gross unrealized gain | 520 | 791 |
Gross unrealized loss | (396) | (191) |
Fair value | 51,747 | 56,346 |
Total agency MBS, amortized cost | 51,994 | 56,148 |
Total agency MBS, at fair value | 52,118 | 56,748 |
Fixed Income Securities [Member] | ||
Gross unrealized gain | 444 | 715 |
Gross unrealized loss | (393) | 187 |
Fixed Income Securities [Member] | Agency Securities [Member] | ||
Amortized cost | 50,019 | 53,945 |
Fair value | 50,070 | 54,473 |
Adjustable-Rate [Member] | ||
Gross unrealized gain | 15 | 19 |
Gross unrealized loss | 0 | 0 |
Adjustable-Rate [Member] | Agency Securities [Member] | ||
Amortized cost | 584 | 659 |
Fair value | 599 | 678 |
Collateralized Mortgage Obligations [Member] | ||
Gross unrealized gain | 23 | 24 |
Gross unrealized loss | (1) | 1 |
Collateralized Mortgage Obligations [Member] | Agency Securities [Member] | ||
Amortized cost | 1,056 | 1,172 |
Fair value | 1,078 | 1,195 |
Interest Only And Principal Only Strip [Member] | ||
Gross unrealized gain | 38 | 33 |
Gross unrealized loss | (2) | 3 |
Interest Only And Principal Only Strip [Member] | Agency Securities [Member] | ||
Interest-only and principal-only strips, amortized cost | 335 | 372 |
Interest-only and principal-only strips, fair value | $ 371 | $ 402 |
Investment Securities (Componen
Investment Securities (Components Of Investment Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |||
Schedule of Investments [Line Items] | |||||
Amortized cost | $ 51,659 | $ 51,659 | $ 55,776 | ||
Total agency MBS, at fair value | $ 52,118 | $ 52,118 | $ 56,748 | ||
Weighted average coupon | 3.62% | 3.62% | 3.65% | [1] | |
Weighted average yield | 2.75% | 2.75% | 2.74% | [2] | |
Weighted average yield for the year ended | 2.95% | 2.63% | |||
Unamortized Principal Balance Of Interest Only Strips | $ 1,100 | $ 1,200 | |||
Weighted Average Contractual Interest Rate Of Interest Only Strips | 5.43% | 5.46% | |||
Unamortized Principal Balance Of Principal Only Strips | $ 224 | $ 242 | |||
Future Prepayment Rate Assumption Of Investment Portfolio | 8.00% | 9.00% | |||
Available-for-sale Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Agency MBS, par | $ 49,464 | $ 49,464 | $ 53,422 | ||
Unamortized discount | (39) | (39) | (42) | ||
Unamortized premium | 2,234 | 2,234 | 2,396 | ||
Amortized cost | 51,659 | 51,659 | 55,776 | ||
Gross unrealized gains | 482 | 758 | |||
Gross unrealized losses | (394) | (188) | |||
Total available-for-sale agency MBS, at fair value | 51,747 | 51,747 | 56,346 | ||
Agency securities remeasured at fair value through earnings [Member] | |||||
Schedule of Investments [Line Items] | |||||
Interest-only and principal-only strips, amortized cost | 335 | 335 | 372 | ||
Gross unrealized gains | 38 | 38 | 33 | ||
Gross unrealized losses | (2) | (2) | (3) | ||
Total agency MBS remeasured at fair value through earnings | 371 | 371 | 402 | ||
Fannie Mae [Member] | |||||
Schedule of Investments [Line Items] | |||||
Total agency MBS, at fair value | $ 41,055 | $ 41,055 | $ 45,451 | ||
Weighted average coupon | [1] | 3.60% | 3.60% | 3.63% | |
Weighted average yield | [2] | 2.75% | 2.75% | 2.75% | |
Weighted average yield for the year ended | 2.94% | 2.62% | |||
Fannie Mae [Member] | Available-for-sale Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Agency MBS, par | $ 38,954 | $ 38,954 | $ 42,749 | ||
Unamortized discount | (35) | (35) | (37) | ||
Unamortized premium | 1,706 | 1,706 | 1,880 | ||
Amortized cost | 40,625 | 40,625 | 44,592 | ||
Gross unrealized gains | 371 | 610 | |||
Gross unrealized losses | (287) | (127) | |||
Total available-for-sale agency MBS, at fair value | 40,709 | 40,709 | 45,075 | ||
Fannie Mae [Member] | Agency securities remeasured at fair value through earnings [Member] | |||||
Schedule of Investments [Line Items] | |||||
Interest-only and principal-only strips, amortized cost | 313 | 313 | 348 | ||
Gross unrealized gains | 34 | 34 | 30 | ||
Gross unrealized losses | (1) | (1) | (2) | ||
Total agency MBS remeasured at fair value through earnings | 346 | 346 | 376 | ||
Freddie Mac [Member] | |||||
Schedule of Investments [Line Items] | |||||
Total agency MBS, at fair value | $ 10,922 | $ 10,922 | $ 11,185 | ||
Weighted average coupon | [1] | 3.72% | 3.72% | 3.70% | |
Weighted average yield | [2] | 2.77% | 2.77% | 2.73% | |
Weighted average yield for the year ended | 3.01% | 2.64% | |||
Freddie Mac [Member] | Available-for-sale Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Agency MBS, par | $ 10,374 | $ 10,374 | $ 10,566 | ||
Unamortized discount | (4) | (4) | (5) | ||
Unamortized premium | 525 | 525 | 514 | ||
Amortized cost | 10,895 | 10,895 | 11,075 | ||
Gross unrealized gains | 109 | 145 | |||
Gross unrealized losses | (107) | (61) | |||
Total available-for-sale agency MBS, at fair value | 10,897 | 10,897 | 11,159 | ||
Freddie Mac [Member] | Agency securities remeasured at fair value through earnings [Member] | |||||
Schedule of Investments [Line Items] | |||||
Interest-only and principal-only strips, amortized cost | 22 | 22 | 24 | ||
Gross unrealized gains | 4 | 4 | 3 | ||
Gross unrealized losses | (1) | (1) | (1) | ||
Total agency MBS remeasured at fair value through earnings | 25 | 25 | 26 | ||
Ginnie Mae [Member] | |||||
Schedule of Investments [Line Items] | |||||
Total agency MBS, at fair value | $ 141 | $ 141 | $ 112 | ||
Weighted average coupon | [1] | 3.28% | 3.28% | 3.52% | |
Weighted average yield | [2] | 1.86% | 1.86% | 1.87% | |
Weighted average yield for the year ended | 2.26% | 1.66% | |||
Ginnie Mae [Member] | Available-for-sale Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Agency MBS, par | $ 136 | $ 136 | $ 107 | ||
Unamortized discount | 0 | 0 | 0 | ||
Unamortized premium | 3 | 3 | 2 | ||
Amortized cost | 139 | 139 | 109 | ||
Gross unrealized gains | 2 | 3 | |||
Gross unrealized losses | 0 | 0 | |||
Total available-for-sale agency MBS, at fair value | 141 | 141 | 112 | ||
Ginnie Mae [Member] | Agency securities remeasured at fair value through earnings [Member] | |||||
Schedule of Investments [Line Items] | |||||
Interest-only and principal-only strips, amortized cost | 0 | 0 | 0 | ||
Gross unrealized gains | 0 | 0 | 0 | ||
Gross unrealized losses | 0 | 0 | 0 | ||
Total agency MBS remeasured at fair value through earnings | $ 0 | $ 0 | $ 0 | ||
[1] | The underlying unamortized principal balance ("UPB" or "par value") of our interest-only agency MBS strips was $1.1 billion and the weighted average contractual interest we are entitled to receive was 5.43% of this amount as of June 30, 2015. The par value of our principal-only agency MBS strips was $224 million as of June 30, 2015. | ||||
[2] | Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of June 30, 2015 |
Investment Securities (Summar29
Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Agency securities classified as available for sale, Fair value | $ 51,747 | $ 56,346 |
Agency securities classified as available for sale, Amortized cost | $ 51,659 | $ 55,776 |
Weighted Average Coupon | 3.52% | 3.54% |
Weighted Average Yield | 2.72% | 2.72% |
Greater Than One Year and Less Than or Equal to Three Years [Member] | ||
Fair Value | $ 297 | $ 289 |
Amortized Cost | $ 295 | $ 280 |
Weighted Average Coupon | 3.63% | 4.08% |
Weighted Average Yield | 2.10% | 2.62% |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | ||
Fair Value | $ 19,708 | $ 22,153 |
Amortized Cost | $ 19,456 | $ 21,820 |
Weighted Average Coupon | 3.27% | 3.26% |
Weighted Average Yield | 2.39% | 2.40% |
Greater Than Five Years [Member] | ||
Fair Value | $ 30,905 | $ 33,271 |
Amortized Cost | $ 31,073 | $ 33,055 |
Weighted Average Coupon | 3.70% | 3.73% |
Weighted Average Yield | 2.93% | 2.92% |
Greater Than Ten Years [Member] | ||
Fair Value | $ 837 | $ 633 |
Amortized Cost | $ 835 | $ 621 |
Weighted Average Coupon | 3.11% | 3.28% |
Weighted Average Yield | 3.06% | 3.15% |
Investment Securities (Summar30
Investment Securities (Summary Of Changes In Accumulated OCI For Available-For-Sale Security) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Unrealized Gains and (Losses), Net | $ (872) | $ 790 | $ (481) | $ 1,312 |
Agency Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning OCI Balance | 961 | (565) | 570 | (1,087) |
Unrealized Gains and (Losses), Net | (894) | 812 | (467) | 1,315 |
Reversal of Unrealized (Gains) and Losses, Net on Realization | 22 | (22) | (14) | (3) |
Ending OCI Balance | $ 89 | $ 225 | $ 89 | $ 225 |
Investment Securities (Summar31
Investment Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) - Accumulated Other Comprehensive Income (Loss) [Member] - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Unrealized Loss Position For - Estimated Fair Value - Less than 12 Months | $ 17,613 | $ 778 |
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months | (258) | (2) |
Unrealized Loss Position For - Estimated Fair Value - 12 Months or More | 7,512 | 11,679 |
Unrealized Loss Position For - Unrealized Loss - 12 Months or More | (136) | (186) |
Unrealized Loss Position For - Estimated Fair Value - Total | 25,125 | 12,457 |
Unrealized Loss Position For - Unrealized Loss - Total | $ (394) | $ (188) |
Investment Securities (Summar32
Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Proceeds from agency MBS sold | $ 30,854 | $ 23,324 | ||
Net (loss) gain on sale of agency MBS | $ (22) | $ 22 | 14 | 3 |
Agency Securities [Member] | ||||
Agency MBS sold, at cost | (10,241) | (7,166) | (17,974) | (16,877) |
Proceeds from agency MBS sold | 10,219 | 7,188 | 17,988 | 16,880 |
Net (loss) gain on sale of agency MBS | (22) | 22 | 14 | 3 |
Gross gain on sale of agency MBS | 22 | 49 | 79 | 91 |
Gross loss on sale of agency MBS | (44) | (27) | (65) | (88) |
Interest Only And Principal Only Strip [Member] | ||||
Unrealized Gain (Loss) on Securities | $ (7) | $ 15 | $ 4 | $ 27 |
Repurchase Agreements And Oth33
Repurchase Agreements And Other Debt (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Disclosure of Repurchase Agreements [Abstract] | ||
Debt of consolidated variable interest entities, at fair value | $ 674 | $ 761 |
Description of variable rate basis | LIBOR | |
Basis spread over LIBOR | 43 | |
Principal amount | $ 662 | $ 742 |
Weighted average life of other debt | 5 years 2 months | 5 years 9 months |
Repurchase Agreements And Oth34
Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) $ in Millions | 3 Months Ended | |
Jun. 30, 2015USD ($) | Dec. 31, 2014USD ($) | |
Short-term Debt, Fair Value | $ 20 | |
Repurchase Agreements 1 | $ 50,178 | $ 50,296 |
Weighted Average Days to Maturity | 160 | 138 |
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.29% | |
Short-term Debt, Terms | 1 | |
30 Days or Less [Member] | ||
Repurchase Agreements 1 | $ 22,061 | $ 14,157 |
Weighted Average Interest Rate | 0.40% | 0.37% |
Weighted Average Days to Maturity | 15 | 15 |
1 to 3 Months | ||
Repurchase Agreements 1 | $ 11,879 | $ 20,223 |
Weighted Average Interest Rate | 0.40% | 0.38% |
Weighted Average Days to Maturity | 55 | 61 |
3 to 6 Months | ||
Repurchase Agreements 1 | $ 3,084 | $ 6,654 |
Weighted Average Interest Rate | 0.53% | 0.42% |
Weighted Average Days to Maturity | 132 | 120 |
6 to 9 Months | ||
Repurchase Agreements 1 | $ 1,829 | $ 1,575 |
Weighted Average Interest Rate | 0.49% | 0.50% |
Weighted Average Days to Maturity | 239 | 225 |
9 to 12 Months | ||
Repurchase Agreements 1 | $ 1,763 | $ 2,678 |
Weighted Average Interest Rate | 0.57% | 0.54% |
Weighted Average Days to Maturity | 300 | 313 |
12 to 24 Months | ||
Repurchase Agreements 1 | $ 803 | $ 600 |
Weighted Average Interest Rate | 0.63% | 0.57% |
Weighted Average Days to Maturity | 493 | 551 |
24 to 36 Months | ||
Repurchase Agreements 1 | $ 717 | $ 952 |
Weighted Average Interest Rate | 0.64% | 0.60% |
Weighted Average Days to Maturity | 894 | 999 |
36 to 48 months | ||
Repurchase Agreements 1 | $ 750 | $ 650 |
Weighted Average Interest Rate | 0.70% | 0.64% |
Weighted Average Days to Maturity | 1,257 | 1,266 |
48 to 60 Months | ||
Repurchase Agreements 1 | $ 2,300 | $ 900 |
Weighted Average Interest Rate | 0.72% | 0.68% |
Weighted Average Days to Maturity | 1,601 | 1,542 |
Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 0.42% | 0.40% |
Agency Securities [Member] | ||
Repurchase Agreements 1 | $ 45,186 | $ 48,389 |
Weighted Average Days to Maturity | 177 | 143 |
Agency Securities [Member] | Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 0.45% | 0.41% |
US Treasury Securities [Member] | ||
Repurchase Agreements 1 | $ 4,992 | $ 1,907 |
Weighted Average Interest Rate | 0.17% | 0.09% |
Weighted Average Days to Maturity | 2 | 1 |
Derivative and Other Hedging 35
Derivative and Other Hedging Instruments (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2013 | |
Unrealized gain on derivative instruments, net | $ 26 | $ 40 | $ 55 | $ 83 | ||||
Net periodic interest costs on swaps | 125 | 127 | 238 | 253 | ||||
Derivative Instruments, Gain Reclassified from Accumulated OCI into Income, Effective Portion | 99 | 87 | 183 | 170 | ||||
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net, De-Designated Interest Rate Swaps | (55) | (83) | ||||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | ||||||||
Net Unrealized Gain (Loss) on Swaps | 85 | (213) | 85 | (213) | $ 140 | $ 111 | $ 253 | $ 296 |
Deferred loss expected to be reclassified from OCI into interest expense over the next twelve months | $ 77 | |||||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | Interest Rate Swaps [Member] | ||||||||
Average Maturity (Years) | 11 months 26 days | |||||||
Interest Only And Principal Only Strip [Member] | ||||||||
Unrealized Gain (Loss) on Securities | $ (7) | $ 15 | $ 4 | $ 27 | ||||
Forward Contracts [Member] | Interest Rate Swap [Member] | ||||||||
Average Maturity (Years) | 6 years 7 months 23 days | 7 years 11 months 3 days |
Derivative and Other Hedging 36
Derivative and Other Hedging Instruments (Fair Value Information) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2013 | |
Derivative [Line Items] | ||||||||
Derivative asset, fair value | $ 164 | $ 164 | $ 408 | |||||
Derivative liability, fair value | (844) | (844) | (890) | |||||
Derivative assets, at fair value | 164 | 164 | 408 | |||||
U.S. Treasury securities | 5,124 | 5,124 | 2,427 | |||||
U.S. Treasury Securities - short | (2,230) | (2,230) | (5,363) | |||||
Total - (short)/long, net | 2,894 | 2,894 | (2,936) | |||||
Proceeds from Securities Purchased under Agreements to Resell | 2,200 | 5,400 | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 241 | $ (269) | (321) | $ (702) | ||||
Put Option [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | (100) | (100) | ||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (100) | (150) | ||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 50 | |||||||
Other Assets [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative liability, fair value | (3) | (3) | ||||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 6,941 | 17,811 | 6,941 | 17,811 | 14,412 | $ 4,873 | $ 13,909 | $ 2,119 |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 18,367 | 65,946 | 63,867 | 90,322 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (74,630) | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (110) | 543 | 124 | 604 | ||||
Interest Rate Swap [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 44,925 | 44,925 | 43,700 | |||||
Derivative liability, fair value | (784) | (784) | (880) | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | (2,800) | (3,500) | (8,700) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 0 | 1,300 | 2,275 | 4,050 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 434 | (587) | (312) | (967) | ||||
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative asset, fair value | 104 | 104 | 136 | |||||
Interest Rate Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 5,450 | 5,450 | 6,800 | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (500) | (1,250) | (500) | (2,250) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 250 | 1,600 | 1,850 | 8,850 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 13 | (41) | (4) | (146) | ||||
Interest Rate Swaption [Member] | Receiver Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | 750 | 0 | 1,750 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (750) | 0 | (4,250) | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (13) | 0 | 4 | |||||
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative asset, fair value | 45 | 45 | 75 | |||||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative liability, fair value | (57) | (57) | (5) | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (16,299) | (62,044) | (71,338) | |||||
Future [Member] | Fair Value, Inputs, Level 1 [Member] | US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative liability, fair value | 0 | 0 | (5) | |||||
US Treasury Securities [Member] | Future [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | (730) | (730) | (730) | (730) | (730) | (730) | (730) | (1,730) |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (730) | (730) | (1,460) | (1,460) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 730 | 730 | 1,460 | 2,460 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 15 | (19) | (5) | (55) | ||||
US Treasury Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | Future [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative assets, at fair value | 4 | 4 | ||||||
TBA and Forward Settling Agency Securities [Member] | Fair Value, Measurements, Recurring [Member] | Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative assets, at fair value | 11 | 11 | 197 | |||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | (44,925) | (47,900) | (44,925) | (47,900) | (43,700) | (44,925) | (46,400) | (43,250) |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | (5,450) | (7,650) | (5,450) | (7,650) | (6,800) | (5,200) | (8,000) | (14,250) |
Not Designated as Hedging Instrument [Member] | Receiver Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 0 | 1,750 | 0 | 1,750 | 4,250 | 750 | 1,000 | |
Short [Member] | US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | (2,250) | (5,988) | (2,250) | (5,988) | (5,392) | (3,353) | (6,786) | (2,007) |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (2,224) | (8,615) | (6,397) | (15,856) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 3,327 | 9,413 | 9,539 | 11,875 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 18 | (173) | (64) | (218) | ||||
Long [Member] | ||||||||
Derivative [Line Items] | ||||||||
Trading Securities | 5,192 | 1,250 | 5,192 | 1,250 | ||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (116) | 8 | (64) | 80 | ||||
Trading Securities | 1,250 | 1,250 | $ 2,411 | $ 4,261 | $ 200 | $ 3,927 | ||
Trading Securities Added During the Period | 11,649 | 3,035 | 27,211 | 4,935 | ||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (10,718) | $ (1,985) | $ (24,430) | $ (7,612) |
Derivative and Other Hedging 37
Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Interest Rate Swap [Member] | ||
Notional Amount | $ 44,925 | $ 43,700 |
Average Fixed Pay Rate | 1.94% | 2.05% |
Average Receive Rate | 0.27% | 0.23% |
Net Estimated Fair Value | $ (680) | $ (744) |
Average Maturity (Years) | 4 years 10 months 29 days | 5 years 9 months 1 day |
Forward Contracts [Member] | Interest Rate Swap [Member] | ||
Average Maturity (Years) | 6 years 7 months 23 days | 7 years 11 months 3 days |
Derivative, Notional Amount | $ 8,800 | $ 12,400 |
Derivative, Higher Remaining Maturity Range | 9 months 19 days | 1 year 20 days |
Interest Rate Swaps Excluding Forward Starting [Member] | Interest Rate Swap [Member] | ||
Average Fixed Pay Rate | 1.69% | 1.68% |
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | ||
Notional Amount | $ 15,925 | $ 12,300 |
Average Fixed Pay Rate | 1.21% | 1.33% |
Average Receive Rate | 0.26% | 0.21% |
Net Estimated Fair Value | $ (91) | $ (87) |
Average Maturity (Years) | 1 year 9 months 9 days | 2 years 6 days |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member] | ||
Notional Amount | $ 10,200 | $ 8,975 |
Average Fixed Pay Rate | 1.84% | 1.63% |
Average Receive Rate | 0.28% | 0.24% |
Net Estimated Fair Value | $ (107) | $ (4) |
Average Maturity (Years) | 4 years 2 months 18 days | 4 years 2 months 7 days |
Greater Than Five Years and Less than or Equal to Seven Years [Member] | Interest Rate Swap [Member] | ||
Notional Amount | $ 7,725 | $ 7,250 |
Average Fixed Pay Rate | 2.51% | 2.47% |
Average Receive Rate | 0.28% | 0.23% |
Net Estimated Fair Value | $ (168) | $ (139) |
Average Maturity (Years) | 6 years 2 months 17 days | 6 years 24 days |
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member] | ||
Notional Amount | $ 9,050 | $ 10,775 |
Average Fixed Pay Rate | 2.60% | 2.48% |
Average Receive Rate | 0.28% | 0.24% |
Net Estimated Fair Value | $ (226) | $ (223) |
Average Maturity (Years) | 8 years 3 months 10 days | 8 years 3 months 19 days |
Greater Than Ten Years [Member] | Interest Rate Swap [Member] | ||
Notional Amount | $ 2,025 | $ 4,400 |
Average Fixed Pay Rate | 3.16% | 3.19% |
Average Receive Rate | 0.28% | 0.23% |
Net Estimated Fair Value | $ (88) | $ (291) |
Average Maturity (Years) | 13 years 1 month 17 days | 12 years 7 months 14 days |
Derivative and Other Hedging 38
Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015USD ($)month | Dec. 31, 2014USD ($)month | |
Interest Rate Swaption [Member] | ||
Cost | $ 136 | $ 145 |
Fair Value | $ 45 | $ 46 |
Average Months to Expiration | month | 6 | 8 |
Derivative Liability, Notional Amount | $ 5,450 | $ 6,800 |
Average Fixed Pay Rate | 3.39% | 3.28% |
Average Maturity (Years) | 7 years 1 month 6 days | 6 years 1 month 29 days |
Payer Swaption [Member] | ||
Average Receive Rate (LIBOR) | 3M | 3M |
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | ||
Cost | $ 126 | $ 113 |
Fair Value | $ 44 | $ 36 |
Average Months to Expiration | month | 5 | 6 |
Derivative Liability, Notional Amount | $ 5,100 | $ 5,600 |
Average Fixed Pay Rate | 3.35% | 3.15% |
Average Maturity (Years) | 7 years 2 months 29 days | 6 years 4 months 22 days |
Less Than or Equal to One Year [Member] | Receiver Swaption [Member] | ||
Cost | $ 18 | |
Fair Value | $ 29 | |
Average Months to Expiration | month | 5 | |
Derivative Liability, Notional Amount | $ 4,250 | |
Average Fixed Pay Rate | 1.78% | |
Average Receive Rate (LIBOR) | 3M | |
Average Maturity (Years) | 6 years 4 months 7 days | |
Less Than or Equal to One Year [Member] | Payer Swaption [Member] | ||
Average Receive Rate (LIBOR) | 3M | 3M |
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swaption [Member] | ||
Cost | $ 10 | $ 32 |
Fair Value | $ 1 | $ 10 |
Average Months to Expiration | month | 14 | 16 |
Derivative Liability, Notional Amount | $ 350 | $ 1,200 |
Average Fixed Pay Rate | 3.95% | 3.87% |
Average Maturity (Years) | 5 years | 5 years 30 days |
Greater Than One Year and Less Than or Equal to Three Years [Member] | Payer Swaption [Member] | ||
Average Receive Rate (LIBOR) | 3M | 3M |
Derivative and Other Hedging 39
Derivative and Other Hedging Instruments (US Treasury Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ 2,894 | $ (2,936) |
3 Year Maturity [Member] [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (900) | |
5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 808 | |
7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 2,109 | |
10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 925 | |
Fair Value Hedging [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 2,894 | (2,936) |
Fair Value Hedging [Member] | 3 Year Maturity [Member] [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (902) | |
Fair Value Hedging [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 804 | (4,645) |
Fair Value Hedging [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 2,085 | (718) |
Fair Value Hedging [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 907 | 2,427 |
At Par Value [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 2,942 | (2,981) |
At Par Value [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (4,674) | |
At Par Value [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (717) | |
At Par Value [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 2,410 | |
At Cost Basis [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 2,901 | (2,945) |
At Cost Basis [Member] | 3 Year Maturity [Member] [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (899) | |
At Cost Basis [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 803 | (4,650) |
At Cost Basis [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 2,084 | (717) |
At Cost Basis [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ 913 | $ 2,422 |
Derivative and Other Hedging 40
Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - TBA and Forward Settling Agency Securities [Member] - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 6,941 | $ 14,412 |
Cost Basis | 7,104 | 14,576 |
Net long TBA position, at fair value | 7,058 | 14,768 |
TBA, net carrying value | (46) | 192 |
15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 100 | 3,260 |
Cost Basis | 137 | 3,348 |
Net long TBA position, at fair value | 135 | 3,360 |
TBA, net carrying value | (2) | 12 |
30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 6,841 | 11,152 |
Cost Basis | 6,967 | 11,228 |
Net long TBA position, at fair value | 6,923 | 11,408 |
TBA, net carrying value | (44) | 180 |
Fannie Mae [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 4,379 | 15,127 |
Cost Basis | 4,473 | 15,316 |
Net long TBA position, at fair value | 4,444 | 15,509 |
TBA, net carrying value | (29) | 193 |
Freddie Mac [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 437 | (715) |
Cost Basis | 426 | (740) |
Net long TBA position, at fair value | 423 | (741) |
TBA, net carrying value | (3) | (1) |
Ginnie Mae [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 2,125 | |
Cost Basis | 2,205 | |
Net long TBA position, at fair value | 2,191 | |
TBA, net carrying value | (14) | |
2.5% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (644) | 962 |
Cost Basis | (649) | 968 |
Net long TBA position, at fair value | (651) | 980 |
TBA, net carrying value | (2) | 12 |
3.0% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (82) | 2,779 |
Cost Basis | (84) | 2,889 |
Net long TBA position, at fair value | (85) | 2,888 |
TBA, net carrying value | (1) | (1) |
3.0% Coupon [Member] | 30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 3,794 | 5,254 |
Cost Basis | 3,820 | 5,259 |
Net long TBA position, at fair value | 3,781 | 5,313 |
TBA, net carrying value | (39) | 54 |
3.5% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 826 | (468) |
Cost Basis | 870 | (495) |
Net long TBA position, at fair value | 871 | (494) |
TBA, net carrying value | 1 | 1 |
3.5% Coupon [Member] | 30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 3,206 | 7,902 |
Cost Basis | 3,309 | 8,151 |
Net long TBA position, at fair value | 3,308 | 8,232 |
TBA, net carrying value | (1) | 81 |
4.0% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (13) | |
Cost Basis | (14) | |
Net long TBA position, at fair value | (14) | |
TBA, net carrying value | 0 | |
4.0% Coupon [Member] | 30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (159) | (1,853) |
Cost Basis | (162) | (2,019) |
Net long TBA position, at fair value | (166) | (1,974) |
TBA, net carrying value | $ (4) | 45 |
4.5% Coupon [Member] | 30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (151) | |
Cost Basis | (163) | |
Net long TBA position, at fair value | (163) | |
TBA, net carrying value | $ 0 |
Derivative and Other Hedging 41
Derivative and Other Hedging Instruments (Effect Of Derivative Instruments Not Designated As Hedges On Comprehensive Income Statement) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | |
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | $ 241 | $ (269) | $ (321) | $ (702) | ||||
Gain (loss) on REIT Equity Securities | (6) | 24 | (4) | 73 | ||||
Gain Loss on Other Debt | 9 | (9) | 9 | (12) | ||||
Interest Only And Principal Only Strip [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Unrealized Gain (Loss) on Securities | (7) | 15 | 4 | 27 | ||||
Put Option [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Additions | (100) | (150) | ||||||
Settlement, Expirations or Exercise | 50 | |||||||
Notional Amount | (100) | (100) | ||||||
Interest Rate Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | 6,800 | |||||||
Additions | (500) | (1,250) | (500) | (2,250) | ||||
Settlement, Expirations or Exercise | 250 | 1,600 | 1,850 | 8,850 | ||||
Notional Amount | 5,450 | 5,450 | ||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 13 | (41) | (4) | (146) | ||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | 4,873 | 13,909 | 14,412 | 2,119 | ||||
Additions | 18,367 | 65,946 | 63,867 | 90,322 | ||||
Settlement, Expirations or Exercise | (74,630) | |||||||
Notional Amount | 6,941 | 17,811 | 6,941 | 17,811 | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (110) | 543 | 124 | 604 | ||||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Settlement, Expirations or Exercise | (16,299) | (62,044) | (71,338) | |||||
Interest Rate Swap [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | 43,700 | |||||||
Additions | 0 | (2,800) | (3,500) | (8,700) | ||||
Settlement, Expirations or Exercise | 0 | 1,300 | 2,275 | 4,050 | ||||
Notional Amount | 44,925 | 44,925 | ||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 434 | (587) | (312) | (967) | ||||
Receiver Swaption [Member] | Interest Rate Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Additions | 0 | 750 | 0 | 1,750 | ||||
Settlement, Expirations or Exercise | (750) | 0 | (4,250) | |||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (13) | 0 | 4 | |||||
Future [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (730) | (730) | (730) | (1,730) | ||||
Additions | (730) | (730) | (1,460) | (1,460) | ||||
Settlement, Expirations or Exercise | 730 | 730 | 1,460 | 2,460 | ||||
Notional Amount | (730) | (730) | (730) | (730) | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 15 | (19) | (5) | (55) | ||||
Put Option [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (100) | (100) | ||||||
Other derivative instruments [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 5 | 7 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (5,200) | (8,000) | (6,800) | (14,250) | ||||
Notional Amount | (5,450) | (7,650) | (5,450) | (7,650) | ||||
Not Designated as Hedging Instrument [Member] | Receiver Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | 750 | 1,000 | 4,250 | |||||
Notional Amount | 0 | 1,750 | 0 | 1,750 | ||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (44,925) | (46,400) | (43,700) | (43,250) | ||||
Notional Amount | (44,925) | (47,900) | (44,925) | (47,900) | ||||
Short [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (3,353) | (6,786) | (5,392) | (2,007) | ||||
Additions | (2,224) | (8,615) | (6,397) | (15,856) | ||||
Settlement, Expirations or Exercise | 3,327 | 9,413 | 9,539 | 11,875 | ||||
Notional Amount | (2,250) | (5,988) | (2,250) | (5,988) | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 18 | (173) | (64) | (218) | ||||
Long [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Trading Securities | 5,192 | 1,250 | 5,192 | 1,250 | ||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (116) | 8 | (64) | 80 | ||||
Trading Securities | 1,250 | 1,250 | $ 4,261 | $ 2,411 | $ 200 | $ 3,927 | ||
Trading Securities Added During the Period | 11,649 | 3,035 | 27,211 | 4,935 | ||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (10,718) | $ (1,985) | $ (24,430) | $ (7,612) |
Pledged Assets (Narrative) (Det
Pledged Assets (Narrative) (Details) - Jun. 30, 2015 - USD ($) | Total |
Pledged Assets [Abstract] | |
Risk of repurchase agreement to stockholders' equity | 5.00% |
Risk of interest swap and swaption agreements to stockholders' equity | $ 0.01 |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged as Collateral) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | $ 48,128 | $ 51,629 |
Accrued interest on pledged securities | 148 | 153 |
Restricted cash | 778 | 713 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 55,668 | 56,215 |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 47,594 | 50,858 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 57 | 69 |
Accrued interest on pledged securities | 2 | |
Restricted cash | 768 | 698 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 1,275 | 1,319 |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 144 | 147 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 52,766 | 52,915 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 1,142 | 1,266 |
Accrued interest on pledged securities | 3 | 4 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 1,145 | 1,270 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 477 | 702 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 482 | 711 |
Includes Sold But Not Yet Settled Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 49,270 | 52,895 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 5,472 | 2,454 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 5,023 | 1,904 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 449 | 550 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 1 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash | 5 | 6 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash | 5 | 9 |
Excluding Cash Received [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash | $ 778 | $ 713 |
Pledged Assets (Securities Pled
Pledged Assets (Securities Pledged as Collateral) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 53,759 | $ 54,028 |
Agency Securities Pledged As Collateral Amortized Cost | 53,704 | 53,477 |
Agency Securities Pledged As Collateral Accrued Interest | 148 | 151 |
Maturity up to 30 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 22,449 | 14,605 |
Agency Securities Pledged As Collateral Amortized Cost | 22,423 | 14,453 |
Agency Securities Pledged As Collateral Accrued Interest | 63 | 41 |
Maturity 31 To 59 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 9,436 | 10,912 |
Agency Securities Pledged As Collateral Amortized Cost | 9,417 | 10,789 |
Agency Securities Pledged As Collateral Accrued Interest | 27 | 30 |
Maturity 60 To 90 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 3,420 | 10,205 |
Agency Securities Pledged As Collateral Amortized Cost | 3,387 | 10,109 |
Agency Securities Pledged As Collateral Accrued Interest | 9 | 28 |
Maturity over 90 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 13,431 | 16,402 |
Agency Securities Pledged As Collateral Amortized Cost | 13,442 | 16,227 |
Agency Securities Pledged As Collateral Accrued Interest | 38 | 47 |
Maturity Overnight [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 5,023 | 1,904 |
Agency Securities Pledged As Collateral Amortized Cost | 5,035 | 1,899 |
Agency Securities Pledged As Collateral Accrued Interest | 11 | 5 |
Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 48,736 | 52,124 |
Agency Securities Pledged As Collateral Amortized Cost | 48,669 | 51,578 |
Agency Securities Pledged As Collateral Accrued Interest | $ 137 | $ 146 |
Pledged Assets (Assets Pledge45
Pledged Assets (Assets Pledged from Counterparties) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | $ 48,128 | $ 51,629 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | 2,230 | 5,363 |
Restricted Cash and Cash Equivalents | 778 | 713 |
Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | 2,725 | |
Restricted Cash and Securities Pledged | 2,761 | 5,481 |
Restricted Cash and Cash Equivalents | 15 | 28 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 11 | 43 |
Restricted Cash and Securities Pledged | 36 | 118 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 5,472 | 2,454 |
US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 2,735 | 5,410 |
Reverse Repurchase Agreements [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 2,725 | 5,363 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 57 | 69 |
Restricted Cash and Cash Equivalents | 768 | 698 |
Derivative [Member] | US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 449 | 550 |
Derivative [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 10 | 47 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | $ 15 | $ 28 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Offsetting Assets and Liabilities [Line Items] | ||
Collateral Received | $ (36) | |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 2,890 | $ 5,429 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 2,890 | 5,429 |
Financial Instruments | (2,811) | (4,784) |
Collateral Received | (611) | |
Net Amount | 43 | 34 |
Assets [Member] | Interest Rate Swap [Member] | Swaption [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 149 | 211 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 149 | 211 |
Financial Instruments | (70) | (94) |
Collateral Received | (36) | (83) |
Net Amount | 43 | 34 |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 50,962 | 51,176 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 50,962 | 51,176 |
Financial Instruments | (2,811) | (4,784) |
Collateral Received | (48,058) | (46,388) |
Net Amount | 93 | |
Liability [Member] | Interest Rate Swap [Member] | Swaption [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 784 | 880 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 784 | 880 |
Financial Instruments | (70) | (94) |
Collateral Received | (714) | (782) |
Net Amount | 4 | |
Liability [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Net Amount | 93 | |
Reverse Repurchase Agreements [Member] | Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 2,741 | 5,218 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 2,741 | 5,218 |
Financial Instruments | (2,741) | (4,690) |
Collateral Received | (528) | |
Repurchase Agreements [Member] | Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 50,178 | 50,296 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 50,178 | 50,296 |
Financial Instruments | (2,741) | (4,690) |
Collateral Received | $ (47,344) | $ (45,606) |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Transfers between hierarchy levels | 0 | |
Agency securities | $ 50,976 | $ 55,482 |
Agency securities transferred to consolidated VIEs | 1,142 | 1,266 |
U.S. Treasury securities | 5,124 | 2,427 |
TBA securities | 164 | 408 |
Derivative Liability | 844 | 890 |
Debt of consolidated variable interest entities, at fair value | 674 | 761 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 2,230 | 5,363 |
Interest rate swaps | 164 | 408 |
REIT equity securities, at fair value | 60 | 68 |
U.S. Treasury futures | 844 | 890 |
Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 5,363 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total assets | 5,188 | 2,495 |
Total liabilities | 2,230 | 5,368 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total assets | 52,278 | 57,156 |
Total liabilities | 1,518 | 1,646 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Other Derivatives [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
TBA securities | 3 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Sale Of TBA And Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
TBA securities | 57 | 5 |
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest rate swaps | 45 | 75 |
Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
U.S. Treasury futures | 784 | 880 |
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest rate swaps | 104 | 136 |
Interest Rate Swap [Member] | Derivative liabilities, at fair value [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest rate swaps | 784 | 880 |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
U.S. Treasury futures | 57 | 5 |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
TBA securities | 11 | 197 |
Future [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | US Treasury Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
TBA securities | $ 4 | |
Derivative Liability | $ 5 |
Stockholders' Equity (Preferred
Stockholders' Equity (Preferred Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | 1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
May. 31, 2014 | Jun. 30, 2012 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | May. 05, 2014 | Apr. 30, 2012 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Shares Authorized | 10,000,000 | 10,000,000 | |||||
Preferred Stock Authorized, but not Issued | 3,100,000 | ||||||
Issuance of preferred stock | $ 0 | $ 169 | |||||
Preferred Stock, Shares Issued | 6,900,000 | 6,900,000 | |||||
Preferred Stock, Value, Issued | $ 336 | $ 336 | |||||
Preferred Class A [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 6,900,000 | ||||||
Sale of Stock, Price Per Share | $ 24.2125 | ||||||
Series A Preferred Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Dividend Rate, Percentage | 8.00% | ||||||
Issuance of preferred stock | $ 167 | ||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||
Preferred Class B [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 8,050 | ||||||
Preferred Stock, Dividend Rate, Percentage | 7.75% | ||||||
Preferred Stock, Shares Issued | 7,000,000 | ||||||
Share Price | $ 24.2125 | ||||||
Preferred Stock, Value, Issued | $ 169 | ||||||
Series B Preferred Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||
Preferred stock, percent interest per share | 0.10% |
Stockholders' Equity (Common St
Stockholders' Equity (Common Stock Repurchase Program) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Average repurchase price (in dollars per share) | $ 19.86 | $ 22.10 |
Repurchase of common stock, value | $ 79 | $ 74 |
Remaining amount authorized for repurchase | $ 913 | |
Common Stock [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Repurchase of common stock shares | 4 | 3.4 |
Stockholders' Equity (Accumulat
Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Total Accumulated OCI Balance | $ 4 | $ 12 | $ 4 | $ 12 | $ 850 | $ 430 | $ (818) | $ (1,383) |
OCI before reclassifications | (872) | 790 | (481) | 1,312 | ||||
Amounts reclassified from accumulated OCI | 26 | 40 | 55 | 83 | ||||
Total Accumulated OCI Balance | 48 | 18 | 41 | 80 | ||||
Agency Securities [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Beginning OCI Balance | 961 | (565) | 570 | (1,087) | ||||
OCI before reclassifications | (894) | 812 | (467) | 1,315 | ||||
Amounts reclassified from accumulated OCI | 22 | (22) | (14) | (3) | ||||
Ending OCI Balance | 89 | 225 | 89 | 225 | ||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Net Unrealized Gain (Loss) on Swaps | 85 | (213) | 85 | (213) | $ 111 | $ 140 | $ 253 | $ 296 |
Interest Rate Swap [Member] | Agency Securities [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
OCI before reclassifications | $ (894) | $ 812 | $ (467) | $ 1,315 |
Subsequent Event (Details)
Subsequent Event (Details) - $ / shares | Jul. 13, 2015 | Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 |
Subsequent Event [Line Items] | |||||
Dividends declared per common share | $ 0.62 | $ 0.65 | $ 1.28 | $ 1.30 | |
Subsequent Event [Member] | |||||
Subsequent Event [Line Items] | |||||
Dividends declared per common share | $ 0.20 |