Document and Entity Information
Document and Entity Information - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2015 | Jan. 31, 2016 | Jun. 30, 2015 | |
Document and Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2015 | ||
Document Fiscal Year Focus | 2,015 | ||
Document Fiscal Period Focus | Q4 | ||
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 | 346,450,083 | ||
Trading Symbol | AGNC | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 5.9 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Assets: | ||
Agency securities, at fair value (including pledged securities of $48,380 and $51,629, respectively) | $ 51,331 | $ 55,482 |
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 1,029 | 1,266 |
Non-agency securities, at fair value (including pledged securities of $113 and $0, respectively) | 113 | 0 |
U.S. Treasury securities, at fair value (including pledged securities of $25 and $2,375, respectively) | 25 | 2,427 |
REIT equity securities, at fair value | 33 | 68 |
Cash and cash equivalents | 1,110 | 1,720 |
Restricted cash and cash equivalents | 1,281 | 713 |
Derivative assets, at fair value | 81 | 408 |
Receivable for securities sold (including pledged securities of $0 and $79, respectively) | 0 | 239 |
Receivable under reverse repurchase agreements | 1,713 | 5,218 |
Other assets | 305 | 225 |
Total assets | 57,021 | 67,766 |
Liabilities: | ||
Repurchase Agreements | 41,754 | 50,296 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Amount of Advances | 3,753 | 0 |
Debt of consolidated variable interest entities, at fair value | 595 | 761 |
Payable for agency securities purchased | 182 | 843 |
Derivative liabilities, at fair value | 935 | 890 |
Dividend payable | 74 | 85 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 1,696 | 5,363 |
Accounts payable and other accrued liabilities | 61 | 100 |
Total liabilities | 49,050 | 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) | 336 | 336 |
Common stock - $0.01 par value; 600.0 shares authorized; 337.5 and 352.8 shares issued and outstanding, respectively | 3 | 4 |
Additional paid-in capital | 10,048 | 10,332 |
Retained deficit | (2,350) | (1,674) |
Accumulated other comprehensive income | (66) | 430 |
Total stockholders' equity | 7,971 | 9,428 |
Total liabilities and stockholders' equity | $ 57,021 | $ 67,766 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parentheticals) - USD ($) shares in Millions, $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Statement of Financial Position [Abstract] | ||
Available-for-sale Securities Pledged as Collateral | $ 48,380 | $ 51,629 |
Non-Agency Securities Pledged as Collateral | 113 | 0 |
Trading Securities Pledged as Collateral | 25 | 2,375 |
Assets Pledged included in Receivable for Securities Sold | $ 0 | $ 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, Value | $ 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 | 337.5 | 352.8 |
Common Stock, Shares, Outstanding | 337.5 | 352.8 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) shares in Millions, $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Interest income: | |||||||||||
Interest income | $ 374 | $ 295 | $ 414 | $ 383 | $ 331 | $ 357 | $ 385 | $ 399 | $ 1,466 | $ 1,472 | $ 2,193 |
Interest expense | 86 | 77 | 81 | 86 | 81 | 88 | 95 | 108 | 330 | 372 | 536 |
Net interest income | 288 | 218 | 333 | 297 | 250 | 269 | 290 | 291 | 1,136 | 1,100 | 1,657 |
Other income, net: | |||||||||||
Gain (loss) on sale of agency securities, net | 2 | (39) | (22) | 36 | 34 | 14 | 22 | (19) | (23) | 51 | (1,408) |
Gain (loss) on derivative instruments and other securities, net | 331 | (778) | 237 | (549) | (572) | (51) | (244) | (378) | (759) | (1,243) | 1,191 |
Total other income, net | 333 | (817) | 215 | (513) | (538) | (37) | (222) | (397) | (782) | (1,192) | (217) |
Expenses: | |||||||||||
Management fees | 28 | 29 | 29 | 30 | 30 | 30 | 30 | 29 | 116 | 119 | 136 |
General and administrative expenses | 5 | 5 | 7 | 6 | 5 | 5 | 6 | 6 | 23 | 22 | 32 |
Total expenses | 33 | 34 | 36 | 36 | 35 | 35 | 36 | 35 | 139 | 141 | 168 |
Net income (loss) | 588 | (633) | 512 | (252) | (323) | 197 | 32 | (141) | 215 | (233) | 1,259 |
Income (Loss) from Continuing Operations before Income Taxes, Extraordinary Items, Noncontrolling Interest | 215 | (233) | 1,272 | ||||||||
Excise and REIT Income tax | 0 | 0 | 13 | ||||||||
Dividend on preferred stock | 7 | 7 | 7 | 7 | 7 | 7 | 5 | 3 | 28 | 23 | 14 |
Net income (loss) available (attributable) to common stockholders | 581 | (640) | 505 | (259) | (330) | 190 | 27 | (144) | 187 | (256) | 1,245 |
Other comprehensive income (loss): | |||||||||||
Unrealized Gains and (Losses), Net | 583 | (467) | 872 | (391) | (599) | 253 | (790) | (521) | 597 | (1,657) | 3,127 |
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net, De-Designated Interest Rate Swaps | (101) | (156) | (189) | ||||||||
Unrealized gain on derivative instruments, net | 22 | 24 | 26 | 29 | 35 | 38 | 40 | 43 | 101 | 156 | 189 |
Other comprehensive income (loss) | (561) | 491 | (846) | 420 | 634 | (215) | 830 | 564 | (496) | 1,813 | (2,938) |
Comprehensive income (loss) | 27 | (142) | (334) | 168 | 311 | (18) | 862 | 423 | (281) | 1,580 | (1,679) |
Comprehensive income (loss) available (attributable) to common stockholders | $ 20 | $ (149) | $ (341) | $ 161 | $ 304 | $ (25) | $ 857 | $ 420 | $ (309) | $ 1,557 | $ (1,693) |
Weighted average number of common shares outstanding-basic and diluted (shares) | 341.6 | 347.8 | 352.1 | 352.8 | 352.8 | 352.8 | 352.8 | 354.8 | 348.6 | 353.3 | 379.1 |
Net loss per common share - basic and diluted (dollars per share) | $ 1.70 | $ (1.84) | $ 1.43 | $ (0.73) | $ (0.94) | $ 0.54 | $ 0.08 | $ (0.41) | $ 0.54 | $ (0.72) | $ 3.28 |
Dividends declared per common share | $ 0.60 | $ 0.60 | $ 0.62 | $ 0.66 | $ 0.66 | $ 0.65 | $ 0.65 | $ 0.65 |
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, 2012 | $ 10,896 | $ 167 | $ 3 | $ 9,460 | $ (289) | $ 1,555 |
Balance, Preferred Stock, shares at Dec. 31, 2012 | 6.9 | |||||
Balance, Common Stock, shares at Dec. 31, 2012 | 338.9 | |||||
Net income (loss) | 1,259 | 1,259 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | (3,127) | (3,127) | ||||
Amounts reclassified from accumulated OCI | 189 | 189 | ||||
Stock Issued During Period, Shares, New Issues | 57.5 | |||||
Stock Issued During Period, Value, New Issues | 1,803 | $ 1 | 1,802 | |||
Issuance of preferred stock | 0 | |||||
Repurchase of common stock | (856) | 856 | ||||
Payments for Repurchase of Common Stock | 856 | |||||
Repurchase of common stock shares | 40.2 | |||||
Preferred dividends declared | (14) | 14 | ||||
Common dividends declared | (1,453) | 1,453 | ||||
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) | (233) | (233) | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | 1,657 | 1,657 | ||||
Amounts reclassified from accumulated OCI | 156 | 156 | ||||
Issuance of preferred stock | 169 | $ 169 | ||||
Repurchase of common stock | (74) | 74 | ||||
Payments for Repurchase of Common Stock | 74 | |||||
Repurchase of common stock shares | 3.4 | |||||
Preferred dividends declared | (23) | 23 | ||||
Common dividends declared | (921) | 921 | ||||
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) | $ 215 | 215 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | (597) | (597) | ||||
Amounts reclassified from accumulated OCI | 101 | 101 | ||||
Issuance of preferred stock | 0 | |||||
Repurchase of common stock | (285) | $ (1) | (284) | |||
Payments for Repurchase of Common Stock | 285 | |||||
Repurchase of common stock shares | (15.3) | |||||
Preferred dividends declared | (28) | (28) | ||||
Common dividends declared | (863) | (863) | ||||
Balance, value at Dec. 31, 2015 | $ 7,971 | $ 336 | $ 3 | $ 10,048 | $ (2,350) | $ (66) |
Balance, Preferred Stock, shares at Dec. 31, 2015 | 6.9 | 6.9 | ||||
Balance, Common Stock, shares at Dec. 31, 2015 | 337.5 | 337.5 |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Statement of Cash Flows [Abstract] | |||
Interest paid | $ 215 | $ 217 | $ 347 |
Taxes paid | 1 | 3 | 25 |
Operating activities: | |||
Net income (loss) | 215 | (233) | 1,259 |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Amortization of agency securities premiums and discounts, net | 408 | 472 | 517 |
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net, De-Designated Interest Rate Swaps | 101 | 156 | 189 |
(Gain) loss on sale of agency securities, net | 23 | (51) | 1,408 |
Loss on derivative instruments and other securities, net | 759 | 1,243 | (1,191) |
(Increase) decrease in other assets | (83) | 55 | (24) |
Increase (decrease) in accounts payable and other accrued liabilities | 1 | (18) | 325 |
Accretion of discounts on debt of consolidated variable interest entities | 4 | (2) | 18 |
Net cash provided by operating activities | 1,428 | 1,622 | 2,501 |
Investing activities: | |||
Purchases of agency securities | (32,770) | (26,349) | (76,892) |
Payments To Acquire Non- Agency Mortgage Backed Securities | (116) | 0 | 0 |
Proceeds from sale of agency securities | 27,794 | 30,587 | 79,456 |
Principal collections on agency securities | 7,922 | 7,358 | 10,589 |
Purchases of U.S. Treasury securities | (49,724) | (51,511) | (68,261) |
Proceeds from sale of U.S. Treasury securities | 48,354 | 56,068 | 54,952 |
Net proceeds from (payments on) reverse repurchase agreements | 3,505 | (3,337) | 9,937 |
Net proceeds from (payments on) other derivative instruments | (300) | 313 | (1,007) |
Purchases of REIT equity securities | (11) | (234) | (197) |
Proceeds from sale of REIT equity securities | 35 | 416 | 0 |
(Increase) decrease in restricted cash and cash equivalents | (568) | (612) | 298 |
Other investing cash flows, net | (28) | (350) | 0 |
Net cash provided by investing activities | 4,093 | 12,349 | 8,875 |
Financing activities: | |||
Proceeds from repurchase arrangements, net | 380,580 | 291,736 | 564,971 |
Repayments on repurchase agreements | (389,122) | (304,973) | (575,916) |
Proceeds from Federal Home Loan Bank Advances | 12,957 | 0 | 0 |
Repayments of Federal Home Loan Bank Borrowings | (9,204) | 0 | 0 |
Proceeds from debt of consolidated variable interest entities | 0 | 0 | 203 |
Repayments on debt of consolidated variable interest entities | (155) | (158) | (209) |
Net proceeds from preferred stock issuance | 0 | 169 | 0 |
Net proceeds from common stock issuance | 0 | 0 | 1,803 |
Payments for common stock repurchases | (285) | (74) | (856) |
Cash dividends paid | (902) | (1,094) | (1,659) |
Net cash used in financing activities | (6,131) | (14,394) | (11,663) |
Net change in cash and cash equivalents | (610) | (423) | (287) |
Cash and cash equivalents at beginning of period | 1,720 | 2,143 | 2,430 |
Cash and cash equivalents at end of period | $ 1,110 | $ 1,720 | $ 2,143 |
Unaudited Interim Consolidated
Unaudited Interim Consolidated Financial Statements | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Unaudited Interim Consolidated Financial Statements | Quarterly Results (Unaudited) The following is a presentation of the quarterly results of operations and comprehensive income for fiscal years 2015 and 2014 (in millions, except per share data). Quarter Ended March 31, 2015 June 30, 2015 September 30, 2015 December 31, 2015 Interest income: Interest income $ 383 $ 414 $ 295 $ 374 Interest expense 86 81 77 86 Net interest income 297 333 218 288 Other gain (loss): Gain (loss) on sale of agency securities, net 36 (22 ) (39 ) 2 Gain (loss) on derivative instruments and other securities, net (549 ) 237 (778 ) 331 Total other gain (loss), net (513 ) 215 (817 ) 333 Expenses: Management fees 30 29 29 28 General and administrative expenses 6 7 5 5 Total expenses 36 36 34 33 Net income (loss) (252 ) 512 (633 ) 588 Dividend on preferred stock 7 7 7 7 Net income (loss) available (attributable) to common shareholders $ (259 ) $ 505 $ (640 ) $ 581 Net income (loss) $ (252 ) $ 512 $ (633 ) $ 588 Other comprehensive income (loss): Unrealized gain (loss) on available-for-sale securities, net 391 (872 ) 467 (583 ) Unrealized gain on derivative instruments, net 29 26 24 22 Other comprehensive income (loss) 420 (846 ) 491 (561 ) Comprehensive income (loss) 168 (334 ) (142 ) 27 Dividend on preferred stock 7 7 7 7 Comprehensive income (loss) available (attributable) to common shareholders $ 161 $ (341 ) $ (149 ) $ 20 Weighted average number of common shares outstanding-basic and diluted 352.8 352.1 347.8 341.6 Net income (loss) per common share - basic and diluted $ (0.73 ) $ 1.43 $ (1.84 ) $ 1.70 Comprehensive income (loss) per common share - basic and diluted $ 0.46 $ (0.97 ) $ (0.43 ) $ 0.06 Dividends declared per common share $ 0.66 $ 0.62 $ 0.60 $ 0.60 Quarter Ended March 31, June 30, 2014 September 30, December 31, Interest income: Interest income $ 399 $ 385 $ 357 $ 331 Interest expense 108 95 88 81 Net interest income 291 290 269 250 Other loss: Gain (loss) on sale of agency securities, net (19 ) 22 14 34 Loss on derivative instruments and other securities, net (378 ) (244 ) (51 ) (572 ) Total other loss, net (397 ) (222 ) (37 ) (538 ) Expenses: Management fees 29 30 30 30 General and administrative expenses 6 6 5 5 Total expenses 35 36 35 35 Net income (loss) (141 ) 32 197 (323 ) Dividend on preferred stock 3 5 7 7 Net income (loss) available (attributable) to common shareholders $ (144 ) $ 27 $ 190 $ (330 ) Net income (loss) $ (141 ) $ 32 $ 197 $ (323 ) Other comprehensive income (loss): Unrealized gain (loss) on available-for-sale securities, net 521 790 (253 ) 599 Unrealized gain on derivative instruments, net 43 40 38 35 Other comprehensive income (loss) 564 830 (215 ) 634 Comprehensive income (loss) 423 862 (18 ) 311 Dividend on preferred stock 3 5 7 7 Comprehensive income (loss) available (attributable) to common shareholders $ 420 $ 857 $ (25 ) $ 304 Weighted average number of common shares outstanding-basic and diluted 354.8 352.8 352.8 352.8 Net income (loss) per common share - basic and diluted $ (0.41 ) $ 0.08 $ 0.54 $ (0.94 ) Comprehensive income (loss) per common share - basic and diluted $ 1.18 $ 2.43 $ (0.07 ) $ 0.86 Dividends declared per common share $ 0.65 $ 0.65 $ 0.65 $ 0.66 |
Organization
Organization | 12 Months Ended |
Dec. 31, 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 other assets reasonably related to agency securities and up to 10% of our assets in AAA non-agency and commercial mortgage-backed securities (collectively referred to as "AAA non-agency MBS"). 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 | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation Our consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). Our consolidated financial statements include the accounts of all subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. Use of Estimates 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, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the period reported. Actual results could differ from those estimates. Earnings per Share Basic earnings per share ("EPS") is computed by dividing net income (loss) available (attributable) to common stockholders by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise or issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per share. Accumulated Other Comprehensive Income (Loss) Accounting Standards Codification ("ASC") Topic 220, Comprehensive Income ("ASC 220"), divides comprehensive income into net income and other comprehensive income (loss) ("OCI"), which includes unrealized gains and losses on securities classified as available-for-sale and unrealized gains and losses on derivative financial instruments that are designated and qualify for cash flow hedge accounting under ASC Topic 815, Derivatives and Hedging ("ASC 815"). During fiscal year 2011, we discontinued designating our derivative financial instruments, principally interest rate swaps, as cash flow hedges. For further information regarding our discontinuation of cash flow hedge accounting, see Derivatives Instruments below and Note 5. Cash and Cash Equivalents Cash and cash equivalents consist of unrestricted demand deposits and highly liquid investments with original maturities of three months or less. Cash and cash equivalents are carried at cost, which approximates fair value. Restricted Cash and Cash Equivalents Restricted cash and cash equivalents includes cash and cash equivalents pledged as collateral for clearing and executing trades, repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. Restricted cash and cash equivalents are carried at cost, which approximates fair value. 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 mortgage investment securities as part of our overall management of our investment portfolio. Accordingly, we typically designate our agency and non-agency securities (collectively referred to as "mortgage securities" or "investment 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 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. Non-agency securities in which we may invest consist of investment grade, AAA rated MBS backed by residential or commercial mortgages, for which the payment of principal and interest is not guaranteed by a GSE or government agency. Instead, a private institution such as a commercial bank will package residential or commercial mortgage loans and securitize them through the issuance of MBS. Investment grade, AAA rated non-agency MBS benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than agency MBS. 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 mortgage securities based on a market approach using "Level 2" inputs from third-party pricing services and non-binding dealer quotes derived from common market pricing methods. 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 on a market approach using "Level 1" inputs based on quoted market prices. Refer to Note 7 for further discussion of fair value measurements. We evaluate our mortgage 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. If either of the first two conditions exists as of the financial reporting date, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. However, with respect to the first condition, since the liquidity of the agency and AAA non-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, we generally do not make decisions to sell specific mortgage securities until shortly prior to initiating a sell order. In some instances, we may sell specific agency securities by delivering the 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 before the 48-hour deadline. If the third condition exists, the OTTI is separated into (i) the amount relating to credit loss (the "credit component") and (ii) the amount relating to all other factors (the "non-credit components"). Only the credit component is recognized in earnings, with the non-credit components recognized in OCI. However, in evaluating if the third condition exists, our investments in agency securities typically would not have a credit component since the principal and interest are guaranteed by a GSE and, therefore, any unrealized loss is not the result of a credit loss. In addition, since we designate our mortgage securities as available-for-sale securities with unrealized gains and losses recognized in OCI, any impairment loss for non-credit components is already recognized in OCI. We did not recognize any OTTI charges on our investment securities for fiscal years 2015 , 2014 or 2013 . 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 mortgage 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, interest rate 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 and, based on our Manager's judgment, we may make adjustments to its estimates. 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. Repurchase Agreements We finance the acquisition of securities for our investment portfolio through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing ("ASC 860"), we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest, as specified in the respective transactions. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates under our repurchase agreements generally correspond to one, three or six month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market. Federal Home Loan Bank Advances Federal Home Loan Bank ("FHLB") advances are secured loans from the FHLB of Des Moines used to finance the acquisitions of investment securities. We account for FHLB advances as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest, as specified in the respective transactions. In April 2015, our wholly-owned captive insurance subsidiary, Old Georgetown Insurance Co., LLC ("OGI"), was approved as a member of the FHLB of Des Moines. The FHLBs provide a variety of products and services to their members, including short and long-term secured loans. In January 2016, the Federal Housing Finance Agency released its final rule on changes to regulations concerning FHLB membership criteria. The final rule terminates OGI's FHLB membership and requires repayment of all advances at the earlier of their contractual maturity dates or one year after the effective date of the final rule (February 2017). Interest rates under our FHLB advances generally correspond to the FHLB's Member Option Variable Rate or to one or three month LIBOR plus or minus a fixed spread. The fair value of our FHLB advances is assumed to equal cost as the interest rates are considered to be at market. Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We from time to time borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivatives Instruments below). 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. Our reverse repurchase agreements generally mature daily. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are generally reset daily. Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment and extension risks. 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 on a generic pool basis in the TBA market and we utilize 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 invest in mortgage and other types of derivatives, such as interest and principal-only securities. 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 fiscal year 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, during fiscal year 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" swaps using a combination of inputs from counterparty and third-party pricing models to estimate the net present value of the future cash flows using the forward interest rate yield curve in effect as of the end of the measurement period. We also incorporate both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps. In considering the effect of nonperformance risk, we consider the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements. 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 interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on 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 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. Variable Interest Entities ASC Topic 810, Consolidation ("ASC 810"), requires an enterprise to consolidate a variable interest entity ("VIE") if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE and ongoing assessments of whether an enterprise is the primary beneficiary of a VIE as well as additional disclosures for entities that have variable interests in VIEs. We have entered into transactions involving CMO trusts, which are VIEs. We will consolidate a CMO trust if we are the CMO trust's primary beneficiary; that is, if we have a variable interest that provides us with a controlling financial interest in the CMO trust. An entity is deemed to have a controlling financial interest if the entity has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses of or right to receive benefits from the VIE that could potentially be significant to the VIE. As part of the qualitative assessment in determining if we have a controlling financial interest, we evaluate whether we control the selection of financial assets transferred to the CMO trust. For each of our consolidated CMO trusts we controlled the selection of the agency MBS transferred from our investment portfolio to an investment bank in exchange for cash proceeds and at the same time entered into a commitment with the investment bank to purchase to-be-issued securities collateralized by the agency MBS transferred, which resulted in our consolidation of the CMO trusts. Agency MBS transferred to consolidated VIEs are reported on our consolidated balance sheets in agency securities transferred to consolidated VIEs, at fair value and can only be used to settle the obligations of each respective VIE. We elected the option to account for the consolidated debt 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 assets and consolidated debt are presented in a consistent manner 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 measured on a market approach using "Level 2" inputs from third-party pricing services and dealer quotes. The fair value of the agency MBS transferred to the consolidated VIEs and the fair value of our retained interests are based on more observable inputs than inputs used to independently determine the value of our consolidated debt. Manager Compensation Our management agreement provides for the payment to our Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 8 for the terms of our management agreement and the administrative services agreement between American Capital and our Manager. Income Taxes We elected to be taxed as a REIT under the provisions of the Internal Revenue Code and the corresponding provisions of state law, commencing with our initial tax year ended December 31, 2008. In order to continue to qualify as a REIT, we must annually distribute, in a timely manner to our stockholders, at least 90% of our taxable ordinary income, amongst other conditions. A REIT is not subject to tax on its earnings to the extent that it distributes its annual taxable income to its stockholders and as long as certain asset, income and stock ownership tests are met. We operate in a manner that will allow us to be taxed as a REIT. As permitted by the Internal Revenue Code, a REIT can designate dividends paid in the subsequent year as dividends of the current year if those dividends are both declared by the extended due date of the REIT's federal income tax return and paid to stockholders by the last day of the subsequent year. As a REIT, if we fail to distribute in any calendar year at least the sum of (i) 85% of our ordinary income for such year, (ii) 95% of our capital gain net income for such year and (iii) any undistributed taxable income from the prior year, we are subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (a) the amounts actually distributed and, if applicable, (b) the amounts of income we retained and on which we have paid corporate income tax. Dividends declared by December 31 and paid by January 31 are treated as having been a distribution of our taxable income for the prior tax year. We and our wholly-owned subsidiary, American Capital Agency TRS, LLC ("AGNC TRS"), have made a joint election to treat AGNC TRS as a taxable REIT subsidiary. As such, AGNC TRS is subject to federal and state income tax. All other subsidiaries are disregarded entities for federal income tax purposes. As such, their assets, liabilities and income would generally be treated as our assets, liabilities and income for purposes of federal and state income taxes. We evaluate uncertain income tax positions, if any, in accordance with ASC Topic 740, Income Taxes ("ASC 740"). To the extent we incur interest and/or penalties in connection with our tax obligations, such amounts shall be classified as income tax expense on our consolidated statements of operations. |
Investment Securities
Investment Securities | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | 3 years and ≤ 5 years 17,497 17,343 3.27% 2.40% 22,153 21,820 3.26% 2.40% > 5 years and ≤10 years 34,206 34,391 3.67% 2.93% 33,271 33,055 3.73% 2.92% > 10 years 250 250 3.56% 3.08% 633 621 3.28% 3.15% Total $ 52,120 $ 52,147 3.54% 2.75% $ 56,346 $ 55,776 3.54% 2.72% _______________________ 1. Excludes interest and principal-only strips. The weighted average life of our interest-only securities was 6.1 and 6.0 years as of December 31, 2015 and 2014 , respectively. The weighted average life of our principal-only securities was 8.0 and 8.1 years as of December 31, 2015 and 2014 , respectively. 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 10 for a summary of changes in accumulated OCI for our available-for-sale securities for fiscal years 2015 and 2014 . The following table presents the gross unrealized loss and fair values of our available-for-sale securities by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2015 and 2014 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss December 31, 2015 $ 24,035 $ (200 ) $ 6,793 $ (195 ) $ 30,828 $ (395 ) December 31, 2014 $ 778 $ (2 ) $ 11,679 $ (186 ) $ 12,457 $ (188 ) We did not recognize any OTTI charges on our investment securities for fiscal year s 2015 , 2014 and 2013 . As of the end of each respective reporting period, a decision had not been made to sell any of our securities in an unrealized loss position and we did not believe it was more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. The unrealized losses on our securities were not due to credit losses given the GSE guarantees and credit enhancements on our AAA non-agency securities, but rather were due to changes in interest rates and prepayment expectations. However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our investment 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 securities classified as available-for-sale for fiscal years 2015 , 2014 and 2013 (in millions): Fiscal Year Securities Classified as Available-for-Sale 2015 2014 2013 MBS sold, at cost $ (27,578 ) $ (30,123 ) $ (81,516 ) Proceeds from agency MBS sold 1 27,555 30,174 80,108 Net gain (loss) on sale of MBS $ (23 ) $ 51 $ (1,408 ) Gross gain on sale of MBS $ 98 $ 172 $ 217 Gross loss on sale of MBS (121 ) (121 ) (1,625 ) Net gain (loss) on sale of MBS $ (23 ) $ 51 $ (1,408 ) ________________________ 1. Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end. For fiscal years 2015 and 2014 , we recognized a net unrealized gain of $5 million and $32 million , respectively, for the change in value of investments in interest and principal-only securities in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For fiscal year 2013, we did not recognize a net unrealized gain or loss on our interest and principal-only securities. 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 December 31, 2015 and 2014 , we held investments in CMO trusts, which are 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 $1.0 billion and $1.3 billion as of December 31, 2015 and 2014 , respectively, and debt, at fair value, of $595 million and $761 million , respectively, in our accompanying consolidated balance sheets. As of December 31, 2015 and 2014 , the agency securities had an aggregate unpaid principal balance of $1.0 billion and $1.2 billion , respectively, and the debt had an aggregate unpaid principal balance of $587 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 fiscal years 2015 and 2014 , we recorded a gain of $16 million and a loss of $10 million , respectively, associated with our consolidated debt. 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 December 31, 2015 and 2014 , the fair value of our CMO securities and interest and principal-only securities was $1.3 billion and $1.6 billion , respectively, excluding the consolidated CMO trusts discussed above, or $1.8 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 $238 million and $274 million as of December 31, 2015 and 2014 , respectively." id="sjs-B4">Investment Securities As of December 31, 2015 and 2014 , our investment portfolio consisted of $52.5 billion and $56.7 billion of MBS, respectively, and a $7.4 billion and $14.8 billion net long TBA position, at fair value, respectively. Our TBA position is reported at its net carrying value of $14 million and $192 million as of December 31, 2015 and 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 5 for further details of our net TBA position as of December 31, 2015 and 2014 .) As of December 31, 2015 and 2014 , the net unamortized premium balance on our MBS was $2.3 billion and $2.5 billion , respectively, including interest and principal-only securities. The following tables summarize our investments in MBS as of December 31, 2015 and 2014 (dollars in millions): December 31, 2015 Investments in Mortgage-Backed Securities Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Agency MBS: Fixed rate $ 50,576 $ 339 $ (393 ) $ 50,522 Adjustable rate 484 11 — 495 CMO 973 18 (1 ) 990 Interest-only and principal-only strips 317 39 (3 ) 353 Total agency MBS 52,350 407 (397 ) 52,360 Non-agency MBS: AAA non-agency 114 — (1 ) 113 Total MBS $ 52,464 $ 407 $ (398 ) $ 52,473 December 31, 2014 Investments in Mortgage-Backed Securities Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Agency MBS: 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 MBS $ 56,148 $ 791 $ (191 ) $ 56,748 December 31, 2015 Investments in Mortgage-Backed Securities Fannie Mae Freddie Mac Ginnie Mae Non-Agency Total Available-for-sale MBS: MBS, par value $ 39,205 $ 10,575 $ 62 $ 113 $ 49,955 Unamortized discount (32 ) (4 ) — — (36 ) Unamortized premium 1,707 519 1 1 2,228 Amortized cost 40,880 11,090 63 114 52,147 Gross unrealized gains 286 80 2 — 368 Gross unrealized losses (283 ) (111 ) — (1 ) (395 ) Total available-for-sale MBS, at fair value 40,883 11,059 65 113 52,120 MBS remeasured at fair value through earnings: Interest-only and principal-only strips, amortized cost 1 298 19 — — 317 Gross unrealized gains 35 4 — — 39 Gross unrealized losses (2 ) (1 ) — — (3 ) Total MBS remeasured at fair value through earnings 331 22 — — 353 Total MBS, at fair value $ 41,214 $ 11,081 $ 65 $ 113 $ 52,473 Weighted average coupon as of December 31, 2015 2 3.62 % 3.69 % 3.18 % 3.50 % 3.63 % Weighted average yield as of December 31, 2015 3 2.79 % 2.77 % 1.97 % 3.33 % 2.78 % ________________________ 1. The underlying unamortized principal balance ("UPB" or "par value") of our interest-only securities was $1.0 billion and the weighted average contractual interest we are entitled to receive was 5.28% of this amount as of December 31, 2015 . The par value of our principal-only securities was $207 million as of December 31, 2015 . 2. The weighted average coupon includes the interest cash flows from our interest-only securities and is stated as a percentage of par value (excluding the UPB of our interest-only securities) as of December 31, 2015 . 3. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2015 . December 31, 2014 Investments in Mortgage-Backed Securities Fannie Mae Freddie Mac Ginnie Mae Total Available-for-sale MBS: MBS, par value $ 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 MBS, at fair value 45,075 11,159 112 56,346 MBS measured 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 MBS measured at fair value through earnings 376 26 — 402 Total 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 % ________________________ 1. The underlying UPB of our interest-only securities 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 securities was $242 million as of December 31, 2014 . 2. The weighted average coupon includes the interest cash flows from our interest-only securities and is stated as a percentage of par value (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 investment securities are generally shorter than their stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic contractual principal payments and principal prepayments. As of December 31, 2015 and 2014 , our weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate investment 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 investments classified as available-for-sale as of December 31, 2015 and 2014 according to their estimated weighted average life classification (dollars in millions): December 31, 2015 December 31, 2014 Estimated Weighted Average Life of Securities 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 $ 167 $ 163 4.02% 2.66% $ 289 $ 280 4.08% 2.62% > 3 years and ≤ 5 years 17,497 17,343 3.27% 2.40% 22,153 21,820 3.26% 2.40% > 5 years and ≤10 years 34,206 34,391 3.67% 2.93% 33,271 33,055 3.73% 2.92% > 10 years 250 250 3.56% 3.08% 633 621 3.28% 3.15% Total $ 52,120 $ 52,147 3.54% 2.75% $ 56,346 $ 55,776 3.54% 2.72% _______________________ 1. Excludes interest and principal-only strips. The weighted average life of our interest-only securities was 6.1 and 6.0 years as of December 31, 2015 and 2014 , respectively. The weighted average life of our principal-only securities was 8.0 and 8.1 years as of December 31, 2015 and 2014 , respectively. 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 10 for a summary of changes in accumulated OCI for our available-for-sale securities for fiscal years 2015 and 2014 . The following table presents the gross unrealized loss and fair values of our available-for-sale securities by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2015 and 2014 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss December 31, 2015 $ 24,035 $ (200 ) $ 6,793 $ (195 ) $ 30,828 $ (395 ) December 31, 2014 $ 778 $ (2 ) $ 11,679 $ (186 ) $ 12,457 $ (188 ) We did not recognize any OTTI charges on our investment securities for fiscal year s 2015 , 2014 and 2013 . As of the end of each respective reporting period, a decision had not been made to sell any of our securities in an unrealized loss position and we did not believe it was more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. The unrealized losses on our securities were not due to credit losses given the GSE guarantees and credit enhancements on our AAA non-agency securities, but rather were due to changes in interest rates and prepayment expectations. However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our investment 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 securities classified as available-for-sale for fiscal years 2015 , 2014 and 2013 (in millions): Fiscal Year Securities Classified as Available-for-Sale 2015 2014 2013 MBS sold, at cost $ (27,578 ) $ (30,123 ) $ (81,516 ) Proceeds from agency MBS sold 1 27,555 30,174 80,108 Net gain (loss) on sale of MBS $ (23 ) $ 51 $ (1,408 ) Gross gain on sale of MBS $ 98 $ 172 $ 217 Gross loss on sale of MBS (121 ) (121 ) (1,625 ) Net gain (loss) on sale of MBS $ (23 ) $ 51 $ (1,408 ) ________________________ 1. Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end. For fiscal years 2015 and 2014 , we recognized a net unrealized gain of $5 million and $32 million , respectively, for the change in value of investments in interest and principal-only securities in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For fiscal year 2013, we did not recognize a net unrealized gain or loss on our interest and principal-only securities. 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 December 31, 2015 and 2014 , we held investments in CMO trusts, which are 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 $1.0 billion and $1.3 billion as of December 31, 2015 and 2014 , respectively, and debt, at fair value, of $595 million and $761 million , respectively, in our accompanying consolidated balance sheets. As of December 31, 2015 and 2014 , the agency securities had an aggregate unpaid principal balance of $1.0 billion and $1.2 billion , respectively, and the debt had an aggregate unpaid principal balance of $587 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 fiscal years 2015 and 2014 , we recorded a gain of $16 million and a loss of $10 million , respectively, associated with our consolidated debt. 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 December 31, 2015 and 2014 , the fair value of our CMO securities and interest and principal-only securities was $1.3 billion and $1.6 billion , respectively, excluding the consolidated CMO trusts discussed above, or $1.8 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 $238 million and $274 million as of December 31, 2015 and 2014 , respectively. |
Repurchase Agreements And Other
Repurchase Agreements And Other Debt | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements And Other Debt | 90 days have floating interest rates based on an index plus or minus a fixed spread. As of December 31, 2015 and 2014 , $41.7 billion and $48.4 billion , respectively, of our repurchase agreements were used to fund purchases of agency securities ("agency repo"), with an average borrowing rate of 0.61% and 0.41% , respectively, and a weighted average remaining term to maturity of 173 and 143 days, respectively. The remainder, or $25 million and $1.9 billion , of our repurchase agreements as of December 31, 2015 and 2014 , respectively, were used to fund temporary holdings of U.S. Treasury securities ("U.S. Treasury repo"). The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by remaining maturities as of December 31, 2015 and 2014 (dollars in millions): December 31, 2015 December 31, 2014 Remaining Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Agency repo: ≤ 1 month $ 17,579 0.54 % 14 $ 14,157 0.37 % 15 > 1 to ≤ 3 months 14,283 0.64 % 58 20,223 0.38 % 61 > 3 to ≤ 6 months 3,154 0.61 % 121 6,654 0.42 % 120 > 6 to ≤ 9 months 589 0.65 % 199 1,575 0.50 % 225 > 9 to ≤ 12 months 1,201 0.65 % 307 2,678 0.54 % 313 > 12 to ≤ 24 months 1,473 0.73 % 600 600 0.57 % 551 > 24 to ≤ 36 months 650 0.81 % 901 952 0.60 % 999 > 36 to ≤ 48 months 1,300 0.86 % 1,231 650 0.64 % 1,266 > 48 to < 60 months 1,500 0.76 % 1,477 900 0.68 % 1,542 Total agency repo 41,729 0.61 % 173 48,389 0.41 % 143 U.S. Treasury repo: 1 day 25 — % 1 1,907 0.09 % 1 Total $ 41,754 0.61 % 173 $ 50,296 0.40 % 138 Federal Home Loan Bank Advances As of December 31, 2015 , we had $3.8 billion of outstanding secured FHLB advances, with a weighted average borrowing rate of 0.53% and a weighted average remaining term to maturity of 141 days through February 2017 (the termination date of our FHLB membership), consisting of 30 day and longer-term floating rate advances: December 31, 2015 Remaining Maturity FHLB Advances Weighted Average Interest Rate Weighted Average Days to Maturity ≤ 1 month $ 1,952 0.47 % 14 > 1 to ≤ 3 months 681 0.60 % 84 13 months 1 1,120 0.58 % 397 Total FHLB advances $ 3,753 0.53 % 141 ________________________ 1. The maturity date of our FHLB advances as of December 31, 2015 has been adjusted to reflect the termination of our FHLB membership in February 2017 (see Note 2 for further information). Debt of Consolidated Variable Interest Entities As of December 31, 2015 and 2014 , debt of consolidated VIEs, at fair value, was $595 million and $761 million , respectively, and had a weighted average interest rate of LIBOR plus 34 and 43 basis points, respectively, and a principal balance of $587 million and $742 million , respectively. The actual maturities of our debt of consolidated VIEs are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing the debt of our consolidated VIEs and periodic principal prepayments of such underlying securities. The estimated weighted average life of the debt of our consolidated VIEs as of December 31, 2015 and 2014 was 4.9 and 5.8 years, respectively. TBA Dollar Roll Financing Transactions As of December 31, 2015 and 2014 , we had outstanding forward commitments to purchase and sell agency securities through the TBA market at a cost of $7.4 billion and $14.6 billion , respectively (see Notes 2 and 5 ). 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. We account for such transactions as one or more series of derivative transactions and report our outstanding TBA commitments at their net carrying value of $14 million and $192 million as of December 31, 2015 and 2014 , respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets." id="sjs-B4">Repurchase Agreements and Other Secured Borrowings We pledge certain of our securities as collateral under our repurchase agreements with financial institutions and under our secured borrowing facility with the FHLB of Des Moines. Interest rates on our 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 December 31, 2015 and 2014 , we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6 . Repurchase Agreements As of December 31, 2015 and 2014 , we had $41.8 billion and $50.3 billion , respectively, of repurchase agreements outstanding. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis. Our repurchase agreements with original maturities > 90 days have floating interest rates based on an index plus or minus a fixed spread. As of December 31, 2015 and 2014 , $41.7 billion and $48.4 billion , respectively, of our repurchase agreements were used to fund purchases of agency securities ("agency repo"), with an average borrowing rate of 0.61% and 0.41% , respectively, and a weighted average remaining term to maturity of 173 and 143 days, respectively. The remainder, or $25 million and $1.9 billion , of our repurchase agreements as of December 31, 2015 and 2014 , respectively, were used to fund temporary holdings of U.S. Treasury securities ("U.S. Treasury repo"). The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by remaining maturities as of December 31, 2015 and 2014 (dollars in millions): December 31, 2015 December 31, 2014 Remaining Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Agency repo: ≤ 1 month $ 17,579 0.54 % 14 $ 14,157 0.37 % 15 > 1 to ≤ 3 months 14,283 0.64 % 58 20,223 0.38 % 61 > 3 to ≤ 6 months 3,154 0.61 % 121 6,654 0.42 % 120 > 6 to ≤ 9 months 589 0.65 % 199 1,575 0.50 % 225 > 9 to ≤ 12 months 1,201 0.65 % 307 2,678 0.54 % 313 > 12 to ≤ 24 months 1,473 0.73 % 600 600 0.57 % 551 > 24 to ≤ 36 months 650 0.81 % 901 952 0.60 % 999 > 36 to ≤ 48 months 1,300 0.86 % 1,231 650 0.64 % 1,266 > 48 to < 60 months 1,500 0.76 % 1,477 900 0.68 % 1,542 Total agency repo 41,729 0.61 % 173 48,389 0.41 % 143 U.S. Treasury repo: 1 day 25 — % 1 1,907 0.09 % 1 Total $ 41,754 0.61 % 173 $ 50,296 0.40 % 138 Federal Home Loan Bank Advances As of December 31, 2015 , we had $3.8 billion of outstanding secured FHLB advances, with a weighted average borrowing rate of 0.53% and a weighted average remaining term to maturity of 141 days through February 2017 (the termination date of our FHLB membership), consisting of 30 day and longer-term floating rate advances: December 31, 2015 Remaining Maturity FHLB Advances Weighted Average Interest Rate Weighted Average Days to Maturity ≤ 1 month $ 1,952 0.47 % 14 > 1 to ≤ 3 months 681 0.60 % 84 13 months 1 1,120 0.58 % 397 Total FHLB advances $ 3,753 0.53 % 141 ________________________ 1. The maturity date of our FHLB advances as of December 31, 2015 has been adjusted to reflect the termination of our FHLB membership in February 2017 (see Note 2 for further information). Debt of Consolidated Variable Interest Entities As of December 31, 2015 and 2014 , debt of consolidated VIEs, at fair value, was $595 million and $761 million , respectively, and had a weighted average interest rate of LIBOR plus 34 and 43 basis points, respectively, and a principal balance of $587 million and $742 million , respectively. The actual maturities of our debt of consolidated VIEs are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing the debt of our consolidated VIEs and periodic principal prepayments of such underlying securities. The estimated weighted average life of the debt of our consolidated VIEs as of December 31, 2015 and 2014 was 4.9 and 5.8 years, respectively. TBA Dollar Roll Financing Transactions As of December 31, 2015 and 2014 , we had outstanding forward commitments to purchase and sell agency securities through the TBA market at a cost of $7.4 billion and $14.6 billion , respectively (see Notes 2 and 5 ). 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. We account for such transactions as one or more series of derivative transactions and report our outstanding TBA commitments at their net carrying value of $14 million and $192 million as of December 31, 2015 and 2014 , respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets. |
Derivative and Other Hedging In
Derivative and Other Hedging Instruments | 12 Months Ended |
Dec. 31, 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 invest in mortgage and other types of derivative instruments, such as interest and principal-only securities. Our risk management strategy attempts to manage the overall risk of the portfolio, reduce fluctuations in our net 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 2 . 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 fiscal years 2015 , 2014 and 2013 , we reclassified $101 million , $156 million and $189 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 for those periods were $494 million , $486 million and $613 million , 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 gain (loss) on derivative instruments and other securities, net in our accompanying consolidated statements of comprehensive income (totaling $393 million , $330 million and $424 million for fiscal years 2015 , 2014 and 2013 , respectively). As of December 31, 2015 , the remaining net deferred loss in accumulated OCI related to de-designated interest rate swaps was $39 million and will be reclassified from OCI into interest expense over a remaining weighted average period of 0.6 years. 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 December 31, 2015 and 2014 (in millions): December 31, Derivative and Other Hedging Instruments Balance Sheet Location 2015 2014 Interest rate swaps Derivative assets, at fair value $ 31 $ 136 Swaptions Derivative assets, at fair value 17 75 TBA securities Derivative assets, at fair value 29 197 U.S. Treasury futures - short Derivative assets, at fair value 4 — Total derivative assets, at fair value $ 81 $ 408 Interest rate swaps Derivative liabilities, at fair value $ (920 ) $ (880 ) TBA securities Derivative liabilities, at fair value (15 ) (5 ) U.S. Treasury futures - short Derivative liabilities, at fair value — (5 ) Total derivative liabilities, at fair value $ (935 ) $ (890 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 25 $ 2,427 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (1,696 ) (5,363 ) Total - U.S. Treasury securities, net at fair value $ (1,671 ) $ (2,936 ) The following tables summarize our interest rate swap agreements outstanding as of December 31, 2015 and 2014 (dollars in millions): December 31, 2015 Payer Interest Rate Swaps Notional Amount 1 Average Average Receive Rate 3 Net Estimated Fair Value Average Maturity (Years) ≤ 3 years $ 14,775 1.06% 0.40% $ (23 ) 1.6 > 3 to ≤ 5 years 9,950 2.03% 0.40% (203 ) 4.0 > 5 to ≤ 7 years 7,175 2.47% 0.44% (230 ) 6.1 > 7 to ≤ 10 years 7,450 2.57% 0.39% (342 ) 8.3 > 10 years 1,175 3.20% 0.39% (91 ) 14.7 Total payer interest rate swaps $ 40,525 1.89% 0.40% $ (889 ) 4.6 ________________________ 1. Notional amount includes forward starting swaps of $4.5 billion with an average forward start date of 0.7 years and an average maturity of 5.5 years from December 31, 2015 . 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.75% as of December 31, 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 December 31, 2015 and 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) December 31, 2015 Total ≤ 1 year $ 74 $ 17 4 $ 2,150 3.51% 3M 7.0 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 $ 145 $ 46 8 $ 6,800 3.28% 3M 6.2 The following table summarizes our interest rate receiver swaption agreements outstanding as of 2014 (dollars in millions). We did not have any interest rate receiver swaptions outstanding as of December 31, 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 December 31, 2015 and 2014 (in millions): December 31, 2015 December 31, 2014 Maturity Face Amount Net Long / (Short) Cost Basis Market Value Face Amount Net Long / (Short) Cost Basis Market Value 5 years $ (250 ) $ (249 ) $ (249 ) $ (4,674 ) $ (4,650 ) $ (4,645 ) 7 years (354 ) (353 ) (352 ) (717 ) (717 ) (718 ) 10 years (1,085 ) (1,078 ) (1,070 ) 2,410 2,422 2,427 Total U.S. Treasury securities, net $ (1,689 ) $ (1,680 ) $ (1,671 ) $ (2,981 ) $ (2,945 ) $ (2,936 ) The following table summarizes our U.S. Treasury futures as of December 31, 2015 and 2014 (in millions): December 31, 2015 December 31, 2014 Maturity 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 5 years $ (730 ) $ (866 ) $ (864 ) $ 2 $ — $ — $ — $ — 10 years (1,130 ) (1,424 ) (1,422 ) 2 (730 ) (920 ) (925 ) (5 ) Total U.S. Treasury futures $ (1,860 ) $ (2,290 ) $ (2,286 ) $ 4 $ (730 ) $ (920 ) $ (925 ) $ (5 ) _____________________ 1. Notional amount represents the par value (or principal balance) of the underlying U.S. Treasury security. 2. Cost basis represents the forward price to be paid / (received) for the underlying U.S. Treasury security. 3. Market value represents the current market value of U.S. Treasury futures as of period-end. 4. Net carrying value represents the difference between the market value and the cost basis of U.S. Treasury futures as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets. The following tables summarize our TBA securities as of December 31, 2015 and 2014 (in millions): December 31, 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% $ (80 ) $ (81 ) $ (80 ) $ 1 $ 962 $ 968 $ 980 $ 12 3.0% 225 233 232 (1 ) 2,779 2,889 2,888 (1 ) 3.5% 136 143 142 (1 ) (468 ) (495 ) (494 ) 1 4.0% — — — — (13 ) (14 ) (14 ) — Total 15-Year TBAs 281 295 294 (1 ) 3,260 3,348 3,360 12 30-Year TBA securities: 3.0% 3,914 3,911 3,916 5 5,254 5,259 5,313 54 3.5% 1,497 1,536 1,539 3 7,902 8,151 8,232 81 4.0% 1,575 1,658 1,665 7 (1,853 ) (2,019 ) (1,974 ) 45 4.5% 28 30 30 — (151 ) (163 ) (163 ) — Total 30-Year TBAs 7,014 7,135 7,150 15 11,152 11,228 11,408 180 Total net TBA securities $ 7,295 $ 7,430 $ 7,444 $ 14 $ 14,412 $ 14,576 $ 14,768 $ 192 December 31, 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 $ 6,033 $ 6,145 $ 6,159 $ 14 $ 15,127 $ 15,316 $ 15,509 $ 193 Freddie Mac 689 703 703 — (715 ) (740 ) (741 ) (1 ) Ginnie Mae 573 582 582 — — — — — TBA securities, net $ 7,295 $ 7,430 $ 7,444 $ 14 $ 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 fiscal years 2015 , 2014 and 2013 (in millions): Fiscal year 2015 Derivative and Other Hedging Instruments Notional Amount Long/(Short) December 31, 2014 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) December 31, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 14,412 119,922 (127,039 ) $ 7,295 $ 305 Interest rate swaps $ (43,700 ) (4,950 ) 8,125 $ (40,525 ) (932 ) Payer swaptions $ (6,800 ) (1,500 ) 6,150 $ (2,150 ) (35 ) Receiver swaptions $ 4,250 — (4,250 ) $ — 4 U.S. Treasury securities - short position $ (5,392 ) (12,503 ) 16,181 $ (1,714 ) (68 ) U.S. Treasury securities - long position $ 2,411 33,525 (35,911 ) $ 25 (38 ) U.S. Treasury futures contracts - short position $ (730 ) (4,480 ) 3,350 $ (1,860 ) (12 ) $ (776 ) ________________________________ 1. Excludes a net gain of $16 million from debt of consolidated VIEs, a net gain of $5 million from interest and principal-only securities and other miscellaneous net losses of $4 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Fiscal year 2014 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) December 31, 2014 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 2,119 213,627 (201,334 ) $ 14,412 $ 1,117 Interest rate swaps $ (43,250 ) (20,550 ) 20,100 $ (43,700 ) (1,838 ) Payer swaptions $ (14,250 ) (5,250 ) 12,700 $ (6,800 ) (193 ) Receiver swaptions $ — 5,500 (1,250 ) $ 4,250 11 U.S. Treasury securities - short position $ (2,007 ) (36,489 ) 33,104 $ (5,392 ) (420 ) U.S. Treasury securities - long position $ 3,927 18,549 (20,065 ) $ 2,411 66 U.S. Treasury futures contracts - short position $ (1,730 ) (2,920 ) 3,920 $ (730 ) (76 ) TBA put option $ — (150 ) 150 $ — — $ (1,333 ) ______________________ 1. Excludes a net gain of $75 million from investments in REIT equity securities, a net loss of $10 million from debt of consolidated VIEs, a net gain of $32 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. Fiscal year 2013 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) December 31, 2013 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 12,477 42,707 (53,065 ) $ 2,119 $ (726 ) Interest rate swaps $ (46,850 ) (20,750 ) 24,350 $ (43,250 ) 1,145 Payer swaptions $ (14,450 ) (23,800 ) 24,000 $ (14,250 ) 258 U.S. Treasury securities - short position $ (11,835 ) (31,941 ) 41,769 $ (2,007 ) 472 U.S. Treasury securities - long position $ — 27,805 (23,878 ) $ 3,927 (42 ) U.S. Treasury futures contracts - short position $ — (9,239 ) 7,509 $ (1,730 ) 49 TBA put option $ — (50 ) 50 $ — — $ 1,156 ______________________ 1. Excludes a net gain of $2 million from investments in REIT equity securities, a net gain of $39 million from debt of consolidated VIEs and other miscellaneous net losses of $6 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Pledged Assets
Pledged Assets | 12 Months Ended |
Dec. 31, 2015 | |
Pledged Assets [Abstract] | |
Pledged Assets | 30 and ≤ 60 days 8,311 8,340 23 10,906 10,784 30 > 60 and ≤ 90 days 7,534 7,525 21 10,205 10,109 28 > 90 days 12,207 12,187 34 15,267 15,096 43 Total MBS 48,105 48,127 135 51,037 50,498 142 U.S. Treasury securities: 1 day 25 25 — 1,904 1,899 5 Total $ 48,130 $ 48,152 $ 135 $ 52,941 $ 52,397 $ 147 ______________________ 1. Includes $245 million and $179 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements, as of December 31, 2015 and 2014 , respectively. As of December 31, 2015 and 2014 , none of our borrowings backed by MBS were due on demand or mature overnight. The table above excludes agency securities transferred to our consolidated VIEs. Securities transferred to our consolidated VIEs can only be used to settle the obligations of each respective VIE. However, we may pledge our retained interests in our consolidated VIEs as collateral under our repurchase agreements and derivative contracts. Please refer to Notes 3 and 4 for additional information regarding our consolidated VIEs. Assets Pledged from Counterparties As of December 31, 2015 and 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). December 31, 2015 December 31, 2014 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Total Reverse Repurchase Agreements Derivative Agreements Total Agency MBS - fair value $ — $ — $ — $ — $ 43 $ 43 U.S. Treasury securities - fair value 1,702 — 1,702 5,363 47 5,410 Cash — — — — 28 28 Total $ 1,702 $ — $ 1,702 $ 5,363 $ 118 $ 5,481 U.S Treasury securities received as collateral under our reverse repurchase agreements that are used to cover short sales of the same securities are accounted for as securities borrowing transactions. 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 December 31, 2015 and 2014 (in millions): Offsetting of Financial 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 December 31, 2015 Interest rate swap and swaption agreements, at fair value 1 $ 48 $ — $ 48 $ (31 ) $ — $ 17 Receivable under reverse repurchase agreements 1,713 — 1,713 (1,356 ) (357 ) — Total $ 1,761 $ — $ 1,761 $ (1,387 ) $ (357 ) $ 17 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 $ 5,429 $ — $ 5,429 $ (4,784 ) $ (611 ) $ 34 Offsetting of Financial 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 December 31, 2015 Interest rate swap agreements, at fair value 1 $ 920 $ — $ 920 $ (31 ) $ (889 ) $ — Repurchase agreements and FHLB advances 45,507 — 45,507 (1,356 ) (44,151 ) — Total $ 46,427 $ — $ 46,427 $ (1,387 ) $ (45,040 ) $ — 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 $ 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 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities pledged / received 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 funding agreements 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. Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract. We are typically required to post initial collateral upon execution of derivative transactions, such as interest rate swap agreements and TBA contracts. If we breach our collateral requirements, 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. Additionally, the FHLB of Des Moines may adjust the haircut on our outstanding FHLB advances at any time prior to maturity. As a condition of our membership in the FHLB of Des Moines, we are also obligated to purchase membership and activity-based stock in the FHLB based upon the aggregate amount of advances obtained from the FHLB. Consequently, our funding agreements and derivative contracts expose 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 U.S. government agencies 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 certain thresholds causes an event of default under the ISDA Master 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 December 31, 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 December 31, 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 funding, derivative and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2015 and 2014 (in millions): December 31, 2015 Assets Pledged to Counterparties Repurchase Agreements and FHLB Advances 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 47,992 $ 1,029 $ 148 $ 485 $ 49,654 AAA non-agency MBS - fair value 113 — — — 113 U.S. Treasury securities - fair value 25 — — — 25 Accrued interest on pledged securities 135 3 — 2 140 Restricted cash and cash equivalents 23 — 1,226 32 1,281 Total $ 48,288 $ 1,032 $ 1,374 $ 519 $ 51,213 ______________________ 1. Includes $245 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements. December 31, 2014 Assets Pledged to Counterparties Repurchase Agreements 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 51,037 $ 1,266 $ 69 $ 702 $ 53,074 U.S. Treasury securities - fair value 1,904 — 550 — 2,454 Accrued interest on pledged securities 147 4 2 — 153 Restricted cash and cash equivalents 6 — 698 9 713 Total $ 53,094 $ 1,270 $ 1,319 $ 711 $ 56,394 ______________________ 1. Includes $179 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements. As of December 31, 2015 , we held $150 million of membership and activity-based stock in the FHLB of Des Moines. FHLB stock is reported at cost, which equals par value, in other assets on our accompanying consolidated balance sheets. FHLB stock can only be redeemed or sold at its par value, and only to the FHLB of Des Moines. The cash and cash equivalents and agency securities pledged as collateral under our derivative agreements are included in restricted cash and cash equivalents and agency securities, at fair value, respectively, on our consolidated balance sheets. The following table summarizes our securities pledged as collateral under our repurchase agreements and FHLB advances by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of December 31, 2015 and 2014 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . December 31, 2015 December 31, 2014 Securities Pledged by Remaining Maturity of Repurchase Agreements and FHLB Advances 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 MBS: 1 ≤ 30 days $ 20,053 $ 20,075 $ 57 $ 14,659 $ 14,509 $ 41 > 30 and ≤ 60 days 8,311 8,340 23 10,906 10,784 30 > 60 and ≤ 90 days 7,534 7,525 21 10,205 10,109 28 > 90 days 12,207 12,187 34 15,267 15,096 43 Total MBS 48,105 48,127 135 51,037 50,498 142 U.S. Treasury securities: 1 day 25 25 — 1,904 1,899 5 Total $ 48,130 $ 48,152 $ 135 $ 52,941 $ 52,397 $ 147 ______________________ 1. Includes $245 million and $179 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements, as of December 31, 2015 and 2014 , respectively. As of December 31, 2015 and 2014 , none of our borrowings backed by MBS were due on demand or mature overnight. The table above excludes agency securities transferred to our consolidated VIEs. Securities transferred to our consolidated VIEs can only be used to settle the obligations of each respective VIE. However, we may pledge our retained interests in our consolidated VIEs as collateral under our repurchase agreements and derivative contracts. Please refer to Notes 3 and 4 for additional information regarding our consolidated VIEs. Assets Pledged from Counterparties As of December 31, 2015 and 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). December 31, 2015 December 31, 2014 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Total Reverse Repurchase Agreements Derivative Agreements Total Agency MBS - fair value $ — $ — $ — $ — $ 43 $ 43 U.S. Treasury securities - fair value 1,702 — 1,702 5,363 47 5,410 Cash — — — — 28 28 Total $ 1,702 $ — $ 1,702 $ 5,363 $ 118 $ 5,481 U.S Treasury securities received as collateral under our reverse repurchase agreements that are used to cover short sales of the same securities are accounted for as securities borrowing transactions. 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 December 31, 2015 and 2014 (in millions): Offsetting of Financial 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 December 31, 2015 Interest rate swap and swaption agreements, at fair value 1 $ 48 $ — $ 48 $ (31 ) $ — $ 17 Receivable under reverse repurchase agreements 1,713 — 1,713 (1,356 ) (357 ) — Total $ 1,761 $ — $ 1,761 $ (1,387 ) $ (357 ) $ 17 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 $ 5,429 $ — $ 5,429 $ (4,784 ) $ (611 ) $ 34 Offsetting of Financial 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 December 31, 2015 Interest rate swap agreements, at fair value 1 $ 920 $ — $ 920 $ (31 ) $ (889 ) $ — Repurchase agreements and FHLB advances 45,507 — 45,507 (1,356 ) (44,151 ) — Total $ 46,427 $ — $ 46,427 $ (1,387 ) $ (45,040 ) $ — 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 $ 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 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities pledged / received 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 | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements We determine the fair value of our investment 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 2 . 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 fiscal years December 31, 2015 and 2014 . 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 December 31, 2015 and 2014 (in millions): December 31, 2015 December 31, 2014 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 51,331 $ — $ — $ 55,482 $ — Agency securities transferred to consolidated VIEs — 1,029 — — 1,266 — Non-agency securities — 113 — — — — U.S. Treasury securities 25 — — 2,427 — — Interest rate swaps — 31 — — 136 — Swaptions — 17 — — 75 — REIT equity securities 33 — — 68 — — TBA securities — 29 — — 197 — U.S. Treasury futures 4 — — — — — Total $ 62 $ 52,550 $ — $ 2,495 $ 57,156 $ — Liabilities: Debt of consolidated VIEs $ — $ 595 $ — $ — $ 761 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 1,696 — — 5,363 — — Interest rate swaps — 920 — — 880 — TBA securities — 15 — — 5 — U.S. Treasury futures — — — 5 — — Total $ 1,696 $ 1,530 $ — $ 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 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 and cash equivalents, receivables, payables and borrowings under repurchase agreements and FHLB advances, which are presented in our consolidated financial statements at cost. The cost basis of these instruments is determined to approximate fair value due to their short duration or, in the case of longer-term repo and FHLB advances, due to floating rates of interest based on an index plus or minus a fixed spread which is consistent with fixed spreads demanded in the market. We estimate the fair value of these instruments using "Level 2" inputs. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 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 December 31, 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 December 31, 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 up to $2 billion. In October 2015, our Board of Directors extended its authorization through December 31, 2016. 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 fiscal year s 2015 , 2014 and 2013 , we repurchased approximately 15.3 million , 3.4 million and 40.2 million shares, of our common stock, respectively, at an average repurchase price of $18.58 , $22.10 and $21.25 per share, respectively, including expenses, totaling $285 million , $74 million and $856 million , respectively. As of December 31, 2015 , the total remaining amount authorized for repurchases of our common stock was $707 million . Follow-On Equity Offerings During fiscal year 2013 , we completed a follow-on public offering of 57.5 million at an average price of $31.34 per share, for total proceeds of $1,803 million , net of offering costs. During fiscal years 2015 and 2014 , we did not complete any follow-on public offerings of shares of our common stock. At-the-Market Offering Program We have entered into sales agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time to time. During fiscal years 2015 , 2014 and 2013 , there were no shares issued under this program. As of December 31, 2015 , 16.7 million shares remain available for issuance under this program. Dividend Reinvestment and Direct Stock Purchase Plan We sponsor a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of our common stock by reinvesting some or all of the cash dividends received on shares of our common stock. Stockholders may also make optional cash purchases of shares of our common stock subject to certain limitations detailed in the plan prospectus. During fiscal years 2015 , 2014 and 2013 , there were no shares issued under the plan. As of December 31, 2015 , 21.7 million shares remain available for issuance under the plan. Accumulated Other Comprehensive Income (Loss) The following table summarizes changes to accumulated OCI for fiscal years 2015 , 2014 and 2013 (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 Fiscal Year 2015 Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 OCI before reclassifications (620 ) — (620 ) Amounts reclassified from accumulated OCI 23 101 124 Balance as of December 31, 2015 $ (27 ) $ (39 ) $ (66 ) Fiscal Year 2014 Balance as of December 31, 2013 $ (1,087 ) $ (296 ) $ (1,383 ) OCI before reclassifications 1,708 — 1,708 Amounts reclassified from accumulated OCI (51 ) 156 105 Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 Fiscal Year 2013 Balance as of December 31, 2012 $ 2,040 $ (485 ) $ 1,555 OCI before reclassifications (4,535 ) — (4,535 ) Amounts reclassified from accumulated OCI 1,408 189 1,597 Balance as of December 31, 2013 $ (1,087 ) $ (296 ) $ (1,383 ) The following table summarizes reclassifications out of accumulated OCI for fiscal years 2015 , 2014 and 2013 (in millions): Fiscal Year Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2015 2014 2013 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 23 $ (51 ) $ 1,408 Gain (loss) on sale of agency securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 101 156 189 Interest expense Total reclassifications $ 124 $ 105 $ 1,597 Long-Term Incentive Plan We sponsor an equity incentive plan to provide for the issuance of equity-based awards, including stock options, restricted stock, restricted stock units and unrestricted stock awards to our independent directors. During fiscal years 2015 and 2014 , we granted restricted stock unit ("RSU") awards under the plan totaling $625,000 and $375,000 , respectively. The awards represent the right to receive an equivalent number of shares of common stock as measured by the closing price of our common stock on the grant date, plus any equivalent shares for dividends declared on our common stock, and vest over a 13 month period, subject to the terms and conditions of the plan. During fiscal year 2013 , we granted restricted common stock awards under the plan totaling $468,000 . The restricted stock awards had a grant date fair value equal to the closing price of our common stock on such date and vest annually over three years. The following table summarizes restricted stock and RSU transactions for fiscal years 2015 , 2014 and 2013 : Shares of Restricted Stock Restricted Stock Units Weighted Average Grant Date Fair Value 1 Weighted Average Vest Date Fair Value 2 Fiscal Year 2015 Unvested balance as of December 31, 2014 14,000 18,239 $ 25.11 $ — Granted — 28,880 $ 21.64 $ — Accrued RSU dividend equivalents — 3,319 $ — $ — Vested 9,000 19,007 $ 23.17 $ 21.03 Unvested balance as of December 31, 2015 5,000 31,431 $ 21.44 $ — Fiscal Year 2014 Unvested balance as of December 31, 2013 27,000 — $ 30.37 $ — Granted — 16,770 $ 22.36 $ — Accrued RSU dividend equivalents — 1,469 $ — $ — Vested 13,000 — $ 30.01 $ 22.01 Unvested balance as of December 31, 2014 14,000 18,239 $ 25.11 $ — Fiscal Year 2013 Unvested balance as of December 31, 2012 21,500 — $ 29.06 $ — Granted 15,000 — $ 31.20 $ — Vested 9,500 — $ 28.71 $ 30.56 Unvested balance as of December 31, 2013 27,000 — $ 30.37 $ — _______________________ 1. Accrued RSU dividend equivalents have a weighted average grant date fair value of $0. 2. Weighted average vest date fair value is based on the closing price of our common stock on the vest date. During fiscal years 2015 , 2014 and 2013 , we recognized $704,000 , $540,000 and $383,000 of compensation expense under the plan, respectively. As of December 31, 2015 , we had unrecognized compensation costs related to awards granted under the plan of approximately $238,000 . As of December 31, 2015 , 1,850 shares of common stock remained available for future issuance under the plan, net of unissued shares reserved for unvested RSU awards outstanding as of December 31, 2015 . |
Subsequent Event
Subsequent Event | 12 Months Ended |
Dec. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Event | Subsequent Events On January 14, 2016 , our Board of Directors declared a monthly dividend of $0.20 per common share, which will be paid on February 8, 2016 , to common stockholders of record as of January 29, 2016 . On February 11, 2016 , our Board of Directors declared a monthly dividend of $0.20 per common share, which will be paid on March 8, 2016 , to common stockholders of record as of February 29, 2016 . |
Management Agreement and Relate
Management Agreement and Related Party Transactions (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |
Management Agreement and Related Party Transactions | Management Agreement and Related Party Transactions We are externally managed and advised by our Manager pursuant to the terms of a management agreement. The management agreement has been renewed through May 20, 2016 and provides for automatic one-year extension options thereafter. The management agreement may only be terminated by us or our Manager without cause, as defined in the management agreement, after the completion of the current renewal term, or the expiration of each subsequent automatic annual renewal term, provided that either party provide 180-days prior written notice of non-renewal of the management agreement. If we were to not renew the management agreement without cause, we must pay a termination fee on the last day of the applicable term, equal to three times the average annual management fee earned by our Manager during the prior 24-month period immediately preceding the most recently completed month prior to the effective date of termination. We may only not renew the management agreement with or without cause with the consent of the majority of our independent directors. We pay our Manager a management fee payable monthly in arrears in amount equal to one-twelfth of 1.25% of our month-end stockholders' equity, adjusted to exclude the effect of any unrealized gains or losses included in either retained earnings or OCI, each as computed in accordance with GAAP. There is no incentive compensation payable to our Manager pursuant to the management agreement. For fiscal years 2015 , 2014 and 2013 , we recorded an expense for management fees of $116 million , $119 million and $136 million , respectively. We are obligated to reimburse our Manager for its expenses incurred directly related to our operations, excluding employment-related expenses of our Manager's officers and employees and any American Capital employees who provide services to us pursuant to the management agreement. Our Manager has entered into an administrative services agreement with American Capital, pursuant to which American Capital will provide personnel, services and resources necessary for our Manager to perform its obligations under the management agreement. For fiscal years 2015 , 2014 and 2013 , we recorded expense reimbursements to our Manager of $8 million , $8 million and $10 million , respectively, primarily consisting of costs related to information technology systems. As of December 31, 2015 and 2014 , $9 million and $10 million was payable to our Manager, respectively. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes We elected to be taxed as a REIT under the provisions of the Internal Revenue Code and the corresponding provisions of state law, commencing with our initial tax year ended December 31, 2008. In order to continue to qualify as a REIT, we must annually distribute, in a timely manner to our stockholders, at least 90% of our taxable ordinary income, amongst other conditions. A REIT is not subject to tax on its earnings to the extent that it distributes its annual taxable income to its stockholders and as long as certain asset, income and stock ownership tests are met. We operate in a manner that will allow us to be taxed as a REIT. As permitted by the Internal Revenue Code, a REIT can designate dividends paid in the subsequent year as dividends of the current year if those dividends are both declared by the extended due date of the REIT's federal income tax return and paid to stockholders by the last day of the subsequent year. As a REIT, if we fail to distribute in any calendar year at least the sum of (i) 85% of our ordinary income for such year, (ii) 95% of our capital gain net income for such year and (iii) any undistributed taxable income from the prior year, we are subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (a) the amounts actually distributed and, if applicable, (b) the amounts of income we retained and on which we have paid corporate income tax. Dividends declared by December 31 and paid by January 31 are treated as having been a distribution of our taxable income for the prior tax year. We and our wholly-owned subsidiary, American Capital Agency TRS, LLC ("AGNC TRS"), have made a joint election to treat AGNC TRS as a taxable REIT subsidiary. As such, AGNC TRS is subject to federal and state income tax. All other subsidiaries are disregarded entities for federal income tax purposes. As such, their assets, liabilities and income would generally be treated as our assets, liabilities and income for purposes of federal and state income taxes. We evaluate uncertain income tax positions, if any, in accordance with ASC Topic 740, Income Taxes ("ASC 740"). To the extent we incur interest and/or penalties in connection with our tax obligations, such amounts shall be classified as income tax expense on our consolidated statements of operations. Income Taxes The following table summarizes dividends for federal income tax purposes declared for fiscal tax years 2015 , 2014 and 2013 and their related tax characterization (in millions, except per share amounts): Tax Characterization Fiscal Tax Year Dividends Declared Per Share Dividends Declared Ordinary Income Per Share Qualified Dividends Long-Term Capital Gains Per Share 8.000 % Series A Cumulative Redeemable Preferred Stock Fiscal year 2015 $ 2.000000 $ 14 $ 2.000000 $ — $ — Fiscal year 2014 $ 2.000000 $ 14 $ 2.000000 $ — $ — Fiscal year 2013 $ 2.000000 $ 14 $ 2.000000 $ 0.015980 $ — 7.750% Series B Cumulative Redeemable Preferred Stock (Per Depositary Share) Fiscal year 2015 $ 1.937500 $ 14 $ 1.937500 $ — $ — Fiscal year 2014 $ 0.844965 $ 6 $ 0.844965 $ — $ — Common Stock Fiscal year 2015 $ 2.480000 $ 863 $ 2.480000 $ — $ — Fiscal year 2014 $ 2.610000 $ 921 $ 2.610000 $ — $ — Fiscal year 2013 $ 3.750000 $ 1,453 $ 3.750000 $ 0.029963 $ — As of December 31, 2015 , we had distributed all of our estimated taxable income for fiscal year 2015 . Accordingly, we do not expect to incur an income tax liability on our 2015 taxable income. For fiscal years 2014 and 2013 , we distributed all of our taxable income within the limits prescribed by the Internal Revenue Code. Accordingly, we did not incur an income tax liability on our taxable income for such periods. For fiscal year 2013 , we did not distribute the required minimum amount of taxable income pursuant to federal excise tax requirements, as described in Note 2, and consequently we accrued an excise tax of $3 million , which is included in our net income tax provision on our accompanying consolidated statements of operations and comprehensive income. Additionally, for fiscal year 2013 , we recorded an income tax provision of $10 million , attributable to our TRS, which is included in our net income tax provision on our accompanying consolidated statements of comprehensive income. The statutory combined federal and state corporate tax rate for our TRS was 39.5% for fiscal year 2013 . For fiscal years 2015 and 2014 , we did not record an income tax provision attributable to our TRS. Based on our analysis of any potential uncertain income tax positions, we concluded that we do not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2015 , 2014 and 2013 . Our tax returns for tax years 2012 and forward are open to examination by the IRS. In the event that we incur income tax related interest and penalties, our policy is to classify them as a component of provision for income taxes. |
Quarterly Results Quarterly Res
Quarterly Results Quarterly Results (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Results | Quarterly Results (Unaudited) The following is a presentation of the quarterly results of operations and comprehensive income for fiscal years 2015 and 2014 (in millions, except per share data). Quarter Ended March 31, 2015 June 30, 2015 September 30, 2015 December 31, 2015 Interest income: Interest income $ 383 $ 414 $ 295 $ 374 Interest expense 86 81 77 86 Net interest income 297 333 218 288 Other gain (loss): Gain (loss) on sale of agency securities, net 36 (22 ) (39 ) 2 Gain (loss) on derivative instruments and other securities, net (549 ) 237 (778 ) 331 Total other gain (loss), net (513 ) 215 (817 ) 333 Expenses: Management fees 30 29 29 28 General and administrative expenses 6 7 5 5 Total expenses 36 36 34 33 Net income (loss) (252 ) 512 (633 ) 588 Dividend on preferred stock 7 7 7 7 Net income (loss) available (attributable) to common shareholders $ (259 ) $ 505 $ (640 ) $ 581 Net income (loss) $ (252 ) $ 512 $ (633 ) $ 588 Other comprehensive income (loss): Unrealized gain (loss) on available-for-sale securities, net 391 (872 ) 467 (583 ) Unrealized gain on derivative instruments, net 29 26 24 22 Other comprehensive income (loss) 420 (846 ) 491 (561 ) Comprehensive income (loss) 168 (334 ) (142 ) 27 Dividend on preferred stock 7 7 7 7 Comprehensive income (loss) available (attributable) to common shareholders $ 161 $ (341 ) $ (149 ) $ 20 Weighted average number of common shares outstanding-basic and diluted 352.8 352.1 347.8 341.6 Net income (loss) per common share - basic and diluted $ (0.73 ) $ 1.43 $ (1.84 ) $ 1.70 Comprehensive income (loss) per common share - basic and diluted $ 0.46 $ (0.97 ) $ (0.43 ) $ 0.06 Dividends declared per common share $ 0.66 $ 0.62 $ 0.60 $ 0.60 Quarter Ended March 31, June 30, 2014 September 30, December 31, Interest income: Interest income $ 399 $ 385 $ 357 $ 331 Interest expense 108 95 88 81 Net interest income 291 290 269 250 Other loss: Gain (loss) on sale of agency securities, net (19 ) 22 14 34 Loss on derivative instruments and other securities, net (378 ) (244 ) (51 ) (572 ) Total other loss, net (397 ) (222 ) (37 ) (538 ) Expenses: Management fees 29 30 30 30 General and administrative expenses 6 6 5 5 Total expenses 35 36 35 35 Net income (loss) (141 ) 32 197 (323 ) Dividend on preferred stock 3 5 7 7 Net income (loss) available (attributable) to common shareholders $ (144 ) $ 27 $ 190 $ (330 ) Net income (loss) $ (141 ) $ 32 $ 197 $ (323 ) Other comprehensive income (loss): Unrealized gain (loss) on available-for-sale securities, net 521 790 (253 ) 599 Unrealized gain on derivative instruments, net 43 40 38 35 Other comprehensive income (loss) 564 830 (215 ) 634 Comprehensive income (loss) 423 862 (18 ) 311 Dividend on preferred stock 3 5 7 7 Comprehensive income (loss) available (attributable) to common shareholders $ 420 $ 857 $ (25 ) $ 304 Weighted average number of common shares outstanding-basic and diluted 354.8 352.8 352.8 352.8 Net income (loss) per common share - basic and diluted $ (0.41 ) $ 0.08 $ 0.54 $ (0.94 ) Comprehensive income (loss) per common share - basic and diluted $ 1.18 $ 2.43 $ (0.07 ) $ 0.86 Dividends declared per common share $ 0.65 $ 0.65 $ 0.65 $ 0.66 |
Summary of Significant Accoun20
Summary of Significant Accounting Policies (Policy) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | Basis of Presentation and Consolidation Our consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). Our consolidated financial statements include the accounts of all subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. |
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 mortgage investment securities as part of our overall management of our investment portfolio. Accordingly, we typically designate our agency and non-agency securities (collectively referred to as "mortgage securities" or "investment 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 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. Non-agency securities in which we may invest consist of investment grade, AAA rated MBS backed by residential or commercial mortgages, for which the payment of principal and interest is not guaranteed by a GSE or government agency. Instead, a private institution such as a commercial bank will package residential or commercial mortgage loans and securitize them through the issuance of MBS. Investment grade, AAA rated non-agency MBS benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than agency MBS. 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 mortgage securities based on a market approach using "Level 2" inputs from third-party pricing services and non-binding dealer quotes derived from common market pricing methods. 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 on a market approach using "Level 1" inputs based on quoted market prices. Refer to Note 7 for further discussion of fair value measurements. We evaluate our mortgage 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. If either of the first two conditions exists as of the financial reporting date, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. However, with respect to the first condition, since the liquidity of the agency and AAA non-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, we generally do not make decisions to sell specific mortgage securities until shortly prior to initiating a sell order. In some instances, we may sell specific agency securities by delivering the 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 before the 48-hour deadline. If the third condition exists, the OTTI is separated into (i) the amount relating to credit loss (the "credit component") and (ii) the amount relating to all other factors (the "non-credit components"). Only the credit component is recognized in earnings, with the non-credit components recognized in OCI. However, in evaluating if the third condition exists, our investments in agency securities typically would not have a credit component since the principal and interest are guaranteed by a GSE and, therefore, any unrealized loss is not the result of a credit loss. In addition, since we designate our mortgage securities as available-for-sale securities with unrealized gains and losses recognized in OCI, any impairment loss for non-credit components is already recognized in OCI. We did not recognize any OTTI charges on our investment securities for fiscal years 2015 , 2014 or 2013 . |
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 mortgage 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, interest rate 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 and, based on our Manager's judgment, we may make adjustments to its estimates. 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, prepayment and extension risks. 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 on a generic pool basis in the TBA market and we utilize 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 invest in mortgage and other types of derivatives, such as interest and principal-only securities. 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 fiscal year 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, during fiscal year 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" swaps using a combination of inputs from counterparty and third-party pricing models to estimate the net present value of the future cash flows using the forward interest rate yield curve in effect as of the end of the measurement period. We also incorporate both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps. In considering the effect of nonperformance risk, we consider the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements. 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 interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on 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 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. |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates 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, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the period reported. Actual results could differ from those estimates. |
Earnings Per Share, Policy [Policy Text Block] | Earnings per Share Basic earnings per share ("EPS") is computed by dividing net income (loss) available (attributable) to common stockholders by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise or issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per share. |
Comprehensive Income, Policy [Policy Text Block] | Accumulated Other Comprehensive Income (Loss) Accounting Standards Codification ("ASC") Topic 220, Comprehensive Income ("ASC 220"), divides comprehensive income into net income and other comprehensive income (loss) ("OCI"), which includes unrealized gains and losses on securities classified as available-for-sale and unrealized gains and losses on derivative financial instruments that are designated and qualify for cash flow hedge accounting under ASC Topic 815, Derivatives and Hedging ("ASC 815"). During fiscal year 2011, we discontinued designating our derivative financial instruments, principally interest rate swaps, as cash flow hedges. For further information regarding our discontinuation of cash flow hedge accounting, see Derivatives Instruments below and Note 5. |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents Cash and cash equivalents consist of unrestricted demand deposits and highly liquid investments with original maturities of three months or less. Cash and cash equivalents are carried at cost, which approximates fair value. |
Cash and Cash Equivalents, Restricted Cash and Cash Equivalents, Policy [Policy Text Block] | Restricted Cash and Cash Equivalents Restricted cash and cash equivalents includes cash and cash equivalents pledged as collateral for clearing and executing trades, repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. Restricted cash and cash equivalents are carried at cost, which approximates fair value. |
Repurchase and Resale Agreements Policy [Policy Text Block] | Repurchase Agreements We finance the acquisition of securities for our investment portfolio through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing ("ASC 860"), we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest, as specified in the respective transactions. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates under our repurchase agreements generally correspond to one, three or six month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market. |
Reverse Repurchase Agreements Policy [Policy Text Block] | Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We from time to time borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivatives Instruments below). 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. Our reverse repurchase agreements generally mature daily. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are generally reset daily. |
Summary of Significant Accoun21
Summary of Significant Accounting Policies Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | Basis of Presentation and Consolidation Our consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). Our consolidated financial statements include the accounts of all subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. |
Derivatives, Policy [Policy Text Block] | Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment and extension risks. 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 on a generic pool basis in the TBA market and we utilize 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 invest in mortgage and other types of derivatives, such as interest and principal-only securities. 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 fiscal year 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, during fiscal year 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" swaps using a combination of inputs from counterparty and third-party pricing models to estimate the net present value of the future cash flows using the forward interest rate yield curve in effect as of the end of the measurement period. We also incorporate both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps. In considering the effect of nonperformance risk, we consider the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements. 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 interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on 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 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. |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates 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, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the period reported. Actual results could differ from those estimates. |
Earnings Per Share, Policy [Policy Text Block] | Earnings per Share Basic earnings per share ("EPS") is computed by dividing net income (loss) available (attributable) to common stockholders by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise or issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per share. |
Comprehensive Income, Policy [Policy Text Block] | Accumulated Other Comprehensive Income (Loss) Accounting Standards Codification ("ASC") Topic 220, Comprehensive Income ("ASC 220"), divides comprehensive income into net income and other comprehensive income (loss) ("OCI"), which includes unrealized gains and losses on securities classified as available-for-sale and unrealized gains and losses on derivative financial instruments that are designated and qualify for cash flow hedge accounting under ASC Topic 815, Derivatives and Hedging ("ASC 815"). During fiscal year 2011, we discontinued designating our derivative financial instruments, principally interest rate swaps, as cash flow hedges. For further information regarding our discontinuation of cash flow hedge accounting, see Derivatives Instruments below and Note 5. |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents Cash and cash equivalents consist of unrestricted demand deposits and highly liquid investments with original maturities of three months or less. Cash and cash equivalents are carried at cost, which approximates fair value. |
Cash and Cash Equivalents, Restricted Cash and Cash Equivalents, Policy [Policy Text Block] | Restricted Cash and Cash Equivalents Restricted cash and cash equivalents includes cash and cash equivalents pledged as collateral for clearing and executing trades, repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. Restricted cash and cash equivalents are carried at cost, which approximates fair value. |
Investment, Policy [Policy Text Block] | 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 mortgage investment securities as part of our overall management of our investment portfolio. Accordingly, we typically designate our agency and non-agency securities (collectively referred to as "mortgage securities" or "investment 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 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. Non-agency securities in which we may invest consist of investment grade, AAA rated MBS backed by residential or commercial mortgages, for which the payment of principal and interest is not guaranteed by a GSE or government agency. Instead, a private institution such as a commercial bank will package residential or commercial mortgage loans and securitize them through the issuance of MBS. Investment grade, AAA rated non-agency MBS benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than agency MBS. 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 mortgage securities based on a market approach using "Level 2" inputs from third-party pricing services and non-binding dealer quotes derived from common market pricing methods. 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 on a market approach using "Level 1" inputs based on quoted market prices. Refer to Note 7 for further discussion of fair value measurements. We evaluate our mortgage 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. If either of the first two conditions exists as of the financial reporting date, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. However, with respect to the first condition, since the liquidity of the agency and AAA non-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, we generally do not make decisions to sell specific mortgage securities until shortly prior to initiating a sell order. In some instances, we may sell specific agency securities by delivering the 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 before the 48-hour deadline. If the third condition exists, the OTTI is separated into (i) the amount relating to credit loss (the "credit component") and (ii) the amount relating to all other factors (the "non-credit components"). Only the credit component is recognized in earnings, with the non-credit components recognized in OCI. However, in evaluating if the third condition exists, our investments in agency securities typically would not have a credit component since the principal and interest are guaranteed by a GSE and, therefore, any unrealized loss is not the result of a credit loss. In addition, since we designate our mortgage securities as available-for-sale securities with unrealized gains and losses recognized in OCI, any impairment loss for non-credit components is already recognized in OCI. We did not recognize any OTTI charges on our investment securities for fiscal years 2015 , 2014 or 2013 . |
Interest Income [Policy Text Block] | 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 mortgage 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, interest rate 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 and, based on our Manager's judgment, we may make adjustments to its estimates. 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. |
Repurchase and Resale Agreements Policy [Policy Text Block] | Repurchase Agreements We finance the acquisition of securities for our investment portfolio through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing ("ASC 860"), we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest, as specified in the respective transactions. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates under our repurchase agreements generally correspond to one, three or six month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market. |
Federal Home Loan Bank Advances [Policy Text Block] | Federal Home Loan Bank Advances Federal Home Loan Bank ("FHLB") advances are secured loans from the FHLB of Des Moines used to finance the acquisitions of investment securities. We account for FHLB advances as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest, as specified in the respective transactions. In April 2015, our wholly-owned captive insurance subsidiary, Old Georgetown Insurance Co., LLC ("OGI"), was approved as a member of the FHLB of Des Moines. The FHLBs provide a variety of products and services to their members, including short and long-term secured loans. In January 2016, the Federal Housing Finance Agency released its final rule on changes to regulations concerning FHLB membership criteria. The final rule terminates OGI's FHLB membership and requires repayment of all advances at the earlier of their contractual maturity dates or one year after the effective date of the final rule (February 2017). Interest rates under our FHLB advances generally correspond to the FHLB's Member Option Variable Rate or to one or three month LIBOR plus or minus a fixed spread. The fair value of our FHLB advances is assumed to equal cost as the interest rates are considered to be at market. |
Reverse Repurchase Agreements Policy [Policy Text Block] | Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We from time to time borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivatives Instruments below). 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. Our reverse repurchase agreements generally mature daily. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are generally reset daily. |
Variable Interest Entity Disclosure [Text Block] | Variable Interest Entities ASC Topic 810, Consolidation ("ASC 810"), requires an enterprise to consolidate a variable interest entity ("VIE") if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE and ongoing assessments of whether an enterprise is the primary beneficiary of a VIE as well as additional disclosures for entities that have variable interests in VIEs. We have entered into transactions involving CMO trusts, which are VIEs. We will consolidate a CMO trust if we are the CMO trust's primary beneficiary; that is, if we have a variable interest that provides us with a controlling financial interest in the CMO trust. An entity is deemed to have a controlling financial interest if the entity has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses of or right to receive benefits from the VIE that could potentially be significant to the VIE. As part of the qualitative assessment in determining if we have a controlling financial interest, we evaluate whether we control the selection of financial assets transferred to the CMO trust. For each of our consolidated CMO trusts we controlled the selection of the agency MBS transferred from our investment portfolio to an investment bank in exchange for cash proceeds and at the same time entered into a commitment with the investment bank to purchase to-be-issued securities collateralized by the agency MBS transferred, which resulted in our consolidation of the CMO trusts. Agency MBS transferred to consolidated VIEs are reported on our consolidated balance sheets in agency securities transferred to consolidated VIEs, at fair value and can only be used to settle the obligations of each respective VIE. We elected the option to account for the consolidated debt 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 assets and consolidated debt are presented in a consistent manner 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 measured on a market approach using "Level 2" inputs from third-party pricing services and dealer quotes. The fair value of the agency MBS transferred to the consolidated VIEs and the fair value of our retained interests are based on more observable inputs than inputs used to independently determine the value of our consolidated debt |
Management and Investment Advisory Fees, Policy [Policy Text Block] | Manager Compensation Our management agreement provides for the payment to our Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 8 for the terms of our management agreement and the administrative services agreement between American Capital and our Manager. |
Income Tax Disclosure [Text Block] | Income Taxes We elected to be taxed as a REIT under the provisions of the Internal Revenue Code and the corresponding provisions of state law, commencing with our initial tax year ended December 31, 2008. In order to continue to qualify as a REIT, we must annually distribute, in a timely manner to our stockholders, at least 90% of our taxable ordinary income, amongst other conditions. A REIT is not subject to tax on its earnings to the extent that it distributes its annual taxable income to its stockholders and as long as certain asset, income and stock ownership tests are met. We operate in a manner that will allow us to be taxed as a REIT. As permitted by the Internal Revenue Code, a REIT can designate dividends paid in the subsequent year as dividends of the current year if those dividends are both declared by the extended due date of the REIT's federal income tax return and paid to stockholders by the last day of the subsequent year. As a REIT, if we fail to distribute in any calendar year at least the sum of (i) 85% of our ordinary income for such year, (ii) 95% of our capital gain net income for such year and (iii) any undistributed taxable income from the prior year, we are subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (a) the amounts actually distributed and, if applicable, (b) the amounts of income we retained and on which we have paid corporate income tax. Dividends declared by December 31 and paid by January 31 are treated as having been a distribution of our taxable income for the prior tax year. We and our wholly-owned subsidiary, American Capital Agency TRS, LLC ("AGNC TRS"), have made a joint election to treat AGNC TRS as a taxable REIT subsidiary. As such, AGNC TRS is subject to federal and state income tax. All other subsidiaries are disregarded entities for federal income tax purposes. As such, their assets, liabilities and income would generally be treated as our assets, liabilities and income for purposes of federal and state income taxes. We evaluate uncertain income tax positions, if any, in accordance with ASC Topic 740, Income Taxes ("ASC 740"). To the extent we incur interest and/or penalties in connection with our tax obligations, such amounts shall be classified as income tax expense on our consolidated statements of operations. Income Taxes The following table summarizes dividends for federal income tax purposes declared for fiscal tax years 2015 , 2014 and 2013 and their related tax characterization (in millions, except per share amounts): Tax Characterization Fiscal Tax Year Dividends Declared Per Share Dividends Declared Ordinary Income Per Share Qualified Dividends Long-Term Capital Gains Per Share 8.000 % Series A Cumulative Redeemable Preferred Stock Fiscal year 2015 $ 2.000000 $ 14 $ 2.000000 $ — $ — Fiscal year 2014 $ 2.000000 $ 14 $ 2.000000 $ — $ — Fiscal year 2013 $ 2.000000 $ 14 $ 2.000000 $ 0.015980 $ — 7.750% Series B Cumulative Redeemable Preferred Stock (Per Depositary Share) Fiscal year 2015 $ 1.937500 $ 14 $ 1.937500 $ — $ — Fiscal year 2014 $ 0.844965 $ 6 $ 0.844965 $ — $ — Common Stock Fiscal year 2015 $ 2.480000 $ 863 $ 2.480000 $ — $ — Fiscal year 2014 $ 2.610000 $ 921 $ 2.610000 $ — $ — Fiscal year 2013 $ 3.750000 $ 1,453 $ 3.750000 $ 0.029963 $ — As of December 31, 2015 , we had distributed all of our estimated taxable income for fiscal year 2015 . Accordingly, we do not expect to incur an income tax liability on our 2015 taxable income. For fiscal years 2014 and 2013 , we distributed all of our taxable income within the limits prescribed by the Internal Revenue Code. Accordingly, we did not incur an income tax liability on our taxable income for such periods. For fiscal year 2013 , we did not distribute the required minimum amount of taxable income pursuant to federal excise tax requirements, as described in Note 2, and consequently we accrued an excise tax of $3 million , which is included in our net income tax provision on our accompanying consolidated statements of operations and comprehensive income. Additionally, for fiscal year 2013 , we recorded an income tax provision of $10 million , attributable to our TRS, which is included in our net income tax provision on our accompanying consolidated statements of comprehensive income. The statutory combined federal and state corporate tax rate for our TRS was 39.5% for fiscal year 2013 . For fiscal years 2015 and 2014 , we did not record an income tax provision attributable to our TRS. Based on our analysis of any potential uncertain income tax positions, we concluded that we do not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2015 , 2014 and 2013 . Our tax returns for tax years 2012 and forward are open to examination by the IRS. In the event that we incur income tax related interest and penalties, our policy is to classify them as a component of provision for income taxes. |
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Derivatives, Policy [Policy Text Block] | Discontinuation of hedge accounting for interest rate swap agreements Prior to fiscal year 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, during fiscal year 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. |
Investment Securities (Tables)
Investment Securities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-sale Securities [Table Text Block] | December 31, 2015 Investments in Mortgage-Backed Securities Fannie Mae Freddie Mac Ginnie Mae Non-Agency Total Available-for-sale MBS: MBS, par value $ 39,205 $ 10,575 $ 62 $ 113 $ 49,955 Unamortized discount (32 ) (4 ) — — (36 ) Unamortized premium 1,707 519 1 1 2,228 Amortized cost 40,880 11,090 63 114 52,147 Gross unrealized gains 286 80 2 — 368 Gross unrealized losses (283 ) (111 ) — (1 ) (395 ) Total available-for-sale MBS, at fair value 40,883 11,059 65 113 52,120 MBS remeasured at fair value through earnings: Interest-only and principal-only strips, amortized cost 1 298 19 — — 317 Gross unrealized gains 35 4 — — 39 Gross unrealized losses (2 ) (1 ) — — (3 ) Total MBS remeasured at fair value through earnings 331 22 — — 353 Total MBS, at fair value $ 41,214 $ 11,081 $ 65 $ 113 $ 52,473 Weighted average coupon as of December 31, 2015 2 3.62 % 3.69 % 3.18 % 3.50 % 3.63 % Weighted average yield as of December 31, 2015 3 2.79 % 2.77 % 1.97 % 3.33 % 2.78 % ________________________ 1. The underlying unamortized principal balance ("UPB" or "par value") of our interest-only securities was $1.0 billion and the weighted average contractual interest we are entitled to receive was 5.28% of this amount as of December 31, 2015 . The par value of our principal-only securities was $207 million as of December 31, 2015 . 2. The weighted average coupon includes the interest cash flows from our interest-only securities and is stated as a percentage of par value (excluding the UPB of our interest-only securities) as of December 31, 2015 . 3. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2015 . December 31, 2014 Investments in Mortgage-Backed Securities Fannie Mae Freddie Mac Ginnie Mae Total Available-for-sale MBS: MBS, par value $ 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 MBS, at fair value 45,075 11,159 112 56,346 MBS measured 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 MBS measured at fair value through earnings 376 26 — 402 Total 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 % ________________________ 1. The underlying UPB of our interest-only securities 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 securities was $242 million as of December 31, 2014 . 2. The weighted average coupon includes the interest cash flows from our interest-only securities and is stated as a percentage of par value (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 . |
Components of Investment Securities | The following tables summarize our investments in MBS as of December 31, 2015 and 2014 (dollars in millions): December 31, 2015 Investments in Mortgage-Backed Securities Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Agency MBS: Fixed rate $ 50,576 $ 339 $ (393 ) $ 50,522 Adjustable rate 484 11 — 495 CMO 973 18 (1 ) 990 Interest-only and principal-only strips 317 39 (3 ) 353 Total agency MBS 52,350 407 (397 ) 52,360 Non-agency MBS: AAA non-agency 114 — (1 ) 113 Total MBS $ 52,464 $ 407 $ (398 ) $ 52,473 December 31, 2014 Investments in Mortgage-Backed Securities Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Agency MBS: 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 MBS $ 56,148 $ 791 $ (191 ) $ 56,748 |
Summary Of Agency Securities Estimated Weighted Average Life Classifications | The following table summarizes our investments classified as available-for-sale as of December 31, 2015 and 2014 according to their estimated weighted average life classification (dollars in millions): December 31, 2015 December 31, 2014 Estimated Weighted Average Life of Securities 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 $ 167 $ 163 4.02% 2.66% $ 289 $ 280 4.08% 2.62% > 3 years and ≤ 5 years 17,497 17,343 3.27% 2.40% 22,153 21,820 3.26% 2.40% > 5 years and ≤10 years 34,206 34,391 3.67% 2.93% 33,271 33,055 3.73% 2.92% > 10 years 250 250 3.56% 3.08% 633 621 3.28% 3.15% Total $ 52,120 $ 52,147 3.54% 2.75% $ 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 fiscal years 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 securities by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2015 and 2014 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss Estimated Fair Value Unrealized Loss December 31, 2015 $ 24,035 $ (200 ) $ 6,793 $ (195 ) $ 30,828 $ (395 ) 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 securities classified as available-for-sale for fiscal years 2015 , 2014 and 2013 (in millions): Fiscal Year Securities Classified as Available-for-Sale 2015 2014 2013 MBS sold, at cost $ (27,578 ) $ (30,123 ) $ (81,516 ) Proceeds from agency MBS sold 1 27,555 30,174 80,108 Net gain (loss) on sale of MBS $ (23 ) $ 51 $ (1,408 ) Gross gain on sale of MBS $ 98 $ 172 $ 217 Gross loss on sale of MBS (121 ) (121 ) (1,625 ) Net gain (loss) on sale of MBS $ (23 ) $ 51 $ (1,408 ) ________________________ 1. Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end. |
Repurchase Agreements and Oth23
Repurchase Agreements and Other Debt (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2015 and 2014 (dollars in millions): December 31, 2015 December 31, 2014 Remaining Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Agency repo: ≤ 1 month $ 17,579 0.54 % 14 $ 14,157 0.37 % 15 > 1 to ≤ 3 months 14,283 0.64 % 58 20,223 0.38 % 61 > 3 to ≤ 6 months 3,154 0.61 % 121 6,654 0.42 % 120 > 6 to ≤ 9 months 589 0.65 % 199 1,575 0.50 % 225 > 9 to ≤ 12 months 1,201 0.65 % 307 2,678 0.54 % 313 > 12 to ≤ 24 months 1,473 0.73 % 600 600 0.57 % 551 > 24 to ≤ 36 months 650 0.81 % 901 952 0.60 % 999 > 36 to ≤ 48 months 1,300 0.86 % 1,231 650 0.64 % 1,266 > 48 to < 60 months 1,500 0.76 % 1,477 900 0.68 % 1,542 Total agency repo 41,729 0.61 % 173 48,389 0.41 % 143 U.S. Treasury repo: 1 day 25 — % 1 1,907 0.09 % 1 Total $ 41,754 0.61 % 173 $ 50,296 0.40 % 138 |
Schedule of Federal Home Loan Bank Advances and Weighted Average Interest Rates [Table Text Block] | As of December 31, 2015 , we had $3.8 billion of outstanding secured FHLB advances, with a weighted average borrowing rate of 0.53% and a weighted average remaining term to maturity of 141 days through February 2017 (the termination date of our FHLB membership), consisting of 30 day and longer-term floating rate advances: December 31, 2015 Remaining Maturity FHLB Advances Weighted Average Interest Rate Weighted Average Days to Maturity ≤ 1 month $ 1,952 0.47 % 14 > 1 to ≤ 3 months 681 0.60 % 84 13 months 1 1,120 0.58 % 397 Total FHLB advances $ 3,753 0.53 % 141 |
Derivative and Other Hedging 24
Derivative and Other Hedging Instruments (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2015 and 2014 (in millions): December 31, Derivative and Other Hedging Instruments Balance Sheet Location 2015 2014 Interest rate swaps Derivative assets, at fair value $ 31 $ 136 Swaptions Derivative assets, at fair value 17 75 TBA securities Derivative assets, at fair value 29 197 U.S. Treasury futures - short Derivative assets, at fair value 4 — Total derivative assets, at fair value $ 81 $ 408 Interest rate swaps Derivative liabilities, at fair value $ (920 ) $ (880 ) TBA securities Derivative liabilities, at fair value (15 ) (5 ) U.S. Treasury futures - short Derivative liabilities, at fair value — (5 ) Total derivative liabilities, at fair value $ (935 ) $ (890 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 25 $ 2,427 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (1,696 ) (5,363 ) Total - U.S. Treasury securities, net at fair value $ (1,671 ) $ (2,936 ) |
Schedule of Interest Rate Swaption Agreements Outstanding | The following table summarizes our interest rate payer swaption agreements outstanding as of December 31, 2015 and 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) December 31, 2015 Total ≤ 1 year $ 74 $ 17 4 $ 2,150 3.51% 3M 7.0 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 $ 145 $ 46 8 $ 6,800 3.28% 3M 6.2 The following table summarizes our interest rate receiver swaption agreements outstanding as of 2014 (dollars in millions). We did not have any interest rate receiver swaptions outstanding as of December 31, 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 December 31, 2015 and 2014 (in millions): December 31, 2015 December 31, 2014 Maturity Face Amount Net Long / (Short) Cost Basis Market Value Face Amount Net Long / (Short) Cost Basis Market Value 5 years $ (250 ) $ (249 ) $ (249 ) $ (4,674 ) $ (4,650 ) $ (4,645 ) 7 years (354 ) (353 ) (352 ) (717 ) (717 ) (718 ) 10 years (1,085 ) (1,078 ) (1,070 ) 2,410 2,422 2,427 Total U.S. Treasury securities, net $ (1,689 ) $ (1,680 ) $ (1,671 ) $ (2,981 ) $ (2,945 ) $ (2,936 ) |
US Government Futures Securities [Table Text Block] | The following table summarizes our U.S. Treasury futures as of December 31, 2015 and 2014 (in millions): December 31, 2015 December 31, 2014 Maturity 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 5 years $ (730 ) $ (866 ) $ (864 ) $ 2 $ — $ — $ — $ — 10 years (1,130 ) (1,424 ) (1,422 ) 2 (730 ) (920 ) (925 ) (5 ) Total U.S. Treasury futures $ (1,860 ) $ (2,290 ) $ (2,286 ) $ 4 $ (730 ) $ (920 ) $ (925 ) $ (5 ) _____________________ 1. Notional amount represents the par value (or principal balance) of the underlying U.S. Treasury security. 2. Cost basis represents the forward price to be paid / (received) for the underlying U.S. Treasury security. 3. Market value represents the current market value of U.S. Treasury futures as of period-end. 4. Net carrying value represents the difference between the market value and the cost basis of U.S. Treasury futures as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets. |
Summary of Long and Short Position of Derivative Instruments | The following tables summarize our TBA securities as of December 31, 2015 and 2014 (in millions): December 31, 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% $ (80 ) $ (81 ) $ (80 ) $ 1 $ 962 $ 968 $ 980 $ 12 3.0% 225 233 232 (1 ) 2,779 2,889 2,888 (1 ) 3.5% 136 143 142 (1 ) (468 ) (495 ) (494 ) 1 4.0% — — — — (13 ) (14 ) (14 ) — Total 15-Year TBAs 281 295 294 (1 ) 3,260 3,348 3,360 12 30-Year TBA securities: 3.0% 3,914 3,911 3,916 5 5,254 5,259 5,313 54 3.5% 1,497 1,536 1,539 3 7,902 8,151 8,232 81 4.0% 1,575 1,658 1,665 7 (1,853 ) (2,019 ) (1,974 ) 45 4.5% 28 30 30 — (151 ) (163 ) (163 ) — Total 30-Year TBAs 7,014 7,135 7,150 15 11,152 11,228 11,408 180 Total net TBA securities $ 7,295 $ 7,430 $ 7,444 $ 14 $ 14,412 $ 14,576 $ 14,768 $ 192 December 31, 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 $ 6,033 $ 6,145 $ 6,159 $ 14 $ 15,127 $ 15,316 $ 15,509 $ 193 Freddie Mac 689 703 703 — (715 ) (740 ) (741 ) (1 ) Ginnie Mae 573 582 582 — — — — — TBA securities, net $ 7,295 $ 7,430 $ 7,444 $ 14 $ 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 fiscal years 2015 , 2014 and 2013 (in millions): Fiscal year 2015 Derivative and Other Hedging Instruments Notional Amount Long/(Short) December 31, 2014 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) December 31, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 14,412 119,922 (127,039 ) $ 7,295 $ 305 Interest rate swaps $ (43,700 ) (4,950 ) 8,125 $ (40,525 ) (932 ) Payer swaptions $ (6,800 ) (1,500 ) 6,150 $ (2,150 ) (35 ) Receiver swaptions $ 4,250 — (4,250 ) $ — 4 U.S. Treasury securities - short position $ (5,392 ) (12,503 ) 16,181 $ (1,714 ) (68 ) U.S. Treasury securities - long position $ 2,411 33,525 (35,911 ) $ 25 (38 ) U.S. Treasury futures contracts - short position $ (730 ) (4,480 ) 3,350 $ (1,860 ) (12 ) $ (776 ) ________________________________ 1. Excludes a net gain of $16 million from debt of consolidated VIEs, a net gain of $5 million from interest and principal-only securities and other miscellaneous net losses of $4 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Fiscal year 2014 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) December 31, 2014 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 2,119 213,627 (201,334 ) $ 14,412 $ 1,117 Interest rate swaps $ (43,250 ) (20,550 ) 20,100 $ (43,700 ) (1,838 ) Payer swaptions $ (14,250 ) (5,250 ) 12,700 $ (6,800 ) (193 ) Receiver swaptions $ — 5,500 (1,250 ) $ 4,250 11 U.S. Treasury securities - short position $ (2,007 ) (36,489 ) 33,104 $ (5,392 ) (420 ) U.S. Treasury securities - long position $ 3,927 18,549 (20,065 ) $ 2,411 66 U.S. Treasury futures contracts - short position $ (1,730 ) (2,920 ) 3,920 $ (730 ) (76 ) TBA put option $ — (150 ) 150 $ — — $ (1,333 ) ______________________ 1. Excludes a net gain of $75 million from investments in REIT equity securities, a net loss of $10 million from debt of consolidated VIEs, a net gain of $32 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. Fiscal year 2013 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) December 31, 2013 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 12,477 42,707 (53,065 ) $ 2,119 $ (726 ) Interest rate swaps $ (46,850 ) (20,750 ) 24,350 $ (43,250 ) 1,145 Payer swaptions $ (14,450 ) (23,800 ) 24,000 $ (14,250 ) 258 U.S. Treasury securities - short position $ (11,835 ) (31,941 ) 41,769 $ (2,007 ) 472 U.S. Treasury securities - long position $ — 27,805 (23,878 ) $ 3,927 (42 ) U.S. Treasury futures contracts - short position $ — (9,239 ) 7,509 $ (1,730 ) 49 TBA put option $ — (50 ) 50 $ — — $ 1,156 ______________________ 1. Excludes a net gain of $2 million from investments in REIT equity securities, a net gain of $39 million from debt of consolidated VIEs and other miscellaneous net losses of $6 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 December 31, 2015 and 2014 (dollars in millions): December 31, 2015 Payer Interest Rate Swaps Notional Amount 1 Average Average Receive Rate 3 Net Estimated Fair Value Average Maturity (Years) ≤ 3 years $ 14,775 1.06% 0.40% $ (23 ) 1.6 > 3 to ≤ 5 years 9,950 2.03% 0.40% (203 ) 4.0 > 5 to ≤ 7 years 7,175 2.47% 0.44% (230 ) 6.1 > 7 to ≤ 10 years 7,450 2.57% 0.39% (342 ) 8.3 > 10 years 1,175 3.20% 0.39% (91 ) 14.7 Total payer interest rate swaps $ 40,525 1.89% 0.40% $ (889 ) 4.6 ________________________ 1. Notional amount includes forward starting swaps of $4.5 billion with an average forward start date of 0.7 years and an average maturity of 5.5 years from December 31, 2015 . 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.75% as of December 31, 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) | 12 Months Ended |
Dec. 31, 2015 | |
Pledged Assets [Abstract] | |
Schedule of Financial Instruments Owned and Pledged as Collateral | The following tables summarize our assets pledged as collateral under our funding, derivative and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2015 and 2014 (in millions): December 31, 2015 Assets Pledged to Counterparties Repurchase Agreements and FHLB Advances 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 47,992 $ 1,029 $ 148 $ 485 $ 49,654 AAA non-agency MBS - fair value 113 — — — 113 U.S. Treasury securities - fair value 25 — — — 25 Accrued interest on pledged securities 135 3 — 2 140 Restricted cash and cash equivalents 23 — 1,226 32 1,281 Total $ 48,288 $ 1,032 $ 1,374 $ 519 $ 51,213 ______________________ 1. Includes $245 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements. December 31, 2014 Assets Pledged to Counterparties Repurchase Agreements 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 51,037 $ 1,266 $ 69 $ 702 $ 53,074 U.S. Treasury securities - fair value 1,904 — 550 — 2,454 Accrued interest on pledged securities 147 4 2 — 153 Restricted cash and cash equivalents 6 — 698 9 713 Total $ 53,094 $ 1,270 $ 1,319 $ 711 $ 56,394 ______________________ 1. Includes $179 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements. |
Schedules Of Securities Pledged As Collateral Under Repurchase Agreement | The following table summarizes our securities pledged as collateral under our repurchase agreements and FHLB advances by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of December 31, 2015 and 2014 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . December 31, 2015 December 31, 2014 Securities Pledged by Remaining Maturity of Repurchase Agreements and FHLB Advances 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 MBS: 1 ≤ 30 days $ 20,053 $ 20,075 $ 57 $ 14,659 $ 14,509 $ 41 > 30 and ≤ 60 days 8,311 8,340 23 10,906 10,784 30 > 60 and ≤ 90 days 7,534 7,525 21 10,205 10,109 28 > 90 days 12,207 12,187 34 15,267 15,096 43 Total MBS 48,105 48,127 135 51,037 50,498 142 U.S. Treasury securities: 1 day 25 25 — 1,904 1,899 5 Total $ 48,130 $ 48,152 $ 135 $ 52,941 $ 52,397 $ 147 ______________________ 1. Includes $245 million and $179 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements, as of December 31, 2015 and 2014 , respectively. |
Schedule of Securities and Cash Pledged as Collateral from Counterparties | As of December 31, 2015 and 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). December 31, 2015 December 31, 2014 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Total Reverse Repurchase Agreements Derivative Agreements Total Agency MBS - fair value $ — $ — $ — $ — $ 43 $ 43 U.S. Treasury securities - fair value 1,702 — 1,702 5,363 47 5,410 Cash — — — — 28 28 Total $ 1,702 $ — $ 1,702 $ 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 December 31, 2015 and 2014 (in millions): Offsetting of Financial 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 December 31, 2015 Interest rate swap and swaption agreements, at fair value 1 $ 48 $ — $ 48 $ (31 ) $ — $ 17 Receivable under reverse repurchase agreements 1,713 — 1,713 (1,356 ) (357 ) — Total $ 1,761 $ — $ 1,761 $ (1,387 ) $ (357 ) $ 17 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 $ 5,429 $ — $ 5,429 $ (4,784 ) $ (611 ) $ 34 |
Offsetting Liabilities | Offsetting of Financial 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 December 31, 2015 Interest rate swap agreements, at fair value 1 $ 920 $ — $ 920 $ (31 ) $ (889 ) $ — Repurchase agreements and FHLB advances 45,507 — 45,507 (1,356 ) (44,151 ) — Total $ 46,427 $ — $ 46,427 $ (1,387 ) $ (45,040 ) $ — 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 $ 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 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities pledged / received 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) | 12 Months Ended |
Dec. 31, 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 December 31, 2015 and 2014 (in millions): December 31, 2015 December 31, 2014 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 51,331 $ — $ — $ 55,482 $ — Agency securities transferred to consolidated VIEs — 1,029 — — 1,266 — Non-agency securities — 113 — — — — U.S. Treasury securities 25 — — 2,427 — — Interest rate swaps — 31 — — 136 — Swaptions — 17 — — 75 — REIT equity securities 33 — — 68 — — TBA securities — 29 — — 197 — U.S. Treasury futures 4 — — — — — Total $ 62 $ 52,550 $ — $ 2,495 $ 57,156 $ — Liabilities: Debt of consolidated VIEs $ — $ 595 $ — $ — $ 761 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 1,696 — — 5,363 — — Interest rate swaps — 920 — — 880 — TBA securities — 15 — — 5 — U.S. Treasury futures — — — 5 — — Total $ 1,696 $ 1,530 $ — $ 5,368 $ 1,646 $ — |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Dividends Declared [Table Text Block] | The following table summarizes dividends for federal income tax purposes declared for fiscal tax years 2015 , 2014 and 2013 and their related tax characterization (in millions, except per share amounts): Tax Characterization Fiscal Tax Year Dividends Declared Per Share Dividends Declared Ordinary Income Per Share Qualified Dividends Long-Term Capital Gains Per Share 8.000 % Series A Cumulative Redeemable Preferred Stock Fiscal year 2015 $ 2.000000 $ 14 $ 2.000000 $ — $ — Fiscal year 2014 $ 2.000000 $ 14 $ 2.000000 $ — $ — Fiscal year 2013 $ 2.000000 $ 14 $ 2.000000 $ 0.015980 $ — 7.750% Series B Cumulative Redeemable Preferred Stock (Per Depositary Share) Fiscal year 2015 $ 1.937500 $ 14 $ 1.937500 $ — $ — Fiscal year 2014 $ 0.844965 $ 6 $ 0.844965 $ — $ — Common Stock Fiscal year 2015 $ 2.480000 $ 863 $ 2.480000 $ — $ — Fiscal year 2014 $ 2.610000 $ 921 $ 2.610000 $ — $ — Fiscal year 2013 $ 3.750000 $ 1,453 $ 3.750000 $ 0.029963 $ — |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity [Table Text Block] | The following table summarizes restricted stock and RSU transactions for fiscal years 2015 , 2014 and 2013 : Shares of Restricted Stock Restricted Stock Units Weighted Average Grant Date Fair Value 1 Weighted Average Vest Date Fair Value 2 Fiscal Year 2015 Unvested balance as of December 31, 2014 14,000 18,239 $ 25.11 $ — Granted — 28,880 $ 21.64 $ — Accrued RSU dividend equivalents — 3,319 $ — $ — Vested 9,000 19,007 $ 23.17 $ 21.03 Unvested balance as of December 31, 2015 5,000 31,431 $ 21.44 $ — Fiscal Year 2014 Unvested balance as of December 31, 2013 27,000 — $ 30.37 $ — Granted — 16,770 $ 22.36 $ — Accrued RSU dividend equivalents — 1,469 $ — $ — Vested 13,000 — $ 30.01 $ 22.01 Unvested balance as of December 31, 2014 14,000 18,239 $ 25.11 $ — Fiscal Year 2013 Unvested balance as of December 31, 2012 21,500 — $ 29.06 $ — Granted 15,000 — $ 31.20 $ — Vested 9,500 — $ 28.71 $ 30.56 Unvested balance as of December 31, 2013 27,000 — $ 30.37 $ — _______________________ 1. Accrued RSU dividend equivalents have a weighted average grant date fair value of $0. 2. Weighted average vest date fair value is based on the closing price of our common stock on the vest date. |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes changes to accumulated OCI for fiscal years 2015 , 2014 and 2013 (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 Fiscal Year 2015 Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 OCI before reclassifications (620 ) — (620 ) Amounts reclassified from accumulated OCI 23 101 124 Balance as of December 31, 2015 $ (27 ) $ (39 ) $ (66 ) Fiscal Year 2014 Balance as of December 31, 2013 $ (1,087 ) $ (296 ) $ (1,383 ) OCI before reclassifications 1,708 — 1,708 Amounts reclassified from accumulated OCI (51 ) 156 105 Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 Fiscal Year 2013 Balance as of December 31, 2012 $ 2,040 $ (485 ) $ 1,555 OCI before reclassifications (4,535 ) — (4,535 ) Amounts reclassified from accumulated OCI 1,408 189 1,597 Balance as of December 31, 2013 $ (1,087 ) $ (296 ) $ (1,383 ) The following table summarizes reclassifications out of accumulated OCI for fiscal years 2015 , 2014 and 2013 (in millions): Fiscal Year Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2015 2014 2013 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 23 $ (51 ) $ 1,408 Gain (loss) on sale of agency securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 101 156 189 Interest expense Total reclassifications $ 124 $ 105 $ 1,597 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Dividends Declared [Table Text Block] | The following table summarizes dividends for federal income tax purposes declared for fiscal tax years 2015 , 2014 and 2013 and their related tax characterization (in millions, except per share amounts): Tax Characterization Fiscal Tax Year Dividends Declared Per Share Dividends Declared Ordinary Income Per Share Qualified Dividends Long-Term Capital Gains Per Share 8.000 % Series A Cumulative Redeemable Preferred Stock Fiscal year 2015 $ 2.000000 $ 14 $ 2.000000 $ — $ — Fiscal year 2014 $ 2.000000 $ 14 $ 2.000000 $ — $ — Fiscal year 2013 $ 2.000000 $ 14 $ 2.000000 $ 0.015980 $ — 7.750% Series B Cumulative Redeemable Preferred Stock (Per Depositary Share) Fiscal year 2015 $ 1.937500 $ 14 $ 1.937500 $ — $ — Fiscal year 2014 $ 0.844965 $ 6 $ 0.844965 $ — $ — Common Stock Fiscal year 2015 $ 2.480000 $ 863 $ 2.480000 $ — $ — Fiscal year 2014 $ 2.610000 $ 921 $ 2.610000 $ — $ — Fiscal year 2013 $ 3.750000 $ 1,453 $ 3.750000 $ 0.029963 $ — |
Quarterly Results (Tables)
Quarterly Results (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Quarterly Financial Information | The following is a presentation of the quarterly results of operations and comprehensive income for fiscal years 2015 and 2014 (in millions, except per share data). Quarter Ended March 31, 2015 June 30, 2015 September 30, 2015 December 31, 2015 Interest income: Interest income $ 383 $ 414 $ 295 $ 374 Interest expense 86 81 77 86 Net interest income 297 333 218 288 Other gain (loss): Gain (loss) on sale of agency securities, net 36 (22 ) (39 ) 2 Gain (loss) on derivative instruments and other securities, net (549 ) 237 (778 ) 331 Total other gain (loss), net (513 ) 215 (817 ) 333 Expenses: Management fees 30 29 29 28 General and administrative expenses 6 7 5 5 Total expenses 36 36 34 33 Net income (loss) (252 ) 512 (633 ) 588 Dividend on preferred stock 7 7 7 7 Net income (loss) available (attributable) to common shareholders $ (259 ) $ 505 $ (640 ) $ 581 Net income (loss) $ (252 ) $ 512 $ (633 ) $ 588 Other comprehensive income (loss): Unrealized gain (loss) on available-for-sale securities, net 391 (872 ) 467 (583 ) Unrealized gain on derivative instruments, net 29 26 24 22 Other comprehensive income (loss) 420 (846 ) 491 (561 ) Comprehensive income (loss) 168 (334 ) (142 ) 27 Dividend on preferred stock 7 7 7 7 Comprehensive income (loss) available (attributable) to common shareholders $ 161 $ (341 ) $ (149 ) $ 20 Weighted average number of common shares outstanding-basic and diluted 352.8 352.1 347.8 341.6 Net income (loss) per common share - basic and diluted $ (0.73 ) $ 1.43 $ (1.84 ) $ 1.70 Comprehensive income (loss) per common share - basic and diluted $ 0.46 $ (0.97 ) $ (0.43 ) $ 0.06 Dividends declared per common share $ 0.66 $ 0.62 $ 0.60 $ 0.60 Quarter Ended March 31, June 30, 2014 September 30, December 31, Interest income: Interest income $ 399 $ 385 $ 357 $ 331 Interest expense 108 95 88 81 Net interest income 291 290 269 250 Other loss: Gain (loss) on sale of agency securities, net (19 ) 22 14 34 Loss on derivative instruments and other securities, net (378 ) (244 ) (51 ) (572 ) Total other loss, net (397 ) (222 ) (37 ) (538 ) Expenses: Management fees 29 30 30 30 General and administrative expenses 6 6 5 5 Total expenses 35 36 35 35 Net income (loss) (141 ) 32 197 (323 ) Dividend on preferred stock 3 5 7 7 Net income (loss) available (attributable) to common shareholders $ (144 ) $ 27 $ 190 $ (330 ) Net income (loss) $ (141 ) $ 32 $ 197 $ (323 ) Other comprehensive income (loss): Unrealized gain (loss) on available-for-sale securities, net 521 790 (253 ) 599 Unrealized gain on derivative instruments, net 43 40 38 35 Other comprehensive income (loss) 564 830 (215 ) 634 Comprehensive income (loss) 423 862 (18 ) 311 Dividend on preferred stock 3 5 7 7 Comprehensive income (loss) available (attributable) to common shareholders $ 420 $ 857 $ (25 ) $ 304 Weighted average number of common shares outstanding-basic and diluted 354.8 352.8 352.8 352.8 Net income (loss) per common share - basic and diluted $ (0.41 ) $ 0.08 $ 0.54 $ (0.94 ) Comprehensive income (loss) per common share - basic and diluted $ 1.18 $ 2.43 $ (0.07 ) $ 0.86 Dividends declared per common share $ 0.65 $ 0.65 $ 0.65 $ 0.66 |
Organization (Details)
Organization (Details) | 12 Months Ended |
Dec. 31, 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 Accoun31
Summary of Significant Accounting Policies (Details) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative [Line Items] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
REIT Ordinary Income Distribution % | 85.00% |
REIT Capital Gain Distribution % | 95.00% |
Excise Tax Rate | 4.00% |
Investment Securities (Narrativ
Investment Securities (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 52,473 | ||
Total agency MBS, at fair value | $ 52,360 | $ 56,748 | |
Weighted average expected constant prepayment rate | 8.00% | 9.00% | |
Weighted average life of interest-only strips | 6 years 1 month 23 days | 6 years 17 days | |
Weighted average life of principal-only strips | 8 years 3 days | 8 years 28 days | |
Agency securities, total fair value | $ 1,000 | $ 1,300 | |
Debt, at fair value | 595 | 761 | |
Principal balance of agency securities collaterizing debt issued by securitization trust | (1,000) | 1,200 | |
Principal amount | 587 | 742 | |
Gain (loss) associated with consolidated debt | 16 | (10) | |
Fair value of CMO securities and interest-only and principal-only strips | 1,300 | 1,600 | |
Securitized CMO Securities | 1,800 | 2,100 | |
CMO and Interest Only, Principal Only Securities, Maximum Loss Exposure | 238 | 274 | |
Agency Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Unamortized premium balance | 2,300 | 2,500 | |
Interest Only And Principal Only Strip [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Net unrealized gain | 5 | 32 | $ 39 |
TBA securities Fifteen Year and Thirty Year Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Net long TBA position, at fair value | 7,400 | 14,800 | |
TBA, net carrying value | $ 14 | $ 192 |
Investment Securities (Summary
Investment Securities (Summary of Investment in Agency Security) (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Amortized cost | $ 52,147 | $ 55,776 |
Non-Agency Securities Unrealized Gain | 0 | |
Non-Agency Securities Unrealized Loss | (1) | |
Mortgage Backed Securities Amortized Cost | 52,464 | |
Mortgage Backed Securities Unrealized Gain | 407 | |
Mortgage Backed Securities Unrealized Loss | (398) | |
Gross unrealized gain | 407 | 791 |
Gross unrealized loss | (397) | (191) |
Fair value | 52,120 | 56,346 |
Total agency MBS, amortized cost | 52,350 | 56,148 |
Total agency MBS, at fair value | 52,360 | 56,748 |
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 52,473 | |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Amortized cost | 114 | |
Interest-only and principal-only strips, fair value | 113 | |
Total agency MBS, at fair value | 113 | |
Fixed Income Securities [Member] | ||
Gross unrealized gain | 339 | 715 |
Gross unrealized loss | (393) | 187 |
Fixed Income Securities [Member] | Agency Securities [Member] | ||
Amortized cost | 50,576 | 53,945 |
Fair value | 50,522 | 54,473 |
Adjustable-Rate [Member] | ||
Gross unrealized gain | 11 | 19 |
Gross unrealized loss | 0 | 0 |
Adjustable-Rate [Member] | Agency Securities [Member] | ||
Amortized cost | 484 | 659 |
Fair value | 495 | 678 |
Collateralized Mortgage Obligations [Member] | ||
Gross unrealized gain | 18 | 24 |
Gross unrealized loss | (1) | 1 |
Collateralized Mortgage Obligations [Member] | Agency Securities [Member] | ||
Amortized cost | 973 | 1,172 |
Fair value | 990 | 1,195 |
Interest Only And Principal Only Strip [Member] | ||
Gross unrealized gain | 39 | 33 |
Gross unrealized loss | (3) | 3 |
Interest Only And Principal Only Strip [Member] | Agency Securities [Member] | ||
Interest-only and principal-only strips, amortized cost | 317 | 372 |
Interest-only and principal-only strips, fair value | $ 353 | $ 402 |
Investment Securities (Componen
Investment Securities (Components Of Investment Securities) (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | |||
Schedule of Investments [Line Items] | ||||
Amortized cost | $ 52,147 | $ 55,776 | ||
Total agency MBS, at fair value | 52,360 | $ 56,748 | ||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 52,473 | |||
Weighted average coupon | 3.63% | 3.65% | [1] | |
Weighted average yield | 2.78% | 2.74% | [2] | |
Unamortized Principal Balance Of Interest Only Strips | $ 1,000 | $ 1,200 | ||
Weighted Average Contractual Interest Rate Of Interest Only Strips | 5.28% | 5.46% | ||
Unamortized Principal Balance Of Principal Only Strips | $ 207 | $ 242 | ||
Future Prepayment Rate Assumption Of Investment Portfolio | 8.00% | 9.00% | ||
Available-for-sale Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
MBS, par value | $ 49,955 | $ 53,422 | ||
Unamortized discount | (36) | (42) | ||
Unamortized premium | 2,228 | 2,396 | ||
Amortized cost | 52,147 | 55,776 | ||
Gross unrealized gains | 368 | 758 | ||
Gross unrealized losses | (395) | (188) | ||
Total available-for-sale MBS, at fair value | 52,120 | 56,346 | ||
Agency securities remeasured at fair value through earnings [Member] | ||||
Schedule of Investments [Line Items] | ||||
Interest-only and principal-only strips, amortized cost | 317 | 372 | ||
Gross unrealized gains | 39 | 33 | ||
Gross unrealized losses | (3) | (3) | ||
Total MBS measured at fair value through earnings | 353 | 402 | ||
Fannie Mae [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total agency MBS, at fair value | $ 41,214 | $ 45,451 | ||
Weighted average coupon | [1] | 3.62% | 3.63% | |
Weighted average yield | [2] | 2.79% | 2.75% | |
Fannie Mae [Member] | Available-for-sale Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
MBS, par value | $ 39,205 | $ 42,749 | ||
Unamortized discount | (32) | (37) | ||
Unamortized premium | 1,707 | 1,880 | ||
Amortized cost | 40,880 | 44,592 | ||
Gross unrealized gains | 286 | 610 | ||
Gross unrealized losses | (283) | (127) | ||
Total available-for-sale MBS, at fair value | 40,883 | 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 | 298 | 348 | ||
Gross unrealized gains | 35 | 30 | ||
Gross unrealized losses | (2) | (2) | ||
Total MBS measured at fair value through earnings | 331 | 376 | ||
Freddie Mac [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total agency MBS, at fair value | $ 11,081 | $ 11,185 | ||
Weighted average coupon | [1] | 3.69% | 3.70% | |
Weighted average yield | [2] | 2.77% | 2.73% | |
Freddie Mac [Member] | Available-for-sale Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
MBS, par value | $ 10,575 | $ 10,566 | ||
Unamortized discount | (4) | (5) | ||
Unamortized premium | 519 | 514 | ||
Amortized cost | 11,090 | 11,075 | ||
Gross unrealized gains | 80 | 145 | ||
Gross unrealized losses | (111) | (61) | ||
Total available-for-sale MBS, at fair value | 11,059 | 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 | 19 | 24 | ||
Gross unrealized gains | 4 | 3 | ||
Gross unrealized losses | (1) | (1) | ||
Total MBS measured at fair value through earnings | 22 | 26 | ||
Ginnie Mae [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total agency MBS, at fair value | $ 65 | $ 112 | ||
Weighted average coupon | [1] | 3.18% | 3.52% | |
Weighted average yield | [2] | 1.97% | 1.87% | |
Ginnie Mae [Member] | Available-for-sale Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
MBS, par value | $ 62 | $ 107 | ||
Unamortized discount | 0 | 0 | ||
Unamortized premium | 1 | 2 | ||
Amortized cost | 63 | 109 | ||
Gross unrealized gains | 2 | 3 | ||
Gross unrealized losses | 0 | 0 | ||
Total available-for-sale MBS, at fair value | 65 | 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 | ||
Gross unrealized gains | 0 | 0 | ||
Gross unrealized losses | 0 | 0 | ||
Total MBS measured at fair value through earnings | 0 | $ 0 | ||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||
Schedule of Investments [Line Items] | ||||
Amortized cost | 114 | |||
Total agency MBS, at fair value | $ 113 | |||
Weighted average coupon | [1] | 3.50% | ||
Weighted average yield | [2] | 3.33% | ||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Available-for-sale Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
MBS, par value | $ 113 | |||
Unamortized discount | 0 | |||
Unamortized premium | 1 | |||
Amortized cost | 114 | |||
Gross unrealized gains | 0 | |||
Gross unrealized losses | (1) | |||
Total available-for-sale MBS, at fair value | 113 | |||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Agency securities remeasured at fair value through earnings [Member] | ||||
Schedule of Investments [Line Items] | ||||
Interest-only and principal-only strips, amortized cost | 0 | |||
Gross unrealized gains | 0 | |||
Gross unrealized losses | 0 | |||
Total MBS measured at fair value through earnings | $ 0 | |||
[1] | The underlying unamortized principal balance ("UPB" or "par value") of our interest-only securities was $1.0 billion and the weighted average contractual interest we are entitled to receive was 5.28% of this amount as of December 31, 2015. The par value of our principal-only securities was $207 million as of December 31, 2015. | |||
[2] | Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2015 |
Investment Securities (Summar35
Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Agency securities classified as available for sale, Fair value | $ 52,120 | $ 56,346 |
Agency securities classified as available for sale, Amortized cost | $ 52,147 | $ 55,776 |
Weighted Average Coupon | 3.54% | 3.54% |
Weighted Average Yield | 2.75% | 2.72% |
Greater Than One Year and Less Than or Equal to Three Years [Member] | ||
Fair Value | $ 167 | $ 289 |
Amortized Cost | $ 163 | $ 280 |
Weighted Average Coupon | 4.02% | 4.08% |
Weighted Average Yield | 2.66% | 2.62% |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | ||
Fair Value | $ 17,497 | $ 22,153 |
Amortized Cost | $ 17,343 | $ 21,820 |
Weighted Average Coupon | 3.27% | 3.26% |
Weighted Average Yield | 2.40% | 2.40% |
Greater Than Five Years [Member] | ||
Fair Value | $ 34,206 | $ 33,271 |
Amortized Cost | $ 34,391 | $ 33,055 |
Weighted Average Coupon | 3.67% | 3.73% |
Weighted Average Yield | 2.93% | 2.92% |
Greater Than Ten Years [Member] | ||
Fair Value | $ 250 | $ 633 |
Amortized Cost | $ 250 | $ 621 |
Weighted Average Coupon | 3.56% | 3.28% |
Weighted Average Yield | 3.08% | 3.15% |
Investment Securities (Summar36
Investment Securities (Summary Of Changes In Accumulated OCI For Available-For-Sale Security) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Unrealized Gains and (Losses), Net | $ (583) | $ 467 | $ (872) | $ 391 | $ 599 | $ (253) | $ 790 | $ 521 | $ (597) | $ 1,657 | $ (3,127) |
Agency Securities [Member] | |||||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Beginning OCI Balance | $ 570 | $ (1,087) | 570 | (1,087) | 2,040 | ||||||
Unrealized Gains and (Losses), Net | (620) | 1,708 | (4,535) | ||||||||
Reversal of Unrealized (Gains) and Losses, Net on Realization | 23 | (51) | 1,408 | ||||||||
Ending OCI Balance | $ (27) | $ 570 | $ (27) | $ 570 | $ (1,087) |
Investment Securities (Summar37
Investment Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) - Accumulated Other Comprehensive Income (Loss) [Member] - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Unrealized Loss Position For - Estimated Fair Value - Less than 12 Months | $ 24,035 | $ 778 |
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months | (200) | (2) |
Unrealized Loss Position For - Estimated Fair Value - 12 Months or More | 6,793 | 11,679 |
Unrealized Loss Position For - Unrealized Loss - 12 Months or More | (195) | (186) |
Unrealized Loss Position For - Estimated Fair Value - Total | 30,828 | 12,457 |
Unrealized Loss Position For - Unrealized Loss - Total | $ (395) | $ (188) |
Investment Securities (Summar38
Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Proceeds from agency MBS sold | $ 48,354 | $ 56,068 | $ 54,952 | ||||||||
Net gain (loss) on sale of MBS | $ 2 | $ (39) | $ (22) | $ 36 | $ 34 | $ 14 | $ 22 | $ (19) | (23) | 51 | (1,408) |
Available-for-sale Securities [Member] | |||||||||||
Agency MBS sold, at cost | (27,578) | (30,123) | 81,516 | ||||||||
Proceeds from agency MBS sold | 27,555 | 30,174 | 80,108 | ||||||||
Net gain (loss) on sale of MBS | $ (23) | $ 51 | (1,408) | ||||||||
Gross gain on sale of MBS | 98 | 172 | 217 | ||||||||
Gross loss on sale of MBS | (121) | (121) | (1,625) | ||||||||
Interest Only And Principal Only Strip [Member] | |||||||||||
Unrealized Gain (Loss) on Securities | $ 5 | $ 32 | $ 39 |
Repurchase Agreements And Oth39
Repurchase Agreements And Other Debt (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 41,754 | $ 50,296 |
Debt of consolidated variable interest entities, at fair value | $ 595 | $ 761 |
Description of variable rate basis | LIBOR | |
Basis spread over LIBOR | 34 | 43 |
Principal amount | $ 587 | $ 742 |
Weighted average life of other debt | 4 years 10 months 27 days | 5 years 9 months |
TBA and Forward Settling Agency Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Forward Settlement Value | $ 7,430 | $ 14,576 |
Derivative, Fair Value, Net | 14 | 192 |
TBA securities Fifteen Year and Thirty Year Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Fair Value, Net | 14 | 192 |
US Treasury Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 25 | $ 1,907 |
Repurchase Agreements And Oth40
Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) $ in Millions | Dec. 31, 2015USD ($)days | Dec. 31, 2014USD ($)days |
Repurchase Agreements | $ | $ 41,754 | $ 50,296 |
Weighted Average Days to Maturity | days | 173 | 138 |
30 Days or Less [Member] | ||
Repurchase Agreements | $ | $ 17,579 | $ 14,157 |
Weighted Average Interest Rate | 0.54% | 0.37% |
Weighted Average Days to Maturity | days | 14 | 15 |
1 to 3 Months | ||
Repurchase Agreements | $ | $ 14,283 | $ 20,223 |
Weighted Average Interest Rate | 0.64% | 0.38% |
Weighted Average Days to Maturity | days | 58 | 61 |
3 to 6 Months | ||
Repurchase Agreements | $ | $ 3,154 | $ 6,654 |
Weighted Average Interest Rate | 0.61% | 0.42% |
Weighted Average Days to Maturity | days | 121 | 120 |
6 to 9 Months | ||
Repurchase Agreements | $ | $ 589 | $ 1,575 |
Weighted Average Interest Rate | 0.65% | 0.50% |
Weighted Average Days to Maturity | days | 199 | 225 |
9 to 12 Months | ||
Repurchase Agreements | $ | $ 1,201 | $ 2,678 |
Weighted Average Interest Rate | 0.65% | 0.54% |
Weighted Average Days to Maturity | days | 307 | 313 |
12 to 24 Months | ||
Repurchase Agreements | $ | $ 1,473 | $ 600 |
Weighted Average Interest Rate | 0.73% | 0.57% |
Weighted Average Days to Maturity | days | 600 | 551 |
24 to 36 Months | ||
Repurchase Agreements | $ | $ 650 | $ 952 |
Weighted Average Interest Rate | 0.81% | 0.60% |
Weighted Average Days to Maturity | days | 901 | 999 |
36 to 48 months | ||
Repurchase Agreements | $ | $ 1,300 | $ 650 |
Weighted Average Interest Rate | 0.86% | 0.64% |
Weighted Average Days to Maturity | days | 1,231 | 1,266 |
48 to 60 Months | ||
Repurchase Agreements | $ | $ 1,500 | $ 900 |
Weighted Average Interest Rate | 0.76% | 0.68% |
Weighted Average Days to Maturity | days | 1,477 | 1,542 |
Maturity Overnight [Member] | ||
Weighted Average Interest Rate | 0.00% | 0.09% |
Weighted Average Days to Maturity | days | 1 | 1 |
Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 0.61% | 0.40% |
Agency Securities [Member] | ||
Repurchase Agreements | $ | $ 41,729 | $ 48,389 |
Weighted Average Days to Maturity | days | 173 | 143 |
Agency Securities [Member] | Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 0.61% | 0.41% |
US Treasury Securities [Member] | ||
Repurchase Agreements | $ | $ 25 | $ 1,907 |
Repurchase Agreements And Oth41
Repurchase Agreements And Other Debt Federal Home Loan Bank Advances and Weighted Average Interest Rates (Details) $ in Millions | Dec. 31, 2015USD ($)days |
Short-term Debt [Line Items] | |
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.53% |
FHLB Weighted Average Days to Maturity | days | 141 |
Advances from Federal Home Loan Banks | $ | $ 3,753 |
Maturity Less than 30 Days [Member] | |
Short-term Debt [Line Items] | |
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.47% |
FHLB Weighted Average Days to Maturity | days | 14 |
Advances from Federal Home Loan Banks | $ | $ 1,952 |
thirty one to ninety [Member] | |
Short-term Debt [Line Items] | |
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.60% |
FHLB Weighted Average Days to Maturity | days | 84 |
Advances from Federal Home Loan Banks | $ | $ 681 |
13 Months [Member] | |
Short-term Debt [Line Items] | |
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.58% |
FHLB Weighted Average Days to Maturity | days | 397 |
Advances from Federal Home Loan Banks | $ | $ 1,120 |
Derivative and Other Hedging 42
Derivative and Other Hedging Instruments (Narrative) (Details) $ in Millions | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2015USD ($) | Sep. 30, 2015USD ($) | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) | Sep. 30, 2014USD ($) | Jun. 30, 2014USD ($) | Mar. 31, 2014USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($)month | Dec. 31, 2013USD ($) | Dec. 31, 2012USD ($) | |
Gain Loss on Other Debt | $ 16 | $ (10) | ||||||||||
Unrealized gain on derivative instruments, net | $ 22 | $ 24 | $ 26 | $ 29 | $ 35 | $ 38 | $ 40 | $ 43 | 101 | 156 | $ 189 | |
Net periodic interest costs on swaps | 494 | 486 | 613 | |||||||||
Derivative Instruments, Gain Reclassified from Accumulated OCI into Income, Effective Portion | 393 | 330 | 424 | |||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (776) | (1,333) | 1,156 | |||||||||
Gain (loss) on REIT Equity Securities | $ 75 | 2 | ||||||||||
Interest Rate Swaption [Member] | ||||||||||||
Average Maturity (Years) | 6 years 1 month 29 days | |||||||||||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 8 | |||||||||||
Notional Amount | $ 6,800 | $ 6,800 | ||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (35) | (193) | 258 | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (1,500) | (5,250) | (23,800) | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 6,150 | $ 12,700 | 24,000 | |||||||||
Derivative, Average Fixed Interest Rate | 3.28% | 3.28% | ||||||||||
Interest Rate Derivatives, at Fair Value, Net | $ 46 | $ 46 | ||||||||||
Options At Cost | 145 | |||||||||||
TBA and Forward Settling Agency Securities [Member] | ||||||||||||
Notional Amount | 7,295 | 14,412 | 7,295 | 14,412 | 2,119 | $ 12,477 | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 305 | 1,117 | (726) | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | $ 119,922 | 213,627 | 42,707 | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | $ (201,334) | (53,065) | ||||||||||
Interest Rate Swap [Member] | ||||||||||||
Average Maturity (Years) | 4 years 7 months 1 day | 5 years 9 months 1 day | ||||||||||
Notional Amount | $ 40,525 | $ 43,700 | $ 40,525 | $ 43,700 | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (932) | (1,838) | 1,145 | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (4,950) | (20,550) | (20,750) | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | $ 8,125 | $ 20,100 | 24,350 | |||||||||
Derivative, Average Fixed Interest Rate | 1.89% | 2.05% | 1.89% | 2.05% | ||||||||
Put Option [Member] | ||||||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | $ (150) | (50) | ||||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 150 | 50 | ||||||||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | ||||||||||||
Net Unrealized Gain (Loss) on Swaps | $ 39 | $ 140 | $ 39 | 140 | 296 | 485 | ||||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | Interest Rate Swaps [Member] | ||||||||||||
Average Maturity (Years) | 7 months 3 days | |||||||||||
Interest Only And Principal Only Strip [Member] | ||||||||||||
Unrealized Gain (Loss) on Securities | $ 5 | 32 | 39 | |||||||||
Future [Member] | US Treasury Securities [Member] | ||||||||||||
Notional Amount | (1,860) | (730) | (1,860) | (730) | (1,730) | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (12) | (76) | 49 | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (4,480) | (2,920) | (9,239) | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | $ 3,350 | $ 3,920 | 7,509 | |||||||||
Forward Contracts [Member] | Interest Rate Swap [Member] | ||||||||||||
Average Maturity (Years) | 5 years 6 months 7 days | 7 years 11 months 3 days | ||||||||||
Put Option [Member] | ||||||||||||
Notional Amount | 0 | $ 0 | 0 | |||||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||||||
Notional Amount | (2,150) | (6,800) | $ (2,150) | (6,800) | (14,250) | (14,450) | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||||||||||
Notional Amount | (40,525) | (43,700) | (40,525) | (43,700) | (43,250) | (46,850) | ||||||
Short [Member] | US Treasury Securities [Member] | ||||||||||||
Notional Amount | (1,714) | (5,392) | (1,714) | (5,392) | (2,007) | $ (11,835) | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (68) | (420) | 472 | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (12,503) | (36,489) | (31,941) | |||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 16,181 | 33,104 | 41,769 | |||||||||
Long [Member] | ||||||||||||
Trading Securities | $ 25 | 25 | ||||||||||
Long [Member] | US Treasury Securities [Member] | ||||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (38) | 66 | (42) | |||||||||
Trading Securities Added During the Period | 33,525 | 18,549 | 27,805 | |||||||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (35,911) | (20,065) | (23,878) | |||||||||
Trading Securities | $ 2,411 | 2,411 | 3,927 | |||||||||
Other Derivatives [Member] | ||||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (4) | $ (7) | $ (6) |
Derivative and Other Hedging 43
Derivative and Other Hedging Instruments (Fair Value Information) (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Derivative [Line Items] | ||||
Derivative asset, fair value | $ 81 | $ 408 | ||
Derivative liability, fair value | (935) | (890) | ||
Derivative assets, at fair value | 81 | 408 | ||
Derivative Liability | 935 | 890 | ||
U.S. Treasury securities | 25 | 2,427 | ||
U.S. Treasury Securities - short | (1,696) | (5,363) | ||
Total - (short)/long, net | (1,671) | (2,936) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (776) | (1,333) | $ 1,156 | |
Put Option [Member] | ||||
Derivative [Line Items] | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (150) | (50) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 150 | 50 | ||
TBA and Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 7,295 | 14,412 | 2,119 | $ 12,477 |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 119,922 | 213,627 | 42,707 | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (201,334) | (53,065) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 305 | 1,117 | (726) | |
Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 40,525 | 43,700 | ||
Derivative liability, fair value | (920) | (880) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (4,950) | (20,550) | (20,750) | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 8,125 | 20,100 | 24,350 | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (932) | (1,838) | 1,145 | |
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative asset, fair value | 31 | 136 | ||
Interest Rate Swaption [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 6,800 | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (1,500) | (5,250) | (23,800) | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 6,150 | 12,700 | 24,000 | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (35) | (193) | 258 | |
Interest Rate Swaption [Member] | Receiver Swaption [Member] | ||||
Derivative [Line Items] | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | 5,500 | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (4,250) | (1,250) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 4 | 11 | ||
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative asset, fair value | 17 | 75 | ||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative liability, fair value | (15) | (5) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (127,039) | |||
Future [Member] | Fair Value, Inputs, Level 1 [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative liability, fair value | (5) | |||
US Treasury Securities [Member] | Future [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | (1,860) | (730) | (1,730) | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (4,480) | (2,920) | (9,239) | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 3,350 | 3,920 | 7,509 | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (12) | (76) | 49 | |
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 | |||
Derivative Liability | 0 | 5 | ||
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 | 29 | 197 | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | (40,525) | (43,700) | (43,250) | (46,850) |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | (2,150) | (6,800) | (14,250) | (14,450) |
Not Designated as Hedging Instrument [Member] | Receiver Swaption [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 0 | 4,250 | ||
Short [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | (1,714) | (5,392) | (2,007) | $ (11,835) |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (12,503) | (36,489) | (31,941) | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 16,181 | 33,104 | 41,769 | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (68) | (420) | 472 | |
Long [Member] | ||||
Derivative [Line Items] | ||||
Trading Securities | 25 | |||
Long [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (38) | 66 | (42) | |
Trading Securities | 2,411 | 3,927 | ||
Trading Securities Added During the Period | 33,525 | 18,549 | 27,805 | |
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (35,911) | $ (20,065) | $ (23,878) |
Derivative and Other Hedging 44
Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Interest Rate Swap [Member] | ||
Notional Amount | $ 40,525 | $ 43,700 |
Average Fixed Pay Rate | 1.89% | 2.05% |
Average Receive Rate | 0.40% | 0.23% |
Net Estimated Fair Value | $ (889) | $ (744) |
Average Maturity (Years) | 4 years 7 months 1 day | 5 years 9 months 1 day |
Forward Contracts [Member] | Interest Rate Swap [Member] | ||
Average Maturity (Years) | 5 years 6 months 7 days | 7 years 11 months 3 days |
Derivative, Notional Amount | $ 4,500 | $ 12,400 |
Derivative, Higher Remaining Maturity Range | 8 months 10 days | 1 year 20 days |
Interest Rate Swaps Excluding Forward Starting [Member] | Interest Rate Swap [Member] | ||
Average Fixed Pay Rate | 1.75% | 1.68% |
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | ||
Notional Amount | $ 14,775 | $ 12,300 |
Average Fixed Pay Rate | 1.06% | 1.33% |
Average Receive Rate | 0.40% | 0.21% |
Net Estimated Fair Value | $ (23) | $ (87) |
Average Maturity (Years) | 1 year 7 months 2 days | 2 years 6 days |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member] | ||
Notional Amount | $ 9,950 | $ 8,975 |
Average Fixed Pay Rate | 2.03% | 1.63% |
Average Receive Rate | 0.40% | 0.24% |
Net Estimated Fair Value | $ (203) | $ (4) |
Average Maturity (Years) | 3 years 11 months 22 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 | $ 7,175 | $ 7,250 |
Average Fixed Pay Rate | 2.47% | 2.47% |
Average Receive Rate | 0.44% | 0.23% |
Net Estimated Fair Value | $ (230) | $ (139) |
Average Maturity (Years) | 6 years 1 month 16 days | 6 years 24 days |
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member] | ||
Notional Amount | $ 7,450 | $ 10,775 |
Average Fixed Pay Rate | 2.57% | 2.48% |
Average Receive Rate | 0.39% | 0.24% |
Net Estimated Fair Value | $ (342) | $ (223) |
Average Maturity (Years) | 8 years 3 months 4 days | 8 years 3 months 19 days |
Greater Than Ten Years [Member] | Interest Rate Swap [Member] | ||
Notional Amount | $ 1,175 | $ 4,400 |
Average Fixed Pay Rate | 3.20% | 3.19% |
Average Receive Rate | 0.39% | 0.23% |
Net Estimated Fair Value | $ (91) | $ (291) |
Average Maturity (Years) | 14 years 8 months 22 days | 12 years 7 months 14 days |
Derivative and Other Hedging 45
Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2015USD ($)month | Dec. 31, 2014USD ($)month | |
Interest Rate Swaption [Member] | ||
Cost | $ 145 | |
Fair Value | $ 46 | |
Average Months to Expiration | month | 8 | |
Derivative Liability, Notional Amount | $ 6,800 | |
Average Fixed Pay Rate | 3.28% | |
Average Maturity (Years) | 6 years 1 month 29 days | |
Payer Swaption [Member] | ||
Average Receive Rate (LIBOR) | 3M | |
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | ||
Cost | $ 74 | $ 113 |
Fair Value | $ 17 | $ 36 |
Average Months to Expiration | month | 4 | 6 |
Derivative Liability, Notional Amount | $ 2,150 | $ 5,600 |
Average Fixed Pay Rate | 3.51% | 3.15% |
Average Maturity (Years) | 6 years 11 months 15 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 | $ 32 | |
Fair Value | $ 10 | |
Average Months to Expiration | month | 16 | |
Derivative Liability, Notional Amount | $ 1,200 | |
Average Fixed Pay Rate | 3.87% | |
Average Maturity (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 |
Derivative and Other Hedging 46
Derivative and Other Hedging Instruments (US Treasury Securities) (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ (1,671) | $ (2,936) |
TBA and Forward Settling Agency Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (7,295) | (14,412) |
Derivative, Forward Settlement Value | (7,430) | (14,576) |
Derivative Asset, Fair Value, Gross Asset | (7,444) | (14,768) |
Derivative, Fair Value, Net | 14 | 192 |
5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (250) | |
7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (354) | |
10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (1,085) | |
Fair Value Hedging [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (1,671) | (2,936) |
Fair Value Hedging [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (249) | (4,645) |
Fair Value Hedging [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (352) | (718) |
Fair Value Hedging [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (1,070) | 2,427 |
Future [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 4 | (5) |
15 Year Maturity [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (281) | (3,260) |
Derivative, Forward Settlement Value | (295) | (3,348) |
Derivative Asset, Fair Value, Gross Asset | (294) | (3,360) |
Derivative, Fair Value, Net | (1) | 12 |
At Par Value [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (1,689) | (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 | (1,680) | (2,945) |
At Cost Basis [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (249) | (4,650) |
At Cost Basis [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (353) | (717) |
At Cost Basis [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (1,078) | 2,422 |
2.5% Coupon [Member] | 15 Year Maturity [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (962) | |
Derivative, Forward Settlement Value | (968) | |
Derivative Asset, Fair Value, Gross Asset | (980) | |
Derivative, Fair Value, Net | 1 | 12 |
10 Year Maturity [Member] | Future [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 2 | (5) |
5 Year Maturity [Member] | Future [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 2 | 0 |
Short [Member] | Future [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,860) | (730) |
Derivative, Forward Settlement Value | (2,290) | (920) |
Derivative Asset, Fair Value, Gross Asset | (2,286) | (925) |
Short [Member] | 2.5% Coupon [Member] | 15 Year Maturity [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (80) | |
Derivative, Forward Settlement Value | (81) | |
Derivative Asset, Fair Value, Gross Asset | (80) | |
Short [Member] | 10 Year Maturity [Member] | Future [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,130) | (730) |
Derivative, Forward Settlement Value | (1,424) | (920) |
Derivative Asset, Fair Value, Gross Asset | (1,422) | (925) |
Short [Member] | 5 Year Maturity [Member] | Future [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (730) | 0 |
Derivative, Forward Settlement Value | (866) | 0 |
Derivative Asset, Fair Value, Gross Asset | $ (864) | $ 0 |
Derivative and Other Hedging 47
Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - TBA and Forward Settling Agency Securities [Member] - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Derivative, Notional Amount | $ (7,295) | $ (14,412) |
Cost Basis | (7,430) | (14,576) |
Net long TBA position, at fair value | (7,444) | (14,768) |
TBA, net carrying value | 14 | 192 |
15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (281) | (3,260) |
Cost Basis | (295) | (3,348) |
Net long TBA position, at fair value | (294) | (3,360) |
TBA, net carrying value | (1) | 12 |
30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (7,014) | (11,152) |
Cost Basis | (7,135) | (11,228) |
Net long TBA position, at fair value | (7,150) | (11,408) |
TBA, net carrying value | 15 | 180 |
Fannie Mae [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (6,033) | (15,127) |
Cost Basis | (6,145) | (15,316) |
Net long TBA position, at fair value | (6,159) | (15,509) |
TBA, net carrying value | 14 | 193 |
Freddie Mac [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (689) | |
Cost Basis | (703) | |
Net long TBA position, at fair value | (703) | |
TBA, net carrying value | 0 | (1) |
Ginnie Mae [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (573) | |
Cost Basis | (582) | |
Net long TBA position, at fair value | (582) | |
TBA, net carrying value | 0 | |
2.5% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (962) | |
Cost Basis | (968) | |
Net long TBA position, at fair value | (980) | |
TBA, net carrying value | 1 | 12 |
3.0% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (225) | (2,779) |
Cost Basis | (233) | (2,889) |
Net long TBA position, at fair value | (232) | (2,888) |
TBA, net carrying value | (1) | (1) |
3.0% Coupon [Member] | 30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (3,914) | (5,254) |
Cost Basis | (3,911) | (5,259) |
Net long TBA position, at fair value | (3,916) | (5,313) |
TBA, net carrying value | 5 | 54 |
3.5% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (136) | |
Cost Basis | (143) | |
Net long TBA position, at fair value | (142) | |
TBA, net carrying value | (1) | 1 |
3.5% Coupon [Member] | 30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,497) | (7,902) |
Cost Basis | (1,536) | (8,151) |
Net long TBA position, at fair value | (1,539) | (8,232) |
TBA, net carrying value | 3 | 81 |
4.0% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
TBA, net carrying value | 0 | |
4.0% Coupon [Member] | 30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,575) | |
Cost Basis | (1,658) | |
Net long TBA position, at fair value | (1,665) | |
TBA, net carrying value | 7 | 45 |
4.5% Coupon [Member] | 30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (28) | |
Cost Basis | (30) | |
Net long TBA position, at fair value | (30) | |
TBA, net carrying value | 0 | 0 |
Short [Member] | Freddie Mac [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (715) | |
Cost Basis | (740) | |
Net long TBA position, at fair value | (741) | |
Short [Member] | 2.5% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (80) | |
Cost Basis | (81) | |
Net long TBA position, at fair value | $ (80) | |
Short [Member] | 3.5% Coupon [Member] | 15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (468) | |
Cost Basis | (495) | |
Net long TBA position, at fair value | (494) | |
Short [Member] | 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) | |
Short [Member] | 4.0% Coupon [Member] | 30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,853) | |
Cost Basis | (2,019) | |
Net long TBA position, at fair value | (1,974) | |
Short [Member] | 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) |
Derivative and Other Hedging 48
Derivative and Other Hedging Instruments (Effect Of Derivative Instruments Not Designated As Hedges On Comprehensive Income Statement) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | $ (776) | $ (1,333) | $ 1,156 |
Gain (loss) on REIT Equity Securities | 75 | 2 | |
Gain Loss on Other Debt | 16 | (10) | |
Interest Only And Principal Only Strip [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Unrealized Gain (Loss) on Securities | 5 | 32 | 39 |
Put Option [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Additions | (150) | (50) | |
Settlement, Expirations or Exercise | 150 | 50 | |
Interest Rate Swaption [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Notional Amount | 6,800 | ||
Additions | (1,500) | (5,250) | (23,800) |
Settlement, Expirations or Exercise | 6,150 | 12,700 | 24,000 |
Notional Amount | 6,800 | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | (35) | (193) | 258 |
TBA and Forward Settling Agency Securities [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Notional Amount | 14,412 | 2,119 | 12,477 |
Additions | 119,922 | 213,627 | 42,707 |
Settlement, Expirations or Exercise | (201,334) | (53,065) | |
Notional Amount | 7,295 | 14,412 | 2,119 |
Amount Gain/(Loss) Recognized in Income on Derivatives | 305 | 1,117 | (726) |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Settlement, Expirations or Exercise | (127,039) | ||
Interest Rate Swap [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Notional Amount | 43,700 | ||
Additions | (4,950) | (20,550) | (20,750) |
Settlement, Expirations or Exercise | 8,125 | 20,100 | 24,350 |
Notional Amount | 40,525 | 43,700 | |
Amount Gain/(Loss) Recognized in Income on Derivatives | (932) | (1,838) | 1,145 |
Receiver Swaption [Member] | Interest Rate Swaption [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Additions | 0 | 5,500 | |
Settlement, Expirations or Exercise | (4,250) | (1,250) | |
Amount Gain/(Loss) Recognized in Income on Derivatives | 4 | 11 | |
Future [Member] | US Treasury Securities [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Notional Amount | (730) | (1,730) | |
Additions | (4,480) | (2,920) | (9,239) |
Settlement, Expirations or Exercise | 3,350 | 3,920 | 7,509 |
Notional Amount | (1,860) | (730) | (1,730) |
Amount Gain/(Loss) Recognized in Income on Derivatives | (12) | (76) | 49 |
Put Option [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Notional Amount | 0 | 0 | |
Notional Amount | 0 | 0 | |
Other derivative instruments [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | (4) | (7) | (6) |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Notional Amount | (6,800) | (14,250) | (14,450) |
Notional Amount | (2,150) | (6,800) | (14,250) |
Not Designated as Hedging Instrument [Member] | Receiver Swaption [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Notional Amount | 4,250 | ||
Notional Amount | 0 | 4,250 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Notional Amount | (43,700) | (43,250) | (46,850) |
Notional Amount | (40,525) | (43,700) | (43,250) |
Short [Member] | US Treasury Securities [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Notional Amount | (5,392) | (2,007) | (11,835) |
Additions | (12,503) | (36,489) | (31,941) |
Settlement, Expirations or Exercise | 16,181 | 33,104 | 41,769 |
Notional Amount | (1,714) | (5,392) | (2,007) |
Amount Gain/(Loss) Recognized in Income on Derivatives | (68) | (420) | 472 |
Long [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Trading Securities | 25 | ||
Long [Member] | US Treasury Securities [Member] | |||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | (38) | 66 | (42) |
Trading Securities | 2,411 | 3,927 | |
Trading Securities Added During the Period | 33,525 | 18,549 | 27,805 |
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (35,911) | $ (20,065) | $ (23,878) |
Pledged Assets (Narrative) (Det
Pledged Assets (Narrative) (Details) | Dec. 31, 2015USD ($) |
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 Repurchase Agree
Pledged Assets Repurchase Agreements with Counterparties Greater than or Equal to 5% of Equity at Risk (Details) $ in Millions | Dec. 31, 2015USD ($)days | Dec. 31, 2014USD ($)days |
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ | $ 41,754 | $ 50,296 |
Risk Of Repurchase Agreement To Stockholders Equity | 5.00% | |
Weighted Average Days to Maturity | days | 173 | 138 |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged as Collateral) (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | $ 48,380 | $ 51,629 |
Accrued interest on pledged securities | 140 | 153 |
Restricted cash and cash equivalents | 1,281 | 713 |
Total Fair Value of Securities Pledged and Accrued Interest | 51,213 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 56,394 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 47,992 | 51,037 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 148 | 69 |
Accrued interest on pledged securities | 2 | |
Restricted cash and cash equivalents | 1,226 | 698 |
Total Fair Value of Securities Pledged and Accrued Interest | 1,374 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 1,319 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 135 | 147 |
Total Fair Value of Securities Pledged and Accrued Interest | 48,288 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 53,094 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 1,029 | 1,266 |
Accrued interest on pledged securities | 3 | 4 |
Total Fair Value of Securities Pledged and Accrued Interest | 1,032 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 1,270 | |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 485 | 702 |
Accrued interest on pledged securities | 2 | |
Total Fair Value of Securities Pledged and Accrued Interest | 519 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 711 | |
Includes Sold But Not Yet Settled Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 49,654 | 53,074 |
AAA Non-Agency Mortgage-Backed Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 113 | |
AAA Non-Agency Mortgage-Backed Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 113 | |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 25 | 2,454 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 25 | 1,904 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 550 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 0 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | 23 | 6 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | 32 | 9 |
Excluding Cash Received [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | $ 1,281 | $ 713 |
Pledged Assets (Securities Pled
Pledged Assets (Securities Pledged as Collateral) (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Offsetting Assets and Liabilities [Line Items] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repo | $ 245 | $ 179 |
Security Owned and Pledged as Collateral, Fair Value | 48,130 | 52,941 |
Agency Securities Pledged As Collateral Amortized Cost | 48,152 | 52,397 |
Agency Securities Pledged As Collateral Accrued Interest | 135 | 147 |
Maturity Less than 30 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 20,053 | 14,659 |
Agency Securities Pledged As Collateral Amortized Cost | 20,075 | 14,509 |
Agency Securities Pledged As Collateral Accrued Interest | 57 | 41 |
Maturity 31 To 59 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 8,311 | 10,906 |
Agency Securities Pledged As Collateral Amortized Cost | 8,340 | 10,784 |
Agency Securities Pledged As Collateral Accrued Interest | 23 | 30 |
Maturity 60 To 90 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 7,534 | 10,205 |
Agency Securities Pledged As Collateral Amortized Cost | 7,525 | 10,109 |
Agency Securities Pledged As Collateral Accrued Interest | 21 | 28 |
Maturity over 90 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 12,207 | 15,267 |
Agency Securities Pledged As Collateral Amortized Cost | 12,187 | 15,096 |
Agency Securities Pledged As Collateral Accrued Interest | 34 | 43 |
Maturity Overnight [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 25 | 1,904 |
Agency Securities Pledged As Collateral Amortized Cost | 25 | 1,899 |
Agency Securities Pledged As Collateral Accrued Interest | 0 | 5 |
Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 48,105 | 51,037 |
Agency Securities Pledged As Collateral Amortized Cost | 48,127 | 50,498 |
Agency Securities Pledged As Collateral Accrued Interest | $ 135 | $ 142 |
Pledged Assets (Assets Pledge53
Pledged Assets (Assets Pledged from Counterparties) (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Offsetting Assets and Liabilities [Line Items] | ||
Federal Home Loan Bank Stock | $ 150 | |
Available-for-sale Securities Pledged as Collateral | 48,380 | $ 51,629 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | 1,696 | 5,363 |
Restricted Cash and Cash Equivalents | 1,281 | 713 |
Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | 1,702 | |
Restricted Cash and Securities Pledged | 1,702 | 5,481 |
Restricted Cash and Cash Equivalents | 0 | 28 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 43 |
Restricted Cash and Securities Pledged | 0 | 118 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 25 | 2,454 |
US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 1,702 | 5,410 |
Reverse Repurchase Agreements [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 1,702 | 5,363 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 148 | 69 |
Restricted Cash and Cash Equivalents | 1,226 | 698 |
Derivative [Member] | US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 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 | 0 | 47 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | $ 0 | $ 28 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Offsetting Assets and Liabilities [Line Items] | ||
Collateral Received | $ (357) | |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 1,761 | $ 5,429 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 1,761 | 5,429 |
Financial Instruments | (1,387) | (4,784) |
Collateral Received | (611) | |
Net Amount | 17 | 34 |
Assets [Member] | Interest Rate Swap [Member] | Swaption [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 48 | 211 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 48 | 211 |
Financial Instruments | (31) | (94) |
Collateral Received | 0 | (83) |
Net Amount | 17 | 34 |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 46,427 | 51,176 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 46,427 | 51,176 |
Financial Instruments | (1,387) | (4,784) |
Collateral Received | (45,040) | (46,388) |
Net Amount | 0 | |
Liability [Member] | Interest Rate Swap [Member] | Swaption [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 920 | 880 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 920 | 880 |
Financial Instruments | (31) | (94) |
Collateral Received | (889) | (782) |
Net Amount | 4 | |
Liability [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Net Amount | 0 | |
Reverse Repurchase Agreements [Member] | Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 1,713 | 5,218 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 1,713 | 5,218 |
Financial Instruments | (1,356) | (4,690) |
Collateral Received | (357) | (528) |
Repurchase Agreements [Member] | Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 45,507 | 50,296 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 45,507 | 50,296 |
Financial Instruments | (1,356) | (4,690) |
Collateral Received | $ (44,151) | $ (45,606) |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Transfers between hierarchy levels | 0 | |
Agency securities | $ 51,331 | $ 55,482 |
Agency securities transferred to consolidated VIEs | 1,029 | 1,266 |
Non-Agency Securities, at Fair Value | 113 | 0 |
U.S. Treasury securities | 25 | 2,427 |
TBA securities | 81 | 408 |
Derivative Liability | 935 | 890 |
Debt of consolidated variable interest entities, at fair value | 595 | 761 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 1,696 | 5,363 |
Interest rate swaps | 81 | 408 |
REIT equity securities, at fair value | 33 | 68 |
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 | 62 | 2,495 |
Total liabilities | 1,696 | 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 | 52,550 | 57,156 |
Total liabilities | 1,530 | 1,646 |
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 | 15 | 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 | 17 | 75 |
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 | 31 | 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 | 920 | 880 |
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 | 29 | 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 | $ 0 | $ 5 |
Stockholders' Equity (Preferred
Stockholders' Equity (Preferred Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||||
May. 31, 2014 | Jun. 30, 2012 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | May. 05, 2014 | Mar. 31, 2013 | 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 | $ 0 | |||||
Preferred Stock, Shares Issued | 6,900,000 | 6,900,000 | ||||||
Share Price | $ 31.34 | |||||||
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 | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Average repurchase price (in dollars per share) | $ 18.58 | $ 22.10 | $ 21.25 |
Repurchase of common stock, value | $ 285 | $ 74 | $ 856 |
Payments for Repurchase of Common Stock | 285 | $ 74 | $ 856 |
Remaining amount authorized for repurchase | $ 707 | ||
Common Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Repurchase of common stock shares | 15.3 | (3.4) | (40.2) |
Repurchase of common stock, value | $ 1 |
Stockholders' Equity (Accumulat
Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||||
Total Accumulated OCI Balance | $ (66) | $ 430 | $ (66) | $ 430 | $ (1,383) | $ 1,555 | ||||||
OCI before reclassifications | (583) | $ 467 | $ (872) | $ 391 | 599 | $ (253) | $ 790 | $ 521 | (597) | 1,657 | (3,127) | |
Amounts reclassified from accumulated OCI | 22 | $ 24 | $ 26 | 29 | 35 | $ 38 | $ 40 | 43 | 101 | 156 | 189 | |
Total Accumulated OCI Balance | 124 | 105 | 1,597 | |||||||||
Agency Securities [Member] | ||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||||
Beginning OCI Balance | $ 570 | $ (1,087) | 570 | (1,087) | 2,040 | |||||||
OCI before reclassifications | (620) | 1,708 | (4,535) | |||||||||
Amounts reclassified from accumulated OCI | 23 | (51) | 1,408 | |||||||||
Ending OCI Balance | (27) | 570 | (27) | 570 | (1,087) | |||||||
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 | $ (39) | $ (140) | (39) | (140) | (296) | $ (485) | ||||||
Interest Rate Swap [Member] | Agency Securities [Member] | ||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||||
OCI before reclassifications | $ (620) | $ 1,708 | $ (4,535) |
Stockholders' Equity (Follow-On
Stockholders' Equity (Follow-On Equity Offerings) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share Price | $ 31.34 | |||
Common Stock, Shares, Issued | 337.5 | 352.8 | 57.5 | |
Proceeds from Issuance of Common Stock | $ 0 | $ 0 | $ 1,803 | |
Issuance of common stock, value | 1,803 | |||
Common Stock [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Issuance of common stock, value | $ 1 |
Stockholders' Equity (At-the-Ma
Stockholders' Equity (At-the-Market Offering Program) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share Price | $ 31.34 | |||
Common Stock, Shares, Issued | 337.5 | 352.8 | 57.5 | |
Proceeds from Issuance of Common Stock | $ 0 | $ 0 | $ 1,803 | |
At the Market Offering Program [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Common Stock, Capital Shares Reserved for Future Issuance | 16.7 |
Stockholders' Equity (Dividend
Stockholders' Equity (Dividend Reinvestment and Direct Stock Purchase Plan) (Details) shares in Millions | Dec. 31, 2015shares |
Dividend Reinvestment And Direct Stock Purchase Plan [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Common Stock, Capital Shares Reserved for Future Issuance | 21.7 |
Stockholders' Equity (Long-term
Stockholders' Equity (Long-term Incentive Plan) (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 5,000 | 14,000 | 27,000 | 21,500 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ 21.44 | $ 25.11 | $ 30.37 | $ 29.06 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 31.20 | |||
Accrued RSU Dividend Equivalents | 3,319 | 1,469 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 9,000 | 13,000 | 9,500 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ 23.17 | $ 30.01 | $ 28.71 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Vest Date Fair Value | $ 21.03 | $ 22.01 | $ 30.56 | |
Share-based Compensation | $ 704,000 | $ 540,000 | $ 383,000 | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized | $ 238,000 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 1,850 | |||
Restricted Stock Units (RSUs) [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted Stock or Unit Expense | $ 625,000 | $ 375,000 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 31,431 | 18,239 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 21.64 | $ 22.36 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 28,880 | 16,770 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 19,007 | |||
Restricted Stock [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted Stock or Unit Expense | $ 468,000 | |||
Director [Member] | Restricted Stock [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 15,000 |
Subsequent Event (Details)
Subsequent Event (Details) - $ / shares | Feb. 11, 2016 | Jan. 14, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 |
Subsequent Event [Line Items] | ||||||||||
Dividends declared per common share | $ 0.60 | $ 0.60 | $ 0.62 | $ 0.66 | $ 0.66 | $ 0.65 | $ 0.65 | $ 0.65 | ||
Subsequent Event [Member] | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Dividends declared per common share | $ 0.20 | $ 0.20 |
Management Agreement and Rela64
Management Agreement and Related Party Transactions (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Related Party Transactions [Abstract] | |||||||||||
Management fees | $ 28 | $ 29 | $ 29 | $ 30 | $ 30 | $ 30 | $ 30 | $ 29 | $ 116 | $ 119 | $ 136 |
Related Party Transaction, Expenses from Transactions with Related Party | 8 | 8 | $ 10 | ||||||||
Accounts Payable, Related Parties, Current | $ 9 | $ 10 | $ 9 | $ 10 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ / shares in Units, $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Investments, Owned, Federal Income Tax Note [Line Items] | |||
Income Tax Expense (Benefit) | $ 10 | ||
Required Annual Distribution of Taxable Net Income | 90.00% | ||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 2 | $ 2 | $ 2 |
Dividends, Preferred Stock | $ 14 | $ 14 | $ 14 |
Common Stock, Dividends, Per Share, Cash Paid | $ 2.48 | $ 2.61 | $ 3.750000 |
Dividends, Common Stock | $ 863 | $ 921 | $ 1,453 |
Ordinary Income Distribution % | 85.00% | ||
Capital Gain Distribution % | 95.00% | ||
Excise Tax Rate | 4.00% | ||
Qualified Dividends Per Share [Member] | |||
Investments, Owned, Federal Income Tax Note [Line Items] | |||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 0.015980 | ||
Common Stock, Dividends, Per Share, Cash Paid | 0.029963 | ||
Ordinary Income Per Share [Member] | |||
Investments, Owned, Federal Income Tax Note [Line Items] | |||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 2 | $ 2 | 2 |
Common Stock, Dividends, Per Share, Cash Paid | 2.48 | 2.61 | $ 3.75000 |
Preferred Class B [Member] | |||
Investments, Owned, Federal Income Tax Note [Line Items] | |||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 1.937500 | $ 0.844965 | |
Dividends, Preferred Stock | $ 14 | $ 6 |
Income Taxes Narrative (Details
Income Taxes Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2013 | |
Income Tax Disclosure [Abstract] | ||
Excise and Sales Taxes | $ 3 | |
Income Tax Expense (Benefit) | $ 10 | |
Effective Income Tax Rate Reconciliation, at Federal Statutory Income Tax Rate, Percent | 39.50% |
Quarterly Results (Details)
Quarterly Results (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Interest income | $ 374 | $ 295 | $ 414 | $ 383 | $ 331 | $ 357 | $ 385 | $ 399 | $ 1,466 | $ 1,472 | $ 2,193 |
Interest expense | 86 | 77 | 81 | 86 | 81 | 88 | 95 | 108 | 330 | 372 | 536 |
Net interest income | 288 | 218 | 333 | 297 | 250 | 269 | 290 | 291 | 1,136 | 1,100 | 1,657 |
Gain (loss) on sale of agency securities, net | 2 | (39) | (22) | 36 | 34 | 14 | 22 | (19) | (23) | 51 | (1,408) |
(Loss) gain on derivative instruments and other securities, net | 331 | (778) | 237 | (549) | (572) | (51) | (244) | (378) | (759) | (1,243) | 1,191 |
Total other (loss) income, net | 333 | (817) | 215 | (513) | (538) | (37) | (222) | (397) | (782) | (1,192) | (217) |
Management fees | 28 | 29 | 29 | 30 | 30 | 30 | 30 | 29 | 116 | 119 | 136 |
General and administrative expenses | 5 | 5 | 7 | 6 | 5 | 5 | 6 | 6 | 23 | 22 | 32 |
Total expenses | 33 | 34 | 36 | 36 | 35 | 35 | 36 | 35 | 139 | 141 | 168 |
Income (loss) before income tax | 215 | (233) | 1,272 | ||||||||
Provision for income tax, net | 0 | 0 | 13 | ||||||||
Net income (loss) | 588 | (633) | 512 | (252) | (323) | 197 | 32 | (141) | 215 | (233) | 1,259 |
Dividend on preferred stock | 7 | 7 | 7 | 7 | 7 | 7 | 5 | 3 | 28 | 23 | 14 |
Net income (loss) available (attributable) to common shareholders | 581 | (640) | 505 | (259) | (330) | 190 | 27 | (144) | 187 | (256) | 1,245 |
Unrealized Gains and (Losses), Net | (583) | 467 | (872) | 391 | 599 | (253) | 790 | 521 | (597) | 1,657 | (3,127) |
Unrealized gain on derivative instruments, net | 22 | 24 | 26 | 29 | 35 | 38 | 40 | 43 | 101 | 156 | 189 |
Other comprehensive (loss) income | (561) | 491 | (846) | 420 | 634 | (215) | 830 | 564 | (496) | 1,813 | (2,938) |
Comprehensive (loss) income | 27 | (142) | (334) | 168 | 311 | (18) | 862 | 423 | (281) | 1,580 | (1,679) |
Comprehensive (loss) income (attributable) available to common shareholders | $ 20 | $ (149) | $ (341) | $ 161 | $ 304 | $ (25) | $ 857 | $ 420 | $ (309) | $ 1,557 | $ (1,693) |
Weighted average number of common shares outstanding-basic and diluted | 341.6 | 347.8 | 352.1 | 352.8 | 352.8 | 352.8 | 352.8 | 354.8 | 348.6 | 353.3 | 379.1 |
Net income (loss) per common share - basic and diluted | $ 1.70 | $ (1.84) | $ 1.43 | $ (0.73) | $ (0.94) | $ 0.54 | $ 0.08 | $ (0.41) | $ 0.54 | $ (0.72) | $ 3.28 |
Comprehensive (loss) income per common share - basic and diluted | 0.06 | (0.43) | (0.97) | 0.46 | 0.86 | (0.07) | 2.43 | 1.18 | |||
Dividends declared per common share | $ 0.60 | $ 0.60 | $ 0.62 | $ 0.66 | $ 0.66 | $ 0.65 | $ 0.65 | $ 0.65 |