Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Jul. 31, 2016 | |
Document and Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | American Capital Agency Corp | |
Entity Central Index Key | 1,423,689 | |
Entity Filer Category | Large Accelerated Filer | |
Current Fiscal Year End Date | --12-31 | |
Entity Common Stock, Shares Outstanding | 331,046,077 | |
Trading Symbol | AGNC |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Assets: | ||
Agency securities, at fair value (including pledged securities of $48,344 and $48,380, respectively) | $ 53,418 | $ 51,331 |
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 945 | 1,029 |
Non-agency securities, at fair value (pledged securities) | 107 | 113 |
U.S. Treasury securities, at fair value (pledged securities) | 62 | 25 |
REIT equity securities, at fair value | 19 | 33 |
Cash and cash equivalents | 1,131 | 1,110 |
Restricted cash and cash equivalents | 1,399 | 1,281 |
Derivative assets, at fair value | 111 | 81 |
Receivable under reverse repurchase agreements | 2,982 | 1,713 |
Other assets | 301 | 305 |
Total assets | 60,475 | 57,021 |
Liabilities: | ||
Repurchase Agreements | 41,947 | 41,754 |
Federal Home Loan Bank advances | 3,037 | 3,753 |
Debt of consolidated variable interest entities, at fair value | 528 | 595 |
Payable for securities purchased | 2,581 | 182 |
Derivative liabilities, at fair value | 1,519 | 935 |
Dividends payable | 73 | 74 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 3,017 | 1,696 |
Accounts payable and other accrued liabilities | 71 | 61 |
Total liabilities | 52,773 | 49,050 |
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; 331.0 and 337.5 shares issued and outstanding, respectively | 3 | 3 |
Additional paid-in capital | 9,932 | 10,048 |
Retained deficit | (3,669) | (2,350) |
Accumulated other comprehensive income (loss) | 1,100 | (66) |
Total stockholders' equity | 7,702 | 7,971 |
Total liabilities and stockholders' equity | $ 60,475 | $ 57,021 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parentheticals) - USD ($) shares in Millions, $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Available-for-sale Securities Pledged as Collateral | $ 48,344 | $ 48,380 |
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 | 331 | 337.5 |
Common Stock, Shares, Outstanding | 331 | 337.5 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) shares in Millions, $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Interest income: | ||||
Interest income | $ 318 | $ 414 | $ 613 | $ 797 |
Interest expense | 101 | 81 | 200 | 167 |
Net interest income | 217 | 333 | 413 | 630 |
Other income, net: | ||||
Gain (loss) on sale of agency securities, net | 55 | (22) | 53 | 14 |
Gain (loss) on derivative instruments and other securities, net | (367) | 237 | (1,300) | (312) |
Total other income, net | (312) | 215 | (1,247) | (298) |
Expenses: | ||||
Management fees | 25 | 29 | 52 | 59 |
General and administrative expenses | 15 | 7 | 21 | 13 |
Total expenses | 40 | 36 | 73 | 72 |
Net Income (Loss) Attributable to Parent | (135) | 512 | (907) | 260 |
Dividend on preferred stock | 7 | 7 | 14 | 14 |
Net income (loss) available (attributable) to common stockholders | (142) | 505 | (921) | 246 |
Other comprehensive income (loss): | ||||
Unrealized Gains and (Losses), Net | (370) | 872 | (1,135) | 481 |
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net, De-Designated Interest Rate Swaps | (31) | (55) | ||
Unrealized gain on derivative instruments, net | 12 | 26 | 31 | 55 |
Other comprehensive income (loss) | 382 | (846) | 1,166 | (426) |
Comprehensive income (loss) | 247 | (334) | 259 | (166) |
Comprehensive income (loss) available (attributable) to common stockholders | $ 240 | $ (341) | $ 245 | $ (180) |
Weighted average number of common shares outstanding-basic and diluted (shares) | 331 | 352.1 | 332.7 | 352.5 |
Net income (loss) per common share - basic and diluted | $ (0.43) | $ 1.43 | $ (2.77) | $ 0.70 |
Dividends declared per common share | $ 0.60 | $ 0.62 | $ 1.2000000 | $ 1.28000000 |
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, 2014 | $ 9,428 | $ 336 | $ 4 | $ 10,332 | $ (1,674) | $ 430 |
Balance, Preferred Stock, shares at Dec. 31, 2014 | 6.9 | |||||
Balance, Common Stock, shares at Dec. 31, 2014 | 352.8 | |||||
Net income (loss) | 260 | 260 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | (481) | (481) | ||||
Amounts reclassified from accumulated OCI | 55 | 55 | ||||
Repurchase of common stock | (79) | (79) | ||||
Payments for Repurchase of Common Stock | $ 79 | |||||
Repurchase of common stock shares | (4) | (4) | ||||
Preferred dividends declared | $ (14) | (14) | ||||
Common dividends declared | (451) | (451) | ||||
Balance, value at Jun. 30, 2015 | 8,718 | $ 336 | $ 4 | 10,253 | (1,879) | 4 |
Balance, Preferred Stock, shares at Jun. 30, 2015 | 6.9 | |||||
Balance, Common Stock, shares at Jun. 30, 2015 | 348.8 | |||||
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 | ||||
Net income (loss) | $ (907) | (907) | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | 1,135 | 1,135 | ||||
Amounts reclassified from accumulated OCI | 31 | 31 | ||||
Repurchase of common stock | (116) | $ 0 | (116) | |||
Payments for Repurchase of Common Stock | $ 116 | |||||
Repurchase of common stock shares | (6.5) | (6.5) | ||||
Preferred dividends declared | $ (14) | (14) | ||||
Common dividends declared | (398) | (398) | ||||
Balance, value at Jun. 30, 2016 | $ 7,702 | $ 336 | $ 3 | $ 9,932 | $ (3,669) | $ 1,100 |
Balance, Preferred Stock, shares at Jun. 30, 2016 | 6.9 | 6.9 | ||||
Balance, Common Stock, shares at Jun. 30, 2016 | 331 | 331 |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
Operating activities: | ||
Net income (loss) | $ (907) | $ 260 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Amortization of premiums and discounts on mortgage-backed securities, net | 284 | 202 |
Amortization of accumulated other comprehensive loss on interest rate swaps de-designated as qualifying hedges | 31 | 55 |
Stock based compensation | 1 | 0 |
Gain on sale of mortgage-backed securities, net | (53) | (14) |
Loss on derivative instruments and other securities, net | 1,300 | 312 |
Decrease in other assets | 23 | 56 |
Increase in accounts payable and other accrued liabilities | 9 | 0 |
Net cash provided by operating activities | 688 | 871 |
Investing activities: | ||
Purchases of mortgage-backed securities | (13,453) | (18,882) |
Proceeds from sale of mortgage-backed securities | 11,076 | 18,006 |
Principal collections on mortgage-backed securities | 3,690 | 4,106 |
Purchases of U.S. Treasury securities | (1,819) | (36,811) |
Proceeds from sale of U.S. Treasury securities | 2,947 | 30,854 |
Net proceeds from (payments on) reverse repurchase agreements | (1,269) | 2,477 |
Net payments on other derivative instruments | (609) | (3) |
Purchases of REIT equity securities | 0 | (11) |
Proceeds from sale of REIT equity securities | 4 | 11 |
Increase in restricted cash and cash equivalents | (141) | (65) |
Other investing cash flows, net | 0 | (13) |
Net cash provided by (used in) investing activities | 426 | (331) |
Financing activities: | ||
Proceeds from repurchase arrangements | 134,605 | 232,533 |
Payments on repurchase agreements | (134,389) | (232,651) |
Proceeds from Federal Home Loan Bank advances | 2,098 | 0 |
Payments on Federal Home Loan Bank advances | (2,814) | 0 |
Payments on debt of consolidated variable interest entities | (64) | (80) |
Payments for common stock repurchases | (116) | (79) |
Cash dividends paid | (413) | (473) |
Net cash used in financing activities | (1,093) | (750) |
Net change in cash and cash equivalents | 21 | (210) |
Cash and cash equivalents at beginning of period | 1,110 | 1,720 |
Cash and cash equivalents at end of period | $ 1,131 | $ 1,510 |
Unaudited Interim Consolidated
Unaudited Interim Consolidated Financial Statements | 6 Months Ended |
Jun. 30, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Unaudited Interim Consolidated Financial Statements | Unaudited Interim Consolidated Financial Statements The unaudited interim consolidated financial statements of American Capital Agency Corp. (referred throughout this report as the "Company", "we", "us" and "our") are prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Our unaudited interim consolidated financial statements include the accounts of all of our wholly-owned subsidiaries and variable interest entities for which the Company is the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year. |
Organization
Organization | 6 Months Ended |
Jun. 30, 2016 | |
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 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 our annual taxable net income to our stockholders on a timely basis. 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 in agency mortgage-backed securities ("agency MBS") on a leveraged basis. 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 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. Prior to July 1, 2016, we were externally managed by American Capital AGNC Management, LLC (our "Manager"), an affiliate of American Capital, Ltd. ("ACAS"). On July 1, 2016, we completed the acquisition of all of the outstanding membership interests of American Capital Mortgage Management, LLC (“ACMM”), the parent company of our Manager, from American Capital Asset Management, LLC (“ACAM”), a wholly owned portfolio company of ACAS. ACMM is also the parent company of American Capital MTGE Management, LLC (“MTGE Manager”), the external manager of American Capital Mortgage Investment Corp. (“MTGE”). Following the closing of the acquisition of ACMM (the “Internalization”), we became internally managed and are no longer affiliated with ACAS. (See Note 10 for further details.) |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Investment Securities ASC Topic 320, Investments—Debt and Equity Securities ("ASC 320"), requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Securities classified as trading and available-for-sale are reported at fair value, while securities classified as held-to-maturity are reported at amortized cost. We may sell any of our 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 other comprehensive income (loss) ("OCI"), a separate component of stockholders' equity. Upon the sale of a security, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. 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 based on a market approach using "Level 1" inputs based on quoted market prices. Refer to Note 8 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. 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 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 We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risk. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The principal instruments that we use are interest rate swaps and options to enter into interest rate swaps ("swaptions"). We also utilize U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales, and forward contracts for the purchase or sale of agency MBS securities on a generic pool basis in the "to-be-announced" market ("TBA securities"). 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 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). Under 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 our accompanying consolidated balance sheets 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 our accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Investment Securities
Investment Securities | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | 3 years and ≤ 5 years 19,190 18,698 3.36% 2.45% 17,497 17,343 3.27% 2.40% > 5 years and ≤10 years 31,934 31,349 3.65% 2.77% 34,206 34,391 3.67% 2.93% > 10 years 1,839 1,831 3.02% 2.64% 250 250 3.56% 3.08% Total $ 54,118 $ 53,012 3.53% 2.64% $ 52,120 $ 52,147 3.54% 2.75% _______________________ 1. Excludes interest and principal-only strips. The weighted average life of our interest-only securities was 5.1 and 6.1 years as of June 30, 2016 and December 31, 2015 , respectively. The weighted average life of our principal-only securities was 6.0 and 8.0 years as of June 30, 2016 and December 31, 2015 , 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 9 for a summary of changes in accumulated OCI for our available-for-sale securities for the three and six months ended June 30, 2016 and 2015 . 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 June 30, 2016 and December 31, 2015 (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 June 30, 2016 $ 730 $ (1 ) $ 2,072 $ (9 ) $ 2,802 $ (10 ) December 31, 2015 $ 24,035 $ (200 ) $ 6,793 $ (195 ) $ 30,828 $ (395 ) We did not recognize any OTTI charges on our investment securities for the six months ended June 30, 2016 and 2015 . 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 on Sale of Mortgage-Backed Securities The following table is a summary of our net gain (loss) from the sale of securities classified as available-for-sale for the three and six months ended June 30, 2016 and 2015 (in millions): Three Months Ended June 30, Six Months Ended June 30, Securities Classified as Available-for-Sale 2016 2015 2016 2015 MBS sold, at cost $ (7,508 ) $ (10,241 ) $ (11,023 ) $ (17,974 ) Proceeds from MBS sold 1 7,563 10,219 11,076 17,988 Net gain (loss) on sale of MBS $ 55 $ (22 ) $ 53 $ 14 Gross gain on sale of MBS $ 55 $ 22 $ 60 $ 79 Gross loss on sale of MBS — (44 ) (7 ) (65 ) Net gain (loss) on sale of MBS $ 55 $ (22 ) $ 53 $ 14 ________________________ 1. Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end. For the three and six months ended June 30, 2016 , we recognized a net unrealized gain of zero and $11 million , respectively, and for the three and six months ended June 30, 2015 we recognized a net unrealized loss of $7 million and an unrealized gain of $4 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. Over the same periods, we did not recognize any realized gains or losses on our interest or principal-only securities. Securitizations and Variable Interest Entities As of June 30, 2016 and December 31, 2015 , we held investments in CMO trusts, which are variable interest entities ("VIEs"). We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate agency MBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac. In connection with our consolidated CMO trusts, we recognized agency securities with a total fair value of $0.9 billion and 1.0 billion as of June 30, 2016 and December 31, 2015 , respectively, and debt with a total fair value of $528 million and $595 million , respectively, in our accompanying consolidated balance sheets. As of June 30, 2016 and December 31, 2015 , the agency securities had an aggregate unpaid principal balance of $0.9 billion and $1.0 billion , respectively, and the debt had an aggregate unpaid principal balance of $523 million and $587 million , respectively. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For the three and six months ended June 30, 2016 , we recorded a gain of $1 million and a loss of $6 million , respectively, associated with our consolidated debt. For the three and six months ended June 30, 2015 , we recorded a gain of $9 million 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 June 30, 2016 and December 31, 2015 , the fair value of our CMO securities and interest and principal-only securities was $1.3 billion , excluding the consolidated CMO trusts discussed above, or $1.7 billion and $1.8 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 $241 million and $238 million as of June 30, 2016 and December 31, 2015 , respectively." id="sjs-B4">Investment Securities As of June 30, 2016 and December 31, 2015 , our investment portfolio consisted of $54.5 billion and $52.5 billion of MBS, at fair value, respectively, and a $7.1 billion and $7.4 billion net long TBA position, at fair value, respectively. Our TBA position is reported at its net carrying value of $97 million and $14 million as of June 30, 2016 and December 31, 2015 , respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying agency security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying agency security. (See Note 6 for further details of our net TBA position as of June 30, 2016 and December 31, 2015 .) As of June 30, 2016 and December 31, 2015 , the net unamortized premium balance on our MBS was $2.4 billion and $2.3 billion , respectively, including interest and principal-only securities. The following tables summarize our investments in MBS as of June 30, 2016 and December 31, 2015 (dollars in millions): June 30, 2016 Investments in Mortgage-Backed Securities Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Agency MBS: Fixed rate $ 51,590 $ 1,068 $ (10 ) $ 52,648 Adjustable rate 429 14 — 443 CMO 888 32 — 920 Interest-only and principal-only strips 305 50 (3 ) 352 Total agency MBS 53,212 1,164 (13 ) 54,363 Non-agency MBS: AAA non-agency 105 2 — 107 Total MBS $ 53,317 $ 1,166 $ (13 ) $ 54,470 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 June 30, 2016 Investments in Mortgage-Backed Securities Fannie Mae Freddie Mac Ginnie Mae Non-Agency Total Available-for-sale MBS: MBS, par value $ 40,245 $ 10,356 $ 53 $ 104 $ 50,758 Unamortized discount (30 ) (3 ) — — (33 ) Unamortized premium 1,766 519 1 1 2,287 Amortized cost 41,981 10,872 54 105 53,012 Gross unrealized gains 897 215 2 2 1,116 Gross unrealized losses (7 ) (3 ) — — (10 ) Total available-for-sale MBS, at fair value 42,871 11,084 56 107 54,118 MBS remeasured at fair value through earnings: Interest-only and principal-only strips, amortized cost 1 288 17 — — 305 Gross unrealized gains 47 3 — — 50 Gross unrealized losses (2 ) (1 ) — — (3 ) Total MBS remeasured at fair value through earnings 333 19 — — 352 Total MBS, at fair value $ 43,204 $ 11,103 $ 56 $ 107 $ 54,470 Weighted average coupon as of June 30, 2016 2 3.61 % 3.70 % 3.08 % 3.50 % 3.63 % Weighted average yield as of June 30, 2016 3 2.67 % 2.68 % 1.95 % 3.00 % 2.68 % ________________________ 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 5.29% of this amount as of June 30, 2016 . The par value of our principal-only securities was $192 million as of June 30, 2016 . 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 June 30, 2016 . 3. Incorporates a weighted average future constant prepayment rate assumption of 11% based on forward rates as of June 30, 2016 . 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 measured 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 measured 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 UPB 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 . 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 June 30, 2016 and December 31, 2015 , our weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate investment portfolio was 11% and 8% , 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 June 30, 2016 and December 31, 2015 according to their estimated weighted average life classification (dollars in millions): June 30, 2016 December 31, 2015 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 $ 1,155 $ 1,134 3.89% 2.45% $ 167 $ 163 4.02% 2.66% > 3 years and ≤ 5 years 19,190 18,698 3.36% 2.45% 17,497 17,343 3.27% 2.40% > 5 years and ≤10 years 31,934 31,349 3.65% 2.77% 34,206 34,391 3.67% 2.93% > 10 years 1,839 1,831 3.02% 2.64% 250 250 3.56% 3.08% Total $ 54,118 $ 53,012 3.53% 2.64% $ 52,120 $ 52,147 3.54% 2.75% _______________________ 1. Excludes interest and principal-only strips. The weighted average life of our interest-only securities was 5.1 and 6.1 years as of June 30, 2016 and December 31, 2015 , respectively. The weighted average life of our principal-only securities was 6.0 and 8.0 years as of June 30, 2016 and December 31, 2015 , 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 9 for a summary of changes in accumulated OCI for our available-for-sale securities for the three and six months ended June 30, 2016 and 2015 . 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 June 30, 2016 and December 31, 2015 (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 June 30, 2016 $ 730 $ (1 ) $ 2,072 $ (9 ) $ 2,802 $ (10 ) December 31, 2015 $ 24,035 $ (200 ) $ 6,793 $ (195 ) $ 30,828 $ (395 ) We did not recognize any OTTI charges on our investment securities for the six months ended June 30, 2016 and 2015 . 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 on Sale of Mortgage-Backed Securities The following table is a summary of our net gain (loss) from the sale of securities classified as available-for-sale for the three and six months ended June 30, 2016 and 2015 (in millions): Three Months Ended June 30, Six Months Ended June 30, Securities Classified as Available-for-Sale 2016 2015 2016 2015 MBS sold, at cost $ (7,508 ) $ (10,241 ) $ (11,023 ) $ (17,974 ) Proceeds from MBS sold 1 7,563 10,219 11,076 17,988 Net gain (loss) on sale of MBS $ 55 $ (22 ) $ 53 $ 14 Gross gain on sale of MBS $ 55 $ 22 $ 60 $ 79 Gross loss on sale of MBS — (44 ) (7 ) (65 ) Net gain (loss) on sale of MBS $ 55 $ (22 ) $ 53 $ 14 ________________________ 1. Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end. For the three and six months ended June 30, 2016 , we recognized a net unrealized gain of zero and $11 million , respectively, and for the three and six months ended June 30, 2015 we recognized a net unrealized loss of $7 million and an unrealized gain of $4 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. Over the same periods, we did not recognize any realized gains or losses on our interest or principal-only securities. Securitizations and Variable Interest Entities As of June 30, 2016 and December 31, 2015 , we held investments in CMO trusts, which are variable interest entities ("VIEs"). We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate agency MBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac. In connection with our consolidated CMO trusts, we recognized agency securities with a total fair value of $0.9 billion and 1.0 billion as of June 30, 2016 and December 31, 2015 , respectively, and debt with a total fair value of $528 million and $595 million , respectively, in our accompanying consolidated balance sheets. As of June 30, 2016 and December 31, 2015 , the agency securities had an aggregate unpaid principal balance of $0.9 billion and $1.0 billion , respectively, and the debt had an aggregate unpaid principal balance of $523 million and $587 million , respectively. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For the three and six months ended June 30, 2016 , we recorded a gain of $1 million and a loss of $6 million , respectively, associated with our consolidated debt. For the three and six months ended June 30, 2015 , we recorded a gain of $9 million 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 June 30, 2016 and December 31, 2015 , the fair value of our CMO securities and interest and principal-only securities was $1.3 billion , excluding the consolidated CMO trusts discussed above, or $1.7 billion and $1.8 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 $241 million and $238 million as of June 30, 2016 and December 31, 2015 , respectively. |
Repurchase Agreements And Other
Repurchase Agreements And Other Debt | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements And Other Debt | 1 to ≤ 3 months 10,043 0.71 % 56 14,283 0.64 % 58 > 3 to ≤ 6 months 2,479 0.82 % 117 3,154 0.61 % 121 > 6 to ≤ 9 months 3,185 0.92 % 224 589 0.65 % 199 > 9 to ≤ 12 months 1,269 0.90 % 328 1,201 0.65 % 307 > 12 to ≤ 24 months 2,176 0.99 % 521 1,473 0.73 % 600 > 24 to ≤ 36 months 1,150 1.08 % 955 650 0.81 % 901 > 36 to ≤ 48 months 2,300 1.07 % 1,292 1,300 0.86 % 1,231 > 48 to < 60 months 625 1.10 % 1,690 1,500 0.76 % 1,477 Total agency repo 41,937 0.78 % 202 41,729 0.61 % 173 U.S. Treasury repo: 1 day 10 0.60 % 1 25 — % 1 Total $ 41,947 0.78 % 202 $ 41,754 0.61 % 173 Federal Home Loan Bank Advances On January 12, 2016, the Federal Housing Finance Agency ("FHFA") released its final rule on FHLB membership, which requires the termination of our wholly-owned captive insurance subsidiary's FHLB membership and repayment of all FHLB advances after a one year period ending in February 2017. As of June 30, 2016 and December 31, 2015 , we had $3.0 billion and $3.8 billion , respectively, of outstanding secured FHLB advances, with a weighted average borrowing rate of 0.61% and 0.53% , respectively, and a weighted average remaining term to maturity of 215 and 141 days, respectively, consisting of 30 day and longer-term floating rate advances: June 30, 2016 December 31, 2015 Remaining Maturity FHLB Advances Weighted Weighted FHLB Advances Weighted Weighted ≤ 1 month $ — — % — $ 1,952 0.47 % 14 > 1 to ≤ 3 months — — % — 681 0.60 % 84 > 7 to ≤ 9 months 3,037 0.61 % 215 — — % — 13 months — — % — 1,120 0.58 % 397 Total FHLB advances $ 3,037 0.61 % 215 $ 3,753 0.53 % 141 Debt of Consolidated Variable Interest Entities As of June 30, 2016 and December 31, 2015 , debt of consolidated VIEs, at fair value, was $528 million and $595 million , respectively, and had a weighted average interest rate of LIBOR plus 36 and 34 basis points, respectively, and a principal balance of $523 million and $587 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 June 30, 2016 and December 31, 2015 was 4.8 and 4.9 years, respectively." 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 Federal Home Loan Bank ("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 June 30, 2016 , we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 7 . Repurchase Agreements As of June 30, 2016 and December 31, 2015 , we had $41.9 billion and $41.8 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 greater than 90 days have floating interest rates based on an index plus or minus a fixed spread. Substantially all of our repurchase agreements were used to fund purchases of agency securities ("agency repo"). The remainder of our repurchase agreements were used to fund temporary holdings of U.S. Treasury securities ("U.S. Treasury repo"). The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2016 and December 31, 2015 (dollars in millions): June 30, 2016 December 31, 2015 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 $ 18,710 0.69 % 12 $ 17,579 0.54 % 14 > 1 to ≤ 3 months 10,043 0.71 % 56 14,283 0.64 % 58 > 3 to ≤ 6 months 2,479 0.82 % 117 3,154 0.61 % 121 > 6 to ≤ 9 months 3,185 0.92 % 224 589 0.65 % 199 > 9 to ≤ 12 months 1,269 0.90 % 328 1,201 0.65 % 307 > 12 to ≤ 24 months 2,176 0.99 % 521 1,473 0.73 % 600 > 24 to ≤ 36 months 1,150 1.08 % 955 650 0.81 % 901 > 36 to ≤ 48 months 2,300 1.07 % 1,292 1,300 0.86 % 1,231 > 48 to < 60 months 625 1.10 % 1,690 1,500 0.76 % 1,477 Total agency repo 41,937 0.78 % 202 41,729 0.61 % 173 U.S. Treasury repo: 1 day 10 0.60 % 1 25 — % 1 Total $ 41,947 0.78 % 202 $ 41,754 0.61 % 173 Federal Home Loan Bank Advances On January 12, 2016, the Federal Housing Finance Agency ("FHFA") released its final rule on FHLB membership, which requires the termination of our wholly-owned captive insurance subsidiary's FHLB membership and repayment of all FHLB advances after a one year period ending in February 2017. As of June 30, 2016 and December 31, 2015 , we had $3.0 billion and $3.8 billion , respectively, of outstanding secured FHLB advances, with a weighted average borrowing rate of 0.61% and 0.53% , respectively, and a weighted average remaining term to maturity of 215 and 141 days, respectively, consisting of 30 day and longer-term floating rate advances: June 30, 2016 December 31, 2015 Remaining Maturity FHLB Advances Weighted Weighted FHLB Advances Weighted Weighted ≤ 1 month $ — — % — $ 1,952 0.47 % 14 > 1 to ≤ 3 months — — % — 681 0.60 % 84 > 7 to ≤ 9 months 3,037 0.61 % 215 — — % — 13 months — — % — 1,120 0.58 % 397 Total FHLB advances $ 3,037 0.61 % 215 $ 3,753 0.53 % 141 Debt of Consolidated Variable Interest Entities As of June 30, 2016 and December 31, 2015 , debt of consolidated VIEs, at fair value, was $528 million and $595 million , respectively, and had a weighted average interest rate of LIBOR plus 36 and 34 basis points, respectively, and a principal balance of $523 million and $587 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 June 30, 2016 and December 31, 2015 was 4.8 and 4.9 years, respectively. |
Derivative and Other Hedging In
Derivative and Other Hedging Instruments | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative and Other Hedging Instruments | 3 to ≤ 5 years 5,200 1.58% 0.64% (148 ) 3.6 > 5 to ≤ 7 years 6,975 2.22% 0.64% (448 ) 5.9 > 7 to ≤ 10 years 4,550 2.67% 0.64% (526 ) 8.2 > 10 years 1,175 3.20% 0.66% (219 ) 14.2 Total payer interest rate swaps $ 35,125 1.64% 0.64% $ (1,454 ) 4.0 ________________________ 1. Notional amount includes forward starting swaps of $2.7 billion with an average forward start date of 0.7 years and an average maturity of 7.1 years from June 30, 2016 . 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.51% as of June 30, 2016 . 3. Average receive rate excludes forward starting swaps. December 31, 2015 Payer Interest Rate Swaps Notional 1 Average 2 Average 3 Net Average ≤ 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. The following table summarizes our interest rate payer swaption agreements outstanding as of June 30, 2016 and December 31, 2015 (dollars in millions): Payer Swaptions Option Underlying Payer Swap Years to Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Fixed Pay Rate Average Receive Rate (LIBOR) Average Term (Years) June 30, 2016 Total ≤ 1 year $ 55 $ 7 2 $ 1,050 3.38% 3M 6.7 December 31, 2015 Total ≤ 1 year $ 74 $ 17 4 $ 2,150 3.51% 3M 7.0 The following table summarizes our U.S. Treasury securities as of June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 Maturity Face Amount Net Long / (Short) Cost Basis Market Value Face Amount Net Long / (Short) Cost Basis Market Value 5 years $ (500 ) $ (501 ) $ (512 ) $ (250 ) $ (249 ) $ (249 ) 7 years (1,668 ) (1,662 ) (1,703 ) (354 ) (353 ) (352 ) 10 years (700 ) (697 ) (740 ) (1,085 ) (1,078 ) (1,070 ) Total U.S. Treasury securities, net $ (2,868 ) $ (2,860 ) $ (2,955 ) $ (1,689 ) $ (1,680 ) $ (1,671 ) The following table summarizes our U.S. Treasury futures as of June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 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 ) $ (876 ) $ (892 ) $ (16 ) $ (730 ) $ (866 ) $ (864 ) $ 2 10 years (1,230 ) (1,592 ) (1,634 ) (42 ) (1,130 ) (1,424 ) (1,422 ) 2 Total U.S. Treasury futures $ (1,960 ) $ (2,468 ) $ (2,526 ) $ (58 ) $ (1,860 ) $ (2,290 ) $ (2,286 ) $ 4 _____________________ 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 June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 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% $ 793 $ 817 $ 820 $ 3 $ (80 ) $ (81 ) $ (80 ) $ 1 3.0% 292 305 307 2 225 233 232 (1 ) 3.5% 189 199 200 1 136 143 142 (1 ) Total 15-Year TBAs 1,274 1,321 1,327 6 281 295 294 (1 ) 30-Year TBA securities: 3.0% 3,361 3,438 3,492 54 3,914 3,911 3,916 5 3.5% 1,063 1,089 1,119 30 1,497 1,536 1,539 3 4.0% 1,030 1,097 1,104 7 1,575 1,658 1,665 7 4.5% 28 30 30 — 28 30 30 — Total 30-Year TBAs 5,482 5,654 5,745 91 7,014 7,135 7,150 15 Total net TBA securities $ 6,756 $ 6,975 $ 7,072 $ 97 $ 7,295 $ 7,430 $ 7,444 $ 14 June 30, 2016 December 31, 2015 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 $ 5,256 $ 5,424 $ 5,502 $ 78 $ 6,033 $ 6,145 $ 6,159 $ 14 Freddie Mac 1,027 1,070 1,081 11 689 703 703 — Ginnie Mae 473 481 489 8 573 582 582 — TBA securities, net $ 6,756 $ 6,975 $ 7,072 $ 97 $ 7,295 $ 7,430 $ 7,444 $ 14 _____________________ 1. Notional amount represents the par value (or principal balance) of the underlying agency security. 2. Cost basis represents the forward price to be paid / (received) for the underlying agency security. 3. Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end. 4. Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets. Gain (Loss) From Derivative Instruments and Other Securities, Net The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2016 and 2015 (in millions): Three Months Ended June 30, 2016 Derivative and Other Hedging Instruments Notional Amount Long/(Short) March 31, 2016 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2016 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 5,813 20,066 (19,123 ) $ 6,756 $ 108 Interest rate swaps $ (38,175 ) (2,550 ) 5,600 $ (35,125 ) (356 ) Payer swaptions $ (1,750 ) — 700 $ (1,050 ) (4 ) U.S. Treasury securities - short position $ (3,135 ) (653 ) 858 $ (2,930 ) (73 ) U.S. Treasury securities - long position $ — 225 (163 ) $ 62 1 U.S. Treasury futures contracts - short position $ (1,860 ) (2,060 ) 1,960 $ (1,960 ) (44 ) $ (368 ) ________________________________ 1. Excludes a net loss of $1 million from debt of consolidated VIEs and other miscellaneous net gains of $2 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Three Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 4,873 18,367 (16,299 ) $ 6,941 $ (110 ) Interest rate swaps $ (44,925 ) — — $ (44,925 ) 434 Payer swaptions $ (5,200 ) (500 ) 250 $ (5,450 ) 13 Receiver swaptions $ 750 — (750 ) $ — (13 ) U.S. Treasury securities - short position $ (3,353 ) (2,224 ) 3,327 $ (2,250 ) 18 U.S. Treasury securities - long position $ 4,261 11,649 (10,718 ) $ 5,192 (116 ) U.S. Treasury futures contracts - short position $ (730 ) (730 ) 730 $ (730 ) 15 $ 241 ______________________ 1. Excludes a net loss of $6 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidated VIEs and a net loss of $7 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2016 Derivative and Other Hedging Instruments Notional Amount Long/(Short) December 31, 2015 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2016 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 7,295 38,025 (38,564 ) $ 6,756 $ 324 Interest rate swaps $ (40,525 ) (3,550 ) 8,950 $ (35,125 ) (1,361 ) Payer swaptions $ (2,150 ) — 1,100 $ (1,050 ) (11 ) U.S. Treasury securities - short position $ (1,714 ) (2,633 ) 1,417 $ (2,930 ) (156 ) U.S. Treasury securities - long position $ 25 405 (368 ) $ 62 6 U.S. Treasury futures contracts - short position $ (1,860 ) (3,920 ) 3,820 $ (1,960 ) (121 ) $ (1,319 ) ________________________________ 1. Excludes a net loss of $6 million from debt of consolidated VIEs, a net gain of $11 million from interest and principal-only securities and other miscellaneous net gains of $14 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 14,412 63,867 (71,338 ) $ 6,941 $ 124 Interest rate swaps $ (43,700 ) (3,500 ) 2,275 $ (44,925 ) (312 ) Payer swaptions $ (6,800 ) (500 ) 1,850 $ (5,450 ) (4 ) Receiver swaptions $ 4,250 — (4,250 ) $ — 4 U.S. Treasury securities - short position $ (5,392 ) (6,397 ) 9,539 $ (2,250 ) (64 ) U.S. Treasury securities - long position $ 2,411 27,211 (24,430 ) $ 5,192 (64 ) U.S. Treasury futures contracts - short position $ (730 ) (1,460 ) 1,460 $ (730 ) (5 ) $ (321 ) ______________________ 1. Excludes a net loss of $4 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidate VIEs and a net gain of $4 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income." id="sjs-B4">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. The principal instruments that we use are interest rate swaps and interest rate swaptions and U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also utilize TBA securities, purchase or write put or call options on TBA securities or invest in mortgage and other types of derivatives, such as interest and principal-only securities. We 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). 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 3 . Prior to September 30, 2011, our interest rate swaps were typically designated as cash flow hedges under ASC 815; however, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps in order to increase our funding flexibility. For the three and six months ended June 30, 2016 , we reclassified $12 million and $31 million , respectively, and for the three and six months ended June 30, 2015 $26 million and $55 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 were $81 million and $189 million for the three and six months ended June 30, 2016 , respectively, and $125 million and $238 million for the three and six months ended June 30, 2015 , 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 $69 million and $158 million for the three and six months ended June 30, 2016 , respectively, and $99 million and $183 million for the three and six months ended June 30, 2015 , respectively). As of June 30, 2016 , the remaining net deferred loss in accumulated OCI related to de-designated interest rate swaps was $8 million . Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of June 30, 2016 and December 31, 2015 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location June 30, 2016 December 31, 2015 Interest rate swaps Derivative assets, at fair value $ 1 $ 31 Swaptions Derivative assets, at fair value 7 17 TBA securities Derivative assets, at fair value 103 29 U.S. Treasury futures - short Derivative assets, at fair value — 4 Total derivative assets, at fair value $ 111 $ 81 Interest rate swaps Derivative liabilities, at fair value $ (1,455 ) $ (920 ) TBA securities Derivative liabilities, at fair value (6 ) (15 ) U.S. Treasury futures - short Derivative liabilities, at fair value (58 ) — Total derivative liabilities, at fair value $ (1,519 ) $ (935 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 62 $ 25 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (3,017 ) (1,696 ) Total U.S. Treasury securities, net at fair value $ (2,955 ) $ (1,671 ) The following tables summarize our interest rate swap agreements outstanding as of June 30, 2016 and December 31, 2015 (dollars in millions): June 30, 2016 Payer Interest Rate Swaps Notional Amount 1 Average Average Receive Rate 3 Net Estimated Fair Value Average Maturity (Years) ≤ 3 years $ 17,225 1.04% 0.64% $ (113 ) 1.4 > 3 to ≤ 5 years 5,200 1.58% 0.64% (148 ) 3.6 > 5 to ≤ 7 years 6,975 2.22% 0.64% (448 ) 5.9 > 7 to ≤ 10 years 4,550 2.67% 0.64% (526 ) 8.2 > 10 years 1,175 3.20% 0.66% (219 ) 14.2 Total payer interest rate swaps $ 35,125 1.64% 0.64% $ (1,454 ) 4.0 ________________________ 1. Notional amount includes forward starting swaps of $2.7 billion with an average forward start date of 0.7 years and an average maturity of 7.1 years from June 30, 2016 . 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.51% as of June 30, 2016 . 3. Average receive rate excludes forward starting swaps. December 31, 2015 Payer Interest Rate Swaps Notional 1 Average 2 Average 3 Net Average ≤ 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. The following table summarizes our interest rate payer swaption agreements outstanding as of June 30, 2016 and December 31, 2015 (dollars in millions): Payer Swaptions Option Underlying Payer Swap Years to Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Fixed Pay Rate Average Receive Rate (LIBOR) Average Term (Years) June 30, 2016 Total ≤ 1 year $ 55 $ 7 2 $ 1,050 3.38% 3M 6.7 December 31, 2015 Total ≤ 1 year $ 74 $ 17 4 $ 2,150 3.51% 3M 7.0 The following table summarizes our U.S. Treasury securities as of June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 Maturity Face Amount Net Long / (Short) Cost Basis Market Value Face Amount Net Long / (Short) Cost Basis Market Value 5 years $ (500 ) $ (501 ) $ (512 ) $ (250 ) $ (249 ) $ (249 ) 7 years (1,668 ) (1,662 ) (1,703 ) (354 ) (353 ) (352 ) 10 years (700 ) (697 ) (740 ) (1,085 ) (1,078 ) (1,070 ) Total U.S. Treasury securities, net $ (2,868 ) $ (2,860 ) $ (2,955 ) $ (1,689 ) $ (1,680 ) $ (1,671 ) The following table summarizes our U.S. Treasury futures as of June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 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 ) $ (876 ) $ (892 ) $ (16 ) $ (730 ) $ (866 ) $ (864 ) $ 2 10 years (1,230 ) (1,592 ) (1,634 ) (42 ) (1,130 ) (1,424 ) (1,422 ) 2 Total U.S. Treasury futures $ (1,960 ) $ (2,468 ) $ (2,526 ) $ (58 ) $ (1,860 ) $ (2,290 ) $ (2,286 ) $ 4 _____________________ 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 June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 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% $ 793 $ 817 $ 820 $ 3 $ (80 ) $ (81 ) $ (80 ) $ 1 3.0% 292 305 307 2 225 233 232 (1 ) 3.5% 189 199 200 1 136 143 142 (1 ) Total 15-Year TBAs 1,274 1,321 1,327 6 281 295 294 (1 ) 30-Year TBA securities: 3.0% 3,361 3,438 3,492 54 3,914 3,911 3,916 5 3.5% 1,063 1,089 1,119 30 1,497 1,536 1,539 3 4.0% 1,030 1,097 1,104 7 1,575 1,658 1,665 7 4.5% 28 30 30 — 28 30 30 — Total 30-Year TBAs 5,482 5,654 5,745 91 7,014 7,135 7,150 15 Total net TBA securities $ 6,756 $ 6,975 $ 7,072 $ 97 $ 7,295 $ 7,430 $ 7,444 $ 14 June 30, 2016 December 31, 2015 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 $ 5,256 $ 5,424 $ 5,502 $ 78 $ 6,033 $ 6,145 $ 6,159 $ 14 Freddie Mac 1,027 1,070 1,081 11 689 703 703 — Ginnie Mae 473 481 489 8 573 582 582 — TBA securities, net $ 6,756 $ 6,975 $ 7,072 $ 97 $ 7,295 $ 7,430 $ 7,444 $ 14 _____________________ 1. Notional amount represents the par value (or principal balance) of the underlying agency security. 2. Cost basis represents the forward price to be paid / (received) for the underlying agency security. 3. Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end. 4. Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets. Gain (Loss) From Derivative Instruments and Other Securities, Net The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2016 and 2015 (in millions): Three Months Ended June 30, 2016 Derivative and Other Hedging Instruments Notional Amount Long/(Short) March 31, 2016 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2016 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 5,813 20,066 (19,123 ) $ 6,756 $ 108 Interest rate swaps $ (38,175 ) (2,550 ) 5,600 $ (35,125 ) (356 ) Payer swaptions $ (1,750 ) — 700 $ (1,050 ) (4 ) U.S. Treasury securities - short position $ (3,135 ) (653 ) 858 $ (2,930 ) (73 ) U.S. Treasury securities - long position $ — 225 (163 ) $ 62 1 U.S. Treasury futures contracts - short position $ (1,860 ) (2,060 ) 1,960 $ (1,960 ) (44 ) $ (368 ) ________________________________ 1. Excludes a net loss of $1 million from debt of consolidated VIEs and other miscellaneous net gains of $2 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Three Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 4,873 18,367 (16,299 ) $ 6,941 $ (110 ) Interest rate swaps $ (44,925 ) — — $ (44,925 ) 434 Payer swaptions $ (5,200 ) (500 ) 250 $ (5,450 ) 13 Receiver swaptions $ 750 — (750 ) $ — (13 ) U.S. Treasury securities - short position $ (3,353 ) (2,224 ) 3,327 $ (2,250 ) 18 U.S. Treasury securities - long position $ 4,261 11,649 (10,718 ) $ 5,192 (116 ) U.S. Treasury futures contracts - short position $ (730 ) (730 ) 730 $ (730 ) 15 $ 241 ______________________ 1. Excludes a net loss of $6 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidated VIEs and a net loss of $7 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2016 Derivative and Other Hedging Instruments Notional Amount Long/(Short) December 31, 2015 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2016 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 7,295 38,025 (38,564 ) $ 6,756 $ 324 Interest rate swaps $ (40,525 ) (3,550 ) 8,950 $ (35,125 ) (1,361 ) Payer swaptions $ (2,150 ) — 1,100 $ (1,050 ) (11 ) U.S. Treasury securities - short position $ (1,714 ) (2,633 ) 1,417 $ (2,930 ) (156 ) U.S. Treasury securities - long position $ 25 405 (368 ) $ 62 6 U.S. Treasury futures contracts - short position $ (1,860 ) (3,920 ) 3,820 $ (1,960 ) (121 ) $ (1,319 ) ________________________________ 1. Excludes a net loss of $6 million from debt of consolidated VIEs, a net gain of $11 million from interest and principal-only securities and other miscellaneous net gains of $14 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 14,412 63,867 (71,338 ) $ 6,941 $ 124 Interest rate swaps $ (43,700 ) (3,500 ) 2,275 $ (44,925 ) (312 ) Payer swaptions $ (6,800 ) (500 ) 1,850 $ (5,450 ) (4 ) Receiver swaptions $ 4,250 — (4,250 ) $ — 4 U.S. Treasury securities - short position $ (5,392 ) (6,397 ) 9,539 $ (2,250 ) (64 ) U.S. Treasury securities - long position $ 2,411 27,211 (24,430 ) $ 5,192 (64 ) U.S. Treasury futures contracts - short position $ (730 ) (1,460 ) 1,460 $ (730 ) (5 ) $ (321 ) ______________________ 1. Excludes a net loss of $4 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidate VIEs and a net gain of $4 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Pledged Assets
Pledged Assets | 6 Months Ended |
Jun. 30, 2016 | |
Pledged Assets [Abstract] | |
Pledged Assets | 30 and ≤ 60 days 6,114 6,000 17 8,311 8,340 23 > 60 and ≤ 90 days 4,491 4,408 13 7,534 7,525 21 > 90 days 17,629 17,231 49 12,207 12,187 34 Total MBS 47,662 46,629 132 48,105 48,127 135 U.S. Treasury securities: 1 day 10 10 — 25 25 — Total $ 47,672 $ 46,639 $ 132 $ 48,130 $ 48,152 $ 135 ______________________ 1. Includes $203 million and $245 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements, as of June 30, 2016 and December 31, 2015 , respectively. As of June 30, 2016 and December 31, 2015 , 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 4 and 5 for additional information regarding our consolidated VIEs. Assets Pledged from Counterparties As of June 30, 2016 and December 31, 2015 , we had U.S. Treasury securities pledged to us from counterparties as collateral under our reverse repurchase agreements of $3.0 billion and $1.7 billion , respectively. U.S Treasury securities received as collateral under our reverse repurchase agreements that we use to cover short sales of U.S. Treasury 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. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of June 30, 2016 and December 31, 2015 (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 June 30, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 8 $ — $ 8 $ (8 ) $ — $ — Receivable under reverse repurchase agreements 2,982 — 2,982 (2,576 ) (406 ) — Total $ 2,990 $ — $ 2,990 $ (2,584 ) $ (406 ) $ — 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 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 June 30, 2016 Interest rate swap agreements, at fair value 1 $ 1,455 $ — $ 1,455 $ (8 ) $ (1,447 ) $ — Repurchase agreements and FHLB advances 44,984 — 44,984 (2,576 ) (42,408 ) — Total $ 46,439 $ — $ 46,439 $ (2,584 ) $ (43,855 ) $ — December 31, 2015 Interest rate swap agreements, at fair value 1 $ 920 $ — $ 920 $ (31 ) $ (889 ) $ — Repurchase agreements 45,507 — 45,507 (1,356 ) (44,151 ) — Total $ 46,427 $ — $ 46,427 $ (1,387 ) $ (45,040 ) $ — _______________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities 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 under our 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 stock in the FHLB based upon the total assets of our wholly-owned captive insurance company 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 up to certain specified levels. As of June 30, 2016 , the fair value of additional collateral that could be required to be posted as a result of the credit-risk-related contingent features being triggered was not material to our financial statements. As of June 30, 2016 , our maximum amount at risk with any counterparty related to our repurchase agreements was less than 4% of our stockholders' equity and our maximum 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 June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLB Advances 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 47,555 $ 945 $ 520 $ 472 $ 49,492 AAA non-agency MBS - fair value 107 — — — 107 U.S. Treasury securities - fair value 10 — 52 — 62 Accrued interest on pledged securities 132 3 1 1 137 Restricted cash and cash equivalents — — 1,393 6 1,399 Total $ 47,804 $ 948 $ 1,966 $ 479 $ 51,197 ______________________ 1. Includes $203 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements. 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. As of June 30, 2016 and December 31, 2015 , we held $126 million and $150 million , respectively, 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 June 30, 2016 and December 31, 2015 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 . June 30, 2016 December 31, 2015 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 $ 19,428 $ 18,990 $ 53 $ 20,053 $ 20,075 $ 57 > 30 and ≤ 60 days 6,114 6,000 17 8,311 8,340 23 > 60 and ≤ 90 days 4,491 4,408 13 7,534 7,525 21 > 90 days 17,629 17,231 49 12,207 12,187 34 Total MBS 47,662 46,629 132 48,105 48,127 135 U.S. Treasury securities: 1 day 10 10 — 25 25 — Total $ 47,672 $ 46,639 $ 132 $ 48,130 $ 48,152 $ 135 ______________________ 1. Includes $203 million and $245 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements, as of June 30, 2016 and December 31, 2015 , respectively. As of June 30, 2016 and December 31, 2015 , 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 4 and 5 for additional information regarding our consolidated VIEs. Assets Pledged from Counterparties As of June 30, 2016 and December 31, 2015 , we had U.S. Treasury securities pledged to us from counterparties as collateral under our reverse repurchase agreements of $3.0 billion and $1.7 billion , respectively. U.S Treasury securities received as collateral under our reverse repurchase agreements that we use to cover short sales of U.S. Treasury 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. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of June 30, 2016 and December 31, 2015 (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 June 30, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 8 $ — $ 8 $ (8 ) $ — $ — Receivable under reverse repurchase agreements 2,982 — 2,982 (2,576 ) (406 ) — Total $ 2,990 $ — $ 2,990 $ (2,584 ) $ (406 ) $ — 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 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 June 30, 2016 Interest rate swap agreements, at fair value 1 $ 1,455 $ — $ 1,455 $ (8 ) $ (1,447 ) $ — Repurchase agreements and FHLB advances 44,984 — 44,984 (2,576 ) (42,408 ) — Total $ 46,439 $ — $ 46,439 $ (2,584 ) $ (43,855 ) $ — December 31, 2015 Interest rate swap agreements, at fair value 1 $ 920 $ — $ 920 $ (31 ) $ (889 ) $ — Repurchase agreements 45,507 — 45,507 (1,356 ) (44,151 ) — Total $ 46,427 $ — $ 46,427 $ (1,387 ) $ (45,040 ) $ — _______________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities 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 | 6 Months Ended |
Jun. 30, 2016 | |
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 3 . We review the various third party fair value estimates and perform procedures to validate their reasonableness, including an analysis of the range of third party estimates for each position, comparison to recent trade activity for similar securities, and management review for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from third party pricing sources, we will exclude third party prices for securities from our determination of fair value if we determine (based on our validation procedures and our market knowledge and expertise) that the price is significantly different from observable market data would indicate and we cannot obtain an understanding from the third party source as to the significant inputs used to determine the price. The validation procedures described above also influence our determination of the appropriate fair value measurement classification. We utilize a three-level valuation hierarchy for disclosure of fair value measurement. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. A financial instrument's categorization within the hierarchy is based upon the lowest level of input that is significant to the fair value measurement. There were no transfers between hierarchy levels during the three and six months ended June 30, 2016 . The three levels of hierarchy are defined as follows: • Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date. • Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated. The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 53,418 $ — $ — $ 51,331 $ — Agency securities transferred to consolidated VIEs — 945 — — 1,029 — Non-agency securities — 107 — — 113 — U.S. Treasury securities 62 — — 25 — — Interest rate swaps — 1 — — 31 — Swaptions — 7 — — 17 — REIT equity securities 19 — — 33 — — TBA securities — 103 — — 29 — U.S. Treasury futures — — — 4 — — Total $ 81 $ 54,581 $ — $ 62 $ 52,550 $ — Liabilities: Debt of consolidated VIEs $ — $ 528 $ — $ — $ 595 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 3,017 — — 1,696 — — Interest rate swaps — 1,455 — — 920 — TBA securities — 6 — — 15 — U.S. Treasury futures 58 — — — — — Total $ 3,075 $ 1,989 $ — $ 1,696 $ 1,530 $ — 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 | 6 Months Ended |
Jun. 30, 2016 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders' Equity Preferred Stock Pursuant to our amended and restated certificate of incorporation, we are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. Our Board of Directors has designated 6.9 million shares as 8.000% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") and 8,050 shares as 7.750% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"). As of June 30, 2016 , we had 3.1 million shares of authorized but unissued shares of preferred stock. Our Board of Directors may designate additional series of authorized preferred stock ranking junior to or in parity with the Series A or Series B Preferred Stock or designate additional shares of the Series A or Series B Preferred Stock and authorize the issuance of such shares. In April 2012 , we completed a public offering in which 6.9 million shares of our Series A Preferred Stock were sold to the underwriters at a price of $24.2125 per share for proceeds, net of offering expenses, of $167 million . In May 2014 , we completed a public offering in which 7.0 million depositary shares were sold to the underwriters at a price of $24.2125 per depositary share for proceeds, net of offering expenses, of $169 million . Each depositary share represents a 1/1,000th interest in a share of our Series B Preferred Stock. Our Series A and Series B Preferred Stock have no stated maturity, are not subject to any sinking fund or mandatory redemption and rank on parity with each other. Under certain circumstances upon a change of control, our Series A and Series B Preferred Stock are convertible to shares of our common stock. Holders of our Series A Preferred Stock and depository shares underlying our Series B Preferred Stock have no voting rights, except under limited conditions, and are entitled to receive cumulative cash dividends at a rate of 8.000% and 7.750% per annum, respectively, of their $25.00 per share and $25.00 per depositary share liquidation preference, respectively, before holders of our common stock are entitled to receive any dividends. Shares of our Series A Preferred Stock and depository shares underlying our Series B Preferred Stock are each redeemable at $25.00 per share, plus accumulated and unpaid dividends (whether or not declared) exclusively at our option commencing on April 5, 2017 and May 8, 2019 , respectively, or earlier under certain circumstances intended to preserve our qualification as a REIT for federal income tax purposes. Dividends are payable quarterly in arrears on the 15th day of each January, April, July and October. As of June 30, 2016 , 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. We did not repurchase any shares of our common stock during the three months ended June 30, 2016. During the six months ended June 30, 2016 , we repurchased 6.5 million shares of our common stock at an average repurchase price of $17.89 per share, including expenses, totaling $116 million . During the three and six months ended June 30, 2015 we repurchased 4.0 million shares of our common stock at an average repurchase price of $19.86 per share, including expenses, totaling $79 million . As of June 30, 2016 , the total remaining amount authorized for repurchases of our common stock was $0.6 billion . Accumulated Other Comprehensive Income (Loss) The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2016 and 2015 (in millions): Accumulated Other Comprehensive Income (Loss) Net Unrealized Gain (Loss) on Available-for-Sale MBS Net Unrealized Gain (Loss) on Swaps Total Accumulated OCI Balance Three Months Ended June 30, 2016 Balance as of March 31, 2016 $ 738 $ (20 ) $ 718 OCI before reclassifications 425 — 425 Amounts reclassified from accumulated OCI (55 ) 12 (43 ) Balance as of June 30, 2016 $ 1,108 $ (8 ) $ 1,100 Three Months Ended June 30, 2015 Balance as of March 31, 2015 $ 961 $ (111 ) $ 850 OCI before reclassifications (894 ) — (894 ) Amounts reclassified from accumulated OCI 22 26 48 Balance as of June 30, 2015 $ 89 $ (85 ) $ 4 Six Months Ended June 30, 2016 Balance as of December 31, 2015 $ (27 ) $ (39 ) $ (66 ) OCI before reclassifications 1,188 — 1,188 Amounts reclassified from accumulated OCI (53 ) 31 (22 ) Balance as of June 30, 2016 $ 1,108 $ (8 ) $ 1,100 Six Months Ended June 30, 2015 Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 OCI before reclassifications (467 ) — (467 ) Amounts reclassified from accumulated OCI (14 ) 55 41 Balance as of June 30, 2015 $ 89 $ (85 ) $ 4 The following table summarizes reclassifications out of accumulated OCI for the three and six months ended June 30, 2016 and 2015 (in millions): Three Months Ended June 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2016 2015 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ (55 ) $ 22 Gain (loss) on sale of mortgage-backed securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 12 26 Interest expense Total reclassifications $ (43 ) $ 48 Six Months Ended June 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2016 2015 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ (53 ) $ (14 ) Gain (loss) on sale of mortgage-backed securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 31 55 Interest expense Total reclassifications $ (22 ) $ 41 |
Subsequent Event
Subsequent Event | 6 Months Ended |
Jun. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Event | Subsequent Events Acquisition of American Capital Mortgage Management, LLC On July 1, 2016, we completed our acquisition of all of the outstanding membership interests of ACMM from ACAM, a wholly owned portfolio company of ACAS, for a purchase price of $562 million in cash. ACMM is the parent company of our Manager and the manager of MTGE. Following the closing of the acquisition, we became internally managed and are no longer affiliated with ACAS. We believe internalizing our management function will result in lower operating costs as well as management fee income from MTGE. We will account for our acquisition of ACMM as a business combination using the acquisition method of accounting in accordance with applicable U.S. GAAP, whereby the total purchase price will be allocated to tangible and intangible assets acquired and liabilities assumed based on their respective fair values as of the acquisition date. Goodwill is calculated as the excess of the consideration transferred over the net assets recognized and represents the estimated future economic benefits arising from other assets acquired that could not be individually identified and separately recognized. The principal assets of ACMM at the acquisition date were our management agreement, the MTGE management agreement, an assembled workforce, cash of $7 million , certain non-compete agreements with executive officers and other miscellaneous assets. ACMM did not have any significant liabilities as of the acquisition date. We are still in the process of completing our purchase price allocation and other items. We do not expect to recognize a gain or loss associated with the effective settlement of our pre-existing management agreement with our Manager on the acquisition date, and we expect that the substantial majority of the acquisition price will be recognized as goodwill attributable to intangible assets that do not qualify for separate recognition, largely consisting of our management agreement and assembled workforce. Goodwill is expected to be deductible for income tax purposes over a 15 year amortization period. We recognized $9 million of transaction related costs that were expensed during the three and six months ended June 30, 2016. These costs are included in general, administrative and other expenses in our consolidated statements of comprehensive income. Dividends On July 14, 2016 , our Board of Directors declared a monthly dividend of $0.20 per common share, which will be paid on August 8, 2016 , to common stockholders of record as of July 29, 2016 . On July 27, 2016, our Board of Directors declared a monthly dividend of $0.18 per common share, which will be paid on September 9, 2016 , to common stockholders of record as of August 31, 2016 . |
Summary of Significant Accoun17
Summary of Significant Accounting Policies (Policy) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Investment Securities | Investment Securities ASC Topic 320, Investments—Debt and Equity Securities ("ASC 320"), requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Securities classified as trading and available-for-sale are reported at fair value, while securities classified as held-to-maturity are reported at amortized cost. We may sell any of our 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 other comprehensive income (loss) ("OCI"), a separate component of stockholders' equity. Upon the sale of a security, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. 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 based on a market approach using "Level 1" inputs based on quoted market prices. Refer to Note 8 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. |
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 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, extension and liquidity risk. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The principal instruments that we use are interest rate swaps and options to enter into interest rate swaps ("swaptions"). We also utilize U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales, and forward contracts for the purchase or sale of agency MBS securities on a generic pool basis in the "to-be-announced" market ("TBA securities"). 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 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). Under 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 our accompanying consolidated balance sheets 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 our accompanying consolidated balance sheets 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. |
Summary of Significant Accoun18
Summary of Significant Accounting Policies Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
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, extension and liquidity risk. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The principal instruments that we use are interest rate swaps and options to enter into interest rate swaps ("swaptions"). We also utilize U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales, and forward contracts for the purchase or sale of agency MBS securities on a generic pool basis in the "to-be-announced" market ("TBA securities"). 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 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). Under 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 our accompanying consolidated balance sheets 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 our accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Investment, 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 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 other comprehensive income (loss) ("OCI"), a separate component of stockholders' equity. Upon the sale of a security, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. 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 based on a market approach using "Level 1" inputs based on quoted market prices. Refer to Note 8 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. |
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 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. |
Investment Securities (Tables)
Investment Securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-sale Securities [Table Text Block] | June 30, 2016 Investments in Mortgage-Backed Securities Fannie Mae Freddie Mac Ginnie Mae Non-Agency Total Available-for-sale MBS: MBS, par value $ 40,245 $ 10,356 $ 53 $ 104 $ 50,758 Unamortized discount (30 ) (3 ) — — (33 ) Unamortized premium 1,766 519 1 1 2,287 Amortized cost 41,981 10,872 54 105 53,012 Gross unrealized gains 897 215 2 2 1,116 Gross unrealized losses (7 ) (3 ) — — (10 ) Total available-for-sale MBS, at fair value 42,871 11,084 56 107 54,118 MBS remeasured at fair value through earnings: Interest-only and principal-only strips, amortized cost 1 288 17 — — 305 Gross unrealized gains 47 3 — — 50 Gross unrealized losses (2 ) (1 ) — — (3 ) Total MBS remeasured at fair value through earnings 333 19 — — 352 Total MBS, at fair value $ 43,204 $ 11,103 $ 56 $ 107 $ 54,470 Weighted average coupon as of June 30, 2016 2 3.61 % 3.70 % 3.08 % 3.50 % 3.63 % Weighted average yield as of June 30, 2016 3 2.67 % 2.68 % 1.95 % 3.00 % 2.68 % ________________________ 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 5.29% of this amount as of June 30, 2016 . The par value of our principal-only securities was $192 million as of June 30, 2016 . 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 June 30, 2016 . 3. Incorporates a weighted average future constant prepayment rate assumption of 11% based on forward rates as of June 30, 2016 . 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 measured 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 measured 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 UPB 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 . |
Components of Investment Securities | The following tables summarize our investments in MBS as of June 30, 2016 and December 31, 2015 (dollars in millions): June 30, 2016 Investments in Mortgage-Backed Securities Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value Agency MBS: Fixed rate $ 51,590 $ 1,068 $ (10 ) $ 52,648 Adjustable rate 429 14 — 443 CMO 888 32 — 920 Interest-only and principal-only strips 305 50 (3 ) 352 Total agency MBS 53,212 1,164 (13 ) 54,363 Non-agency MBS: AAA non-agency 105 2 — 107 Total MBS $ 53,317 $ 1,166 $ (13 ) $ 54,470 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 |
Summary Of Agency Securities Estimated Weighted Average Life Classifications | The following table summarizes our investments classified as available-for-sale as of June 30, 2016 and December 31, 2015 according to their estimated weighted average life classification (dollars in millions): June 30, 2016 December 31, 2015 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 $ 1,155 $ 1,134 3.89% 2.45% $ 167 $ 163 4.02% 2.66% > 3 years and ≤ 5 years 19,190 18,698 3.36% 2.45% 17,497 17,343 3.27% 2.40% > 5 years and ≤10 years 31,934 31,349 3.65% 2.77% 34,206 34,391 3.67% 2.93% > 10 years 1,839 1,831 3.02% 2.64% 250 250 3.56% 3.08% Total $ 54,118 $ 53,012 3.53% 2.64% $ 52,120 $ 52,147 3.54% 2.75% _______________________ 1. Excludes interest and principal-only strips. |
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 June 30, 2016 and December 31, 2015 (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 June 30, 2016 $ 730 $ (1 ) $ 2,072 $ (9 ) $ 2,802 $ (10 ) December 31, 2015 $ 24,035 $ (200 ) $ 6,793 $ (195 ) $ 30,828 $ (395 ) |
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 the three and six months ended June 30, 2016 and 2015 (in millions): Three Months Ended June 30, Six Months Ended June 30, Securities Classified as Available-for-Sale 2016 2015 2016 2015 MBS sold, at cost $ (7,508 ) $ (10,241 ) $ (11,023 ) $ (17,974 ) Proceeds from MBS sold 1 7,563 10,219 11,076 17,988 Net gain (loss) on sale of MBS $ 55 $ (22 ) $ 53 $ 14 Gross gain on sale of MBS $ 55 $ 22 $ 60 $ 79 Gross loss on sale of MBS — (44 ) (7 ) (65 ) Net gain (loss) on sale of MBS $ 55 $ (22 ) $ 53 $ 14 ________________________ 1. Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end. |
Repurchase Agreements and Oth20
Repurchase Agreements and Other Debt (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Borrowings under Repurchase Agreements and Weighted Average Interest Rates | The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2016 and December 31, 2015 (dollars in millions): June 30, 2016 December 31, 2015 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 $ 18,710 0.69 % 12 $ 17,579 0.54 % 14 > 1 to ≤ 3 months 10,043 0.71 % 56 14,283 0.64 % 58 > 3 to ≤ 6 months 2,479 0.82 % 117 3,154 0.61 % 121 > 6 to ≤ 9 months 3,185 0.92 % 224 589 0.65 % 199 > 9 to ≤ 12 months 1,269 0.90 % 328 1,201 0.65 % 307 > 12 to ≤ 24 months 2,176 0.99 % 521 1,473 0.73 % 600 > 24 to ≤ 36 months 1,150 1.08 % 955 650 0.81 % 901 > 36 to ≤ 48 months 2,300 1.07 % 1,292 1,300 0.86 % 1,231 > 48 to < 60 months 625 1.10 % 1,690 1,500 0.76 % 1,477 Total agency repo 41,937 0.78 % 202 41,729 0.61 % 173 U.S. Treasury repo: 1 day 10 0.60 % 1 25 — % 1 Total $ 41,947 0.78 % 202 $ 41,754 0.61 % 173 |
Schedule of Federal Home Loan Bank Advances and Weighted Average Interest Rates [Table Text Block] | As of June 30, 2016 and December 31, 2015 , we had $3.0 billion and $3.8 billion , respectively, of outstanding secured FHLB advances, with a weighted average borrowing rate of 0.61% and 0.53% , respectively, and a weighted average remaining term to maturity of 215 and 141 days, respectively, consisting of 30 day and longer-term floating rate advances: June 30, 2016 December 31, 2015 Remaining Maturity FHLB Advances Weighted Weighted FHLB Advances Weighted Weighted ≤ 1 month $ — — % — $ 1,952 0.47 % 14 > 1 to ≤ 3 months — — % — 681 0.60 % 84 > 7 to ≤ 9 months 3,037 0.61 % 215 — — % — 13 months — — % — 1,120 0.58 % 397 Total FHLB advances $ 3,037 0.61 % 215 $ 3,753 0.53 % 141 |
Derivative and Other Hedging 21
Derivative and Other Hedging Instruments (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Derivative [Line Items] | |
Schedule of Outstanding Derivatives Not Designated as Hedging Instruments | The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of June 30, 2016 and December 31, 2015 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location June 30, 2016 December 31, 2015 Interest rate swaps Derivative assets, at fair value $ 1 $ 31 Swaptions Derivative assets, at fair value 7 17 TBA securities Derivative assets, at fair value 103 29 U.S. Treasury futures - short Derivative assets, at fair value — 4 Total derivative assets, at fair value $ 111 $ 81 Interest rate swaps Derivative liabilities, at fair value $ (1,455 ) $ (920 ) TBA securities Derivative liabilities, at fair value (6 ) (15 ) U.S. Treasury futures - short Derivative liabilities, at fair value (58 ) — Total derivative liabilities, at fair value $ (1,519 ) $ (935 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 62 $ 25 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (3,017 ) (1,696 ) Total U.S. Treasury securities, net at fair value $ (2,955 ) $ (1,671 ) |
Schedule of Interest Rate Swaption Agreements Outstanding | The following table summarizes our interest rate payer swaption agreements outstanding as of June 30, 2016 and December 31, 2015 (dollars in millions): Payer Swaptions Option Underlying Payer Swap Years to Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Fixed Pay Rate Average Receive Rate (LIBOR) Average Term (Years) June 30, 2016 Total ≤ 1 year $ 55 $ 7 2 $ 1,050 3.38% 3M 6.7 December 31, 2015 Total ≤ 1 year $ 74 $ 17 4 $ 2,150 3.51% 3M 7.0 |
US government securities | The following table summarizes our U.S. Treasury securities as of June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 Maturity Face Amount Net Long / (Short) Cost Basis Market Value Face Amount Net Long / (Short) Cost Basis Market Value 5 years $ (500 ) $ (501 ) $ (512 ) $ (250 ) $ (249 ) $ (249 ) 7 years (1,668 ) (1,662 ) (1,703 ) (354 ) (353 ) (352 ) 10 years (700 ) (697 ) (740 ) (1,085 ) (1,078 ) (1,070 ) Total U.S. Treasury securities, net $ (2,868 ) $ (2,860 ) $ (2,955 ) $ (1,689 ) $ (1,680 ) $ (1,671 ) |
US Government Futures Securities [Table Text Block] | The following table summarizes our U.S. Treasury futures as of June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 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 ) $ (876 ) $ (892 ) $ (16 ) $ (730 ) $ (866 ) $ (864 ) $ 2 10 years (1,230 ) (1,592 ) (1,634 ) (42 ) (1,130 ) (1,424 ) (1,422 ) 2 Total U.S. Treasury futures $ (1,960 ) $ (2,468 ) $ (2,526 ) $ (58 ) $ (1,860 ) $ (2,290 ) $ (2,286 ) $ 4 _____________________ 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 June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 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% $ 793 $ 817 $ 820 $ 3 $ (80 ) $ (81 ) $ (80 ) $ 1 3.0% 292 305 307 2 225 233 232 (1 ) 3.5% 189 199 200 1 136 143 142 (1 ) Total 15-Year TBAs 1,274 1,321 1,327 6 281 295 294 (1 ) 30-Year TBA securities: 3.0% 3,361 3,438 3,492 54 3,914 3,911 3,916 5 3.5% 1,063 1,089 1,119 30 1,497 1,536 1,539 3 4.0% 1,030 1,097 1,104 7 1,575 1,658 1,665 7 4.5% 28 30 30 — 28 30 30 — Total 30-Year TBAs 5,482 5,654 5,745 91 7,014 7,135 7,150 15 Total net TBA securities $ 6,756 $ 6,975 $ 7,072 $ 97 $ 7,295 $ 7,430 $ 7,444 $ 14 June 30, 2016 December 31, 2015 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 $ 5,256 $ 5,424 $ 5,502 $ 78 $ 6,033 $ 6,145 $ 6,159 $ 14 Freddie Mac 1,027 1,070 1,081 11 689 703 703 — Ginnie Mae 473 481 489 8 573 582 582 — TBA securities, net $ 6,756 $ 6,975 $ 7,072 $ 97 $ 7,295 $ 7,430 $ 7,444 $ 14 _____________________ 1. Notional amount represents the par value (or principal balance) of the underlying agency security. 2. Cost basis represents the forward price to be paid / (received) for the underlying agency security. 3. Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end. 4. Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets. |
Schedule Of Outstanding Not Designated As Hedging Instruments | The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2016 and 2015 (in millions): Three Months Ended June 30, 2016 Derivative and Other Hedging Instruments Notional Amount Long/(Short) March 31, 2016 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2016 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 5,813 20,066 (19,123 ) $ 6,756 $ 108 Interest rate swaps $ (38,175 ) (2,550 ) 5,600 $ (35,125 ) (356 ) Payer swaptions $ (1,750 ) — 700 $ (1,050 ) (4 ) U.S. Treasury securities - short position $ (3,135 ) (653 ) 858 $ (2,930 ) (73 ) U.S. Treasury securities - long position $ — 225 (163 ) $ 62 1 U.S. Treasury futures contracts - short position $ (1,860 ) (2,060 ) 1,960 $ (1,960 ) (44 ) $ (368 ) ________________________________ 1. Excludes a net loss of $1 million from debt of consolidated VIEs and other miscellaneous net gains of $2 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Three Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 4,873 18,367 (16,299 ) $ 6,941 $ (110 ) Interest rate swaps $ (44,925 ) — — $ (44,925 ) 434 Payer swaptions $ (5,200 ) (500 ) 250 $ (5,450 ) 13 Receiver swaptions $ 750 — (750 ) $ — (13 ) U.S. Treasury securities - short position $ (3,353 ) (2,224 ) 3,327 $ (2,250 ) 18 U.S. Treasury securities - long position $ 4,261 11,649 (10,718 ) $ 5,192 (116 ) U.S. Treasury futures contracts - short position $ (730 ) (730 ) 730 $ (730 ) 15 $ 241 ______________________ 1. Excludes a net loss of $6 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidated VIEs and a net loss of $7 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2016 Derivative and Other Hedging Instruments Notional Amount Long/(Short) December 31, 2015 Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2016 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 7,295 38,025 (38,564 ) $ 6,756 $ 324 Interest rate swaps $ (40,525 ) (3,550 ) 8,950 $ (35,125 ) (1,361 ) Payer swaptions $ (2,150 ) — 1,100 $ (1,050 ) (11 ) U.S. Treasury securities - short position $ (1,714 ) (2,633 ) 1,417 $ (2,930 ) (156 ) U.S. Treasury securities - long position $ 25 405 (368 ) $ 62 6 U.S. Treasury futures contracts - short position $ (1,860 ) (3,920 ) 3,820 $ (1,960 ) (121 ) $ (1,319 ) ________________________________ 1. Excludes a net loss of $6 million from debt of consolidated VIEs, a net gain of $11 million from interest and principal-only securities and other miscellaneous net gains of $14 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Six Months Ended June 30, 2015 Derivative and Other Hedging Instruments Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount Long/(Short) June 30, 2015 Amount of Gain/(Loss) Recognized in Income on Derivatives 1 TBA securities, net $ 14,412 63,867 (71,338 ) $ 6,941 $ 124 Interest rate swaps $ (43,700 ) (3,500 ) 2,275 $ (44,925 ) (312 ) Payer swaptions $ (6,800 ) (500 ) 1,850 $ (5,450 ) (4 ) Receiver swaptions $ 4,250 — (4,250 ) $ — 4 U.S. Treasury securities - short position $ (5,392 ) (6,397 ) 9,539 $ (2,250 ) (64 ) U.S. Treasury securities - long position $ 2,411 27,211 (24,430 ) $ 5,192 (64 ) U.S. Treasury futures contracts - short position $ (730 ) (1,460 ) 1,460 $ (730 ) (5 ) $ (321 ) ______________________ 1. Excludes a net loss of $4 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidate VIEs and a net gain of $4 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Not Designated as Hedging Instrument [Member] | |
Derivative [Line Items] | |
Schedule Of Interest Rate Swap Agreement By Remaining Maturity | The following tables summarize our interest rate swap agreements outstanding as of June 30, 2016 and December 31, 2015 (dollars in millions): June 30, 2016 Payer Interest Rate Swaps Notional Amount 1 Average Average Receive Rate 3 Net Estimated Fair Value Average Maturity (Years) ≤ 3 years $ 17,225 1.04% 0.64% $ (113 ) 1.4 > 3 to ≤ 5 years 5,200 1.58% 0.64% (148 ) 3.6 > 5 to ≤ 7 years 6,975 2.22% 0.64% (448 ) 5.9 > 7 to ≤ 10 years 4,550 2.67% 0.64% (526 ) 8.2 > 10 years 1,175 3.20% 0.66% (219 ) 14.2 Total payer interest rate swaps $ 35,125 1.64% 0.64% $ (1,454 ) 4.0 ________________________ 1. Notional amount includes forward starting swaps of $2.7 billion with an average forward start date of 0.7 years and an average maturity of 7.1 years from June 30, 2016 . 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.51% as of June 30, 2016 . 3. Average receive rate excludes forward starting swaps. December 31, 2015 Payer Interest Rate Swaps Notional 1 Average 2 Average 3 Net Average ≤ 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. |
Pledged Assets (Tables)
Pledged Assets (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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 June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLB Advances 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements Total Agency MBS - fair value $ 47,555 $ 945 $ 520 $ 472 $ 49,492 AAA non-agency MBS - fair value 107 — — — 107 U.S. Treasury securities - fair value 10 — 52 — 62 Accrued interest on pledged securities 132 3 1 1 137 Restricted cash and cash equivalents — — 1,393 6 1,399 Total $ 47,804 $ 948 $ 1,966 $ 479 $ 51,197 ______________________ 1. Includes $203 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements. 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. |
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 June 30, 2016 and December 31, 2015 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 . June 30, 2016 December 31, 2015 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 $ 19,428 $ 18,990 $ 53 $ 20,053 $ 20,075 $ 57 > 30 and ≤ 60 days 6,114 6,000 17 8,311 8,340 23 > 60 and ≤ 90 days 4,491 4,408 13 7,534 7,525 21 > 90 days 17,629 17,231 49 12,207 12,187 34 Total MBS 47,662 46,629 132 48,105 48,127 135 U.S. Treasury securities: 1 day 10 10 — 25 25 — Total $ 47,672 $ 46,639 $ 132 $ 48,130 $ 48,152 $ 135 ______________________ 1. Includes $203 million and $245 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements, as of June 30, 2016 and December 31, 2015 , respectively. |
Offsetting Assets and Liabilities | The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of June 30, 2016 and December 31, 2015 (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 June 30, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 8 $ — $ 8 $ (8 ) $ — $ — Receivable under reverse repurchase agreements 2,982 — 2,982 (2,576 ) (406 ) — Total $ 2,990 $ — $ 2,990 $ (2,584 ) $ (406 ) $ — 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 |
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 June 30, 2016 Interest rate swap agreements, at fair value 1 $ 1,455 $ — $ 1,455 $ (8 ) $ (1,447 ) $ — Repurchase agreements and FHLB advances 44,984 — 44,984 (2,576 ) (42,408 ) — Total $ 46,439 $ — $ 46,439 $ (2,584 ) $ (43,855 ) $ — December 31, 2015 Interest rate swap agreements, at fair value 1 $ 920 $ — $ 920 $ (31 ) $ (889 ) $ — Repurchase agreements 45,507 — 45,507 (1,356 ) (44,151 ) — Total $ 46,427 $ — $ 46,427 $ (1,387 ) $ (45,040 ) $ — _______________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities 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) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2016 and December 31, 2015 (in millions): June 30, 2016 December 31, 2015 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 53,418 $ — $ — $ 51,331 $ — Agency securities transferred to consolidated VIEs — 945 — — 1,029 — Non-agency securities — 107 — — 113 — U.S. Treasury securities 62 — — 25 — — Interest rate swaps — 1 — — 31 — Swaptions — 7 — — 17 — REIT equity securities 19 — — 33 — — TBA securities — 103 — — 29 — U.S. Treasury futures — — — 4 — — Total $ 81 $ 54,581 $ — $ 62 $ 52,550 $ — Liabilities: Debt of consolidated VIEs $ — $ 528 $ — $ — $ 595 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 3,017 — — 1,696 — — Interest rate swaps — 1,455 — — 920 — TBA securities — 6 — — 15 — U.S. Treasury futures 58 — — — — — Total $ 3,075 $ 1,989 $ — $ 1,696 $ 1,530 $ — |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2016 and 2015 (in millions): Accumulated Other Comprehensive Income (Loss) Net Unrealized Gain (Loss) on Available-for-Sale MBS Net Unrealized Gain (Loss) on Swaps Total Accumulated OCI Balance Three Months Ended June 30, 2016 Balance as of March 31, 2016 $ 738 $ (20 ) $ 718 OCI before reclassifications 425 — 425 Amounts reclassified from accumulated OCI (55 ) 12 (43 ) Balance as of June 30, 2016 $ 1,108 $ (8 ) $ 1,100 Three Months Ended June 30, 2015 Balance as of March 31, 2015 $ 961 $ (111 ) $ 850 OCI before reclassifications (894 ) — (894 ) Amounts reclassified from accumulated OCI 22 26 48 Balance as of June 30, 2015 $ 89 $ (85 ) $ 4 Six Months Ended June 30, 2016 Balance as of December 31, 2015 $ (27 ) $ (39 ) $ (66 ) OCI before reclassifications 1,188 — 1,188 Amounts reclassified from accumulated OCI (53 ) 31 (22 ) Balance as of June 30, 2016 $ 1,108 $ (8 ) $ 1,100 Six Months Ended June 30, 2015 Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 OCI before reclassifications (467 ) — (467 ) Amounts reclassified from accumulated OCI (14 ) 55 41 Balance as of June 30, 2015 $ 89 $ (85 ) $ 4 The following table summarizes reclassifications out of accumulated OCI for the three and six months ended June 30, 2016 and 2015 (in millions): Three Months Ended June 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2016 2015 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ (55 ) $ 22 Gain (loss) on sale of mortgage-backed securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 12 26 Interest expense Total reclassifications $ (43 ) $ 48 Six Months Ended June 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2016 2015 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ (53 ) $ (14 ) Gain (loss) on sale of mortgage-backed securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net 31 55 Interest expense Total reclassifications $ (22 ) $ 41 |
Organization (Details)
Organization (Details) | 6 Months Ended |
Jun. 30, 2016 | |
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 Accoun26
Summary of Significant Accounting Policies (Details) | 6 Months Ended |
Jun. 30, 2016 | |
Derivative [Line Items] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
Investment Securities (Narrativ
Investment Securities (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 54,470 | $ 54,470 | $ 52,473 | ||
Weighted average expected constant prepayment rate | 11.00% | 8.00% | |||
Weighted average life of interest-only strips | 5 years 28 days | 6 years 1 month 23 days | |||
Weighted average life of principal-only strips | 6 years 16 days | 8 years 3 days | |||
Agency securities, total fair value | 900 | $ 900 | |||
Debt, at fair value | 528 | 528 | $ 595 | ||
Principal balance of agency securities collaterizing debt issued by securitization trust | (900) | (900) | (1,000) | ||
Principal amount | 523 | 523 | 587 | ||
Gain (loss) associated with consolidated debt | (1) | $ 9 | (6) | $ 9 | |
Fair value of CMO securities and interest-only and principal-only strips | 1,300 | 1,300 | |||
Securitized CMO Securities | 1,700 | 1,700 | 1,800 | ||
CMO and Interest Only, Principal Only Securities, Maximum Loss Exposure | 241 | 238 | |||
Agency Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Unamortized premium balance | 2,400 | 2,400 | 2,300 | ||
Interest Only And Principal Only Strip [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Net unrealized gain | 0 | $ (7) | 11 | $ 4 | |
TBA securities Fifteen Year and Thirty Year Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Net long TBA position, at fair value | 7,100 | 7,100 | 7,400 | ||
TBA, net carrying value | $ 97 | $ 97 | $ 14 |
Investment Securities (Summary
Investment Securities (Summary of Investment in Agency Security) (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Amortized cost | $ 53,012 | $ 52,147 |
Non-Agency Securities Unrealized Gain | 2 | 0 |
Non-Agency Securities Unrealized Loss | 0 | (1) |
Mortgage Backed Securities Amortized Cost | 53,317 | 52,464 |
Mortgage Backed Securities Unrealized Gain | 1,166 | 407 |
Mortgage Backed Securities Unrealized Loss | (13) | (398) |
Gross unrealized gain | 1,164 | 407 |
Gross unrealized loss | (13) | (397) |
Fair value | 54,118 | 52,120 |
Total agency MBS, amortized cost | 53,212 | 52,350 |
Total agency MBS, at fair value | 54,363 | 52,360 |
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 54,470 | 52,473 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Amortized cost | 105 | 114 |
Interest-only and principal-only strips, fair value | 107 | 113 |
Total agency MBS, at fair value | 107 | 113 |
Fixed Income Securities [Member] | ||
Gross unrealized gain | 1,068 | 339 |
Gross unrealized loss | (10) | (393) |
Fixed Income Securities [Member] | Agency Securities [Member] | ||
Amortized cost | 51,590 | 50,576 |
Fair value | 52,648 | 50,522 |
Adjustable-Rate [Member] | ||
Gross unrealized gain | 14 | 11 |
Gross unrealized loss | 0 | 0 |
Adjustable-Rate [Member] | Agency Securities [Member] | ||
Amortized cost | 429 | 484 |
Fair value | 443 | 495 |
Collateralized Mortgage Obligations [Member] | ||
Gross unrealized gain | 32 | 18 |
Gross unrealized loss | 0 | 1 |
Collateralized Mortgage Obligations [Member] | Agency Securities [Member] | ||
Amortized cost | 888 | 973 |
Fair value | 920 | 990 |
Interest Only And Principal Only Strip [Member] | ||
Gross unrealized gain | 50 | 39 |
Gross unrealized loss | (3) | 3 |
Interest Only And Principal Only Strip [Member] | Agency Securities [Member] | ||
Interest-only and principal-only strips, amortized cost | 305 | 317 |
Interest-only and principal-only strips, fair value | $ 352 | $ 353 |
Investment Securities (Componen
Investment Securities (Components Of Investment Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |||
Schedule of Investments [Line Items] | |||||||
Agency securities transferred to consolidated VIEs | $ 945 | $ 945 | $ 1,029 | ||||
Amortized cost | 53,012 | 53,012 | 52,147 | ||||
Total agency MBS, at fair value | 54,363 | 54,363 | 52,360 | ||||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 54,470 | $ 54,470 | $ 52,473 | ||||
Weighted average coupon | 3.63% | 3.63% | 3.63% | [1] | |||
Weighted average yield | 2.68% | 2.68% | 2.78% | [2] | |||
Unamortized Principal Balance Of Interest Only Strips | $ 1,000 | $ 1,000 | |||||
Weighted Average Contractual Interest Rate Of Interest Only Strips | 5.29% | 5.28% | |||||
Unamortized Principal Balance Of Principal Only Strips | $ 192 | $ 207 | |||||
Future Prepayment Rate Assumption Of Investment Portfolio | 11.00% | 8.00% | |||||
Non-Agency Securities Unrealized Gain | $ 2 | $ 2 | $ 0 | ||||
Non-Agency Securities Unrealized Loss | 0 | 0 | (1) | ||||
Mortgage Backed Securities Amortized Cost | 53,317 | 53,317 | 52,464 | ||||
Mortgage Backed Securities Unrealized Gain | 1,166 | 1,166 | 407 | ||||
Mortgage Backed Securities Unrealized Loss | (13) | (13) | (398) | ||||
Available-for-sale Securities [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
MBS, par value | 50,758 | 50,758 | 49,955 | ||||
Unamortized discount | (33) | (33) | (36) | ||||
Unamortized premium | 2,287 | 2,287 | 2,228 | ||||
Amortized cost | 53,012 | 53,012 | 52,147 | ||||
Gross unrealized gains | 1,116 | 368 | |||||
Gross unrealized losses | (10) | (395) | |||||
Total available-for-sale MBS, at fair value | 54,118 | 54,118 | 52,120 | ||||
Agency securities remeasured at fair value through earnings [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
Interest-only and principal-only strips, amortized cost | 305 | 305 | 317 | ||||
Gross unrealized gains | 50 | 50 | 39 | ||||
Gross unrealized losses | (3) | (3) | (3) | ||||
Total MBS measured at fair value through earnings | 352 | 352 | 353 | ||||
Fannie Mae [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
Total agency MBS, at fair value | $ 43,204 | $ 43,204 | $ 41,214 | ||||
Weighted average coupon | [1] | 3.61% | 3.61% | 3.62% | |||
Weighted average yield | [2] | 2.67% | 2.67% | 2.79% | |||
Fannie Mae [Member] | Available-for-sale Securities [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
MBS, par value | $ 40,245 | $ 40,245 | $ 39,205 | ||||
Unamortized discount | (30) | (30) | (32) | ||||
Unamortized premium | 1,766 | 1,766 | 1,707 | ||||
Amortized cost | 41,981 | 41,981 | 40,880 | ||||
Gross unrealized gains | 897 | 286 | |||||
Gross unrealized losses | (7) | (283) | |||||
Total available-for-sale MBS, at fair value | 42,871 | 42,871 | 40,883 | ||||
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 | 288 | 288 | 298 | ||||
Gross unrealized gains | 47 | 47 | 35 | ||||
Gross unrealized losses | (2) | (2) | (2) | ||||
Total MBS measured at fair value through earnings | 333 | 333 | 331 | ||||
Freddie Mac [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
Total agency MBS, at fair value | $ 11,103 | $ 11,103 | $ 11,081 | ||||
Weighted average coupon | [1] | 3.70% | 3.70% | 3.69% | |||
Weighted average yield | [2] | 2.68% | 2.68% | 2.77% | |||
Freddie Mac [Member] | Available-for-sale Securities [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
MBS, par value | $ 10,356 | $ 10,356 | $ 10,575 | ||||
Unamortized discount | (3) | (3) | (4) | ||||
Unamortized premium | 519 | 519 | 519 | ||||
Amortized cost | 10,872 | 10,872 | 11,090 | ||||
Gross unrealized gains | 215 | 80 | |||||
Gross unrealized losses | (3) | (111) | |||||
Total available-for-sale MBS, at fair value | 11,084 | 11,084 | 11,059 | ||||
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 | 17 | 17 | 19 | ||||
Gross unrealized gains | 3 | 3 | 4 | ||||
Gross unrealized losses | (1) | (1) | (1) | ||||
Total MBS measured at fair value through earnings | 19 | 19 | 22 | ||||
Ginnie Mae [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
Total agency MBS, at fair value | $ 56 | $ 56 | $ 65 | ||||
Weighted average coupon | [1] | 3.08% | 3.08% | 3.18% | |||
Weighted average yield | [2] | 1.95% | 1.95% | 1.97% | |||
Ginnie Mae [Member] | Available-for-sale Securities [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
MBS, par value | $ 53 | $ 53 | $ 62 | ||||
Unamortized discount | 0 | 0 | 0 | ||||
Unamortized premium | 1 | 1 | 1 | ||||
Amortized cost | 54 | 54 | 63 | ||||
Gross unrealized gains | 2 | 2 | |||||
Gross unrealized losses | 0 | 0 | |||||
Total available-for-sale MBS, at fair value | 56 | 56 | 65 | ||||
Ginnie Mae [Member] | Agency securities remeasured at fair value through earnings [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
Interest-only and principal-only strips, amortized cost | 0 | 0 | 0 | ||||
Gross unrealized gains | 0 | 0 | 0 | ||||
Gross unrealized losses | 0 | 0 | 0 | ||||
Total MBS measured at fair value through earnings | 0 | 0 | 0 | ||||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
Amortized cost | 105 | 105 | 114 | ||||
Total agency MBS, at fair value | $ 107 | $ 107 | $ 113 | ||||
Weighted average coupon | [1] | 3.50% | 3.50% | 3.50% | |||
Weighted average yield | [2] | 3.00% | 3.00% | 3.33% | |||
Trading Securities, Other | $ 107 | $ 107 | $ 113 | ||||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Available-for-sale Securities [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
MBS, par value | 104 | 104 | 113 | ||||
Unamortized discount | 0 | 0 | 0 | ||||
Unamortized premium | 1 | 1 | 1 | ||||
Amortized cost | 105 | 105 | 114 | ||||
Gross unrealized gains | 2 | 0 | |||||
Gross unrealized losses | 0 | (1) | |||||
Total available-for-sale MBS, at fair value | 107 | 107 | 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 | 0 | 0 | ||||
Gross unrealized gains | 0 | 0 | 0 | ||||
Gross unrealized losses | 0 | 0 | 0 | ||||
Total MBS measured at fair value through earnings | 0 | 0 | $ 0 | ||||
Interest Only And Principal Only Strip [Member] | |||||||
Schedule of Investments [Line Items] | |||||||
Unrealized Gain (Loss) on Securities | $ 0 | $ (7) | $ 11 | $ 4 | |||
[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 5.29% of this amount as of June 30, 2016. The par value of our principal-only securities was $192 million as of June 30, 2016. | ||||||
[2] | Incorporates a weighted average future constant prepayment rate assumption of 11% based on forward rates as of June 30, 2016 |
Investment Securities (Summar30
Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Agency securities classified as available for sale, Fair value | $ 54,118 | $ 52,120 |
Agency securities classified as available for sale, Amortized cost | $ 53,012 | $ 52,147 |
Weighted Average Coupon | 3.53% | 3.54% |
Weighted Average Yield | 2.64% | 2.75% |
Greater Than One Year and Less Than or Equal to Three Years [Member] | ||
Fair Value | $ 1,155 | $ 167 |
Amortized Cost | $ 1,134 | $ 163 |
Weighted Average Coupon | 3.89% | 4.02% |
Weighted Average Yield | 2.45% | 2.66% |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | ||
Fair Value | $ 19,190 | $ 17,497 |
Amortized Cost | $ 18,698 | $ 17,343 |
Weighted Average Coupon | 3.36% | 3.27% |
Weighted Average Yield | 2.45% | 2.40% |
Greater Than Five Years [Member] | ||
Fair Value | $ 31,934 | $ 34,206 |
Amortized Cost | $ 31,349 | $ 34,391 |
Weighted Average Coupon | 3.65% | 3.67% |
Weighted Average Yield | 2.77% | 2.93% |
Greater Than Ten Years [Member] | ||
Fair Value | $ 1,839 | $ 250 |
Amortized Cost | $ 1,831 | $ 250 |
Weighted Average Coupon | 3.02% | 3.56% |
Weighted Average Yield | 2.64% | 3.08% |
Investment Securities (Summar31
Investment Securities (Summary Of Changes In Accumulated OCI For Available-For-Sale Security) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Unrealized Gains and (Losses), Net | $ 370 | $ (872) | $ 1,135 | $ (481) |
Agency Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning OCI Balance | 738 | 961 | (27) | 570 |
Unrealized Gains and (Losses), Net | 425 | (894) | 1,188 | (467) |
Reversal of Unrealized (Gains) and Losses, Net on Realization | (55) | 22 | (53) | (14) |
Ending OCI Balance | $ 1,108 | $ 89 | $ 1,108 | $ 89 |
Investment Securities (Summar32
Investment Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) - Accumulated Other Comprehensive Income (Loss) [Member] - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Unrealized Loss Position For - Estimated Fair Value - Less than 12 Months | $ 730 | $ 24,035 |
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months | (1) | (200) |
Unrealized Loss Position For - Estimated Fair Value - 12 Months or More | 2,072 | 6,793 |
Unrealized Loss Position For - Unrealized Loss - 12 Months or More | (9) | (195) |
Unrealized Loss Position For - Estimated Fair Value - Total | 2,802 | 30,828 |
Unrealized Loss Position For - Unrealized Loss - Total | $ (10) | $ (395) |
Investment Securities (Summar33
Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Proceeds from agency MBS sold | $ 2,947 | $ 30,854 | ||
Net gain (loss) on sale of MBS | $ 55 | $ (22) | 53 | 14 |
Available-for-sale Securities [Member] | ||||
Agency MBS sold, at cost | (7,508) | (10,241) | (11,023) | (17,974) |
Proceeds from agency MBS sold | 7,563 | 10,219 | 11,076 | 17,988 |
Net gain (loss) on sale of MBS | 55 | (22) | 53 | 14 |
Gross gain on sale of MBS | 55 | 22 | 60 | 79 |
Gross loss on sale of MBS | 0 | (44) | (7) | (65) |
Interest Only And Principal Only Strip [Member] | ||||
Unrealized Gain (Loss) on Securities | $ 0 | $ (7) | $ 11 | $ 4 |
Repurchase Agreements And Oth34
Repurchase Agreements And Other Debt (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Securities Sold under Agreements to Repurchase | $ 41,947 | $ 41,754 | |
Debt of consolidated variable interest entities, at fair value | $ 528 | $ 595 | |
Description of variable rate basis | LIBOR | ||
Basis spread over LIBOR | 36 | 34 | |
Principal amount | $ 523 | $ 587 | |
Weighted average life of other debt | 4 years 9 months 18 days | 4 years 10 months 27 days | |
TBA securities Fifteen Year and Thirty Year Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Derivative, Fair Value, Net | $ 97 | 14 | |
TBA and Forward Settling Agency Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Derivative, Forward Settlement Value | 6,975 | 7,430 | |
Derivative, Fair Value, Net | 97 | 14 | |
US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Securities Sold under Agreements to Repurchase | 10 | 25 | |
Agency Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Securities Sold under Agreements to Repurchase | $ 41,937 | $ 41,729 |
Repurchase Agreements And Oth35
Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) $ in Millions | Jun. 30, 2016USD ($)days | Dec. 31, 2015USD ($)days |
Repurchase Agreements | $ | $ 41,947 | $ 41,754 |
Weighted Average Days to Maturity | days | 202 | 173 |
30 Days or Less [Member] | ||
Repurchase Agreements | $ | $ 18,710 | $ 17,579 |
Weighted Average Interest Rate | 0.69% | 0.54% |
Weighted Average Days to Maturity | days | 12 | 14 |
1 to 3 Months | ||
Repurchase Agreements | $ | $ 10,043 | $ 14,283 |
Weighted Average Interest Rate | 0.71% | 0.64% |
Weighted Average Days to Maturity | days | 56 | 58 |
3 to 6 Months | ||
Repurchase Agreements | $ | $ 2,479 | $ 3,154 |
Weighted Average Interest Rate | 0.82% | 0.61% |
Weighted Average Days to Maturity | days | 117 | 121 |
6 to 9 Months | ||
Repurchase Agreements | $ | $ 3,185 | $ 589 |
Weighted Average Interest Rate | 0.92% | 0.65% |
Weighted Average Days to Maturity | days | 224 | 199 |
9 to 12 Months | ||
Repurchase Agreements | $ | $ 1,269 | $ 1,201 |
Weighted Average Interest Rate | 0.90% | 0.65% |
Weighted Average Days to Maturity | days | 328 | 307 |
12 to 24 Months | ||
Repurchase Agreements | $ | $ 2,176 | $ 1,473 |
Weighted Average Interest Rate | 0.99% | 0.73% |
Weighted Average Days to Maturity | days | 521 | 600 |
24 to 36 Months | ||
Repurchase Agreements | $ | $ 1,150 | $ 650 |
Weighted Average Interest Rate | 1.08% | 0.81% |
Weighted Average Days to Maturity | days | 955 | 901 |
36 to 48 months | ||
Repurchase Agreements | $ | $ 2,300 | $ 1,300 |
Weighted Average Interest Rate | 1.07% | 0.86% |
Weighted Average Days to Maturity | days | 1,292 | 1,231 |
48 to 60 Months | ||
Repurchase Agreements | $ | $ 625 | $ 1,500 |
Weighted Average Interest Rate | 1.10% | 0.76% |
Weighted Average Days to Maturity | days | 1,690 | 1,477 |
Maturity Overnight [Member] | ||
Weighted Average Interest Rate | 0.60% | 0.00% |
Weighted Average Days to Maturity | days | 1 | 1 |
Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 0.78% | 0.61% |
Agency Securities [Member] | ||
Repurchase Agreements | $ | $ 41,937 | $ 41,729 |
Weighted Average Days to Maturity | days | 202 | 173 |
Agency Securities [Member] | Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 0.78% | 0.61% |
US Treasury Securities [Member] | ||
Repurchase Agreements | $ | $ 10 | $ 25 |
Repurchase Agreements And Oth36
Repurchase Agreements And Other Debt Federal Home Loan Bank Advances and Weighted Average Interest Rates (Details) $ in Millions | Jun. 30, 2016USD ($)days | Dec. 31, 2015USD ($)days |
Short-term Debt [Line Items] | ||
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.61% | 0.53% |
FHLB Weighted Average Days to Maturity | days | 215 | 141 |
Advances from Federal Home Loan Banks | $ | $ 3,037 | $ 3,753 |
Maturity Less than 30 Days [Member] | ||
Short-term Debt [Line Items] | ||
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.00% | 0.47% |
FHLB Weighted Average Days to Maturity | days | 0 | 14 |
Advances from Federal Home Loan Banks | $ | $ 0 | $ 1,952 |
thirty one to ninety [Member] | ||
Short-term Debt [Line Items] | ||
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.00% | 0.60% |
FHLB Weighted Average Days to Maturity | days | 0 | 84 |
Advances from Federal Home Loan Banks | $ | $ 0 | $ 681 |
7 to 9 months [Member] | ||
Short-term Debt [Line Items] | ||
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.61% | 0.00% |
FHLB Weighted Average Days to Maturity | days | 215 | 0 |
Advances from Federal Home Loan Banks | $ | $ 3,037 | $ 0 |
13 Months [Member] | ||
Short-term Debt [Line Items] | ||
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.00% | 0.58% |
FHLB Weighted Average Days to Maturity | days | 0 | 397 |
Advances from Federal Home Loan Banks | $ | $ 0 | $ 1,120 |
Derivative and Other Hedging 37
Derivative and Other Hedging Instruments (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2014 | |
Forward Contracts [Member] | Interest Rate Swap [Member] | ||||||||
Average Maturity (Years) | 7 years 21 days | 5 years 6 months 7 days | ||||||
Interest Rate Swaption [Member] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (4) | $ 13 | $ (11) | $ (4) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | (500) | 0 | (500) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 700 | 250 | 1,100 | 1,850 | ||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Notional Amount | 6,756 | 6,941 | 6,756 | 6,941 | $ 7,295 | $ 5,813 | $ 4,873 | $ 14,412 |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 108 | (110) | 324 | 124 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 20,066 | 18,367 | 38,025 | 63,867 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (16,299) | (71,338) | ||||||
US Treasury Securities [Member] | ||||||||
Notional Amount | (1,960) | (730) | (1,960) | (730) | (1,860) | (1,860) | (730) | (730) |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (44) | 15 | (121) | (5) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (2,060) | (730) | (3,920) | (1,460) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 1,960 | 730 | 3,820 | 1,460 | ||||
Gain Loss on Other Debt | (1) | 9 | (6) | 9 | ||||
Unrealized gain on derivative instruments, net | 12 | 26 | 31 | 55 | ||||
Net periodic interest costs on swaps | 81 | 125 | 189 | 238 | ||||
Derivative Instruments, Gain Reclassified from Accumulated OCI into Income, Effective Portion | 69 | 99 | 158 | 183 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (368) | 241 | (1,319) | (321) | ||||
Gain (loss) on REIT Equity Securities | (6) | (4) | ||||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | ||||||||
Net Unrealized Gain (Loss) on Swaps | 8 | 85 | 8 | 85 | 39 | 20 | 111 | 140 |
Interest Only And Principal Only Strip [Member] | ||||||||
Unrealized Gain (Loss) on Securities | 0 | (7) | 11 | 4 | ||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Notional Amount | (1,050) | (5,450) | (1,050) | (5,450) | (2,150) | (1,750) | (5,200) | (6,800) |
Short [Member] | US Treasury Securities [Member] | ||||||||
Notional Amount | (2,930) | (2,250) | (2,930) | (2,250) | (1,714) | (3,135) | (3,353) | (5,392) |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (73) | 18 | (156) | (64) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (653) | (2,224) | (2,633) | (6,397) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 858 | 3,327 | 1,417 | 9,539 | ||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1 | (116) | 6 | (64) | ||||
Trading Securities Added During the Period | 225 | 11,649 | 405 | 27,211 | ||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (163) | (10,718) | (368) | (24,430) | ||||
Trading Securities | $ 5,192 | $ 5,192 | $ 25 | $ 0 | $ 4,261 | $ 2,411 | ||
Long [Member] | ||||||||
Trading Securities | 62 | 62 | ||||||
Other Derivatives [Member] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 2 | $ 14 |
Derivative and Other Hedging 38
Derivative and Other Hedging Instruments (Fair Value Information) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | ||||||||
Derivative asset, fair value | $ 111 | $ 111 | $ 81 | |||||
Derivative liability, fair value | (1,519) | (1,519) | (935) | |||||
Derivative assets, at fair value | 111 | 111 | 81 | |||||
Derivative Liability | (1,519) | (1,519) | (935) | |||||
U.S. Treasury securities | 62 | 62 | 25 | |||||
U.S. Treasury Securities - short | (3,017) | (3,017) | (1,696) | |||||
Total - (short)/long, net | (2,955) | (2,955) | (1,671) | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (368) | $ 241 | (1,319) | $ (321) | ||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 6,756 | 6,941 | 6,756 | 6,941 | $ 5,813 | 7,295 | $ 4,873 | $ 14,412 |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 20,066 | 18,367 | 38,025 | 63,867 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (16,299) | (71,338) | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 108 | (110) | 324 | 124 | ||||
Interest Rate Swap [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 35,125 | 35,125 | 40,525 | |||||
Derivative liability, fair value | (1,455) | (1,455) | (920) | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (2,550) | 0 | (3,550) | (3,500) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 5,600 | 0 | 8,950 | 2,275 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (356) | 434 | (1,361) | (312) | ||||
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative asset, fair value | 1 | 1 | 31 | |||||
Interest Rate Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | (500) | 0 | (500) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 700 | 250 | 1,100 | 1,850 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (4) | 13 | (11) | (4) | ||||
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative asset, fair value | 7 | 7 | 17 | |||||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative liability, fair value | (6) | (6) | (15) | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (19,123) | (38,564) | ||||||
Receiver Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (13) | 4 | ||||||
US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | (1,960) | (730) | (1,960) | (730) | (1,860) | (1,860) | (730) | (730) |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (2,060) | (730) | (3,920) | (1,460) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 1,960 | 730 | 3,820 | 1,460 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (44) | 15 | (121) | (5) | ||||
US Treasury Securities [Member] | Fair Value, Measurements, Recurring [Member] | Future [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative assets, at fair value | 0 | 0 | 4 | |||||
Derivative Liability | (58) | (58) | ||||||
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 | 103 | 103 | 29 | |||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | (35,125) | (44,925) | (35,125) | (44,925) | (38,175) | (40,525) | (44,925) | (43,700) |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | (1,050) | (5,450) | (1,050) | (5,450) | (1,750) | (2,150) | (5,200) | (6,800) |
Not Designated as Hedging Instrument [Member] | Receiver Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 0 | 0 | 750 | 4,250 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | 0 | ||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (750) | (4,250) | ||||||
Short [Member] | US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | (2,930) | (2,250) | (2,930) | (2,250) | (3,135) | (1,714) | (3,353) | (5,392) |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (653) | (2,224) | (2,633) | (6,397) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 858 | 3,327 | 1,417 | 9,539 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (73) | 18 | (156) | (64) | ||||
Long [Member] | ||||||||
Derivative [Line Items] | ||||||||
Trading Securities | 62 | 62 | ||||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1 | (116) | 6 | (64) | ||||
Trading Securities | 5,192 | 5,192 | $ 0 | $ 25 | $ 4,261 | $ 2,411 | ||
Trading Securities Added During the Period | 225 | 11,649 | 405 | 27,211 | ||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (163) | $ (10,718) | $ (368) | $ (24,430) |
Derivative and Other Hedging 39
Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Gain Loss on Other Debt | $ (1) | $ 9 | $ (6) | $ 9 | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (368) | 241 | $ (1,319) | (321) | |
Forward Contracts [Member] | Interest Rate Swap [Member] | |||||
Average Maturity (Years) | 7 years 21 days | 5 years 6 months 7 days | |||
Derivative, Notional Amount | 2,700 | $ 2,700 | $ 4,500 | ||
Weighted Average Forward Start Date | 7 months 27 days | 8 months 10 days | |||
Interest Rate Swap [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (356) | 434 | $ (1,361) | (312) | |
Notional Amount | $ 35,125 | $ 35,125 | $ 40,525 | ||
Average Fixed Pay Rate | 1.64% | 1.64% | 1.89% | ||
Average Receive Rate | 0.64% | 0.64% | 0.40% | ||
Net Estimated Fair Value | $ (1,454) | $ (1,454) | $ (889) | ||
Average Maturity (Years) | 3 years 11 months 13 days | 4 years 7 months 1 day | |||
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 17,225 | $ 17,225 | $ 14,775 | ||
Average Fixed Pay Rate | 1.04% | 1.04% | 1.06% | ||
Average Receive Rate | 0.64% | 0.64% | 0.40% | ||
Net Estimated Fair Value | $ (113) | $ (113) | $ (23) | ||
Average Maturity (Years) | 1 year 5 months 9 days | 1 year 7 months 2 days | |||
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 5,200 | $ 5,200 | $ 9,950 | ||
Average Fixed Pay Rate | 1.58% | 1.58% | 2.03% | ||
Average Receive Rate | 0.64% | 0.64% | 0.40% | ||
Net Estimated Fair Value | $ (148) | $ (148) | $ (203) | ||
Average Maturity (Years) | 3 years 6 months 27 days | 3 years 11 months 22 days | |||
Greater Than Five Years and Less than or Equal to Seven Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 6,975 | $ 6,975 | $ 7,175 | ||
Average Fixed Pay Rate | 2.22% | 2.22% | 2.47% | ||
Average Receive Rate | 0.64% | 0.64% | 0.44% | ||
Net Estimated Fair Value | $ (448) | $ (448) | $ (230) | ||
Average Maturity (Years) | 5 years 11 months 4 days | 6 years 1 month 16 days | |||
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 4,550 | $ 4,550 | $ 7,450 | ||
Average Fixed Pay Rate | 2.67% | 2.67% | 2.57% | ||
Average Receive Rate | 0.64% | 0.64% | 0.39% | ||
Net Estimated Fair Value | $ (526) | $ (526) | $ (342) | ||
Average Maturity (Years) | 8 years 2 months 11 days | 8 years 3 months 4 days | |||
Greater Than Ten Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 1,175 | $ 1,175 | $ 1,175 | ||
Average Fixed Pay Rate | 3.20% | 3.20% | 3.20% | ||
Average Receive Rate | 0.66% | 0.66% | 0.39% | ||
Net Estimated Fair Value | $ (219) | $ (219) | $ (91) | ||
Average Maturity (Years) | 14 years 2 months 23 days | 14 years 8 months 22 days | |||
Other Derivatives [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 2 | $ 14 | |||
Interest Only And Principal Only Strip [Member] | |||||
Unrealized Gain (Loss) on Securities | $ 0 | $ (7) | $ 11 | $ 4 |
Derivative and Other Hedging 40
Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($)month | Jun. 30, 2015USD ($) | Dec. 31, 2015USD ($)month | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (368) | $ 241 | $ (1,319) | $ (321) | |
Interest Rate Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (4) | 13 | (11) | (4) | |
Receiver Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (13) | 4 | |||
Interest Rate Swap [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (356) | 434 | (1,361) | (312) | |
Derivative Liability, Notional Amount | $ 35,125 | $ 35,125 | $ 40,525 | ||
Average Fixed Pay Rate | 1.64% | 1.64% | 1.89% | ||
Average Maturity (Years) | 3 years 11 months 13 days | 4 years 7 months 1 day | |||
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | |||||
Cost | $ 55 | $ 74 | |||
Fair Value | $ 7 | $ 7 | $ 17 | ||
Average Months to Expiration | month | 2 | 4 | |||
Derivative Liability, Notional Amount | $ 1,050 | $ 1,050 | $ 2,150 | ||
Average Fixed Pay Rate | 3.38% | 3.38% | 3.51% | ||
Average Maturity (Years) | 6 years 8 months | 6 years 11 months 15 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 Swap [Member] | |||||
Derivative Liability, Notional Amount | $ 17,225 | $ 17,225 | $ 14,775 | ||
Average Fixed Pay Rate | 1.04% | 1.04% | 1.06% | ||
Average Maturity (Years) | 1 year 5 months 9 days | 1 year 7 months 2 days | |||
Other Derivatives [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 2 | $ 14 | |||
Interest Only And Principal Only Strip [Member] | |||||
Unrealized Gain (Loss) on Securities | $ 0 | $ (7) | $ 11 | $ 4 | |
Interest Rate Swaps Excluding Forward Starting [Member] | Interest Rate Swap [Member] | |||||
Average Fixed Pay Rate | 1.51% | 1.51% | 1.75% |
Derivative and Other Hedging 41
Derivative and Other Hedging Instruments (US Treasury Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ (2,955) | $ (1,671) |
7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (1,668) | (354) |
At Par Value [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (2,868) | (1,689) |
US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | (58) | 4 |
TBA and Forward Settling Agency Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (6,756) | (7,295) |
Derivative, Forward Settlement Value | (6,975) | (7,430) |
Derivative Asset, Fair Value, Gross Asset | (7,072) | (7,444) |
Derivative, Fair Value, Net | 97 | 14 |
5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (500) | (250) |
10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (700) | (1,085) |
10 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | (42) | 2 |
5 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | (16) | 2 |
Short [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,960) | (1,860) |
Derivative, Forward Settlement Value | (2,468) | (2,290) |
Derivative Asset, Fair Value, Gross Asset | (2,526) | (2,286) |
Short [Member] | 10 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,230) | (1,130) |
Derivative, Forward Settlement Value | (1,592) | (1,424) |
Derivative Asset, Fair Value, Gross Asset | (1,634) | (1,422) |
Short [Member] | 5 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (730) | (730) |
Derivative, Forward Settlement Value | (876) | (866) |
Derivative Asset, Fair Value, Gross Asset | (892) | (864) |
Fair Value Hedging [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (2,955) | (1,671) |
Fair Value Hedging [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (1,703) | (352) |
Fair Value Hedging [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (512) | (249) |
Fair Value Hedging [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (740) | (1,070) |
At Cost Basis [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (2,860) | (1,680) |
At Cost Basis [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (1,662) | (353) |
At Cost Basis [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (501) | (249) |
At Cost Basis [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ (697) | $ (1,078) |
Derivative and Other Hedging 42
Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - TBA and Forward Settling Agency Securities [Member] - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 6,756 | $ 7,295 |
Cost Basis | (6,975) | (7,430) |
Net long TBA position, at fair value | (7,072) | (7,444) |
TBA, net carrying value | 97 | 14 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 473 | 573 |
Cost Basis | (481) | (582) |
Net long TBA position, at fair value | (489) | (582) |
TBA, net carrying value | 8 | 0 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 1,027 | 689 |
Cost Basis | (1,070) | (703) |
Net long TBA position, at fair value | (1,081) | (703) |
TBA, net carrying value | 11 | 0 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 5,256 | 6,033 |
Cost Basis | (5,424) | (6,145) |
Net long TBA position, at fair value | (5,502) | (6,159) |
TBA, net carrying value | 78 | 14 |
30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 5,482 | 7,014 |
Cost Basis | (5,654) | (7,135) |
Net long TBA position, at fair value | (5,745) | (7,150) |
TBA, net carrying value | 91 | 15 |
30 Year Maturity [Member] | 3.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 3,361 | 3,914 |
Cost Basis | (3,438) | (3,911) |
Net long TBA position, at fair value | (3,492) | (3,916) |
TBA, net carrying value | 54 | 5 |
30 Year Maturity [Member] | 3.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 1,063 | 1,497 |
Cost Basis | (1,089) | (1,536) |
Net long TBA position, at fair value | (1,119) | (1,539) |
TBA, net carrying value | 30 | 3 |
30 Year Maturity [Member] | 4.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 1,030 | 1,575 |
Cost Basis | (1,097) | (1,658) |
Net long TBA position, at fair value | (1,104) | (1,665) |
TBA, net carrying value | 7 | 7 |
30 Year Maturity [Member] | 4.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 28 | 28 |
Cost Basis | (30) | (30) |
Net long TBA position, at fair value | (30) | (30) |
TBA, net carrying value | 0 | 0 |
15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 1,274 | 281 |
Cost Basis | (1,321) | (295) |
Net long TBA position, at fair value | (1,327) | (294) |
TBA, net carrying value | 6 | (1) |
15 Year Maturity [Member] | 2.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 793 | |
Cost Basis | (817) | |
Net long TBA position, at fair value | (820) | |
TBA, net carrying value | 3 | 1 |
15 Year Maturity [Member] | 3.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 292 | 225 |
Cost Basis | (305) | (233) |
Net long TBA position, at fair value | (307) | (232) |
TBA, net carrying value | 2 | (1) |
15 Year Maturity [Member] | 3.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 189 | 136 |
Cost Basis | (199) | (143) |
Net long TBA position, at fair value | (200) | (142) |
TBA, net carrying value | $ 1 | (1) |
15 Year Maturity [Member] | Short [Member] | 2.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 80 | |
Cost Basis | (81) | |
Net long TBA position, at fair value | $ (80) |
Derivative and Other Hedging 43
Derivative and Other Hedging Instruments (Effect Of Derivative Instruments Not Designated As Hedges On Comprehensive Income Statement) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | $ (368) | $ 241 | $ (1,319) | $ (321) | ||||
Gain (loss) on REIT Equity Securities | (6) | (4) | ||||||
Gain Loss on Other Debt | (1) | 9 | (6) | 9 | ||||
Interest Only And Principal Only Strip [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Unrealized Gain (Loss) on Securities | 0 | (7) | 11 | 4 | ||||
Receiver Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (13) | 4 | ||||||
Interest Rate Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Additions | 0 | (500) | 0 | (500) | ||||
Settlement, Expirations or Exercise | 700 | 250 | 1,100 | 1,850 | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (4) | 13 | (11) | (4) | ||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | 5,813 | 4,873 | 7,295 | 14,412 | ||||
Additions | 20,066 | 18,367 | 38,025 | 63,867 | ||||
Settlement, Expirations or Exercise | (16,299) | (71,338) | ||||||
Notional Amount | 6,756 | 6,941 | 6,756 | 6,941 | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 108 | (110) | 324 | 124 | ||||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Settlement, Expirations or Exercise | (19,123) | (38,564) | ||||||
Interest Rate Swap [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | 40,525 | |||||||
Additions | (2,550) | 0 | (3,550) | (3,500) | ||||
Settlement, Expirations or Exercise | 5,600 | 0 | 8,950 | 2,275 | ||||
Notional Amount | 35,125 | 35,125 | ||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (356) | 434 | (1,361) | (312) | ||||
US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (1,860) | (730) | (1,860) | (730) | ||||
Additions | (2,060) | (730) | (3,920) | (1,460) | ||||
Settlement, Expirations or Exercise | 1,960 | 730 | 3,820 | 1,460 | ||||
Notional Amount | (1,960) | (730) | (1,960) | (730) | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (44) | 15 | (121) | (5) | ||||
Other derivative instruments [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 2 | 14 | ||||||
Not Designated as Hedging Instrument [Member] | Receiver Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | 750 | 4,250 | ||||||
Additions | 0 | 0 | ||||||
Settlement, Expirations or Exercise | (750) | (4,250) | ||||||
Notional Amount | 0 | 0 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (1,750) | (5,200) | (2,150) | (6,800) | ||||
Notional Amount | (1,050) | (5,450) | (1,050) | (5,450) | ||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (38,175) | (44,925) | (40,525) | (43,700) | ||||
Notional Amount | (35,125) | (44,925) | (35,125) | (44,925) | ||||
Short [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (3,135) | (3,353) | (1,714) | (5,392) | ||||
Additions | (653) | (2,224) | (2,633) | (6,397) | ||||
Settlement, Expirations or Exercise | 858 | 3,327 | 1,417 | 9,539 | ||||
Notional Amount | (2,930) | (2,250) | (2,930) | (2,250) | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (73) | 18 | (156) | (64) | ||||
Long [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Trading Securities | 62 | 62 | ||||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 1 | (116) | 6 | (64) | ||||
Trading Securities | 5,192 | 5,192 | $ 0 | $ 25 | $ 4,261 | $ 2,411 | ||
Trading Securities Added During the Period | 225 | 11,649 | 405 | 27,211 | ||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (163) | $ (10,718) | $ (368) | $ (24,430) |
Pledged Assets (Narrative) (Det
Pledged Assets (Narrative) (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Pledged Assets [Abstract] | ||
Federal Home Loan Bank Stock | $ 126,000,000 | $ 150,000,000 |
Risk Of Repurchase Agreement To Stockholders Equity | 4.00% | |
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 | Jun. 30, 2016USD ($)days | Dec. 31, 2015USD ($)days |
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ | $ 41,947 | $ 41,754 |
Risk Of Repurchase Agreement To Stockholders Equity | 4.00% | |
Weighted Average Days to Maturity | days | 202 | 173 |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged as Collateral) (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Offsetting Assets and Liabilities [Line Items] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repurchase Agreements | $ 203 | $ 245 |
Federal Home Loan Bank Stock | 126 | 150 |
Available-for-sale Securities Pledged as Collateral | 48,344 | 48,380 |
Accrued interest on pledged securities | 137 | 140 |
Restricted cash and cash equivalents | 1,399 | 1,281 |
Total Fair Value of Securities Pledged and Accrued Interest | 51,197 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 51,213 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 47,555 | 47,992 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 520 | 148 |
Accrued interest on pledged securities | 0 | |
Restricted cash and cash equivalents | 1,393 | 1,226 |
Total Fair Value of Securities Pledged and Accrued Interest | 1,966 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 1,374 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 132 | 135 |
Total Fair Value of Securities Pledged and Accrued Interest | 47,804 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 48,288 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 945 | 1,029 |
Accrued interest on pledged securities | 3 | 3 |
Total Fair Value of Securities Pledged and Accrued Interest | 948 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 1,032 | |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 472 | 485 |
Accrued interest on pledged securities | 1 | 2 |
Total Fair Value of Securities Pledged and Accrued Interest | 479 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 519 | |
Includes Sold But Not Yet Settled Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 49,492 | 49,654 |
AAA Non-Agency Mortgage-Backed Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 107 | 113 |
AAA Non-Agency Mortgage-Backed Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 107 | 113 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 62 | 25 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 10 | 25 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 52 | 0 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 1 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | 0 | 23 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | 6 | 32 |
Excluding Cash Received [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | $ 1,399 | $ 1,281 |
Pledged Assets (Securities Pled
Pledged Assets (Securities Pledged as Collateral) (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Offsetting Assets and Liabilities [Line Items] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repo | $ 203 | $ 245 |
Security Owned and Pledged as Collateral, Fair Value | 47,672 | 48,130 |
Agency Securities Pledged As Collateral Amortized Cost | 46,639 | 48,152 |
Agency Securities Pledged As Collateral Accrued Interest | 132 | 135 |
Maturity Less than 30 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 19,428 | 20,053 |
Agency Securities Pledged As Collateral Amortized Cost | 18,990 | 20,075 |
Agency Securities Pledged As Collateral Accrued Interest | 53 | 57 |
Maturity 31 To 59 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 6,114 | 8,311 |
Agency Securities Pledged As Collateral Amortized Cost | 6,000 | 8,340 |
Agency Securities Pledged As Collateral Accrued Interest | 17 | 23 |
Maturity 60 To 90 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 4,491 | 7,534 |
Agency Securities Pledged As Collateral Amortized Cost | 4,408 | 7,525 |
Agency Securities Pledged As Collateral Accrued Interest | 13 | 21 |
Maturity over 90 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 17,629 | 12,207 |
Agency Securities Pledged As Collateral Amortized Cost | 17,231 | 12,187 |
Agency Securities Pledged As Collateral Accrued Interest | 49 | 34 |
Maturity Overnight [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 10 | 25 |
Agency Securities Pledged As Collateral Amortized Cost | 10 | 25 |
Agency Securities Pledged As Collateral Accrued Interest | 0 | 0 |
Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 47,662 | 48,105 |
Agency Securities Pledged As Collateral Amortized Cost | 46,629 | 48,127 |
Agency Securities Pledged As Collateral Accrued Interest | $ 132 | $ 135 |
Pledged Assets (Assets Pledge48
Pledged Assets (Assets Pledged from Counterparties) (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Offsetting Assets and Liabilities [Line Items] | ||
Federal Home Loan Bank Stock | $ 126 | $ 150 |
Available-for-sale Securities Pledged as Collateral | 48,344 | 48,380 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | 3,017 | 1,696 |
Restricted Cash and Cash Equivalents | 1,399 | 1,281 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 62 | 25 |
US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 3,000 | 1,700 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 520 | 148 |
Restricted Cash and Cash Equivalents | 1,393 | 1,226 |
Derivative [Member] | US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | $ 52 | $ 0 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Offsetting Assets and Liabilities [Line Items] | ||
Collateral Received | $ (406) | |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 2,990 | $ 1,761 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 2,990 | 1,761 |
Financial Instruments | (2,584) | (1,387) |
Collateral Received | (357) | |
Net Amount | 0 | 17 |
Assets [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 8 | 48 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 8 | 48 |
Financial Instruments | (8) | (31) |
Collateral Received | 0 | 0 |
Net Amount | 0 | 17 |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 46,439 | 46,427 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 46,439 | 46,427 |
Financial Instruments | (2,584) | (1,387) |
Collateral Received | (43,855) | (45,040) |
Net Amount | 0 | |
Liability [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Net Amount | 0 | |
Liability [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 1,455 | 920 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 1,455 | 920 |
Financial Instruments | (8) | (31) |
Collateral Received | (1,447) | (889) |
Net Amount | 0 | 0 |
Reverse Repurchase Agreements [Member] | Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 2,982 | 1,713 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 2,982 | 1,713 |
Financial Instruments | (2,576) | (1,356) |
Collateral Received | (406) | (357) |
Repurchase Agreements [Member] | Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 44,984 | 45,507 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 44,984 | 45,507 |
Financial Instruments | (2,576) | (1,356) |
Collateral Received | $ (42,408) | $ (44,151) |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | |
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 | $ 0 | $ 4 |
Derivative Liability | 58 | |
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 | 7 | 17 |
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 | 1 | 31 |
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 | 1,455 | 920 |
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 | $ 103 | 29 |
Transfers between hierarchy levels | 0 | |
Agency securities | $ 53,418 | 51,331 |
Agency securities transferred to consolidated VIEs | 945 | 1,029 |
Non-Agency Securities, at Fair Value | 107 | 113 |
U.S. Treasury securities | 62 | 25 |
TBA securities | 111 | 81 |
Derivative Liability | 1,519 | 935 |
Debt of consolidated variable interest entities, at fair value | 528 | 595 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 3,017 | 1,696 |
Interest rate swaps | 111 | 81 |
REIT equity securities, at fair value | 19 | 33 |
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 | 81 | 62 |
Total liabilities | 3,075 | 1,696 |
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 | 54,581 | 52,550 |
Total liabilities | 1,989 | 1,530 |
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 | 0 | 0 |
Derivative Liability | $ 6 | $ 15 |
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, 2014 | Dec. 31, 2012 | Jun. 30, 2016 | Dec. 31, 2015 | May 05, 2014 | Apr. 30, 2012 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Shares Authorized | 10,000,000 | 10,000,000 | ||||||
Preferred Stock Authorized, but not Issued | 3,100,000 | |||||||
Preferred Stock, Shares Issued | 6,900,000 | 6,900,000 | ||||||
Preferred Stock, Value, Issued | $ 336 | $ 336 | ||||||
Preferred Class A [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 6,900,000 | |||||||
Sale of Stock, Price Per Share | $ 24.2125 | |||||||
Series A Preferred Stock [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Dividend Rate, Percentage | 8.00% | |||||||
Issuance of preferred stock | $ 167 | |||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | |||||||
Preferred Class B [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 8,050 | |||||||
Preferred Stock, Dividend Rate, Percentage | 7.75% | |||||||
Preferred Stock, Shares Issued | 7,000,000 | |||||||
Share Price | $ 24.2125 | |||||||
Preferred Stock, Value, Issued | $ 169 | |||||||
Series B Preferred Stock [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | |||||||
Preferred stock, percent interest per share | 0.10% |
Stockholders' Equity (Common St
Stockholders' Equity (Common Stock Repurchase Program) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Repurchase of common stock shares | (6.5) | (4) |
Average repurchase price (in dollars per share) | $ 17.89 | $ 19.86 |
Repurchase of common stock, value | $ 116 | $ 79 |
Payments for Repurchase of Common Stock | 116 | $ 79 |
Remaining amount authorized for repurchase | $ 600 | |
Common Stock [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Repurchase of common stock shares | (6.5) | (4) |
Repurchase of common stock, value | $ 0 |
Stockholders' Equity (Accumulat
Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Total Accumulated OCI Balance | $ 1,100 | $ 4 | $ 1,100 | $ 4 | $ 718 | $ (66) | $ 850 | $ 430 |
OCI before reclassifications | 370 | (872) | 1,135 | (481) | ||||
Amounts reclassified from accumulated OCI | 12 | 26 | 31 | 55 | ||||
Total Accumulated OCI Balance | (43) | 48 | (22) | 41 | ||||
Agency Securities [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Beginning OCI Balance | 738 | 961 | (27) | 570 | ||||
OCI before reclassifications | 425 | (894) | 1,188 | (467) | ||||
Amounts reclassified from accumulated OCI | (55) | 22 | (53) | (14) | ||||
Ending OCI Balance | 1,108 | 89 | 1,108 | 89 | ||||
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 | (8) | (85) | (8) | (85) | $ (20) | $ (39) | $ (111) | $ (140) |
Interest Rate Swap [Member] | Agency Securities [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
OCI before reclassifications | $ 425 | $ (894) | $ 1,188 | $ (467) |
Subsequent Event (Details)
Subsequent Event (Details) - USD ($) $ / shares in Units, $ in Millions | Aug. 08, 2016 | Jul. 14, 2016 | Jul. 01, 2016 | Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 |
Subsequent Event [Line Items] | |||||||
Business Combination, Acquisition Related Costs | $ 9 | ||||||
Dividends declared per common share | $ 0.60 | $ 0.62 | $ 1.2000000 | $ 1.28000000 | |||
Subsequent Event [Member] | |||||||
Subsequent Event [Line Items] | |||||||
Payments to Acquire Businesses, Gross | $ 562 | ||||||
Cash Acquired from Acquisition | $ 7 | ||||||
Dividends declared per common share | $ 0.18 | $ 0.20 |