Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Oct. 31, 2017 | |
Document and Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | AGNC Investment 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 | 391,295,870 | |
Trading Symbol | AGNC |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Assets: | ||
Agency securities, at fair value (including pledged securities of $47,997 and $43,943, respectively) | $ 51,638 | $ 45,393 |
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 700 | 818 |
Credit risk transfer securities, at fair value | 717 | 164 |
Non-Agency securities, at fair value (including pledged securities of $0 and $90, respectively) | 36 | 124 |
U.S. Treasury securities, at fair value (including pledged securities of $0 and $173, respectively) | 0 | 182 |
REIT equity securities, at fair value | 4 | 0 |
Cash and cash equivalents | 1,098 | 1,208 |
Restricted cash and cash equivalents | 294 | 74 |
Derivative assets, at fair value | 183 | 355 |
Receivable for securities sold (including pledged securities of $149 and $21, respectively) | 521 | 21 |
Receivable under reverse repurchase agreements | 9,226 | 7,716 |
Goodwill and other intangible assets, net | 552 | 554 |
Other assets | 521 | 271 |
Total assets | 65,490 | 56,880 |
Liabilities: | ||
Repurchase Agreements | 45,505 | 37,858 |
Federal Home Loan Bank advances | 0 | 3,037 |
Debt of consolidated variable interest entities, at fair value | 380 | 460 |
Payable for securities purchased | 1,373 | 0 |
Derivative liabilities, at fair value | 62 | 256 |
Dividends payable | 77 | 66 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 9,119 | 7,636 |
Accounts payable and other liabilities | 183 | 211 |
Total liabilities | 56,699 | 49,524 |
Stockholders' equity: | ||
8.000% Series A Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $0 and $173, respectively) | 0 | 167 |
7.750% Series B Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $175) | 169 | 169 |
7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $325 and $0, respectively) | 315 | 0 |
Common stock - $0.01 par value; 600 shares authorized; 391.3 and 331.0 shares issued and outstanding, respectively | 4 | 3 |
Additional paid-in capital | 11,172 | 9,932 |
Retained deficit | (2,729) | (2,518) |
Accumulated other comprehensive loss | (140) | (397) |
Total stockholders' equity | 8,791 | 7,356 |
Total liabilities and stockholders' equity | $ 65,490 | $ 56,880 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parentheticals) - USD ($) shares in Millions, $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Statement of Financial Position [Abstract] | ||
Preferred Stock A, Liquidation Preference, Value | $ 0 | $ 167 |
Available-for-sale Securities Pledged as Collateral | $ 47,997 | 43,943 |
Preferred Stock, Shares Authorized | 10 | |
Preferred Stock B, Liquidation Preference, Value | $ 175 | 175 |
Preferred Stock C, Liquidation Preference, Value | $ 325 | $ 0 |
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 | 391.3 | 331 |
Common Stock, Shares, Outstanding | 391.3 | 331 |
Non-Agency Securities Pledged as Collateral | $ 0 | $ 90 |
Trading Securities Pledged as Collateral | 0 | 173 |
Assets Pledged included in Receivable for Securities Sold | $ 149 | $ 21 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) shares in Millions, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Interest income: | ||||
Interest income | $ 318 | $ 315 | $ 907 | $ 928 |
Interest expense | 140 | 96 | 350 | 296 |
Net interest income | 178 | 219 | 557 | 632 |
Other gain (loss), net: | ||||
Gain (loss) on sale of investment securities, net | 22 | 61 | (47) | 114 |
Unrealized gain (loss) on investment securities measured at fair value through net income, net | (31) | (6) | (6) | 5 |
Gain (loss) on derivative instruments and other securities, net | 131 | 248 | (78) | (1,063) |
Management fee income | 3 | 4 | 10 | 4 |
Total other gain (loss), net: | 125 | 307 | (121) | (940) |
Expenses: | ||||
Management fee expense | 0 | 0 | 0 | 52 |
Compensation and benefits | 10 | 9 | 30 | 9 |
Other operating expenses | 7 | 6 | 20 | 27 |
Total operating expenses | 17 | 15 | 50 | 88 |
Net income (loss) | 286 | 511 | 386 | (396) |
Dividend on preferred stock | 9 | 7 | 23 | 21 |
Issuance costs of redeemed preferred stock | 6 | 0 | 6 | 0 |
Net income (loss) available (attributable) to common stockholders | 271 | 504 | 357 | (417) |
Other comprehensive income (loss): | ||||
Unrealized gain (loss) on available-for-sale securities, net | (90) | 97 | (257) | (1,038) |
Unrealized gain on derivative instruments, net | 0 | 7 | 0 | 38 |
Other comprehensive income (loss) | 90 | (90) | 257 | 1,076 |
Comprehensive income | 376 | 421 | 643 | 680 |
Comprehensive income available to common stockholders | $ 361 | $ 414 | $ 614 | $ 659 |
Weighted average number of common shares outstanding - basic | 364.7 | 331 | 347.5 | 332.1 |
Weighted average number of common shares outstanding - diluted | 364.9 | 331 | 347.6 | 332.1 |
Net income (loss) per common share - basic and diluted | $ 0.74 | $ 1.52 | $ 1.03 | $ (1.26) |
Dividends declared per common share | $ 0.54 | $ 0.56 | $ 1.62 | $ 1.76 |
Consolidated Statement of Stock
Consolidated Statement of Stockholders' Equity - USD ($) shares in Millions, $ in Millions | Total | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Series A Preferred Stock [Member]Preferred Stock [Member] | Series B Preferred Stock [Member]Preferred Stock [Member] | Series C Preferred Stock [Member]Preferred Stock [Member] |
Balance, value at Dec. 31, 2015 | $ 7,971 | $ 3 | $ 10,048 | $ (2,350) | $ (66) | $ 167 | $ 169 | $ 0 |
Balance, Common Stock, shares at Dec. 31, 2015 | 337.5 | |||||||
Net income (loss) | (396) | (396) | ||||||
Other comprehensive income (loss): | ||||||||
Unrealized Gains and (Losses), Net | 1,038 | 1,038 | ||||||
Amounts reclassified from accumulated OCI | 38 | 38 | ||||||
Proceeds from Issuance of Preferred Stock and Preference Stock | 0 | |||||||
Issuance costs of redeemed preferred stock | 0 | |||||||
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 | $ (21) | 21 | ||||||
Common dividends declared | (583) | (583) | ||||||
Balance, value at Sep. 30, 2016 | 7,931 | $ 3 | 9,932 | (3,350) | 1,010 | 167 | 169 | 0 |
Balance, Common Stock, shares at Sep. 30, 2016 | 331 | |||||||
Balance, value at Dec. 31, 2016 | $ 7,356 | $ 3 | 9,932 | (2,518) | (397) | 167 | 169 | 0 |
Balance, Common Stock, shares at Dec. 31, 2016 | 331 | 331 | ||||||
Net income (loss) | $ 386 | 386 | ||||||
Other comprehensive income (loss): | ||||||||
Unrealized Gains and (Losses), Net | 257 | 257 | ||||||
Amounts reclassified from accumulated OCI | 0 | |||||||
Adjustments to Additional Paid in Capital, Share-based Compensation and Exercise of Stock Options | 3 | 3 | ||||||
Proceeds from Issuance of Preferred Stock and Preference Stock | 315 | 315 | ||||||
Preferred Stock, Redemption Amount | (173) | (167) | ||||||
Issuance costs of redeemed preferred stock | (6) | (6) | ||||||
Stock Issued During Period, Shares, New Issues | 60.3 | |||||||
Stock Issued During Period, Value, New Issues | 1,238 | $ 1 | 1,237 | |||||
Payments for Repurchase of Common Stock | 0 | |||||||
Preferred dividends declared | (23) | (23) | ||||||
Common dividends declared | (568) | (568) | ||||||
Balance, value at Sep. 30, 2017 | $ 8,791 | $ 4 | $ 11,172 | $ (2,729) | $ (140) | $ 0 | $ 169 | $ 315 |
Balance, Common Stock, shares at Sep. 30, 2017 | 391.3 | 391.3 |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Operating activities: | ||
Net income (loss) | $ 386 | $ (396) |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Amortization of premiums and discounts on mortgage-backed securities, net | 282 | 394 |
Amortization of accumulated other comprehensive loss on interest rate swaps de-designated as qualifying hedges | 0 | 38 |
Amortization of intangible assets | 3 | 1 |
Stock based compensation | 3 | 1 |
(Gain) loss on sale of investment securities, net | 47 | (114) |
Unrealized loss on investment securities measured at fair value through net income, net | 6 | (5) |
Loss on derivative instruments and other securities, net | 78 | 1,063 |
Decrease in other assets | 99 | 37 |
Increase in accounts payable and other accrued liabilities | 31 | 10 |
Net cash provided by operating activities | 935 | 1,029 |
Investing activities: | ||
Purchases of Agency mortgage-backed securities | (23,823) | (17,275) |
Purchases of credit risk transfer and non-Agency securities | (881) | (36) |
Proceeds from sale of Agency mortgage-backed securities | 13,390 | 17,032 |
Proceeds from sale of credit risk transfer and non-Agency securities | 437 | 0 |
Principal collections on Agency mortgage-backed securities | 5,076 | 5,984 |
Principal collections on credit risk transfer and non-Agency securities | 4 | 13 |
Payments on U.S. Treasury securities | (10,618) | (2,178) |
Proceeds from U.S. Treasury securities | 11,682 | 5,741 |
Net payments on reverse repurchase agreements | (1,456) | (3,728) |
Net proceeds from (payments on) derivative instruments | 38 | (892) |
Purchases of REIT equity securities | (4) | 0 |
Proceeds from sale of REIT equity securities | 0 | 39 |
Purchase of AGNC Mortgage Management, LLC, net of cash acquired | 0 | (555) |
Increase in restricted cash and cash equivalents | (239) | 577 |
Net cash provided by (used in) investing activities | (6,394) | 4,722 |
Financing activities: | ||
Proceeds from repurchase arrangements | 294,885 | 195,992 |
Payments on repurchase agreements | (287,238) | (200,078) |
Proceeds from Federal Home Loan Bank advances | 0 | 2,098 |
Payments on Federal Home Loan Bank advances | (3,037) | (2,814) |
Payments on debt of consolidated variable interest entities | (80) | (100) |
Net proceeds from preferred stock issuance | 315 | 0 |
Payment for preferred stock redemption | (173) | 0 |
Net proceeds from common stock issuances | 1,238 | 0 |
Payments for common stock repurchases | 0 | (116) |
Cash dividends paid | (580) | (612) |
Decrease in restricted cash pledged for repurchase agreements | 19 | 23 |
Net cash provided by (used in) financing activities | 5,349 | (5,607) |
Net change in cash and cash equivalents | (110) | 144 |
Cash and cash equivalents at beginning of period | 1,208 | 1,110 |
Cash and cash equivalents at end of period | $ 1,098 | $ 1,254 |
Unaudited Interim Consolidated
Unaudited Interim Consolidated Financial Statements | 9 Months Ended |
Sep. 30, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Unaudited Interim Consolidated Financial Statements | Unaudited Interim Consolidated Financial Statements The unaudited interim consolidated financial statements of AGNC Investment 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 we are 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 | 9 Months Ended |
Sep. 30, 2017 | |
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. 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 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 income to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100% of our taxable income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year. We earn income primarily from investing in residential mortgage-backed securities for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise or a U.S. Government agency ("Agency RMBS") on a leveraged basis. We may also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a U.S. Government-sponsored enterprise or U.S. Government agency. Our principal objective is to provide our stockholders with attractive risk-adjusted returns through a combination of monthly dividends and net book value accretion. We generate income from the interest earned on our investment assets, net of associated borrowing and hedging activities, and net realized gains and losses on our investments and hedging activities. We fund our investments primarily through borrowings structured as repurchase agreements. Prior to July 1, 2016, we were externally managed by AGNC Management, LLC (our "Manager"). On July 1, 2016, we completed the acquisition of all of the outstanding membership interests of AGNC Mortgage Management, LLC ("AMM"), the parent company of our Manager, from American Capital Asset Management, LLC ("ACAM"), a wholly owned portfolio company of American Capital, Ltd. ("ACAS"). AMM is also the parent company of MTGE Management, LLC, the external manager of MTGE Investment Corp. ("MTGE") (NASDAQ: MTGE). Following the closing of the acquisition of AMM, we became internally managed and are no longer affiliated with ACAS. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Investment Securities The Agency RMBS in which we invest consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac") or the Government National Mortgage Association ("Ginnie Mae") (collectively referred to as "GSEs"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third party market participants, that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or other government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties are able to offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically 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 RMBS. Mortgage-related securities may also include investments in the common stock of other publicly traded mortgage REITs, including MTGE, which invest in Agency and non-Agency securities and/or other real estate related assets. As of September 30, 2017 , our investments in REIT equity securities consisted solely of MTGE common stock. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , 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. Alternatively, we may elect the fair value option of accounting for such securities pursuant to ASC Topic 825, Financial Instruments . All of our securities are reported at fair value as they have either been designated as available-for-sale or trading or we have elected the fair value option of accounting. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income (loss) ("OCI"). Unrealized gains and losses on securities classified as trading or for which we elected the fair value option are reported in net income through other gain (loss) during the period in which they occur. Upon the sale of a security designated as available-for-sale, 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. Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities acquired after fiscal year 2016. In our view, this election simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a particular reporting period, as the fair value changes for these assets are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. We are not permitted to change the designation of securities acquired prior to January 1, 2017; accordingly, such securities will continue to be classified as available-for-sale securities until such time as we receive full repayment of principal or we dispose of the security. We estimate the fair value of our investment 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. Refer to Note 8 for further discussion of fair value measurements. We evaluate our investments designated as available-for-sale 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 Agency RMBS and non-Agency MBS of high credit quality 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 . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. Actual and anticipated prepayment experience is reviewed quarterly and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) the actual prepayments to date plus our current estimate of 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. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments, based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any. Repurchase Agreements We finance the acquisition of securities for our investment portfolio primarily through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing ("ASC 860"), we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates on our repurchase agreements generally correspond to one, three or six month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market. Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Our reverse repurchase agreements typically have maturities of 30 days or less. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are generally reset daily. Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market ("TBA") to invest in and finance Agency securities as well as to periodically reduce our exposure to Agency RMBS. 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 if the counterparties to these instruments fail to perform their obligations under the contracts. Our derivative agreements require that we post or receive collateral to mitigate such risk. We also attempt to minimize our risk of loss 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 was reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap through December 2016. Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with our borrowings made under repurchase agreements. 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. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market. Swap agreements entered into after May 2013 are centrally cleared through a registered commodities exchange. We value centrally cleared interest rate swaps using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including LIBOR, swap rates and the forward yield curve. Our centrally cleared swaps require that we post an "initial margin" amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange "variation margin" based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, which took effect January 3, 2017, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, beginning in the first quarter of 2017 and in subsequent periods, we account for the receipt or payment of variation margin as a direct reduction to the carrying value of the interest rate swap asset or liability. Variation margin pledged / (received) was previously reported in restricted cash and cash equivalents / (other liabilities) in our consolidated balance sheet. We value non-centrally cleared swaps using a combination of third-party valuations obtained from pricing services and the swap counterparty. The third-party valuations are model-driven using observable inputs, including LIBOR, swap rates and the forward yield curve. We also consider 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 assess 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 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 ("payer swaptions"). We may also enter into swaption agreements that provide us the option to enter into a receive-fixed interest rate swap ("receiver swaptions"). Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. 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. The difference between the premium paid 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. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. 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 physically settle the TBA contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities. U.S. Treasury securities We purchase and 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. Loss Contingencies We evaluate the existence of any pending or threatened litigation or other potential claims against the Company in accordance with ASC Topic 450, Contingencies, which requires that we assess the likelihood and range of potential outcomes of any such matters. We are the defendant in two stockholder derivative lawsuits alleging that certain of our current and former directors and officers breached fiduciary duties and wasted corporate assets in connection with past renewals of the management agreement with our former external Manager and the internalization of our management, which occurred on July 1, 2016. Although the outcomes of these cases cannot be predicted with certainty, we do not believe that these cases have merit or will result in a material liability, and, as of September 30, 2017 , we did not accrue a loss contingency related to these matters. Recent Accounting Pronouncements We consider the applicability and impact of all Accounting Standards Updates (“ASUs”) issued by the Financial Accounting Standards Board. ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. ASU 2014-09, Revenue from Contracts with Customers (Topic 606): ASU 2014-09 is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP. The standard’s core principle is that an entity will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. Revenue recognition with respect to financial instruments is not within the scope of ASU 2014-09 and our review of each of our revenue streams indicates that it will not have a significant impact on our consolidated financial statements. ASU 2014-09 is effective on January 1, 2018. ASU 2016-13, Financial Instruments - Credit Losses (Topic 326): ASU 2016-13 changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on available-for-sale debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. ASU 2016-13 is not expected to have a significant impact on our consolidated financial statements. ASU 2016-18, Statement of Cash Flows (Topic 230) - Restricted Cash: ASU 2016-18 requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. ASU 2016-18 will be effective on January 1, 2018 and is not expected to have a significant impact on our consolidated financial statements. |
Investment Securities
Investment Securities | 9 Months Ended |
Sep. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | 3 years and ≤ 5 years 8,763 8,704 3.35% 2.44% 13,601 13,509 3.38% 2.44% > 5 years and ≤10 years 40,234 40,453 3.75% 2.94% 30,513 30,979 3.74% 2.89% > 10 years 1,576 1,568 3.36% 3.07% 1,966 1,962 3.17% 3.27% Total $ 53,091 $ 53,206 3.68% 2.85% $ 46,499 $ 46,866 3.61% 2.77% The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2017 and December 31, 2016 (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 September 30, 2017 $ 19,663 $ (291 ) $ 1,972 $ (65 ) $ 21,635 $ (356 ) December 31, 2016 $ 28,397 $ (554 ) $ 1,719 $ (68 ) $ 30,116 $ (622 ) We did not recognize any OTTI charges on our investment securities for the nine months ended September 30, 2017 and 2016 . 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, 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 Investment Securities The following table is a summary of our net gain (loss) from the sale of investment securities for the three and nine months ended September 30, 2017 and 2016 by investment classification of accounting (in millions). Three Months Ended September 30, 2017 2016 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ (3 ) $ (6,016 ) $ (6,019 ) $ (6,123 ) $ — $ (6,123 ) Proceeds from investment securities sold 1 2 6,039 6,041 6,184 — 6,184 Net gain (loss) on sale of investment securities $ (1 ) $ 23 $ 22 $ 61 $ — $ 61 Gross gain on sale of investment securities $ — $ 28 $ 28 $ 62 $ — $ 62 Gross loss on sale of investment securities (1 ) (5 ) (6 ) (1 ) — (1 ) Net gain (loss) on sale of investment securities $ (1 ) $ 23 $ 22 $ 61 $ — $ 61 Nine Months Ended September 30, 2017 2016 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ (5,738 ) $ (8,636 ) $ (14,374 ) $ (17,146 ) $ — $ (17,146 ) Proceeds from investment securities sold 1 5,649 8,678 14,327 17,260 — 17,260 Net gain (loss) on sale of investment securities $ (89 ) $ 42 $ (47 ) $ 114 $ — $ 114 Gross gain on sale of investment securities $ 6 $ 48 $ 54 $ 122 $ — $ 122 Gross loss on sale of investment securities (95 ) (6 ) (101 ) (8 ) — (8 ) Net gain (loss) on sale of investment securities $ (89 ) $ 42 $ (47 ) $ 114 $ — $ 114 ________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. 2. See Note 10 for a summary of changes in accumulated OCI. Securitizations and Variable Interest Entities As of September 30, 2017 and December 31, 2016 , 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 RMBS. 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 and approximate unpaid principal balance of $0.7 billion as of September 30, 2017 and $0.8 billion as of December 31, 2016 and debt with a total fair value and approximate unpaid principal balance of $0.4 billion as of September 30, 2017 and $0.5 billion as of December 31, 2016 in our accompanying consolidated balance sheets. 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. 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 September 30, 2017 and December 31, 2016 , the fair value of our CMO securities and interest and principal-only securities was $0.9 billion and $1.1 billion , respectively, excluding the consolidated CMO trusts discussed above, or $1.2 billion and $1.5 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 $149 million and $182 million as of September 30, 2017 and December 31, 2016 , respectively." id="sjs-B4">Investment Securities As of September 30, 2017 and December 31, 2016 , our investment portfolio consisted of $53.1 billion and $46.5 billion of investment securities, at fair value, respectively, and $19.4 billion and $11.2 billion of TBA securities, at fair value, respectively. Our TBA position is reported at its net carrying value of $(24) million and $(147) million as of September 30, 2017 and December 31, 2016 , 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. As of September 30, 2017 and December 31, 2016 , our investment securities had a net unamortized premium balance of $2.4 billion and $2.1 billion , respectively, including interest and principal-only securities. The following tables summarize our investment securities as of September 30, 2017 and December 31, 2016 , excluding TBA securities, (dollars in millions). Note 6 contains details of our TBA securities as of each of these respective dates. September 30, 2017 December 31, 2016 Investment Securities Amortized Cost Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 51,275 $ 51,104 $ 45,145 $ 44,736 Adjustable rate 304 311 371 379 CMO 669 677 796 801 Interest-only and principal-only strips 225 246 268 295 Total Agency RMBS 52,473 52,338 46,580 46,211 Non-Agency RMBS 8 7 102 101 CMBS 28 29 23 23 CRT securities 697 717 161 164 Total investment securities $ 53,206 $ 53,091 $ 46,866 $ 46,499 September 30, 2017 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 25,724 $ 8,244 $ 36 $ 7 $ — $ — $ 34,011 Unamortized discount (26 ) (3 ) — — — — (29 ) Unamortized premium 1,183 447 — — — — 1,630 Amortized cost 26,881 8,688 36 7 — — 35,612 Gross unrealized gains 174 41 1 — — — 216 Gross unrealized losses (244 ) (112 ) — — — — (356 ) Total available-for-sale securities, at fair value 26,811 8,617 37 7 — — 35,472 Securities remeasured at fair value through earnings: Par value 11,260 4,826 — — 29 669 16,784 Unamortized discount (36 ) — — — (1 ) — (37 ) Unamortized premium 580 239 — — — 28 847 Amortized cost 11,804 5,065 — — 28 697 17,594 Gross unrealized gains 37 7 — — 1 21 66 Gross unrealized losses (26 ) (14 ) — — — (1 ) (41 ) Total securities remeasured at fair value through earnings 11,815 5,058 — — 29 717 17,619 Total securities, at fair value $ 38,626 $ 13,675 $ 37 $ 7 $ 29 $ 717 $ 53,091 Weighted average coupon as of September 30, 2017 3.65 % 3.68 % 2.78 % 2.50 % 6.55 % 5.10 % 3.67 % Weighted average yield as of September 30, 2017 1 2.82 % 2.81 % 2.01 % 3.03 % 7.31 % 4.61 % 2.85 % ________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 9% based on forward rates as of September 30, 2017 . December 31, 2016 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 34,244 $ 10,008 $ 44 $ 101 $ — $ — $ 44,397 Unamortized discount (43 ) (3 ) — — — — (46 ) Unamortized premium 1,518 544 — 1 — — 2,063 Amortized cost 35,719 10,549 44 102 — — 46,414 Gross unrealized gains 176 48 1 — — — 225 Gross unrealized losses (442 ) (179 ) — (1 ) — — (622 ) Total available-for-sale securities, at fair value 35,453 10,418 45 101 — — 46,017 Securities remeasured at fair value through earnings: Par value 171 — — — 24 157 352 Unamortized discount (35 ) — — — (1 ) — (36 ) Unamortized premium 118 14 — — — 4 136 Amortized cost 254 14 — — 23 161 452 Gross unrealized gains 28 3 — — — 3 34 Gross unrealized losses (3 ) (1 ) — — — — (4 ) Total securities remeasured at fair value through earnings 279 16 — — 23 164 482 Total securities, at fair value $ 35,732 $ 10,434 $ 45 $ 101 $ 23 $ 164 $ 46,499 Weighted average coupon as of December 31, 2016 3.59 % 3.67 % 2.75 % 3.42 % 6.55 % 5.25 % 3.61 % Weighted average yield as of December 31, 2016 1 2.77 % 2.72 % 2.00 % 3.27 % 7.54 % 6.28 % 2.77 % ________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2016 . As of September 30, 2017 and December 31, 2016 , our investments in CRT and non-Agency securities had the following credit ratings: September 30, 2017 December 31, 2016 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS CMBS CRT RMBS CMBS AAA $ — $ 7 $ — $ — $ 99 $ — BBB — — 29 — — 23 BB 65 — — — — — B 633 — — 164 2 — Not Rated 19 — — — — — Total $ 717 $ 7 $ 29 $ 164 $ 101 $ 23 ________________________ 1. Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date. Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards. As of September 30, 2017 , our CRT securities had floating rate coupons ranging from 3.7% to 7.6% , referenced to loans originated between 2012 and 2017 with weighted average coupons ranging from 3.6% to 4.3% . As of December 31, 2016 , our CRT securities had floating rate coupons ranging from 4.6% to 7.1% , referenced to loans originated between 2015 and 2016 with weighted average coupons ranging from 4.0% to 4.2% . 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 September 30, 2017 and December 31, 2016 , the weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate investment portfolio was 9% 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 as of September 30, 2017 and December 31, 2016 according to their estimated weighted average life classification (dollars in millions): September 30, 2017 December 31, 2016 Estimated Weighted Average Life of Investment Securities 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 $ 2,518 $ 2,481 3.89% 2.66% $ 419 $ 416 4.33% 2.27% > 3 years and ≤ 5 years 8,763 8,704 3.35% 2.44% 13,601 13,509 3.38% 2.44% > 5 years and ≤10 years 40,234 40,453 3.75% 2.94% 30,513 30,979 3.74% 2.89% > 10 years 1,576 1,568 3.36% 3.07% 1,966 1,962 3.17% 3.27% Total $ 53,091 $ 53,206 3.68% 2.85% $ 46,499 $ 46,866 3.61% 2.77% The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2017 and December 31, 2016 (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 September 30, 2017 $ 19,663 $ (291 ) $ 1,972 $ (65 ) $ 21,635 $ (356 ) December 31, 2016 $ 28,397 $ (554 ) $ 1,719 $ (68 ) $ 30,116 $ (622 ) We did not recognize any OTTI charges on our investment securities for the nine months ended September 30, 2017 and 2016 . 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, 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 Investment Securities The following table is a summary of our net gain (loss) from the sale of investment securities for the three and nine months ended September 30, 2017 and 2016 by investment classification of accounting (in millions). Three Months Ended September 30, 2017 2016 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ (3 ) $ (6,016 ) $ (6,019 ) $ (6,123 ) $ — $ (6,123 ) Proceeds from investment securities sold 1 2 6,039 6,041 6,184 — 6,184 Net gain (loss) on sale of investment securities $ (1 ) $ 23 $ 22 $ 61 $ — $ 61 Gross gain on sale of investment securities $ — $ 28 $ 28 $ 62 $ — $ 62 Gross loss on sale of investment securities (1 ) (5 ) (6 ) (1 ) — (1 ) Net gain (loss) on sale of investment securities $ (1 ) $ 23 $ 22 $ 61 $ — $ 61 Nine Months Ended September 30, 2017 2016 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ (5,738 ) $ (8,636 ) $ (14,374 ) $ (17,146 ) $ — $ (17,146 ) Proceeds from investment securities sold 1 5,649 8,678 14,327 17,260 — 17,260 Net gain (loss) on sale of investment securities $ (89 ) $ 42 $ (47 ) $ 114 $ — $ 114 Gross gain on sale of investment securities $ 6 $ 48 $ 54 $ 122 $ — $ 122 Gross loss on sale of investment securities (95 ) (6 ) (101 ) (8 ) — (8 ) Net gain (loss) on sale of investment securities $ (89 ) $ 42 $ (47 ) $ 114 $ — $ 114 ________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. 2. See Note 10 for a summary of changes in accumulated OCI. Securitizations and Variable Interest Entities As of September 30, 2017 and December 31, 2016 , 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 RMBS. 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 and approximate unpaid principal balance of $0.7 billion as of September 30, 2017 and $0.8 billion as of December 31, 2016 and debt with a total fair value and approximate unpaid principal balance of $0.4 billion as of September 30, 2017 and $0.5 billion as of December 31, 2016 in our accompanying consolidated balance sheets. 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. 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 September 30, 2017 and December 31, 2016 , the fair value of our CMO securities and interest and principal-only securities was $0.9 billion and $1.1 billion , respectively, excluding the consolidated CMO trusts discussed above, or $1.2 billion and $1.5 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 $149 million and $182 million as of September 30, 2017 and December 31, 2016 , respectively. |
Repurchase Agreements And Other
Repurchase Agreements And Other Debt | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements And Other Debt | 1 to ≤ 3 months 12,443 1.27 % 59 10,011 0.93 % 55 > 3 to ≤ 6 months 4,640 1.34 % 137 2,030 1.02 % 136 > 6 to ≤ 9 months 791 1.60 % 211 1,270 0.98 % 214 > 9 to ≤ 12 months 1,111 1.53 % 319 1,566 1.08 % 299 > 12 to ≤ 24 months 1,552 1.69 % 522 1,203 1.28 % 538 > 24 to ≤ 36 months 2,100 1.75 % 851 1,300 1.36 % 865 > 36 to ≤ 48 months 925 1.77 % 1,194 2,200 1.32 % 1,168 > 48 to < 60 months — — — 625 1.38 % 1,506 Total Agency repo 45,505 1.36 % 129 37,686 0.98 % 187 U.S. Treasury repo: > 1 day to ≤ 1 month — — — 172 (0.30 )% 17 Total $ 45,505 1.36 % 129 $ 37,858 0.98 % 186 As of September 30, 2017 and December 31, 2016 , $1.6 billion and $150 million , respectively, of our Agency repurchase agreements matured overnight and none of our repurchase agreements were due on demand. Federal Home Loan Bank Advances As of December 31, 2016 , we had $3.0 billion of outstanding secured Federal Home Loan Bank ("FHLB") advances, with a weighted average borrowing rate of 0.73% . Our FHLB advances matured in February 2017, coinciding with the termination of our wholly-owned captive insurance subsidiary's FHLB membership in February 2017 pursuant to the Federal Housing Finance Agency's ("FHFA") final rule on FHLB membership released in January 2016. As a result, we had no outstanding secured FHLB advances as of September 30, 2017 . Debt of Consolidated Variable Interest Entities As of September 30, 2017 and December 31, 2016 , debt of consolidated VIEs, at fair value, was $380 million and $460 million , respectively, and had a weighted average interest rate of LIBOR plus 41 and 36 basis points, respectively, and a principal balance of $372 million and $452 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 RMBS 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 September 30, 2017 and December 31, 2016 was 5.5 years and 5.8 years, respectively." id="sjs-B4">Repurchase Agreements and Other Secured Borrowings We pledge certain of our securities as collateral under our borrowing agreements with financial institutions. 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 September 30, 2017 , we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 7 . Repurchase Agreements As of September 30, 2017 and December 31, 2016 , we had $45.5 billion and $37.9 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 September 30, 2017 and December 31, 2016 (dollars in millions): September 30, 2017 December 31, 2016 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 $ 21,943 1.31 % 13 $ 17,481 0.90 % 11 > 1 to ≤ 3 months 12,443 1.27 % 59 10,011 0.93 % 55 > 3 to ≤ 6 months 4,640 1.34 % 137 2,030 1.02 % 136 > 6 to ≤ 9 months 791 1.60 % 211 1,270 0.98 % 214 > 9 to ≤ 12 months 1,111 1.53 % 319 1,566 1.08 % 299 > 12 to ≤ 24 months 1,552 1.69 % 522 1,203 1.28 % 538 > 24 to ≤ 36 months 2,100 1.75 % 851 1,300 1.36 % 865 > 36 to ≤ 48 months 925 1.77 % 1,194 2,200 1.32 % 1,168 > 48 to < 60 months — — — 625 1.38 % 1,506 Total Agency repo 45,505 1.36 % 129 37,686 0.98 % 187 U.S. Treasury repo: > 1 day to ≤ 1 month — — — 172 (0.30 )% 17 Total $ 45,505 1.36 % 129 $ 37,858 0.98 % 186 As of September 30, 2017 and December 31, 2016 , $1.6 billion and $150 million , respectively, of our Agency repurchase agreements matured overnight and none of our repurchase agreements were due on demand. Federal Home Loan Bank Advances As of December 31, 2016 , we had $3.0 billion of outstanding secured Federal Home Loan Bank ("FHLB") advances, with a weighted average borrowing rate of 0.73% . Our FHLB advances matured in February 2017, coinciding with the termination of our wholly-owned captive insurance subsidiary's FHLB membership in February 2017 pursuant to the Federal Housing Finance Agency's ("FHFA") final rule on FHLB membership released in January 2016. As a result, we had no outstanding secured FHLB advances as of September 30, 2017 . Debt of Consolidated Variable Interest Entities As of September 30, 2017 and December 31, 2016 , debt of consolidated VIEs, at fair value, was $380 million and $460 million , respectively, and had a weighted average interest rate of LIBOR plus 41 and 36 basis points, respectively, and a principal balance of $372 million and $452 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 RMBS 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 September 30, 2017 and December 31, 2016 was 5.5 years and 5.8 years, respectively. |
Derivative and Other Hedging In
Derivative and Other Hedging Instruments | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative and Other Hedging Instruments | Derivative and Other Hedging Instruments We hedge a portion of our interest rate risk by entering into interest rate swaps, interest rate swaptions and U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also utilize TBA securities, options and other types of derivative instruments to hedge a portion of our risk. 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 . 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/(liabilities) as of September 30, 2017 and December 31, 2016 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location September 30, 2017 December 31, 2016 Interest rate swaps Derivative assets, at fair value $ 67 $ 321 Swaptions Derivative assets, at fair value 64 22 TBA securities Derivative assets, at fair value 23 4 U.S. Treasury futures - short Derivative assets, at fair value 29 8 Total derivative assets, at fair value $ 183 $ 355 Interest rate swaps Derivative liabilities, at fair value $ (15 ) $ (105 ) TBA securities Derivative liabilities, at fair value (47 ) (151 ) Total derivative liabilities, at fair value $ (62 ) $ (256 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ — $ 182 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (9,119 ) (7,636 ) Total U.S. Treasury securities, net at fair value $ (9,119 ) $ (7,454 ) The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of September 30, 2017 and December 31, 2016 (dollars in millions): September 30, 2017 December 31, 2016 Payer Interest Rate Swaps Notional 1 Average Rate 2 Average Average Notional 1 Average Rate 2 Average Average ≤ 3 years $ 19,975 1.27% 1.31% 1.4 $ 19,775 1.16% 0.92% 1.5 > 3 to ≤ 5 years 7,975 1.78% 1.31% 4.1 7,450 1.62% 0.91% 4.0 > 5 to ≤ 7 years 3,500 1.92% 1.31% 5.7 4,725 1.89% 0.91% 5.9 > 7 to ≤ 10 years 7,225 2.08% 1.31% 8.8 3,325 1.90% 0.91% 9.2 > 10 years 3,475 2.47% 1.31% 13.1 1,900 2.64% 0.91% 13.8 Total $ 42,150 1.66% 1.31% 4.5 $ 37,175 1.48% 0.92% 3.9 ________________________ 1. As of September 30, 2017 and December 31, 2016 , notional amount includes forward starting swaps of $3.4 billion and $0.6 billion , respectively, with an average forward start date of 0.4 and 1.2 years, respectively, and an average maturity of 7.1 and 10.7 years, respectively. 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.61% and 1.46% as of September 30, 2017 and December 31, 2016 , respectively. 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) September 30, 2017 ≤ 1 year $ 105 $ 34 5 $ 3,850 2.80% 3M 9.3 > 1 year ≤ 2 years 13 10 21 450 2.72% 3M 10.0 > 2 year ≤ 3 years 23 20 32 650 2.80% 3M 10.0 Total $ 141 $ 64 10 $ 4,950 2.79% 3M 9.4 December 31, 2016 Total ≤ 1 year $ 52 $ 22 6 $ 1,200 3.06% 3M 8.3 U.S. Treasury Securities September 30, 2017 December 31, 2016 Maturity Face Amount Net Long / (Short) Cost Basis Net Fair Value Face Amount Net Long / (Short) Cost Basis Net Fair Value 5 years $ (230 ) $ (229 ) $ (228 ) $ (400 ) $ (404 ) $ (392 ) 7 years (5,344 ) (5,320 ) (5,302 ) (3,056 ) (3,041 ) (2,930 ) 10 years (3,680 ) (3,638 ) (3,589 ) (4,416 ) (4,236 ) (4,132 ) Total U.S. Treasury securities, net $ (9,254 ) $ (9,187 ) $ (9,119 ) $ (7,872 ) $ (7,681 ) $ (7,454 ) U.S. Treasury Futures September 30, 2017 December 31, 2016 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 ) $ (863 ) $ (858 ) $ 5 $ (730 ) $ (862 ) $ (859 ) $ 3 10 years (2,180 ) (2,755 ) (2,731 ) 24 (1,080 ) (1,347 ) (1,342 ) 5 Total U.S. Treasury futures $ (2,910 ) $ (3,618 ) $ (3,589 ) $ 29 $ (1,810 ) $ (2,209 ) $ (2,201 ) $ 8 _____________________ 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 the U.S. Treasury futures as of period-end. 4. Net carrying value represents the difference between the fair value and the cost basis of the U.S. Treasury futures as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. September 30, 2017 December 31, 2016 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% $ 1,508 $ 1,520 $ 1,515 $ (5 ) $ 1,853 $ 1,870 $ 1,856 $ (14 ) 3.0% 2,930 3,016 3,010 (6 ) 292 302 300 (2 ) 3.5% 20 20 21 1 15 16 16 — Total 15-Year TBA securities 4,458 4,556 4,546 (10 ) 2,160 2,188 2,172 (16 ) 30-Year TBA securities: 3.0% 4,317 4,359 4,329 (30 ) 3,027 3,114 3,007 (107 ) 3.5% 4,511 4,630 4,646 16 1,209 1,251 1,236 (15 ) 4.0% 5,362 5,641 5,642 1 4,530 4,769 4,760 (9 ) 4.5% 230 247 246 (1 ) (10 ) (10 ) (10 ) — Total 30-Year TBA securities, net 14,420 14,877 14,863 (14 ) 8,756 9,124 8,993 (131 ) Total TBA securities, net $ 18,878 $ 19,433 $ 19,409 $ (24 ) $ 10,916 $ 11,312 $ 11,165 $ (147 ) September 30, 2017 December 31, 2016 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 $ 17,170 $ 17,684 $ 17,661 $ (23 ) $ 9,881 $ 10,251 $ 10,118 $ (133 ) Freddie Mac 1,708 1,749 1,748 (1 ) 1,035 1,060 1,047 (13 ) Ginnie Mae — — — — — 1 — (1 ) Total TBA securities, net $ 18,878 $ 19,433 $ 19,409 $ (24 ) $ 10,916 $ 11,312 $ 11,165 $ (147 ) _____________________ 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 following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and nine months ended September 30, 2017 and 2016 (in millions): Derivative and Other Hedging Instruments Beginning Notional Amount Additions Settlement, Termination, Expiration or Exercise Ending Notional Amount Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Three months ended September 30, 2017: TBA securities, net $ 16,867 92,803 (90,792 ) $ 18,878 $ 158 Interest rate swaps $ 40,000 3,550 (1,400 ) $ 42,150 15 Payer swaptions $ 4,950 — — $ 4,950 (22 ) U.S. Treasury securities - short position $ (7,358 ) (5,105 ) 3,209 $ (9,254 ) (19 ) U.S. Treasury futures contracts - short position $ (2,910 ) (2,910 ) 2,910 $ (2,910 ) (1 ) $ 131 Three months ended September 30, 2016: TBA securities, net $ 6,756 37,881 (29,756 ) $ 14,881 $ 67 Interest rate swaps $ 35,125 2,400 (3,375 ) $ 34,150 153 Payer swaptions $ 1,050 — (350 ) $ 700 (1 ) U.S. Treasury securities - short position $ (2,930 ) (2,696 ) 270 $ (5,356 ) 14 U.S. Treasury securities - long position $ 62 90 (107 ) $ 45 1 U.S. Treasury futures contracts - short position $ (1,960 ) (1,960 ) 1,960 $ (1,960 ) 15 $ 249 Nine months ended September 30, 2017: TBA securities, net $ 10,916 185,205 (177,243 ) $ 18,878 $ 360 Interest rate swaps $ 37,175 10,575 (5,600 ) $ 42,150 (157 ) Payer swaptions $ 1,200 3,750 — $ 4,950 (46 ) U.S. Treasury securities - short position $ (8,061 ) (11,595 ) 10,402 $ (9,254 ) (207 ) U.S. Treasury securities - long position $ 189 304 (493 ) $ — 1 U.S. Treasury futures contracts - short position $ (1,810 ) (8,430 ) 7,330 $ (2,910 ) (29 ) $ (78 ) Nine months ended September 30, 2016: TBA securities, net $ 7,295 75,906 (68,320 ) $ 14,881 $ 391 Interest rate swaps $ 40,525 5,950 (12,325 ) $ 34,150 (1,208 ) Payer swaptions $ 2,150 — (1,450 ) $ 700 (12 ) U.S. Treasury securities - short position $ (1,714 ) (5,329 ) 1,687 $ (5,356 ) (142 ) U.S. Treasury securities - long position $ 25 495 (475 ) $ 45 7 U.S. Treasury futures contracts - short position $ (1,860 ) (5,880 ) 5,780 $ (1,960 ) (106 ) $ (1,070 ) ______________________ 1. Amounts above exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Pledged Assets
Pledged Assets | 9 Months Ended |
Sep. 30, 2017 | |
Pledged Assets [Abstract] | |
Pledged Assets | 30 and ≤ 60 days 6,013 6,040 17 8,103 8,158 23 > 60 and ≤ 90 days 7,038 7,047 20 4,034 4,070 11 > 90 days 11,773 11,816 34 11,278 11,380 32 Total RMBS 47,462 47,577 136 43,096 43,471 122 U.S. Treasury securities: > 1 day ≤ 30 days — — — 173 173 — Total $ 47,462 $ 47,577 $ 136 $ 43,269 $ 43,644 $ 122 ______________________ 1. Includes $190 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2017 and December 31, 2016 , respectively. 2. September 30, 2017 amounts exclude $102 million of U.S. Treasury securities received as collateral from counterparties that were repledged as collateral to counterparties under repurchase agreements. 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 September 30, 2017 and December 31, 2016 , we had assets pledged to us from counterparties as collateral under our reverse repurchase, repurchase and derivative agreements summarized in the tables below (in millions). September 30, 2017 December 31, 2016 Assets Pledged to AGNC Reverse Repurchase Agreements 1 Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency RMBS - fair value $ — $ — $ — $ — $ — $ — $ 14 $ 14 U.S. Treasury securities - fair value 9,128 — — 9,128 7,636 — — 7,636 Cash — 39 — 39 — 107 — 107 Total $ 9,128 $ 39 $ — $ 9,167 $ 7,636 $ 107 $ 14 $ 7,757 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. Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of September 30, 2017 and December 31, 2016 (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 September 30, 2017 Interest rate swap and swaption agreements, at fair value 1 $ 131 $ — $ 131 $ (11 ) $ (39 ) $ 81 TBA securities, at fair value 23 — 23 (23 ) — — Receivable under reverse repurchase agreements 9,226 — 9,226 (8,403 ) (823 ) — Total $ 9,380 $ — $ 9,380 $ (8,437 ) $ (862 ) $ 81 December 31, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 342 $ — $ 342 $ (80 ) $ (49 ) $ 213 TBA securities, at fair value 4 — 4 (4 ) — — Receivable under reverse repurchase agreements 7,716 — 7,716 (6,963 ) (753 ) — Total $ 8,062 $ — $ 8,062 $ (7,047 ) $ (802 ) $ 213 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 September 30, 2017 Interest rate swap agreements, at fair value 1 $ 15 $ — $ 15 $ (11 ) $ (4 ) $ — TBA securities, at fair value 47 — 47 (23 ) (24 ) — Repurchase agreements 45,505 — 45,505 (8,403 ) (37,102 ) — Total $ 45,567 $ — $ 45,567 $ (8,437 ) $ (37,130 ) $ — December 31, 2016 Interest rate swap agreements, at fair value 1 $ 105 $ — $ 105 $ (80 ) $ (25 ) $ — TBA securities, at fair value 151 — 151 (4 ) (147 ) — Repurchase agreements and FHLB advances 40,895 — 40,895 (6,963 ) (33,932 ) — Total $ 41,151 $ — $ 41,151 $ (7,047 ) $ (34,104 ) $ — _______________________ 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 margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value. Our prime brokerage agreements, pursuant to which we receive custody and settlement services, and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits. 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. 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. Our International Swaps and Derivatives Association ("ISDA") Master Agreements contain 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 September 30, 2017 , 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 September 30, 2017 , our amount at risk with any counterparty related to our repurchase agreements was less than 5% of our stockholders' equity. As of December 31, 2016 , our maximum amount at risk with any counterparty related to our repurchase agreements was 5.5% , 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. The following table summarizes certain characteristics of our repurchase agreements outstanding with counterparties representing amounts at risk greater than or equal to 5% of our stockholders' equity as of December 31, 2016 (dollars in millions). December 31, 2016 Amount Outstanding Net Counterparty Exposure 1 Percent of Stockholders' Equity Weighted Average Months to Maturity J.P. Morgan Securities, LLC $ 4,875 $ 405 5.5 % 34 ______________________ 1. Represents the net carrying value of securities pledged under repurchase agreements, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. 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 September 30, 2017 and December 31, 2016 (in millions): September 30, 2017 Assets Pledged to Counterparties Repurchase Agreements 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 47,462 $ 700 $ 256 $ 618 $ 49,036 U.S. Treasury securities - fair value 3 102 — 71 — 173 Accrued interest on pledged securities 136 2 1 2 141 Restricted cash and cash equivalents 41 — 247 6 294 Total $ 47,741 $ 702 $ 575 $ 626 $ 49,644 December 31, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLB Advances 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 43,005 $ 818 $ 275 $ 865 $ 44,963 Non-Agency RMBS - fair value 90 — — — 90 U.S. Treasury securities - fair value 173 — — — 173 Accrued interest on pledged securities 122 3 1 2 128 Restricted cash and cash equivalents 60 — 14 — 74 Total $ 43,450 $ 821 $ 290 $ 867 $ 45,428 ______________________ 1. Includes $190 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2017 and December 31, 2016 , respectively. 2. Includes margin for TBAs cleared through prime broker and other clearing deposits. 3. Includes securities received as collateral from counterparties that were repledged as collateral to counterparties. As of December 31, 2016 , we held $126 million of membership and activity-based stock in the FHLB of Des Moines, which was redeemed in February 2017 with the termination of our captive insurance subsidiary's FHLB membership such that we held no such stock as of September 30, 2017 . FHLB stock is reported at cost, which equals par value, in other assets on our accompanying consolidated balance sheets. 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 September 30, 2017 and December 31, 2016 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 . September 30, 2017 December 31, 2016 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 RMBS: 1,2 ≤ 30 days $ 22,638 $ 22,674 $ 65 $ 19,681 $ 19,863 $ 56 > 30 and ≤ 60 days 6,013 6,040 17 8,103 8,158 23 > 60 and ≤ 90 days 7,038 7,047 20 4,034 4,070 11 > 90 days 11,773 11,816 34 11,278 11,380 32 Total RMBS 47,462 47,577 136 43,096 43,471 122 U.S. Treasury securities: > 1 day ≤ 30 days — — — 173 173 — Total $ 47,462 $ 47,577 $ 136 $ 43,269 $ 43,644 $ 122 ______________________ 1. Includes $190 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2017 and December 31, 2016 , respectively. 2. September 30, 2017 amounts exclude $102 million of U.S. Treasury securities received as collateral from counterparties that were repledged as collateral to counterparties under repurchase agreements. 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 September 30, 2017 and December 31, 2016 , we had assets pledged to us from counterparties as collateral under our reverse repurchase, repurchase and derivative agreements summarized in the tables below (in millions). September 30, 2017 December 31, 2016 Assets Pledged to AGNC Reverse Repurchase Agreements 1 Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency RMBS - fair value $ — $ — $ — $ — $ — $ — $ 14 $ 14 U.S. Treasury securities - fair value 9,128 — — 9,128 7,636 — — 7,636 Cash — 39 — 39 — 107 — 107 Total $ 9,128 $ 39 $ — $ 9,167 $ 7,636 $ 107 $ 14 $ 7,757 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. Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of September 30, 2017 and December 31, 2016 (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 September 30, 2017 Interest rate swap and swaption agreements, at fair value 1 $ 131 $ — $ 131 $ (11 ) $ (39 ) $ 81 TBA securities, at fair value 23 — 23 (23 ) — — Receivable under reverse repurchase agreements 9,226 — 9,226 (8,403 ) (823 ) — Total $ 9,380 $ — $ 9,380 $ (8,437 ) $ (862 ) $ 81 December 31, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 342 $ — $ 342 $ (80 ) $ (49 ) $ 213 TBA securities, at fair value 4 — 4 (4 ) — — Receivable under reverse repurchase agreements 7,716 — 7,716 (6,963 ) (753 ) — Total $ 8,062 $ — $ 8,062 $ (7,047 ) $ (802 ) $ 213 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 September 30, 2017 Interest rate swap agreements, at fair value 1 $ 15 $ — $ 15 $ (11 ) $ (4 ) $ — TBA securities, at fair value 47 — 47 (23 ) (24 ) — Repurchase agreements 45,505 — 45,505 (8,403 ) (37,102 ) — Total $ 45,567 $ — $ 45,567 $ (8,437 ) $ (37,130 ) $ — December 31, 2016 Interest rate swap agreements, at fair value 1 $ 105 $ — $ 105 $ (80 ) $ (25 ) $ — TBA securities, at fair value 151 — 151 (4 ) (147 ) — Repurchase agreements and FHLB advances 40,895 — 40,895 (6,963 ) (33,932 ) — Total $ 41,151 $ — $ 41,151 $ (7,047 ) $ (34,104 ) $ — _______________________ 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 | 9 Months Ended |
Sep. 30, 2017 | |
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 information regarding valuation of our derivative instruments, please refer to the discussion of derivative and other hedging instruments in Note 3 . We review third party fair value estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities, and 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 estimation of fair value if we determine (based on our validation procedures and our market knowledge and expertise) that the price is significantly different from what 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 valuation hierarchy levels during the three and nine months ended September 30, 2017 . The three levels of valuation 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 September 30, 2017 and December 31, 2016 (in millions): September 30, 2017 December 31, 2016 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 51,638 $ — $ — $ 45,393 $ — Agency securities transferred to consolidated VIEs — 700 — — 818 — Credit risk transfer securities — 717 — — 164 — Non-Agency securities — 36 — — 124 — U.S. Treasury securities — — — 182 — — REIT equity securities 4 — — — — — Interest rate swaps — 67 — — 321 — Swaptions — 64 — — 22 — TBA securities — 23 — — 4 — U.S. Treasury futures 29 — — 8 — — Total $ 33 $ 53,245 $ — $ 190 $ 46,846 $ — Liabilities: Debt of consolidated VIEs $ — $ 380 $ — $ — $ 460 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 9,119 — — 7,636 — — Interest rate swaps — 15 — — 105 — TBA securities — 47 — — 151 — Total $ 9,119 $ 442 $ — $ 7,636 $ 716 $ — 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 difference between the fair value of the RMBS transferred to consolidated VIEs and the fair value of our retained interests, each of which is based on valuations obtained from third-party pricing services and non-binding dealer quotes derived from common market pricing methods using "Level 2" inputs, and are more observable than using inputs to estimate the fair value of the consolidated debt on a stand-alone basis. 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, 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 1" or "Level 2" inputs. |
Net Income (Loss) Per Common Sh
Net Income (Loss) Per Common Share (Notes) | 9 Months Ended |
Sep. 30, 2017 | |
Net Income (Loss) Per Common Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | Three Months Ended September 30, Nine Months Ended September 30, 2017 2016 2017 2016 Weighted average number of common shares outstanding - basic 364.7 331.0 347.5 332.1 Unvested restricted stock units and performance share units 0.2 — 0.1 — Weighted average number of common shares outstanding - diluted 364.9 331.0 347.6 332.1 Net income (loss) available (attributable) to common stockholders $ 271 $ 504 $ 357 $ (417 ) Net income (loss) per common share - basic and diluted $ 0.74 $ 1.52 $ 1.03 $ (1.26 ) |
Earnings Per Share [Text Block] | Net Income (Loss) Per Common Share Basic net income (loss) per common share includes no dilution and is computed by dividing net income or (loss) applicable to common stock by the weighted-average number of common shares outstanding for the respective period. Diluted earnings per common share includes the impact of dilutive potential common shares outstanding during the period using the treasury stock method. Dilutive potential common shares outstanding include unvested restricted stock units and performance share units granted under our long-term incentive program to employees and non-employee Board of Directors. The following table presents the computations of basic and diluted income (loss) per common share for the periods indicated (shares and dollars in millions): Three Months Ended September 30, Nine Months Ended September 30, 2017 2016 2017 2016 Weighted average number of common shares outstanding - basic 364.7 331.0 347.5 332.1 Unvested restricted stock units and performance share units 0.2 — 0.1 — Weighted average number of common shares outstanding - diluted 364.9 331.0 347.6 332.1 Net income (loss) available (attributable) to common stockholders $ 271 $ 504 $ 357 $ (417 ) Net income (loss) per common share - basic and diluted $ 0.74 $ 1.52 $ 1.03 $ (1.26 ) |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2017 | |
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. As of September 30, 2017, 6.9 million shares were designated as 8.000% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8,050 shares were designated as 7.750% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock") and 13,800 shares were designated as 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock"). The Series B Preferred Stock is represented by Series B depositary shares of 1/1000 interest in a share of Series B Preferred Stock, and the Series C Preferred Stock is represented by Series C depositary shares of 1/1000 interest in a share of Series C Preferred Stock. As of December 31, 2016, we had 6.9 million shares of Series A Preferred Stock and 7,000 shares of Series B Preferred Stock (representing 7.0 million depositary shares) outstanding. In August 2017, we issued 13,000 shares of Series C Preferred Stock in a public offering of 13.0 million Series C depositary shares at a price of $25 per depositary share for net proceeds of $315 million , after deducting underwriting discounts and estimated offering expenses. In September 2017, we redeemed all of our issued and outstanding shares of Series A Preferred Stock for $173 million (or $25 per share liquidation preference), plus accrued and unpaid dividends, and, in October of 2017, we filed a Certificate of Elimination of our Series A Preferred Stock with the Secretary of State of the State of Delaware, which eliminated the designation of Series A Preferred Stock from our amended and restated certificate of incorporation. As of September 30, 2017 , we had 7,000 shares of Series B Preferred Stock (represented by 7.0 million Series B depositary shares) and 13,000 shares of Series C Preferred Stock (represented by 13.0 million Series C depositary shares) outstanding and 9,980,000 of authorized but unissued shares of preferred stock. Prior to the September 2017 redemption, holders of Series A Preferred Stock were entitled to receive cumulative cash dividends at a rate of 8.000% per annum of their $25.00 per share liquidation preference. Holders of depository shares underlying our Series B Preferred Stock are entitled to receive cumulative cash dividends at a rate of 7.750% per annum of their $25.00 per depositary share liquidation preference. Holders of depositary shares underlying our Series C Preferred Stock are entitled to receive cumulative cash dividends at a rate of 7.00% per annum up to, and including, October 14, 2022 and thereafter at a floating rate equal to three-month LIBOR plus a spread of 5.111% per annum of their $25.00 per depositary share liquidation preference. Dividends are payable quarterly in arrears on the 15th day of each January, April, July and October. As of September 30, 2017 , we had declared all required quarterly dividends on our preferred stock. Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Our preferred stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and ranks on parity with each other. Under certain circumstances upon a change of control, our preferred stock is convertible to shares of our common stock. Holders of our preferred stock and depository shares underlying our preferred stock have no voting rights, except under limited conditions. Beginning on May 8, 2019 and October 15, 2022, depository shares underlying our Series B and C Preferred Stock, respectively, will be redeemable at $25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared) exclusively at our option. We may redeem shares of our preferred stock prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for federal income tax purposes. Common Stock Offerings In September 2017, we completed a public offering in which 28.2 million shares of our common stock were sold to the underwriters for proceeds of $577 million , or $20.47 per common share, net of estimated offering costs. In May 2017, we completed a public offering in which 24.5 million shares of our common stock were sold to the underwriters for proceeds of $503 million , or $20.51 per common share, net of offering costs. At-the-Market Offering Program In February 2017, we entered into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to an aggregate amount of $750 million of shares of our common stock. During the three and nine months ended September 30, 2017 , we sold 7.6 million shares of our common stock under the sales agreements for proceeds of $159 million , or $20.96 per common share, net of estimated offering costs. As of September 30, 2017 , $589 million of shares of our common stock remain available for issuance under this program. Common Stock Repurchase Program In October 2012, our Board of Directors adopted a program that provided for stock repurchases, which, as amended, authorized repurchases of our common stock up to $2 billion through December 31, 2016. In October 2016, our Board of Directors terminated the existing stock repurchase program and replaced it with a new stock repurchase authorization. Under the new stock repurchase program we are authorized to repurchase up to $1 billion of our outstanding shares of common stock through December 31, 2017. During the nine months ended September 30, 2016 , we repurchased 6.5 million shares of our common stock at an average repurchase price of $17.89 , including expenses, totaling $116 million . We did not repurchase shares of our common stock during the nine months ended September 30, 2017 . As of September 30, 2017 , the total remaining amount authorized for repurchases of our common stock was $1 billion . Accumulated Other Comprehensive Income (Loss) The following table summarizes changes to accumulated OCI for the three and nine months ended September 30, 2017 and 2016 (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 Balance as of June 30, 2017 $ (211 ) $ — $ (211 ) OCI before reclassifications 70 — 70 Amounts reclassified from accumulated OCI 1 — 1 Balance as of September 30, 2017 $ (140 ) $ — $ (140 ) Balance as of June 30, 2016 $ 1,108 $ (8 ) $ 1,100 OCI before reclassifications (36 ) — (36 ) Amounts reclassified from accumulated OCI (61 ) 7 (54 ) Balance as of September 30, 2016 $ 1,011 $ (1 ) $ 1,010 Balance as of December 31, 2016 $ (397 ) $ — $ (397 ) OCI before reclassifications 168 — 168 Amounts reclassified from accumulated OCI 89 — 89 Balance as of September 30, 2017 $ (140 ) $ — $ (140 ) Balance as of December 31, 2015 $ (27 ) $ (39 ) $ (66 ) OCI before reclassifications 1,152 — 1,152 Amounts reclassified from accumulated OCI (114 ) 38 (76 ) Balance as of September 30, 2016 $ 1,011 $ (1 ) $ 1,010 The following table summarizes reclassifications out of accumulated OCI for the three and nine months ended September 30, 2017 and 2016 (in millions): Three Months Ended September 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2017 2016 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 1 $ (61 ) Realized gain (loss) on sale of investment securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net — 7 Interest expense Total reclassifications $ 1 $ (54 ) Nine Months Ended September 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2017 2016 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 89 $ (114 ) Realized gain (loss) on sale of investment securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net — 38 Interest expense Total reclassifications $ 89 $ (76 ) |
Subsequent Event
Subsequent Event | 9 Months Ended |
Sep. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Event | Subsequent Events On October 12, 2017 , our Board of Directors declared a monthly dividend of $0.18 per common share, payable on November 9, 2017 to common stockholders of record as of October 31, 2017 . |
Summary of Significant Accoun18
Summary of Significant Accounting Policies (Policy) | 9 Months Ended |
Sep. 30, 2017 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Reverse Repurchase Agreements Policy [Policy Text Block] | Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Our reverse repurchase agreements typically have maturities of 30 days or less. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are generally reset daily. |
New Accounting Pronouncements, Policy [Policy Text Block] | Recent Accounting Pronouncements We consider the applicability and impact of all Accounting Standards Updates (“ASUs”) issued by the Financial Accounting Standards Board. ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. ASU 2014-09, Revenue from Contracts with Customers (Topic 606): ASU 2014-09 is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP. The standard’s core principle is that an entity will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. Revenue recognition with respect to financial instruments is not within the scope of ASU 2014-09 and our review of each of our revenue streams indicates that it will not have a significant impact on our consolidated financial statements. ASU 2014-09 is effective on January 1, 2018. ASU 2016-13, Financial Instruments - Credit Losses (Topic 326): ASU 2016-13 changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on available-for-sale debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. ASU 2016-13 is not expected to have a significant impact on our consolidated financial statements. ASU 2016-18, Statement of Cash Flows (Topic 230) - Restricted Cash: ASU 2016-18 requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. ASU 2016-18 will be effective on January 1, 2018 and is not expected to have a significant impact on our consolidated financial statements. |
Investment Securities | Investment Securities The Agency RMBS in which we invest consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac") or the Government National Mortgage Association ("Ginnie Mae") (collectively referred to as "GSEs"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third party market participants, that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or other government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties are able to offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically 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 RMBS. Mortgage-related securities may also include investments in the common stock of other publicly traded mortgage REITs, including MTGE, which invest in Agency and non-Agency securities and/or other real estate related assets. As of September 30, 2017 , our investments in REIT equity securities consisted solely of MTGE common stock. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , 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. Alternatively, we may elect the fair value option of accounting for such securities pursuant to ASC Topic 825, Financial Instruments . All of our securities are reported at fair value as they have either been designated as available-for-sale or trading or we have elected the fair value option of accounting. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income (loss) ("OCI"). Unrealized gains and losses on securities classified as trading or for which we elected the fair value option are reported in net income through other gain (loss) during the period in which they occur. Upon the sale of a security designated as available-for-sale, 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. Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities acquired after fiscal year 2016. In our view, this election simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a particular reporting period, as the fair value changes for these assets are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. We are not permitted to change the designation of securities acquired prior to January 1, 2017; accordingly, such securities will continue to be classified as available-for-sale securities until such time as we receive full repayment of principal or we dispose of the security. We estimate the fair value of our investment 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. Refer to Note 8 for further discussion of fair value measurements. We evaluate our investments designated as available-for-sale 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 Agency RMBS and non-Agency MBS of high credit quality 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 . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. Actual and anticipated prepayment experience is reviewed quarterly and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) the actual prepayments to date plus our current estimate of 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. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments, based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any. |
Repurchase and Resale Agreements Policy [Policy Text Block] | Repurchase Agreements We finance the acquisition of securities for our investment portfolio primarily through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing ("ASC 860"), we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates on our repurchase agreements generally correspond to one, three or six month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market. |
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 risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market ("TBA") to invest in and finance Agency securities as well as to periodically reduce our exposure to Agency RMBS. 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 if the counterparties to these instruments fail to perform their obligations under the contracts. Our derivative agreements require that we post or receive collateral to mitigate such risk. We also attempt to minimize our risk of loss 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 was reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap through December 2016. Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with our borrowings made under repurchase agreements. 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. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market. Swap agreements entered into after May 2013 are centrally cleared through a registered commodities exchange. We value centrally cleared interest rate swaps using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including LIBOR, swap rates and the forward yield curve. Our centrally cleared swaps require that we post an "initial margin" amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange "variation margin" based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, which took effect January 3, 2017, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, beginning in the first quarter of 2017 and in subsequent periods, we account for the receipt or payment of variation margin as a direct reduction to the carrying value of the interest rate swap asset or liability. Variation margin pledged / (received) was previously reported in restricted cash and cash equivalents / (other liabilities) in our consolidated balance sheet. We value non-centrally cleared swaps using a combination of third-party valuations obtained from pricing services and the swap counterparty. The third-party valuations are model-driven using observable inputs, including LIBOR, swap rates and the forward yield curve. We also consider 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 assess 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 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 ("payer swaptions"). We may also enter into swaption agreements that provide us the option to enter into a receive-fixed interest rate swap ("receiver swaptions"). Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. 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. The difference between the premium paid 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. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. 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 physically settle the TBA contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities. U.S. Treasury securities We purchase and 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. |
Contingencies Disclosure [Text Block] | Loss Contingencies We evaluate the existence of any pending or threatened litigation or other potential claims against the Company in accordance with ASC Topic 450, Contingencies, which requires that we assess the likelihood and range of potential outcomes of any such matters. We are the defendant in two stockholder derivative lawsuits alleging that certain of our current and former directors and officers breached fiduciary duties and wasted corporate assets in connection with past renewals of the management agreement with our former external Manager and the internalization of our management, which occurred on July 1, 2016. Although the outcomes of these cases cannot be predicted with certainty, we do not believe that these cases have merit or will result in a material liability, and, as of September 30, 2017 , we did not accrue a loss contingency related to these matters. |
Summary of Significant Accoun19
Summary of Significant Accounting Policies Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2017 | |
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 risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market ("TBA") to invest in and finance Agency securities as well as to periodically reduce our exposure to Agency RMBS. 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 if the counterparties to these instruments fail to perform their obligations under the contracts. Our derivative agreements require that we post or receive collateral to mitigate such risk. We also attempt to minimize our risk of loss 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 was reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap through December 2016. Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with our borrowings made under repurchase agreements. 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. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market. Swap agreements entered into after May 2013 are centrally cleared through a registered commodities exchange. We value centrally cleared interest rate swaps using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including LIBOR, swap rates and the forward yield curve. Our centrally cleared swaps require that we post an "initial margin" amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange "variation margin" based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, which took effect January 3, 2017, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, beginning in the first quarter of 2017 and in subsequent periods, we account for the receipt or payment of variation margin as a direct reduction to the carrying value of the interest rate swap asset or liability. Variation margin pledged / (received) was previously reported in restricted cash and cash equivalents / (other liabilities) in our consolidated balance sheet. We value non-centrally cleared swaps using a combination of third-party valuations obtained from pricing services and the swap counterparty. The third-party valuations are model-driven using observable inputs, including LIBOR, swap rates and the forward yield curve. We also consider 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 assess 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 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 ("payer swaptions"). We may also enter into swaption agreements that provide us the option to enter into a receive-fixed interest rate swap ("receiver swaptions"). Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. 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. The difference between the premium paid 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. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. 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 physically settle the TBA contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities. U.S. Treasury securities We purchase and 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 The Agency RMBS in which we invest consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac") or the Government National Mortgage Association ("Ginnie Mae") (collectively referred to as "GSEs"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third party market participants, that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or other government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties are able to offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically 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 RMBS. Mortgage-related securities may also include investments in the common stock of other publicly traded mortgage REITs, including MTGE, which invest in Agency and non-Agency securities and/or other real estate related assets. As of September 30, 2017 , our investments in REIT equity securities consisted solely of MTGE common stock. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , 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. Alternatively, we may elect the fair value option of accounting for such securities pursuant to ASC Topic 825, Financial Instruments . All of our securities are reported at fair value as they have either been designated as available-for-sale or trading or we have elected the fair value option of accounting. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income (loss) ("OCI"). Unrealized gains and losses on securities classified as trading or for which we elected the fair value option are reported in net income through other gain (loss) during the period in which they occur. Upon the sale of a security designated as available-for-sale, 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. Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities acquired after fiscal year 2016. In our view, this election simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a particular reporting period, as the fair value changes for these assets are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. We are not permitted to change the designation of securities acquired prior to January 1, 2017; accordingly, such securities will continue to be classified as available-for-sale securities until such time as we receive full repayment of principal or we dispose of the security. We estimate the fair value of our investment 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. Refer to Note 8 for further discussion of fair value measurements. We evaluate our investments designated as available-for-sale 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 Agency RMBS and non-Agency MBS of high credit quality 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 . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. Actual and anticipated prepayment experience is reviewed quarterly and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) the actual prepayments to date plus our current estimate of 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. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments, based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any. |
Investment Securities (Tables)
Investment Securities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Securities by Credit Rating [Table Text Block] | As of September 30, 2017 and December 31, 2016 , our investments in CRT and non-Agency securities had the following credit ratings: September 30, 2017 December 31, 2016 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS CMBS CRT RMBS CMBS AAA $ — $ 7 $ — $ — $ 99 $ — BBB — — 29 — — 23 BB 65 — — — — — B 633 — — 164 2 — Not Rated 19 — — — — — Total $ 717 $ 7 $ 29 $ 164 $ 101 $ 23 ________________________ 1. Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date. |
Available-for-sale Securities [Table Text Block] | December 31, 2016 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 34,244 $ 10,008 $ 44 $ 101 $ — $ — $ 44,397 Unamortized discount (43 ) (3 ) — — — — (46 ) Unamortized premium 1,518 544 — 1 — — 2,063 Amortized cost 35,719 10,549 44 102 — — 46,414 Gross unrealized gains 176 48 1 — — — 225 Gross unrealized losses (442 ) (179 ) — (1 ) — — (622 ) Total available-for-sale securities, at fair value 35,453 10,418 45 101 — — 46,017 Securities remeasured at fair value through earnings: Par value 171 — — — 24 157 352 Unamortized discount (35 ) — — — (1 ) — (36 ) Unamortized premium 118 14 — — — 4 136 Amortized cost 254 14 — — 23 161 452 Gross unrealized gains 28 3 — — — 3 34 Gross unrealized losses (3 ) (1 ) — — — — (4 ) Total securities remeasured at fair value through earnings 279 16 — — 23 164 482 Total securities, at fair value $ 35,732 $ 10,434 $ 45 $ 101 $ 23 $ 164 $ 46,499 Weighted average coupon as of December 31, 2016 3.59 % 3.67 % 2.75 % 3.42 % 6.55 % 5.25 % 3.61 % Weighted average yield as of December 31, 2016 1 2.77 % 2.72 % 2.00 % 3.27 % 7.54 % 6.28 % 2.77 % ________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2016 . September 30, 2017 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 25,724 $ 8,244 $ 36 $ 7 $ — $ — $ 34,011 Unamortized discount (26 ) (3 ) — — — — (29 ) Unamortized premium 1,183 447 — — — — 1,630 Amortized cost 26,881 8,688 36 7 — — 35,612 Gross unrealized gains 174 41 1 — — — 216 Gross unrealized losses (244 ) (112 ) — — — — (356 ) Total available-for-sale securities, at fair value 26,811 8,617 37 7 — — 35,472 Securities remeasured at fair value through earnings: Par value 11,260 4,826 — — 29 669 16,784 Unamortized discount (36 ) — — — (1 ) — (37 ) Unamortized premium 580 239 — — — 28 847 Amortized cost 11,804 5,065 — — 28 697 17,594 Gross unrealized gains 37 7 — — 1 21 66 Gross unrealized losses (26 ) (14 ) — — — (1 ) (41 ) Total securities remeasured at fair value through earnings 11,815 5,058 — — 29 717 17,619 Total securities, at fair value $ 38,626 $ 13,675 $ 37 $ 7 $ 29 $ 717 $ 53,091 Weighted average coupon as of September 30, 2017 3.65 % 3.68 % 2.78 % 2.50 % 6.55 % 5.10 % 3.67 % Weighted average yield as of September 30, 2017 1 2.82 % 2.81 % 2.01 % 3.03 % 7.31 % 4.61 % 2.85 % ________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 9% based on forward rates as of September 30, 2017 . |
Components of Investment Securities | The following tables summarize our investment securities as of September 30, 2017 and December 31, 2016 , excluding TBA securities, (dollars in millions). Note 6 contains details of our TBA securities as of each of these respective dates. September 30, 2017 December 31, 2016 Investment Securities Amortized Cost Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 51,275 $ 51,104 $ 45,145 $ 44,736 Adjustable rate 304 311 371 379 CMO 669 677 796 801 Interest-only and principal-only strips 225 246 268 295 Total Agency RMBS 52,473 52,338 46,580 46,211 Non-Agency RMBS 8 7 102 101 CMBS 28 29 23 23 CRT securities 697 717 161 164 Total investment securities $ 53,206 $ 53,091 $ 46,866 $ 46,499 September 30, 2017 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 25,724 $ 8,244 $ 36 $ 7 $ — $ — $ 34,011 Unamortized discount (26 ) (3 ) — — — — (29 ) Unamortized premium 1,183 447 — — — — 1,630 Amortized cost 26,881 8,688 36 7 — — 35,612 Gross unrealized gains 174 41 1 — — — 216 Gross unrealized losses (244 ) (112 ) — — — — (356 ) Total available-for-sale securities, at fair value 26,811 8,617 37 7 — — 35,472 Securities remeasured at fair value through earnings: Par value 11,260 4,826 — — 29 669 16,784 Unamortized discount (36 ) — — — (1 ) — (37 ) Unamortized premium 580 239 — — — 28 847 Amortized cost 11,804 5,065 — — 28 697 17,594 Gross unrealized gains 37 7 — — 1 21 66 Gross unrealized losses (26 ) (14 ) — — — (1 ) (41 ) Total securities remeasured at fair value through earnings 11,815 5,058 — — 29 717 17,619 Total securities, at fair value $ 38,626 $ 13,675 $ 37 $ 7 $ 29 $ 717 $ 53,091 Weighted average coupon as of September 30, 2017 3.65 % 3.68 % 2.78 % 2.50 % 6.55 % 5.10 % 3.67 % Weighted average yield as of September 30, 2017 1 2.82 % 2.81 % 2.01 % 3.03 % 7.31 % 4.61 % 2.85 % |
Summary Of Agency Securities Estimated Weighted Average Life Classifications | The following table summarizes our investments as of September 30, 2017 and December 31, 2016 according to their estimated weighted average life classification (dollars in millions): September 30, 2017 December 31, 2016 Estimated Weighted Average Life of Investment Securities 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 $ 2,518 $ 2,481 3.89% 2.66% $ 419 $ 416 4.33% 2.27% > 3 years and ≤ 5 years 8,763 8,704 3.35% 2.44% 13,601 13,509 3.38% 2.44% > 5 years and ≤10 years 40,234 40,453 3.75% 2.94% 30,513 30,979 3.74% 2.89% > 10 years 1,576 1,568 3.36% 3.07% 1,966 1,962 3.17% 3.27% Total $ 53,091 $ 53,206 3.68% 2.85% $ 46,499 $ 46,866 3.61% 2.77% |
Summary of Continuous Unrealized Loss Position of Available for Sale Securities | The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2017 and December 31, 2016 (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 September 30, 2017 $ 19,663 $ (291 ) $ 1,972 $ (65 ) $ 21,635 $ (356 ) December 31, 2016 $ 28,397 $ (554 ) $ 1,719 $ (68 ) $ 30,116 $ (622 ) |
Summary of Net Gain from Sale of Agency Securities | The following table is a summary of our net gain (loss) from the sale of investment securities for the three and nine months ended September 30, 2017 and 2016 by investment classification of accounting (in millions). Three Months Ended September 30, 2017 2016 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ (3 ) $ (6,016 ) $ (6,019 ) $ (6,123 ) $ — $ (6,123 ) Proceeds from investment securities sold 1 2 6,039 6,041 6,184 — 6,184 Net gain (loss) on sale of investment securities $ (1 ) $ 23 $ 22 $ 61 $ — $ 61 Gross gain on sale of investment securities $ — $ 28 $ 28 $ 62 $ — $ 62 Gross loss on sale of investment securities (1 ) (5 ) (6 ) (1 ) — (1 ) Net gain (loss) on sale of investment securities $ (1 ) $ 23 $ 22 $ 61 $ — $ 61 Nine Months Ended September 30, 2017 2016 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ (5,738 ) $ (8,636 ) $ (14,374 ) $ (17,146 ) $ — $ (17,146 ) Proceeds from investment securities sold 1 5,649 8,678 14,327 17,260 — 17,260 Net gain (loss) on sale of investment securities $ (89 ) $ 42 $ (47 ) $ 114 $ — $ 114 Gross gain on sale of investment securities $ 6 $ 48 $ 54 $ 122 $ — $ 122 Gross loss on sale of investment securities (95 ) (6 ) (101 ) (8 ) — (8 ) Net gain (loss) on sale of investment securities $ (89 ) $ 42 $ (47 ) $ 114 $ — $ 114 ________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. 2. See Note 10 for a summary of changes in accumulated OCI. |
Repurchase Agreements and Oth21
Repurchase Agreements and Other Debt (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 and December 31, 2016 (dollars in millions): September 30, 2017 December 31, 2016 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 $ 21,943 1.31 % 13 $ 17,481 0.90 % 11 > 1 to ≤ 3 months 12,443 1.27 % 59 10,011 0.93 % 55 > 3 to ≤ 6 months 4,640 1.34 % 137 2,030 1.02 % 136 > 6 to ≤ 9 months 791 1.60 % 211 1,270 0.98 % 214 > 9 to ≤ 12 months 1,111 1.53 % 319 1,566 1.08 % 299 > 12 to ≤ 24 months 1,552 1.69 % 522 1,203 1.28 % 538 > 24 to ≤ 36 months 2,100 1.75 % 851 1,300 1.36 % 865 > 36 to ≤ 48 months 925 1.77 % 1,194 2,200 1.32 % 1,168 > 48 to < 60 months — — — 625 1.38 % 1,506 Total Agency repo 45,505 1.36 % 129 37,686 0.98 % 187 U.S. Treasury repo: > 1 day to ≤ 1 month — — — 172 (0.30 )% 17 Total $ 45,505 1.36 % 129 $ 37,858 0.98 % 186 |
Schedule of Federal Home Loan Bank Advances and Weighted Average Interest Rates [Table Text Block] | As of December 31, 2016 , we had $3.0 billion of outstanding secured Federal Home Loan Bank ("FHLB") advances, with a weighted average borrowing rate of 0.73% . Our FHLB advances matured in February 2017, coinciding with the termination of our wholly-owned captive insurance subsidiary's FHLB membership in February 2017 pursuant to the Federal Housing Finance Agency's ("FHFA") final rule on FHLB membership released in January 2016. As a result, we had no outstanding secured FHLB advances as of September 30, 2017 . |
Derivative and Other Hedging 22
Derivative and Other Hedging Instruments (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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/(liabilities) as of September 30, 2017 and December 31, 2016 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location September 30, 2017 December 31, 2016 Interest rate swaps Derivative assets, at fair value $ 67 $ 321 Swaptions Derivative assets, at fair value 64 22 TBA securities Derivative assets, at fair value 23 4 U.S. Treasury futures - short Derivative assets, at fair value 29 8 Total derivative assets, at fair value $ 183 $ 355 Interest rate swaps Derivative liabilities, at fair value $ (15 ) $ (105 ) TBA securities Derivative liabilities, at fair value (47 ) (151 ) Total derivative liabilities, at fair value $ (62 ) $ (256 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ — $ 182 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (9,119 ) (7,636 ) Total U.S. Treasury securities, net at fair value $ (9,119 ) $ (7,454 ) |
Schedule of Interest Rate Swaption Agreements Outstanding | 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) September 30, 2017 ≤ 1 year $ 105 $ 34 5 $ 3,850 2.80% 3M 9.3 > 1 year ≤ 2 years 13 10 21 450 2.72% 3M 10.0 > 2 year ≤ 3 years 23 20 32 650 2.80% 3M 10.0 Total $ 141 $ 64 10 $ 4,950 2.79% 3M 9.4 December 31, 2016 Total ≤ 1 year $ 52 $ 22 6 $ 1,200 3.06% 3M 8.3 U.S. Treasury Securities September 30, 2017 December 31, 2016 Maturity Face Amount Net Long / (Short) Cost Basis Net Fair Value Face Amount Net Long / (Short) Cost Basis Net Fair Value 5 years $ (230 ) $ (229 ) $ (228 ) $ (400 ) $ (404 ) $ (392 ) 7 years (5,344 ) (5,320 ) (5,302 ) (3,056 ) (3,041 ) (2,930 ) 10 years (3,680 ) (3,638 ) (3,589 ) (4,416 ) (4,236 ) (4,132 ) Total U.S. Treasury securities, net $ (9,254 ) $ (9,187 ) $ (9,119 ) $ (7,872 ) $ (7,681 ) $ (7,454 ) |
US government securities | U.S. Treasury Securities September 30, 2017 December 31, 2016 Maturity Face Amount Net Long / (Short) Cost Basis Net Fair Value Face Amount Net Long / (Short) Cost Basis Net Fair Value 5 years $ (230 ) $ (229 ) $ (228 ) $ (400 ) $ (404 ) $ (392 ) 7 years (5,344 ) (5,320 ) (5,302 ) (3,056 ) (3,041 ) (2,930 ) 10 years (3,680 ) (3,638 ) (3,589 ) (4,416 ) (4,236 ) (4,132 ) Total U.S. Treasury securities, net $ (9,254 ) $ (9,187 ) $ (9,119 ) $ (7,872 ) $ (7,681 ) $ (7,454 ) |
US Government Futures Securities [Table Text Block] | U.S. Treasury Futures September 30, 2017 December 31, 2016 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 ) $ (863 ) $ (858 ) $ 5 $ (730 ) $ (862 ) $ (859 ) $ 3 10 years (2,180 ) (2,755 ) (2,731 ) 24 (1,080 ) (1,347 ) (1,342 ) 5 Total U.S. Treasury futures $ (2,910 ) $ (3,618 ) $ (3,589 ) $ 29 $ (1,810 ) $ (2,209 ) $ (2,201 ) $ 8 _____________________ 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 the U.S. Treasury futures as of period-end. 4. Net carrying value represents the difference between the fair value and the cost basis of the 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 | September 30, 2017 December 31, 2016 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% $ 1,508 $ 1,520 $ 1,515 $ (5 ) $ 1,853 $ 1,870 $ 1,856 $ (14 ) 3.0% 2,930 3,016 3,010 (6 ) 292 302 300 (2 ) 3.5% 20 20 21 1 15 16 16 — Total 15-Year TBA securities 4,458 4,556 4,546 (10 ) 2,160 2,188 2,172 (16 ) 30-Year TBA securities: 3.0% 4,317 4,359 4,329 (30 ) 3,027 3,114 3,007 (107 ) 3.5% 4,511 4,630 4,646 16 1,209 1,251 1,236 (15 ) 4.0% 5,362 5,641 5,642 1 4,530 4,769 4,760 (9 ) 4.5% 230 247 246 (1 ) (10 ) (10 ) (10 ) — Total 30-Year TBA securities, net 14,420 14,877 14,863 (14 ) 8,756 9,124 8,993 (131 ) Total TBA securities, net $ 18,878 $ 19,433 $ 19,409 $ (24 ) $ 10,916 $ 11,312 $ 11,165 $ (147 ) September 30, 2017 December 31, 2016 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 $ 17,170 $ 17,684 $ 17,661 $ (23 ) $ 9,881 $ 10,251 $ 10,118 $ (133 ) Freddie Mac 1,708 1,749 1,748 (1 ) 1,035 1,060 1,047 (13 ) Ginnie Mae — — — — — 1 — (1 ) Total TBA securities, net $ 18,878 $ 19,433 $ 19,409 $ (24 ) $ 10,916 $ 11,312 $ 11,165 $ (147 ) _____________________ 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 following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and nine months ended September 30, 2017 and 2016 (in millions): Derivative and Other Hedging Instruments Beginning Notional Amount Additions Settlement, Termination, Expiration or Exercise Ending Notional Amount Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Three months ended September 30, 2017: TBA securities, net $ 16,867 92,803 (90,792 ) $ 18,878 $ 158 Interest rate swaps $ 40,000 3,550 (1,400 ) $ 42,150 15 Payer swaptions $ 4,950 — — $ 4,950 (22 ) U.S. Treasury securities - short position $ (7,358 ) (5,105 ) 3,209 $ (9,254 ) (19 ) U.S. Treasury futures contracts - short position $ (2,910 ) (2,910 ) 2,910 $ (2,910 ) (1 ) $ 131 Three months ended September 30, 2016: TBA securities, net $ 6,756 37,881 (29,756 ) $ 14,881 $ 67 Interest rate swaps $ 35,125 2,400 (3,375 ) $ 34,150 153 Payer swaptions $ 1,050 — (350 ) $ 700 (1 ) U.S. Treasury securities - short position $ (2,930 ) (2,696 ) 270 $ (5,356 ) 14 U.S. Treasury securities - long position $ 62 90 (107 ) $ 45 1 U.S. Treasury futures contracts - short position $ (1,960 ) (1,960 ) 1,960 $ (1,960 ) 15 $ 249 Nine months ended September 30, 2017: TBA securities, net $ 10,916 185,205 (177,243 ) $ 18,878 $ 360 Interest rate swaps $ 37,175 10,575 (5,600 ) $ 42,150 (157 ) Payer swaptions $ 1,200 3,750 — $ 4,950 (46 ) U.S. Treasury securities - short position $ (8,061 ) (11,595 ) 10,402 $ (9,254 ) (207 ) U.S. Treasury securities - long position $ 189 304 (493 ) $ — 1 U.S. Treasury futures contracts - short position $ (1,810 ) (8,430 ) 7,330 $ (2,910 ) (29 ) $ (78 ) Nine months ended September 30, 2016: TBA securities, net $ 7,295 75,906 (68,320 ) $ 14,881 $ 391 Interest rate swaps $ 40,525 5,950 (12,325 ) $ 34,150 (1,208 ) Payer swaptions $ 2,150 — (1,450 ) $ 700 (12 ) U.S. Treasury securities - short position $ (1,714 ) (5,329 ) 1,687 $ (5,356 ) (142 ) U.S. Treasury securities - long position $ 25 495 (475 ) $ 45 7 U.S. Treasury futures contracts - short position $ (1,860 ) (5,880 ) 5,780 $ (1,960 ) (106 ) $ (1,070 ) ______________________ 1. Amounts above exclude other miscellaneous gains and losses 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 certain characteristics of our derivative and other hedging instruments outstanding as of September 30, 2017 and December 31, 2016 (dollars in millions): September 30, 2017 December 31, 2016 Payer Interest Rate Swaps Notional 1 Average Rate 2 Average Average Notional 1 Average Rate 2 Average Average ≤ 3 years $ 19,975 1.27% 1.31% 1.4 $ 19,775 1.16% 0.92% 1.5 > 3 to ≤ 5 years 7,975 1.78% 1.31% 4.1 7,450 1.62% 0.91% 4.0 > 5 to ≤ 7 years 3,500 1.92% 1.31% 5.7 4,725 1.89% 0.91% 5.9 > 7 to ≤ 10 years 7,225 2.08% 1.31% 8.8 3,325 1.90% 0.91% 9.2 > 10 years 3,475 2.47% 1.31% 13.1 1,900 2.64% 0.91% 13.8 Total $ 42,150 1.66% 1.31% 4.5 $ 37,175 1.48% 0.92% 3.9 ________________________ |
Pledged Assets (Tables)
Pledged Assets (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Pledged Assets [Abstract] | |
Schedule of Securities and Cash Pledged as Collateral from Counterparties [Table Text Block] | As of September 30, 2017 and December 31, 2016 , we had assets pledged to us from counterparties as collateral under our reverse repurchase, repurchase and derivative agreements summarized in the tables below (in millions). September 30, 2017 December 31, 2016 Assets Pledged to AGNC Reverse Repurchase Agreements 1 Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency RMBS - fair value $ — $ — $ — $ — $ — $ — $ 14 $ 14 U.S. Treasury securities - fair value 9,128 — — 9,128 7,636 — — 7,636 Cash — 39 — 39 — 107 — 107 Total $ 9,128 $ 39 $ — $ 9,167 $ 7,636 $ 107 $ 14 $ 7,757 |
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 September 30, 2017 and December 31, 2016 (in millions): September 30, 2017 Assets Pledged to Counterparties Repurchase Agreements 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 47,462 $ 700 $ 256 $ 618 $ 49,036 U.S. Treasury securities - fair value 3 102 — 71 — 173 Accrued interest on pledged securities 136 2 1 2 141 Restricted cash and cash equivalents 41 — 247 6 294 Total $ 47,741 $ 702 $ 575 $ 626 $ 49,644 December 31, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLB Advances 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 43,005 $ 818 $ 275 $ 865 $ 44,963 Non-Agency RMBS - fair value 90 — — — 90 U.S. Treasury securities - fair value 173 — — — 173 Accrued interest on pledged securities 122 3 1 2 128 Restricted cash and cash equivalents 60 — 14 — 74 Total $ 43,450 $ 821 $ 290 $ 867 $ 45,428 ______________________ 1. Includes $190 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2017 and December 31, 2016 , respectively. 2. Includes margin for TBAs cleared through prime broker and other clearing deposits. |
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 September 30, 2017 and December 31, 2016 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 . September 30, 2017 December 31, 2016 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 RMBS: 1,2 ≤ 30 days $ 22,638 $ 22,674 $ 65 $ 19,681 $ 19,863 $ 56 > 30 and ≤ 60 days 6,013 6,040 17 8,103 8,158 23 > 60 and ≤ 90 days 7,038 7,047 20 4,034 4,070 11 > 90 days 11,773 11,816 34 11,278 11,380 32 Total RMBS 47,462 47,577 136 43,096 43,471 122 U.S. Treasury securities: > 1 day ≤ 30 days — — — 173 173 — Total $ 47,462 $ 47,577 $ 136 $ 43,269 $ 43,644 $ 122 ______________________ 1. Includes $190 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2017 and December 31, 2016 , respectively. 2. September 30, 2017 amounts exclude $102 million of U.S. Treasury securities received as collateral from counterparties that were repledged as collateral to counterparties under repurchase agreements. |
Offsetting Assets and Liabilities | The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of September 30, 2017 and December 31, 2016 (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 September 30, 2017 Interest rate swap and swaption agreements, at fair value 1 $ 131 $ — $ 131 $ (11 ) $ (39 ) $ 81 TBA securities, at fair value 23 — 23 (23 ) — — Receivable under reverse repurchase agreements 9,226 — 9,226 (8,403 ) (823 ) — Total $ 9,380 $ — $ 9,380 $ (8,437 ) $ (862 ) $ 81 December 31, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 342 $ — $ 342 $ (80 ) $ (49 ) $ 213 TBA securities, at fair value 4 — 4 (4 ) — — Receivable under reverse repurchase agreements 7,716 — 7,716 (6,963 ) (753 ) — Total $ 8,062 $ — $ 8,062 $ (7,047 ) $ (802 ) $ 213 |
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 September 30, 2017 Interest rate swap agreements, at fair value 1 $ 15 $ — $ 15 $ (11 ) $ (4 ) $ — TBA securities, at fair value 47 — 47 (23 ) (24 ) — Repurchase agreements 45,505 — 45,505 (8,403 ) (37,102 ) — Total $ 45,567 $ — $ 45,567 $ (8,437 ) $ (37,130 ) $ — December 31, 2016 Interest rate swap agreements, at fair value 1 $ 105 $ — $ 105 $ (80 ) $ (25 ) $ — TBA securities, at fair value 151 — 151 (4 ) (147 ) — Repurchase agreements and FHLB advances 40,895 — 40,895 (6,963 ) (33,932 ) — Total $ 41,151 $ — $ 41,151 $ (7,047 ) $ (34,104 ) $ — _______________________ 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) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 and December 31, 2016 (in millions): September 30, 2017 December 31, 2016 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 51,638 $ — $ — $ 45,393 $ — Agency securities transferred to consolidated VIEs — 700 — — 818 — Credit risk transfer securities — 717 — — 164 — Non-Agency securities — 36 — — 124 — U.S. Treasury securities — — — 182 — — REIT equity securities 4 — — — — — Interest rate swaps — 67 — — 321 — Swaptions — 64 — — 22 — TBA securities — 23 — — 4 — U.S. Treasury futures 29 — — 8 — — Total $ 33 $ 53,245 $ — $ 190 $ 46,846 $ — Liabilities: Debt of consolidated VIEs $ — $ 380 $ — $ — $ 460 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 9,119 — — 7,636 — — Interest rate swaps — 15 — — 105 — TBA securities — 47 — — 151 — Total $ 9,119 $ 442 $ — $ 7,636 $ 716 $ — |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes changes to accumulated OCI for the three and nine months ended September 30, 2017 and 2016 (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 Balance as of June 30, 2017 $ (211 ) $ — $ (211 ) OCI before reclassifications 70 — 70 Amounts reclassified from accumulated OCI 1 — 1 Balance as of September 30, 2017 $ (140 ) $ — $ (140 ) Balance as of June 30, 2016 $ 1,108 $ (8 ) $ 1,100 OCI before reclassifications (36 ) — (36 ) Amounts reclassified from accumulated OCI (61 ) 7 (54 ) Balance as of September 30, 2016 $ 1,011 $ (1 ) $ 1,010 Balance as of December 31, 2016 $ (397 ) $ — $ (397 ) OCI before reclassifications 168 — 168 Amounts reclassified from accumulated OCI 89 — 89 Balance as of September 30, 2017 $ (140 ) $ — $ (140 ) Balance as of December 31, 2015 $ (27 ) $ (39 ) $ (66 ) OCI before reclassifications 1,152 — 1,152 Amounts reclassified from accumulated OCI (114 ) 38 (76 ) Balance as of September 30, 2016 $ 1,011 $ (1 ) $ 1,010 The following table summarizes reclassifications out of accumulated OCI for the three and nine months ended September 30, 2017 and 2016 (in millions): Three Months Ended September 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2017 2016 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 1 $ (61 ) Realized gain (loss) on sale of investment securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net — 7 Interest expense Total reclassifications $ 1 $ (54 ) Nine Months Ended September 30, Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2017 2016 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 89 $ (114 ) Realized gain (loss) on sale of investment securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net — 38 Interest expense Total reclassifications $ 89 $ (76 ) |
Organization (Details)
Organization (Details) | 9 Months Ended |
Sep. 30, 2017 | |
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 Accoun27
Summary of Significant Accounting Policies (Details) | 9 Months Ended |
Sep. 30, 2017 | |
Derivative [Line Items] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
Investment Securities (Narrativ
Investment Securities (Narrative) (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 53,091 | $ 46,499 |
Weighted average expected constant prepayment rate | 9.00% | 8.00% |
Agency securities, total fair value | $ 700 | |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | (700) | $ (818) |
Debt, at fair value | (380) | (460) |
Principal amount | 372 | 452 |
Fair value of CMO securities and interest-only and principal-only strips | 900 | 1,100 |
Securitized CMO Securities | 1,200 | 1,500 |
CMO and Interest Only, Principal Only Securities, Maximum Loss Exposure | 149 | 182 |
Agency Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Unamortized premium balance | 2,400 | 2,100 |
TBA securities Fifteen Year and Thirty Year Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Net long TBA position, at fair value | 19,400 | 11,200 |
TBA, net carrying value | $ (24) | $ (147) |
Credit Risk Transfer Securities [Member] | Minimum [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Weighted Average Coupon Rate | 3.70% | 4.60% |
Underlying Collateral Coupon | 3.60% | 4.00% |
Credit Risk Transfer Securities [Member] | Maximum [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Weighted Average Coupon Rate | 7.60% | 7.10% |
Underlying Collateral Coupon | 4.30% | 4.20% |
Investment Securities (Summary
Investment Securities (Summary of Investment in Agency Security) (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Amortized cost | $ 53,206 | $ 46,866 |
Mortgage Backed Securities Amortized Cost | 53,206 | 46,866 |
Fair value | 53,091 | 46,499 |
Total agency MBS, amortized cost | 52,473 | 46,580 |
Total agency MBS, at fair value | 52,338 | 46,211 |
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 53,091 | 46,499 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Amortized cost | 8 | 102 |
Fair value | 7 | 101 |
Commercial Mortgage Backed Securities [Member] | ||
Amortized cost | 28 | 23 |
Fair value | 29 | 23 |
Credit Risk Transfer Securities [Member] | ||
Interest-only and principal-only strips, amortized cost | 697 | 161 |
Interest-only and principal-only strips, fair value | 717 | 164 |
Fixed Income Securities [Member] | Agency Securities [Member] | ||
Amortized cost | 51,275 | 45,145 |
Fair value | 51,104 | 44,736 |
Adjustable-Rate [Member] | Agency Securities [Member] | ||
Amortized cost | 304 | 371 |
Fair value | 311 | 379 |
Collateralized Mortgage Obligations [Member] | Agency Securities [Member] | ||
Amortized cost | 669 | 796 |
Fair value | 677 | 801 |
Interest Only And Principal Only Strip [Member] | Agency Securities [Member] | ||
Interest-only and principal-only strips, amortized cost | 225 | 268 |
Interest-only and principal-only strips, fair value | $ 246 | $ 295 |
Investment Securities (Componen
Investment Securities (Components Of Investment Securities) (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Investments [Line Items] | ||
Agency securities transferred to consolidated VIEs | $ 700 | $ 818 |
Amortized cost | 53,206 | 46,866 |
Total agency MBS, at fair value | 52,338 | 46,211 |
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 53,091 | $ 46,499 |
Weighted average coupon | 3.67% | 3.61% |
Weighted average yield | 2.85% | 2.77% |
Future Prepayment Rate Assumption Of Investment Portfolio | 9.00% | 8.00% |
Mortgage Backed Securities Amortized Cost | $ 53,206 | $ 46,866 |
Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | 34,011 | 44,397 |
Unamortized discount | (29) | (46) |
Unamortized premium | 1,630 | 2,063 |
Amortized cost | 35,612 | 46,414 |
Gross unrealized gains | 216 | 225 |
Gross unrealized losses | (356) | (622) |
Total available-for-sale securities, at fair value | 35,472 | 46,017 |
Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 17,594 | 452 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 66 | 34 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | (41) | (4) |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 17,619 | 482 |
Securities remeasured at fair value through earnings, Par Value | 16,784 | 352 |
Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (37) | (36) |
Unamortized premium | 847 | 136 |
Fannie Mae [Member] | ||
Schedule of Investments [Line Items] | ||
Total agency MBS, at fair value | $ 38,626 | $ 35,732 |
Weighted average coupon | 3.65% | 3.59% |
Weighted average yield | 2.82% | 2.77% |
Fannie Mae [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 25,724 | $ 34,244 |
Unamortized discount | (26) | (43) |
Unamortized premium | 1,183 | 1,518 |
Amortized cost | 26,881 | 35,719 |
Gross unrealized gains | 174 | 176 |
Gross unrealized losses | (244) | (442) |
Total available-for-sale securities, at fair value | 26,811 | 35,453 |
Fannie Mae [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 11,804 | 254 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 37 | 28 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | (26) | (3) |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 11,815 | 279 |
Securities remeasured at fair value through earnings, Par Value | 11,260 | 171 |
Fannie Mae [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (36) | (35) |
Unamortized premium | 580 | 118 |
Freddie Mac [Member] | ||
Schedule of Investments [Line Items] | ||
Total agency MBS, at fair value | $ 13,675 | $ 10,434 |
Weighted average coupon | 3.68% | 3.67% |
Weighted average yield | 2.81% | 2.72% |
Freddie Mac [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 8,244 | $ 10,008 |
Unamortized discount | (3) | (3) |
Unamortized premium | 447 | 544 |
Amortized cost | 8,688 | 10,549 |
Gross unrealized gains | 41 | 48 |
Gross unrealized losses | (112) | (179) |
Total available-for-sale securities, at fair value | 8,617 | 10,418 |
Freddie Mac [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 5,065 | 14 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 7 | 3 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | (14) | (1) |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 5,058 | 16 |
Securities remeasured at fair value through earnings, Par Value | 4,826 | 0 |
Freddie Mac [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | 0 | 0 |
Unamortized premium | 239 | 14 |
Ginnie Mae [Member] | ||
Schedule of Investments [Line Items] | ||
Total agency MBS, at fair value | $ 37 | $ 45 |
Weighted average coupon | 2.78% | 2.75% |
Weighted average yield | 2.01% | 2.00% |
Ginnie Mae [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 36 | $ 44 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Amortized cost | 36 | 44 |
Gross unrealized gains | 1 | 1 |
Gross unrealized losses | 0 | 0 |
Total available-for-sale securities, at fair value | 37 | 45 |
Ginnie Mae [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 0 | 0 |
Securities remeasured at fair value through earnings, Par Value | 0 | 0 |
Ginnie Mae [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Investments [Line Items] | ||
Amortized cost | 8 | 102 |
Total Securities | $ 7 | $ 101 |
Weighted average coupon | 2.50% | 3.42% |
Weighted average yield | 3.03% | 3.27% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 7 | $ 101 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 1 |
Amortized cost | 7 | 102 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | 0 | (1) |
Total available-for-sale securities, at fair value | 7 | 101 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 0 | 0 |
Securities remeasured at fair value through earnings, Par Value | 0 | 0 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Commercial Mortgage Backed Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Amortized cost | 28 | 23 |
Total Securities | $ 29 | $ 23 |
Weighted average coupon | 6.55% | 6.55% |
Weighted average yield | 7.31% | 7.54% |
Commercial Mortgage Backed Securities [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 0 | $ 0 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Amortized cost | 0 | 0 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | 0 | 0 |
Total available-for-sale securities, at fair value | 0 | 0 |
Commercial Mortgage Backed Securities [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 28 | 23 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 1 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 29 | 23 |
Securities remeasured at fair value through earnings, Par Value | 29 | 24 |
Commercial Mortgage Backed Securities [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (1) | (1) |
Unamortized premium | 0 | 0 |
Credit Risk Transfer Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Trading Securities, Cost | $ 697 | $ 161 |
Weighted average coupon | 5.10% | 5.25% |
Weighted average yield | 4.61% | 6.28% |
Trading Securities, Other | $ 717 | $ 164 |
Credit Risk Transfer Securities [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | 0 | 0 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Amortized cost | 0 | 0 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | 0 | 0 |
Total available-for-sale securities, at fair value | 0 | 0 |
Credit Risk Transfer Securities [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | 0 | 0 |
Unamortized premium | 28 | 4 |
Securities Remeasured at Fair Value through earnings, Amortized Cost | 697 | 161 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 21 | 3 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | 1 | 0 |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 717 | 164 |
Securities remeasured at fair value through earnings, Par Value | 669 | 157 |
Total Securities | $ 717 | $ 164 |
Investment Securities (Summar31
Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Agency securities classified as available for sale, Fair value | $ 53,091 | $ 46,499 |
Agency securities classified as available for sale, Amortized cost | $ 53,206 | $ 46,866 |
Weighted Average Coupon | 3.68% | 3.61% |
Weighted Average Yield | 2.85% | 2.77% |
Greater Than One Year and Less Than or Equal to Three Years [Member] | ||
Fair Value | $ 2,518 | $ 419 |
Amortized Cost | $ 2,481 | $ 416 |
Weighted Average Coupon | 3.89% | 4.33% |
Weighted Average Yield | 2.66% | 2.27% |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | ||
Fair Value | $ 8,763 | $ 13,601 |
Amortized Cost | $ 8,704 | $ 13,509 |
Weighted Average Coupon | 3.35% | 3.38% |
Weighted Average Yield | 2.44% | 2.44% |
Greater Than Five Years [Member] | ||
Fair Value | $ 40,234 | $ 30,513 |
Amortized Cost | $ 40,453 | $ 30,979 |
Weighted Average Coupon | 3.75% | 3.74% |
Weighted Average Yield | 2.94% | 2.89% |
Greater Than Ten Years [Member] | ||
Fair Value | $ 1,576 | $ 1,966 |
Amortized Cost | $ 1,568 | $ 1,962 |
Weighted Average Coupon | 3.36% | 3.17% |
Weighted Average Yield | 3.07% | 3.27% |
Investment Securities (Summar32
Investment Securities (Summary Of Changes In Accumulated OCI For Available-For-Sale Security) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Unrealized Gains and (Losses), Net | $ 90 | $ (97) | $ 257 | $ 1,038 |
Agency Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning OCI Balance | (211) | 1,108 | (397) | (27) |
Unrealized Gains and (Losses), Net | 70 | (36) | 168 | 1,152 |
Reversal of Unrealized (Gains) and Losses, Net on Realization | 1 | (61) | 89 | (114) |
Ending OCI Balance | $ (140) | $ 1,011 | $ (140) | $ 1,011 |
Investment Securities (Summar33
Investment Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) - Accumulated Other Comprehensive Income (Loss) [Member] - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Unrealized Loss Position For - Estimated Fair Value - Less than 12 Months | $ 19,663 | $ 28,397 |
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months | (291) | (554) |
Unrealized Loss Position For - Estimated Fair Value - 12 Months or More | 1,972 | 1,719 |
Unrealized Loss Position For - Unrealized Loss - 12 Months or More | (65) | (68) |
Unrealized Loss Position For - Estimated Fair Value - Total | 21,635 | 30,116 |
Unrealized Loss Position For - Unrealized Loss - Total | $ (356) | $ (622) |
Investment Securities (Summar34
Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Cost of Sale of Fair Value Option Securities | $ (6,016) | $ 0 | $ (8,636) | $ 0 |
Cost of Sale of Investment Securities | (6,019) | (6,123) | (14,374) | (17,146) |
Proceeds from agency MBS sold | 11,682 | 5,741 | ||
Net gain (loss) on sale of investment securities | 22 | 61 | (47) | 114 |
Available-for-sale Securities [Member] | ||||
Agency MBS sold, at cost | (3) | (6,123) | (5,738) | (17,146) |
Proceeds from agency MBS sold | 2 | 6,184 | 5,649 | 17,260 |
Net gain (loss) on sale of investment securities | 61 | 114 | ||
Gross gain on sale of investment securities | 0 | 62 | 6 | 122 |
Gross loss on sale of investment securities | (1) | (1) | (95) | (8) |
Securities Remeasured at Fair Value [Member] | ||||
Proceeds from agency MBS sold | 6,039 | 0 | 8,678 | 0 |
Net gain (loss) on sale of investment securities | 0 | 0 | ||
Gross gain on sale of investment securities | 28 | 0 | 48 | 0 |
Gross loss on sale of investment securities | (5) | 0 | (6) | 0 |
Securities (Assets) [Member] | ||||
Proceeds from agency MBS sold | 6,041 | 6,184 | 14,327 | 17,260 |
Net gain (loss) on sale of investment securities | 22 | 61 | (47) | 114 |
Gross gain on sale of investment securities | 28 | 62 | 54 | 122 |
Gross loss on sale of investment securities | (6) | $ (1) | (101) | $ (8) |
Cost and Proceeds of Investment Securities [Member] | Available-for-sale Securities [Member] | ||||
Net gain (loss) on sale of investment securities | (1) | (89) | ||
Cost and Proceeds of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | ||||
Net gain (loss) on sale of investment securities | 23 | 42 | ||
Gross Gain & Loss of Investment Securities [Member] | Available-for-sale Securities [Member] | ||||
Net gain (loss) on sale of investment securities | (1) | (89) | ||
Gross Gain & Loss of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | ||||
Net gain (loss) on sale of investment securities | $ 23 | $ 42 |
Investment Securities Securitie
Investment Securities Securities by Credit Rating (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Securities Remeasured at Fair Value [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | $ 717 | $ 164 |
Available-for-sale Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | 35,472 | 46,017 |
Available-for-sale Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | 7 | 101 |
Available-for-sale Securities [Member] | Commercial Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | 0 | 0 |
Available-for-sale Securities [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | 0 | 0 |
Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 17,619 | 482 |
Agency securities remeasured at fair value through earnings [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 0 | 0 |
Agency securities remeasured at fair value through earnings [Member] | Commercial Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 29 | 23 |
BBB Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 29 | 23 |
BB Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 65 | |
AAA Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 7 | 99 |
B Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 0 | 2 |
B Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 633 | $ 164 |
Not Rated [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | $ 19 |
Repurchase Agreements And Oth36
Repurchase Agreements And Other Debt (Narrative) (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 45,505 | $ 37,858 |
Debt of consolidated variable interest entities, at fair value | $ 380 | $ 460 |
Description of variable rate basis | LIBOR | |
Basis spread over LIBOR | 41 | 36 |
Principal amount | $ 372 | $ 452 |
Weighted average life of other debt | 5 years 6 months | 5 years 9 months 18 days |
TBA securities Fifteen Year and Thirty Year Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Fair Value, Net | $ (24) | $ (147) |
TBA and Forward Settling Agency Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Forward Settlement Value | 19,433 | 11,312 |
Derivative, Fair Value, Net | (24) | (147) |
Agency Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 45,505 | $ 37,686 |
Repurchase Agreements And Oth37
Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) $ in Millions | Sep. 30, 2017USD ($)days | Dec. 31, 2016USD ($)days |
Repurchase Agreements | $ 45,505 | $ 37,858 |
Weighted Average Days to Maturity | days | 129 | 186 |
Maturity Overnight [Member] | ||
Repurchase Agreements | $ 1,600 | $ 150 |
30 Days or Less [Member] | ||
Repurchase Agreements | $ 21,943 | $ 17,481 |
Weighted Average Interest Rate | 1.31% | 0.90% |
Weighted Average Days to Maturity | days | 13 | 11 |
1 to 3 Months | ||
Repurchase Agreements | $ 12,443 | $ 10,011 |
Weighted Average Interest Rate | 1.27% | 0.93% |
Weighted Average Days to Maturity | days | 59 | 55 |
3 to 6 Months | ||
Repurchase Agreements | $ 4,640 | $ 2,030 |
Weighted Average Interest Rate | 1.34% | 1.02% |
Weighted Average Days to Maturity | days | 137 | 136 |
6 to 9 Months | ||
Repurchase Agreements | $ 791 | $ 1,270 |
Weighted Average Interest Rate | 1.60% | 0.98% |
Weighted Average Days to Maturity | days | 211 | 214 |
9 to 12 Months | ||
Repurchase Agreements | $ 1,111 | $ 1,566 |
Weighted Average Interest Rate | 1.53% | 1.08% |
Weighted Average Days to Maturity | days | 319 | 299 |
12 to 24 Months | ||
Repurchase Agreements | $ 1,552 | $ 1,203 |
Weighted Average Interest Rate | 1.69% | 1.28% |
Weighted Average Days to Maturity | days | 522 | 538 |
24 to 36 Months | ||
Repurchase Agreements | $ 2,100 | $ 1,300 |
Weighted Average Interest Rate | 1.75% | 1.36% |
Weighted Average Days to Maturity | days | 851 | 865 |
36 to 48 months | ||
Repurchase Agreements | $ 925 | $ 2,200 |
Weighted Average Interest Rate | 1.77% | 1.32% |
Weighted Average Days to Maturity | days | 1,194 | 1,168 |
48 to 60 Months | ||
Repurchase Agreements | $ 0 | $ 625 |
Weighted Average Interest Rate | 0.00% | 1.38% |
Weighted Average Days to Maturity | days | 0 | 1,506 |
2 Days to 1 Month [Member] | ||
Weighted Average Interest Rate | 0.00% | (0.30%) |
Weighted Average Days to Maturity | days | 0 | 17 |
Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 1.36% | 0.98% |
Agency Securities [Member] | ||
Repurchase Agreements | $ 45,505 | $ 37,686 |
Weighted Average Days to Maturity | days | 129 | 187 |
Agency Securities [Member] | Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 1.36% | 0.98% |
US Treasury Securities [Member] | 2 Days to 1 Month [Member] | ||
Repurchase Agreements | $ 0 | $ 172 |
Repurchase Agreements And Oth38
Repurchase Agreements And Other Debt Federal Home Loan Bank Advances and Weighted Average Interest Rates (Details) $ in Billions | Dec. 31, 2016USD ($) |
Short-term Debt [Line Items] | |
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.73% |
Advances from Federal Home Loan Banks | $ 3 |
Derivative and Other Hedging 39
Derivative and Other Hedging Instruments (Narrative) (Details) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||
Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)month | Sep. 30, 2016USD ($) | Dec. 31, 2016USD ($) | Jun. 30, 2017USD ($) | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) | |
Forward Contracts [Member] | Interest Rate Swap [Member] | ||||||||
Average Maturity (Years) | 7 years 1 month 6 days | 10 years 8 months 12 days | ||||||
Interest Rate Swaption [Member] | ||||||||
Average Maturity (Years) | 9 years 4 months 24 days | |||||||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 10 | |||||||
Notional Amount | $ 4,950 | $ 4,950 | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (22) | $ (1) | (46) | $ (12) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | 0 | 3,750 | 0 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | $ 0 | (350) | $ 0 | (1,450) | ||||
Derivative, Average Fixed Interest Rate | 2.79% | 2.79% | ||||||
Interest Rate Derivatives, at Fair Value, Net | $ 64 | $ 64 | ||||||
Options At Cost | 141 | |||||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Notional Amount | 18,878 | 14,881 | 18,878 | 14,881 | $ 10,916 | $ 16,867 | $ 6,756 | $ 7,295 |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 158 | 67 | 360 | 391 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 92,803 | 37,881 | 185,205 | 75,906 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (29,756) | (68,320) | ||||||
US Treasury Securities [Member] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (1) | 15 | (29) | (106) | ||||
Unrealized gain on derivative instruments, net | 0 | 7 | 0 | 38 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 131 | 249 | (78) | (1,070) | ||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | ||||||||
Net Unrealized Gain (Loss) on Swaps | 0 | 1 | 0 | 1 | 0 | 0 | 8 | 39 |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Notional Amount | 4,950 | 4,950 | ||||||
Short [Member] | US Treasury Securities [Member] | ||||||||
Notional Amount | 9,254 | 5,356 | 9,254 | 5,356 | 8,061 | $ 7,358 | 2,930 | 1,714 |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (19) | 14 | (207) | (142) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 5,105 | (2,696) | (11,595) | 5,329 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (3,209) | 270 | 10,402 | (1,687) | ||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1 | 1 | 7 | |||||
Trading Securities Added During the Period | 90 | 304 | 495 | |||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (107) | (493) | (475) | |||||
Trading Securities | $ 45 | $ 45 | $ 189 | $ 62 | $ 25 | |||
Long [Member] | ||||||||
Trading Securities | $ 0 | $ 0 |
Derivative and Other Hedging 40
Derivative and Other Hedging Instruments (Fair Value Information) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | ||||||||
Derivative asset, fair value | $ 183 | $ 183 | $ 355 | |||||
Derivative liability, fair value | (62) | (62) | (256) | |||||
Derivative assets, at fair value | 183 | 183 | 355 | |||||
Derivative Liability | (62) | (62) | (256) | |||||
U.S. Treasury securities | 0 | 0 | 182 | |||||
U.S. Treasury Securities - short | (9,119) | (9,119) | (7,636) | |||||
Total - (short)/long, net | (9,119) | (9,119) | (7,454) | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 131 | $ 249 | (78) | $ (1,070) | ||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 18,878 | 14,881 | 18,878 | 14,881 | $ 16,867 | 10,916 | $ 6,756 | $ 7,295 |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 92,803 | 37,881 | 185,205 | 75,906 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (29,756) | (68,320) | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 158 | 67 | 360 | 391 | ||||
Interest Rate Swap [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 42,150 | 42,150 | 37,175 | |||||
Derivative liability, fair value | (15) | (15) | (105) | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 3,550 | 2,400 | 10,575 | 5,950 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (1,400) | (3,375) | (5,600) | (12,325) | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 15 | 153 | (157) | (1,208) | ||||
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative asset, fair value | 67 | 67 | 321 | |||||
Interest Rate Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 4,950 | 4,950 | ||||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | 0 | 3,750 | 0 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 0 | (350) | 0 | (1,450) | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (22) | (1) | (46) | (12) | ||||
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative asset, fair value | 64 | 64 | 22 | |||||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative liability, fair value | (47) | (47) | (151) | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (90,792) | (177,243) | ||||||
US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (1) | 15 | (29) | (106) | ||||
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 | 29 | 29 | 8 | |||||
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 | 23 | 23 | 4 | |||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 42,150 | 42,150 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 4,950 | 4,950 | ||||||
Short [Member] | US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 9,254 | 5,356 | 9,254 | 5,356 | $ 7,358 | 8,061 | 2,930 | 1,714 |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 5,105 | (2,696) | (11,595) | 5,329 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (3,209) | 270 | 10,402 | (1,687) | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (19) | 14 | (207) | (142) | ||||
Long [Member] | ||||||||
Derivative [Line Items] | ||||||||
Trading Securities | $ 0 | 0 | ||||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1 | 1 | 7 | |||||
Trading Securities | 45 | 45 | $ 189 | $ 62 | $ 25 | |||
Trading Securities Added During the Period | 90 | 304 | 495 | |||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (107) | $ (493) | $ (475) |
Derivative and Other Hedging 41
Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)month | Sep. 30, 2016USD ($) | Dec. 31, 2016USD ($)month | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 131 | $ 249 | $ (78) | $ (1,070) | |
Payer Swaption [Member] | |||||
Interest Rate Derivative Not Designated As Hedging Instruments Receive Rate | 3M | ||||
Interest Rate Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (22) | (1) | $ (46) | (12) | |
Notional Amount | $ 4,950 | $ 4,950 | |||
Average Fixed Pay Rate | 2.79% | 2.79% | |||
Options At Cost | $ 141 | ||||
Interest Rate Derivatives, at Fair Value, Net | $ 64 | $ 64 | |||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 10 | ||||
Average Maturity (Years) | 9 years 4 months 24 days | ||||
Forward Contracts [Member] | Interest Rate Swap [Member] | |||||
Average Maturity (Years) | 7 years 1 month 6 days | 10 years 8 months 12 days | |||
Derivative, Notional Amount | 3,400 | $ 3,400 | $ 600 | ||
Weighted Average Forward Start Date | 4 months 24 days | 1 year 2 months 12 days | |||
Interest Rate Swap [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 15 | $ 153 | $ (157) | $ (1,208) | |
Notional Amount | $ 42,150 | $ 42,150 | $ 37,175 | ||
Average Fixed Pay Rate | 1.66% | 1.66% | 1.48% | ||
Average Receive Rate | 1.31% | 1.31% | 0.92% | ||
Average Maturity (Years) | 4 years 6 months | 3 years 10 months 24 days | |||
Less Than or Equal to One Year [Member] | Payer Swaption [Member] | |||||
Interest Rate Derivative Not Designated As Hedging Instruments Receive Rate | 3M | 3M | |||
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | |||||
Notional Amount | $ 3,850 | $ 3,850 | $ 1,200 | ||
Average Fixed Pay Rate | 2.80% | 2.80% | 3.06% | ||
Options At Cost | $ 105 | $ 52 | |||
Interest Rate Derivatives, at Fair Value, Net | $ 34 | $ 34 | $ 22 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 5 | 6 | |||
Average Maturity (Years) | 9 years 3 months 18 days | 8 years 3 months 18 days | |||
Greater Than One Year and Less Than or Equal to Two Years [Member] | Payer Swaption [Member] | |||||
Interest Rate Derivative Not Designated As Hedging Instruments Receive Rate | 3M | ||||
Greater Than One Year and Less Than or Equal to Two Years [Member] | Interest Rate Swaption [Member] | |||||
Notional Amount | $ 450 | $ 450 | |||
Average Fixed Pay Rate | 2.72% | 2.72% | |||
Options At Cost | $ 13 | ||||
Interest Rate Derivatives, at Fair Value, Net | $ 10 | $ 10 | |||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 21 | ||||
Average Maturity (Years) | 10 years | ||||
Greater Than Two Years and Less Than or Equal to Three Years [Member] | Payer Swaption [Member] | |||||
Interest Rate Derivative Not Designated As Hedging Instruments Receive Rate | 3M | ||||
Greater Than Two Years and Less Than or Equal to Three Years [Member] | Interest Rate Swaption [Member] | |||||
Notional Amount | $ 650 | $ 650 | |||
Average Fixed Pay Rate | 2.80% | 2.80% | |||
Options At Cost | $ 23 | ||||
Interest Rate Derivatives, at Fair Value, Net | $ 20 | $ 20 | |||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 32 | ||||
Average Maturity (Years) | 10 years | ||||
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 19,975 | $ 19,975 | $ 19,775 | ||
Average Fixed Pay Rate | 1.27% | 1.27% | 1.16% | ||
Average Receive Rate | 1.31% | 1.31% | 0.92% | ||
Average Maturity (Years) | 1 year 4 months 24 days | 1 year 6 months | |||
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 7,975 | $ 7,975 | $ 7,450 | ||
Average Fixed Pay Rate | 1.78% | 1.78% | 1.62% | ||
Average Receive Rate | 1.31% | 1.31% | 0.91% | ||
Average Maturity (Years) | 4 years 1 month 6 days | 4 years | |||
Greater Than Five Years and Less than or Equal to Seven Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 3,500 | $ 3,500 | $ 4,725 | ||
Average Fixed Pay Rate | 1.92% | 1.92% | 1.89% | ||
Average Receive Rate | 1.31% | 1.31% | 0.91% | ||
Average Maturity (Years) | 5 years 8 months 12 days | 5 years 10 months 24 days | |||
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 7,225 | $ 7,225 | $ 3,325 | ||
Average Fixed Pay Rate | 2.08% | 2.08% | 1.90% | ||
Average Receive Rate | 1.31% | 1.31% | 0.91% | ||
Average Maturity (Years) | 8 years 9 months 18 days | 9 years 2 months 12 days | |||
Greater Than Ten Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 3,475 | $ 3,475 | $ 1,900 | ||
Average Fixed Pay Rate | 2.47% | 2.47% | 2.64% | ||
Average Receive Rate | 1.31% | 1.31% | 0.91% | ||
Average Maturity (Years) | 13 years 1 month 6 days | 13 years 9 months 18 days |
Derivative and Other Hedging 42
Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)month | Sep. 30, 2016USD ($) | Dec. 31, 2016USD ($)month | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 131 | $ 249 | $ (78) | $ (1,070) | |
Interest Rate Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (22) | (1) | (46) | (12) | |
Cost | 141 | ||||
Fair Value | 64 | $ 64 | |||
Average Months to Expiration | month | 10 | ||||
Derivative Liability, Notional Amount | $ 4,950 | $ 4,950 | |||
Average Fixed Pay Rate | 2.79% | 2.79% | |||
Average Maturity (Years) | 9 years 4 months 24 days | ||||
Payer Swaption [Member] | |||||
Average Receive Rate (LIBOR) | 3M | ||||
Interest Rate Swap [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 15 | $ 153 | $ (157) | $ (1,208) | |
Derivative Liability, Notional Amount | $ 42,150 | $ 42,150 | $ 37,175 | ||
Average Fixed Pay Rate | 1.66% | 1.66% | 1.48% | ||
Average Maturity (Years) | 4 years 6 months | 3 years 10 months 24 days | |||
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | |||||
Cost | $ 105 | $ 52 | |||
Fair Value | $ 34 | $ 34 | $ 22 | ||
Average Months to Expiration | month | 5 | 6 | |||
Derivative Liability, Notional Amount | $ 3,850 | $ 3,850 | $ 1,200 | ||
Average Fixed Pay Rate | 2.80% | 2.80% | 3.06% | ||
Average Maturity (Years) | 9 years 3 months 18 days | 8 years 3 months 18 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 | $ 19,975 | $ 19,975 | $ 19,775 | ||
Average Fixed Pay Rate | 1.27% | 1.27% | 1.16% | ||
Average Maturity (Years) | 1 year 4 months 24 days | 1 year 6 months | |||
Interest Rate Swaps Excluding Forward Starting [Member] | Interest Rate Swap [Member] | |||||
Average Fixed Pay Rate | 1.61% | 1.61% | 1.46% |
Derivative and Other Hedging 43
Derivative and Other Hedging Instruments (US Treasury Securities) (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ (9,119) | $ (7,454) |
7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (5,344) | (3,056) |
At Par Value [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (9,254) | (7,872) |
US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 29 | 8 |
TBA and Forward Settling Agency Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (18,878) | (10,916) |
Derivative, Forward Settlement Value | (19,433) | (11,312) |
Derivative Asset, Fair Value, Gross Asset | (19,409) | (11,165) |
Derivative, Fair Value, Net | (24) | (147) |
5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (230) | (400) |
10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (3,680) | (4,416) |
10 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 24 | 5 |
5 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 5 | 3 |
Short [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (2,910) | (1,810) |
Derivative, Forward Settlement Value | (3,618) | (2,209) |
Derivative Asset, Fair Value, Gross Asset | (3,589) | (2,201) |
Short [Member] | 10 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (2,180) | (1,080) |
Derivative, Forward Settlement Value | (2,755) | (1,347) |
Derivative Asset, Fair Value, Gross Asset | (2,731) | (1,342) |
Short [Member] | 5 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (730) | (730) |
Derivative, Forward Settlement Value | (863) | (862) |
Derivative Asset, Fair Value, Gross Asset | (858) | (859) |
Fair Value Hedging [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (9,119) | (7,454) |
Fair Value Hedging [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (5,302) | (2,930) |
Fair Value Hedging [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (228) | (392) |
Fair Value Hedging [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (3,589) | (4,132) |
At Cost Basis [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (9,187) | (7,681) |
At Cost Basis [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (5,320) | (3,041) |
At Cost Basis [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (229) | (404) |
At Cost Basis [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ (3,638) | $ (4,236) |
Derivative and Other Hedging 44
Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - TBA and Forward Settling Agency Securities [Member] - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 18,878 | $ 10,916 |
Cost Basis | (19,433) | (11,312) |
Net long TBA position, at fair value | (19,409) | (11,165) |
TBA, net carrying value | (24) | (147) |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 0 | 0 |
Cost Basis | 0 | (1) |
Net long TBA position, at fair value | 0 | 0 |
TBA, net carrying value | 0 | (1) |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 1,708 | 1,035 |
Cost Basis | (1,749) | (1,060) |
Net long TBA position, at fair value | (1,748) | (1,047) |
TBA, net carrying value | (1) | (13) |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 17,170 | 9,881 |
Cost Basis | (17,684) | (10,251) |
Net long TBA position, at fair value | (17,661) | (10,118) |
TBA, net carrying value | (23) | (133) |
30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 14,420 | 8,756 |
Cost Basis | (14,877) | (9,124) |
Net long TBA position, at fair value | (14,863) | (8,993) |
TBA, net carrying value | (14) | (131) |
30 Year Maturity [Member] | 3.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 4,317 | 3,027 |
Cost Basis | (4,359) | (3,114) |
Net long TBA position, at fair value | (4,329) | (3,007) |
TBA, net carrying value | (30) | (107) |
30 Year Maturity [Member] | 3.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 4,511 | 1,209 |
Cost Basis | (4,630) | (1,251) |
Net long TBA position, at fair value | (4,646) | (1,236) |
TBA, net carrying value | 16 | (15) |
30 Year Maturity [Member] | 4.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 5,362 | 4,530 |
Cost Basis | (5,641) | (4,769) |
Net long TBA position, at fair value | (5,642) | (4,760) |
TBA, net carrying value | 1 | (9) |
30 Year Maturity [Member] | 4.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 230 | |
Cost Basis | (247) | |
Net long TBA position, at fair value | (246) | |
TBA, net carrying value | (1) | 0 |
30 Year Maturity [Member] | Short [Member] | 4.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 10 | |
Cost Basis | (10) | |
Net long TBA position, at fair value | (10) | |
15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 4,458 | 2,160 |
Cost Basis | (4,556) | (2,188) |
Net long TBA position, at fair value | (4,546) | (2,172) |
TBA, net carrying value | (10) | (16) |
15 Year Maturity [Member] | 2.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 1,508 | 1,853 |
Cost Basis | (1,520) | (1,870) |
Net long TBA position, at fair value | (1,515) | (1,856) |
TBA, net carrying value | (5) | (14) |
15 Year Maturity [Member] | 3.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 2,930 | 292 |
Cost Basis | (3,016) | (302) |
Net long TBA position, at fair value | (3,010) | (300) |
TBA, net carrying value | (6) | (2) |
15 Year Maturity [Member] | 3.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 20 | 15 |
Cost Basis | (20) | (16) |
Net long TBA position, at fair value | (21) | (16) |
TBA, net carrying value | $ 1 | $ 0 |
Derivative and Other Hedging 45
Derivative and Other Hedging Instruments (Effect Of Derivative Instruments Not Designated As Hedges On Comprehensive Income Statement) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | $ 131 | $ 249 | $ (78) | $ (1,070) | ||||
Interest Rate Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Additions | 0 | 0 | (3,750) | 0 | ||||
Settlement, Expirations or Exercise | 0 | 350 | 0 | 1,450 | ||||
Notional Amount | (4,950) | (4,950) | ||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (22) | (1) | (46) | (12) | ||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (16,867) | (6,756) | (10,916) | (7,295) | ||||
Additions | (92,803) | (37,881) | (185,205) | (75,906) | ||||
Settlement, Expirations or Exercise | 29,756 | 68,320 | ||||||
Notional Amount | (18,878) | (14,881) | (18,878) | (14,881) | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 158 | 67 | 360 | 391 | ||||
Derivative, Notional Amount | 18,878 | 18,878 | $ 10,916 | |||||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Settlement, Expirations or Exercise | 90,792 | 177,243 | ||||||
Interest Rate Swap [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (37,175) | |||||||
Additions | (3,550) | (2,400) | (10,575) | (5,950) | ||||
Settlement, Expirations or Exercise | 1,400 | 3,375 | 5,600 | 12,325 | ||||
Notional Amount | (42,150) | (42,150) | ||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 15 | 153 | (157) | (1,208) | ||||
US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (1) | 15 | (29) | (106) | ||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (4,950) | (4,950) | ||||||
Derivative, Notional Amount | 700 | 700 | $ 4,950 | 1,200 | $ 1,050 | $ 2,150 | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (42,150) | (42,150) | ||||||
Derivative, Notional Amount | 34,150 | 34,150 | $ 40,000 | 37,175 | 35,125 | 40,525 | ||
Short [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (7,358) | (2,930) | (8,061) | (1,714) | ||||
Additions | (5,105) | 2,696 | 11,595 | (5,329) | ||||
Settlement, Expirations or Exercise | 3,209 | (270) | (10,402) | 1,687 | ||||
Notional Amount | (9,254) | (5,356) | (9,254) | (5,356) | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (19) | 14 | (207) | (142) | ||||
Derivative, Notional Amount | 2,910 | 2,910 | 1,810 | |||||
Long [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Trading Securities | 0 | 0 | ||||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 1 | 1 | 7 | |||||
Trading Securities | 45 | 45 | $ 189 | $ 62 | $ 25 | |||
Trading Securities Added During the Period | 90 | 304 | 495 | |||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (107) | (493) | (475) | |||||
Future [Member] | Short [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (2,910) | (1,960) | (1,810) | (1,860) | ||||
Additions | (2,910) | 1,960 | 8,430 | (5,880) | ||||
Settlement, Expirations or Exercise | 2,910 | (1,960) | (7,330) | 5,780 | ||||
Notional Amount | $ (2,910) | $ (1,960) | $ (2,910) | $ (1,960) |
Pledged Assets (Narrative) (Det
Pledged Assets (Narrative) (Details) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Pledged Assets [Abstract] | ||
Federal Home Loan Bank Stock | $ 126,000,000 | |
Risk Of Repurchase Agreement To Stockholders Equity | 5.00% | |
Risk of interest swap and swaption agreements to stockholders' equity | $ 0.01 |
Pledged Assets Repurchase Agree
Pledged Assets Repurchase Agreements with Counterparties Greater than or Equal to 5% of Equity at Risk (Details) $ in Millions | Sep. 30, 2017USD ($)days | Dec. 31, 2016USD ($)daysmonth |
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 45,505 | $ 37,858 |
Risk Of Repurchase Agreement To Stockholders Equity | 5.00% | |
Weighted Average Days to Maturity | days | 129 | 186 |
J.P. Morgan Securities, LLC [Member] | ||
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 4,875 | |
Risk Of Repurchase Agreement To Stockholders Equity | 5.50% | |
Counterparty Exposure, Net | $ 405 | |
Repurchase Agreements Weighted Average Months To Maturity | month | 34 |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged as Collateral) (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Assets and Liabilities [Line Items] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repurchase Agreements | $ 190 | $ 181 |
Federal Home Loan Bank Stock | 126 | |
Available-for-sale Securities Pledged as Collateral | 47,997 | 43,943 |
Accrued interest on pledged securities | 141 | 128 |
Restricted cash and cash equivalents | 294 | 74 |
Total Fair Value of Securities Pledged and Accrued Interest | 49,644 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 45,428 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 47,462 | 43,005 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 256 | 275 |
Accrued interest on pledged securities | 1 | |
Restricted cash and cash equivalents | 247 | 14 |
Total Fair Value of Securities Pledged and Accrued Interest | 575 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 290 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 136 | 122 |
Total Fair Value of Securities Pledged and Accrued Interest | 47,741 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 43,450 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 700 | 818 |
Accrued interest on pledged securities | 2 | 3 |
Total Fair Value of Securities Pledged and Accrued Interest | 702 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 821 | |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 618 | 865 |
Accrued interest on pledged securities | 2 | 2 |
Total Fair Value of Securities Pledged and Accrued Interest | 626 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 867 | |
Includes Sold But Not Yet Settled Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 49,036 | 44,963 |
AAA Non-Agency Mortgage-Backed Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 90 | |
AAA Non-Agency Mortgage-Backed Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 90 | |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 173 | 173 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 102 | 173 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 71 | 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 | 41 | 60 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | 6 | 0 |
Excluding Cash Received [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | $ 294 | $ 74 |
Pledged Assets (Securities Pled
Pledged Assets (Securities Pledged as Collateral) (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Assets and Liabilities [Line Items] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repo | $ 190 | $ 181 |
Security Owned and Pledged as Collateral, Fair Value | 47,462 | 43,269 |
Agency Securities Pledged As Collateral Amortized Cost | 47,577 | 43,644 |
Agency Securities Pledged As Collateral Accrued Interest | 136 | 122 |
Maturity Less than 30 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 22,638 | 19,681 |
Agency Securities Pledged As Collateral Amortized Cost | 22,674 | 19,863 |
Agency Securities Pledged As Collateral Accrued Interest | 65 | 56 |
Maturity 31 To 59 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 6,013 | 8,103 |
Agency Securities Pledged As Collateral Amortized Cost | 6,040 | 8,158 |
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 | 7,038 | 4,034 |
Agency Securities Pledged As Collateral Amortized Cost | 7,047 | 4,070 |
Agency Securities Pledged As Collateral Accrued Interest | 20 | 11 |
Maturity over 90 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 11,773 | 11,278 |
Agency Securities Pledged As Collateral Amortized Cost | 11,816 | 11,380 |
Agency Securities Pledged As Collateral Accrued Interest | 34 | 32 |
2 Days to 1 Month [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 173 |
Agency Securities Pledged As Collateral Amortized Cost | 0 | 173 |
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 | 47,462 | 43,096 |
Agency Securities Pledged As Collateral Amortized Cost | 47,577 | 43,471 |
Agency Securities Pledged As Collateral Accrued Interest | 136 | $ 122 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Securities Received as Collateral, Amount Repledged and Sold | $ 102 |
Pledged Assets (Assets Pledge50
Pledged Assets (Assets Pledged from Counterparties) (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Assets and Liabilities [Line Items] | ||
Federal Home Loan Bank Stock | $ 126 | |
Available-for-sale Securities Pledged as Collateral | $ 47,997 | 43,943 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | 9,119 | 7,636 |
Restricted Cash and Cash Equivalents | 294 | 74 |
Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 14 |
Restricted Cash and Cash Equivalents | 39 | 107 |
Restricted Cash and Securities Pledged | 9,167 | 7,757 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 14 |
Securities Sold under Agreements to Repurchase [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 14 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 0 |
Restricted Cash and Securities Pledged | 39 | 107 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 173 | 173 |
US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 9,128 | 7,636 |
Reverse Repurchase Agreements [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 9,128 | 7,636 |
Reverse Repurchase Agreements [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 9,128 | 7,636 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 256 | 275 |
Restricted Cash and Cash Equivalents | 247 | 14 |
Derivative [Member] | US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 71 | 0 |
Derivative [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 0 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | $ 39 | $ 107 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Assets and Liabilities [Line Items] | ||
Collateral Received | $ (862) | |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 9,380 | $ 8,062 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 9,380 | 8,062 |
Financial Instruments | (8,437) | (7,047) |
Collateral Received | (802) | |
Net Amount | 81 | 213 |
Assets [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 131 | 342 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 131 | 342 |
Financial Instruments | (11) | (80) |
Collateral Received | (39) | (49) |
Net Amount | 81 | 213 |
Assets [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 23 | 4 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 23 | 4 |
Financial Instruments | (23) | (4) |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 45,567 | 41,151 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 45,567 | 41,151 |
Financial Instruments | (8,437) | (7,047) |
Collateral Received | (37,130) | (34,104) |
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 | 15 | 105 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 15 | 105 |
Financial Instruments | (11) | (80) |
Collateral Received | (4) | (25) |
Net Amount | 0 | 0 |
Liability [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 47 | 151 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 47 | 151 |
Financial Instruments | (23) | (4) |
Collateral Received | (24) | (147) |
Net Amount | 0 | 0 |
Reverse Repurchase Agreements [Member] | Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 9,226 | 7,716 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 9,226 | 7,716 |
Financial Instruments | (8,403) | (6,963) |
Collateral Received | (823) | (753) |
Repurchase Agreements [Member] | Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 45,505 | 40,895 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 45,505 | 40,895 |
Financial Instruments | (8,403) | (6,963) |
Collateral Received | $ (37,102) | $ (33,932) |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | |
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 | $ 29 | $ 8 |
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 | 64 | 22 |
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 | 67 | 321 |
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 | 15 | 105 |
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 | $ 23 | 4 |
Transfers between hierarchy levels | 0 | |
Agency securities | $ 51,638 | 45,393 |
Agency securities transferred to consolidated VIEs | 700 | 818 |
Non-Agency Securities, at Fair Value | 36 | 124 |
Financial Instruments, Owned, Other, at Fair Value | 717 | 164 |
U.S. Treasury securities | 0 | 182 |
Marketable Securities, Equity Securities | 4 | 0 |
TBA securities | 183 | 355 |
Derivative Liability | 62 | 256 |
Debt of consolidated variable interest entities, at fair value | 380 | 460 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 9,119 | 7,636 |
Interest rate swaps | 183 | 355 |
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 | 33 | 190 |
Total liabilities | 9,119 | 7,636 |
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 | 53,245 | 46,846 |
Total liabilities | 442 | 716 |
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] | ||
Derivative Liability | $ 47 | $ 151 |
Net Income (Loss) Per Common 53
Net Income (Loss) Per Common Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Weighted Average Number of Shares Outstanding, Basic | 364.7 | 331 | 347.5 | 332.1 |
Dilutive Securities, Effect on Basic Earnings Per Share, Options and Restrictive Stock Units | $ 0.2 | $ 0 | $ 0.1 | $ 0 |
Weighted Average Number of Shares Outstanding, Diluted | 364.9 | 331 | 347.6 | 332.1 |
Net Income (Loss) Available to Common Stockholders, Basic | $ 271 | $ 504 | $ 357 | $ (417) |
Earnings Per Share, Basic and Diluted | $ 0.74 | $ 1.52 | $ 1.03 | $ (1.26) |
Stockholders' Equity (Preferred
Stockholders' Equity (Preferred Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | Sep. 12, 2017 | Aug. 16, 2017 | May 31, 2014 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2012 | May 05, 2014 | Apr. 30, 2012 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock Authorized, but not Issued | 10,000,000 | |||||||
Payments for Repurchase of Redeemable Preferred Stock | $ 173 | $ 0 | ||||||
Preferred Stock, Shares Authorized | 10,000,000 | |||||||
Series A Preferred Stock [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 6,900,000 | |||||||
Preferred Stock, Dividend Rate, Percentage | 8.00% | |||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | |||||||
Payments for Repurchase of Redeemable Preferred Stock | $ 173 | |||||||
Series B Preferred Stock [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Percent Interest Per Share | 0.10% | |||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 8,050 | |||||||
Preferred Stock, Dividend Rate, Percentage | 7.75% | |||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | ||||||
Preferred Stock, Shares Issued | 7,000 | |||||||
Series C Preferred Stock [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 13,800 | |||||||
Preferred Stock, Dividend Rate, Percentage | 5.111% | 7.00% | ||||||
Preferred Stock, Shares Issued | 13,000 | |||||||
Proceeds from Issuance of Redeemable Preferred Stock | $ 315 | |||||||
Depositary Share [Member] | Series B Preferred Stock [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Shares Issued | 7,000,000 | |||||||
Depositary Share [Member] | Series C Preferred Stock [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Preferred Stock, Shares Issued | 13,000,000 |
Stockholders' Equity (Common St
Stockholders' Equity (Common Stock Repurchase Program) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Oct. 31, 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Stock Repurchase Program, Authorized Amount | $ 2,000 | $ 1,000 | |
Repurchase of common stock shares | (6.5) | ||
Average repurchase price (in dollars per share) | $ 17.89 | ||
Repurchase of common stock, value | $ 116 | ||
Payments for Repurchase of Common Stock | 0 | $ 116 | |
Remaining amount authorized for repurchase | $ 1,000 | ||
Common Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Repurchase of common stock shares | (6.5) | ||
Repurchase of common stock, value | $ 0 |
Stockholders' Equity (Accumulat
Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Total Accumulated OCI Balance | $ (140) | $ 1,010 | $ (140) | $ 1,010 | $ (211) | $ (397) | $ 1,100 | $ (66) |
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, Net of Tax | 90 | (97) | 257 | 1,038 | ||||
Amounts reclassified from accumulated OCI | 0 | 7 | 0 | 38 | ||||
Total Accumulated OCI Balance | 1 | (54) | 89 | (76) | ||||
Agency Securities [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Beginning OCI Balance | (211) | 1,108 | (397) | (27) | ||||
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, Net of Tax | 70 | (36) | 168 | 1,152 | ||||
Amounts reclassified from accumulated OCI | 1 | (61) | 89 | (114) | ||||
Ending OCI Balance | (140) | 1,011 | (140) | 1,011 | ||||
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 | 0 | (1) | 0 | (1) | $ 0 | $ 0 | $ (8) | $ (39) |
Interest Rate Swap [Member] | Agency Securities [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, Net of Tax | $ 70 | $ (36) | $ 168 | $ 1,152 |
Stockholders' Equity (Follow-On
Stockholders' Equity (Follow-On Equity Offerings) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Sep. 30, 2017 | Sep. 12, 2017 | May 05, 2017 | Sep. 30, 2017 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Stock Issued During Period, Shares, New Issues | 7.6 | 28.2 | 24.5 | |
Stock Issued During Period, Value, New Issues | $ 0 | $ 1,000 | $ 1,000 | $ 1,238 |
Sale of Stock, Price Per Share | $ 20.96 | $ 20.47 | $ 20.51 | $ 20.96 |
Common Stock [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Stock Issued During Period, Shares, New Issues | 60.3 | |||
Stock Issued During Period, Value, New Issues | $ 1 |
Stockholders' Equity (At-the-Ma
Stockholders' Equity (At-the-Market Offering Program) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Sep. 30, 2017 | Sep. 12, 2017 | May 05, 2017 | Sep. 30, 2017 | Feb. 28, 2017 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Common stock, Value of Shares Approved for Future Issuance | $ 750 | ||||
Common Stock, Shares Authorized | $ 589 | $ 589 | |||
Stock Issued During Period, Shares, New Issues | 7.6 | 28.2 | 24.5 | ||
Stock Issued During Period, Value, New Issues | $ 0 | $ 1,000 | $ 1,000 | $ 1,238 | |
Sale of Stock, Price Per Share | $ 20.96 | $ 20.47 | $ 20.51 | $ 20.96 |
Subsequent Event (Details)
Subsequent Event (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Oct. 12, 2017 | Sep. 30, 2017 | Sep. 12, 2017 | May 05, 2017 | Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 |
Subsequent Event [Line Items] | ||||||||
Common Stock, Dividends, Per Share, Declared | $ 0.54 | $ 0.56 | $ 1.62 | $ 1.76 | ||||
Stock Issued During Period, Shares, New Issues | 7.6 | 28.2 | 24.5 | |||||
Stock Issued During Period, Value, New Issues | $ 0 | $ 1,000 | $ 1,000 | $ 1,238 | ||||
Subsequent Event [Member] | ||||||||
Subsequent Event [Line Items] | ||||||||
Common Stock, Dividends, Per Share, Declared | $ 0.18 | |||||||
Common Stock [Member] | ||||||||
Subsequent Event [Line Items] | ||||||||
Stock Issued During Period, Shares, New Issues | 60.3 | |||||||
Stock Issued During Period, Value, New Issues | $ 1 |