Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2019 | Oct. 31, 2019 | |
Entity Information [Line Items] | ||
Entity Incorporation, State or Country Code | DE | |
Document Transition Report | false | |
Document Quarterly Report | true | |
Entity Tax Identification Number | 26-1701984 | |
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2019 | |
Entity File Number | 001-34057 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | AGNC INVESTMENT CORP. | |
Entity Address, Address Line One | 2 Bethesda Metro Center, 12th Floor | |
Entity Address, City or Town | Bethesda | |
Entity Address, State or Province | MD | |
Entity Address, Postal Zip Code | 20814 | |
City Area Code | 301 | |
Local Phone Number | 968-9315 | |
Entity Central Index Key | 0001423689 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Common Stock, Shares Outstanding | 540,917,953 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Shell Company | false | |
Common Stock [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | AGNC | |
Security Exchange Name | NASDAQ | |
Depository shares each representing a 1/1,000th interest in a share of 7.750% Series B Cumulative Redeemable Preferred Stock [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Depositary shares of 7.750% Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | AGNCB | |
Security Exchange Name | NASDAQ | |
Depository shares each representing a 1/1,000th interest in a share of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | AGNCN | |
Security Exchange Name | NASDAQ | |
Depository shares each representing a 1/1,000th interest in a share of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | AGNCM | |
Security Exchange Name | NASDAQ | |
Depository shares each representing a 1/1000th interest in a share of 6.500% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | AGNCO | |
Security Exchange Name | NASDAQ |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Assets: | ||
Agency securities, at fair value (including pledged securities of $87,582 and $78,619, respectively) | $ 98,577 | $ 82,291 |
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 393 | 436 |
Credit risk transfer securities, at fair value (including pledged securities of $269 and $141, respectively) | 1,134 | 1,012 |
Non-Agency securities, at fair value (including pledged securities of $0 and $45, respectively) | 579 | 548 |
U.S. Treasury securities, at fair value (including pledged securities of $1,152 and $0, respectively) | 215 | 46 |
Cash and cash equivalents | 906 | 921 |
Restricted cash and cash equivalents | 734 | 599 |
Derivative assets, at fair value | 175 | 273 |
Receivable for investment securities sold (including pledged securities of $673 and $489, respectively) | 105 | 489 |
Receivable under reverse repurchase agreements | 6,093 | 21,813 |
Goodwill and other intangible assets, net | 526 | 526 |
Other assets | 324 | 287 |
Total assets | 109,761 | 109,241 |
Liabilities: | ||
Repurchase Agreements | 90,612 | 75,717 |
Debt of consolidated variable interest entities, at fair value | 238 | 275 |
Payable for investment securities purchased | 3,094 | 1,204 |
Derivative liabilities, at fair value | 22 | 84 |
Dividends payable | 100 | 106 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 5,114 | 21,431 |
Accounts payable and other liabilities | 368 | 518 |
Total liabilities | 99,548 | 99,335 |
Stockholders' equity: | ||
Preferred Stock - aggregate liquidation preference of $735 and $500, respectively | 711 | 484 |
Preferred Stock - aggregate liquidation preference of $735 and $500, respectively | 169 | |
7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $325) | 315 | |
6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $235) | 227 | |
Common stock - $0.01 par value; 900 shares authorized; 547.8 and 536.3 shares issued and outstanding, respectively | 5 | 5 |
Additional paid-in capital | 13,888 | 13,793 |
Retained deficit | (4,473) | (3,433) |
Accumulated other comprehensive loss | 82 | (943) |
Total stockholders' equity | 10,213 | 9,906 |
Total liabilities and stockholders' equity | $ 109,761 | $ 109,241 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parentheticals) - USD ($) shares in Millions, $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 93,854 | $ 79,182 |
Preferred Stock, Liquidation Preference, Value | 735 | $ 500 |
Preferred Stock B, Liquidation Preference, Value | 175 | |
Preferred Stock C, Liquidation Preference, Value | 325 | |
Preferred Stock D, Liquidation Preference, Value | $ 235 | |
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 900 | 900 |
Common Stock, Shares, Issued | 540.9 | 536.3 |
Common Stock, Shares, Outstanding | 540.9 | 536.3 |
Agency Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 93,688 | $ 78,619 |
Credit Risk Transfer Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 358 | 141 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 45 |
US Treasury Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 704 | 437 |
Receivable for securities sold [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 105 | 489 |
Asset Pledged as Collateral [Member] | US Treasury Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 162 | $ 0 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) shares in Millions, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Dividends declared per common share | $ 0.48 | $ 0.54 | $ 1.52 | $ 1.62 |
Interest income: | ||||
Interest income | $ 676 | $ 500 | $ 2,074 | $ 1,345 |
Interest expense | 557 | 312 | 1,668 | 755 |
Net interest income | 119 | 188 | 406 | 590 |
Other gain (loss), net: | ||||
Gain (loss) on sale of investment securities, net | 89 | (40) | 281 | (116) |
Unrealized gain (loss) on investment securities measured at fair value through net income, net | 355 | (363) | 2,174 | (980) |
Gain (loss) on derivative instruments and other securities, net | (548) | 430 | (2,986) | 1,466 |
Management Fee Income | 0 | 46 | 0 | 54 |
Total other gain (loss), net: | (104) | 73 | (531) | 424 |
Expenses: | ||||
Compensation and benefits | 10 | 14 | 31 | 34 |
Other operating expense | 9 | 31 | 27 | 47 |
Total operating expense | 19 | 45 | 58 | 81 |
Net income (loss) | (4) | 216 | (183) | 933 |
Dividend on preferred stock | 13 | 9 | 36 | 27 |
Net income (loss) available (attributable) to common stockholders | (17) | 207 | (219) | 906 |
Other comprehensive income (loss): | ||||
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net | (246) | 193 | (1,025) | 959 |
Comprehensive income (loss) | 242 | 23 | 842 | (26) |
Comprehensive income (loss) available (attributable) to common stockholders | $ 229 | $ 14 | $ 806 | $ (53) |
Weighted average number of common shares outstanding - basic | 546.4 | 462.3 | 540.3 | 419.8 |
Weighted average number of common shares outstanding - diluted | 546.4 | 462.7 | 540.3 | 420.1 |
Net income (loss) per common share - basic | $ (0.03) | $ 0.45 | $ (0.41) | $ 2.16 |
Net income (loss) per common share - diluted | $ (0.03) | $ 0.45 | $ (0.41) | $ 2.16 |
Consolidated Statement of Stock
Consolidated Statement of Stockholders' Equity - USD ($) shares in Millions, $ in Millions | Total | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] | Accumulated Other Comprehensive Income (Loss) [Member] |
Balance, value at Dec. 31, 2017 | $ 8,754 | $ 484 | $ 4 | $ 11,173 | $ (2,562) | $ (345) |
Balance, Common Stock, shares at Dec. 31, 2017 | 391.3 | |||||
Net income (loss) | 933 | 933 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | (959) | (959) | ||||
APIC, Share-based Payment Arrangement, Recognition and Exercise | 8 | 8 | ||||
Proceeds from Issuance of Preferred Stock and Preference Stock | $ 0 | |||||
Stock Issued During Period, Shares, New Issues | 8.3 | 86.5 | ||||
Stock Issued During Period, Value, New Issues | $ 1,605 | $ 1 | 1,604 | |||
Payments for Repurchase of Common Stock | 0 | |||||
Preferred dividends declared | (27) | (27) | ||||
Common dividends declared | (687) | (687) | ||||
Balance, value at Sep. 30, 2018 | 9,627 | 484 | $ 5 | 12,785 | (2,343) | (1,304) |
Balance, Common Stock, shares at Sep. 30, 2018 | 477.8 | |||||
Balance, value at Jun. 30, 2018 | 9,042 | 484 | $ 4 | 11,964 | (2,299) | (1,111) |
Balance, Common Stock, shares at Jun. 30, 2018 | 434.1 | |||||
Net income (loss) | 216 | 216 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | $ (193) | (193) | ||||
Shares Issued, Shares, Share-based Payment Arrangement, before Forfeiture | 0 | |||||
APIC, Share-based Payment Arrangement, Recognition and Exercise | $ 5 | 5 | ||||
Stock Issued During Period, Shares, New Issues | 43.7 | |||||
Stock Issued During Period, Value, New Issues | 817 | $ 1 | 816 | |||
Preferred dividends declared | (9) | (9) | ||||
Common dividends declared | (251) | (251) | ||||
Balance, value at Sep. 30, 2018 | 9,627 | 484 | $ 5 | 12,785 | (2,343) | (1,304) |
Balance, Common Stock, shares at Sep. 30, 2018 | 477.8 | |||||
Balance, value at Dec. 31, 2018 | $ 9,906 | 484 | $ 5 | 13,793 | (3,433) | (943) |
Balance, Common Stock, shares at Dec. 31, 2018 | 536.3 | 536.3 | ||||
Net income (loss) | $ (183) | (183) | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | $ 1,025 | 1,025 | ||||
Shares Issued, Shares, Share-based Payment Arrangement, before Forfeiture | 0.1 | |||||
APIC, Share-based Payment Arrangement, Recognition and Exercise | $ 8 | 8 | ||||
Stock Repurchased During Period, Shares | (6.9) | |||||
Proceeds from Issuance of Preferred Stock and Preference Stock | $ 227 | |||||
Stock Issued During Period, Shares, New Issues | 11.4 | 11.4 | ||||
Stock Issued During Period, Value, New Issues | $ 190 | 190 | ||||
Repurchase of common stock | (103) | (103) | ||||
Payments for Repurchase of Common Stock | 103 | |||||
Preferred dividends declared | (36) | (36) | ||||
Common dividends declared | (821) | (821) | ||||
Balance, value at Sep. 30, 2019 | $ 10,213 | 711 | $ 5 | 13,888 | (4,473) | 82 |
Balance, Common Stock, shares at Sep. 30, 2019 | 540.9 | 540.9 | ||||
Balance, value at Jun. 30, 2019 | $ 10,346 | 711 | $ 5 | 13,988 | (4,194) | (164) |
Balance, Common Stock, shares at Jun. 30, 2019 | 547.8 | |||||
Net income (loss) | (4) | (4) | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | 246 | 246 | ||||
APIC, Share-based Payment Arrangement, Recognition and Exercise | $ 3 | 3 | ||||
Stock Repurchased During Period, Shares | (6.9) | (6.9) | ||||
Repurchase of common stock | $ (103) | (103) | ||||
Preferred dividends declared | (13) | (13) | ||||
Common dividends declared | (262) | (262) | ||||
Balance, value at Sep. 30, 2019 | $ 10,213 | $ 711 | $ 5 | $ 13,888 | $ (4,473) | $ 82 |
Balance, Common Stock, shares at Sep. 30, 2019 | 540.9 | 540.9 |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2019 | Sep. 30, 2018 | |
Statement of Cash Flows [Abstract] | ||
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | $ 1,640 | $ 1,527 |
Operating activities: | ||
Net income (loss) | (183) | 933 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Amortization of premiums and discounts on mortgage-backed securities, net | 517 | 224 |
Amortization of intangible assets | 0 | 25 |
Stock based compensation | 8 | 5 |
(Gain) loss on sale of investment securities, net | (281) | 116 |
Unrealized (gain) loss on investment securities measured at fair value through net income, net | (2,174) | 980 |
(Gain) loss on derivative instruments and other securities, net | 2,986 | (1,466) |
Increase in other assets | (35) | (71) |
Increase in accounts payable and other accrued liabilities | (31) | 94 |
Net cash provided by operating activities | 807 | 840 |
Investing activities: | ||
Purchases of Agency mortgage-backed securities | (37,199) | (29,615) |
Purchases of credit risk transfer and non-Agency securities | (1,233) | (1,051) |
Proceeds from sale of Agency mortgage-backed securities | 17,620 | 6,696 |
Proceeds from sale of credit risk transfer and non-Agency securities | 1,130 | 483 |
Principal collections on Agency mortgage-backed securities | 8,508 | 5,317 |
Principal collections on credit risk transfer and non-Agency securities | 15 | 9 |
Payments on U.S. Treasury securities | (26,169) | (7,119) |
Proceeds from U.S. Treasury securities | 8,313 | 12,381 |
Net proceeds from (payments on) reverse repurchase agreements | 16,014 | (5,175) |
Net proceeds from (payments on) derivative instruments | (1,990) | 1,087 |
Net payments on other investing activity | 0 | 30 |
Net cash (used in) provided by investing activities | (14,991) | (16,957) |
Financing activities: | ||
Proceeds from repurchase arrangements | 3,251,916 | 1,299,744 |
Payments on repurchase agreements | (3,237,021) | (1,284,306) |
Payments on debt of consolidated variable interest entities | (42) | (63) |
Net proceeds from preferred stock issuance | 227 | 0 |
Net proceeds from common stock issuance | 190 | 1,605 |
Payments for common stock repurchases | (103) | 0 |
Cash dividends paid | (863) | (699) |
Net cash provided by (used in) financing activities | 14,304 | 16,281 |
Net change in cash and cash equivalents | 120 | $ 164 |
Cash and cash equivalents at end of period | $ 906 |
Unaudited Interim Consolidated
Unaudited Interim Consolidated Financial Statements | 9 Months Ended |
Sep. 30, 2019 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Information [Text Block] | Basis of Presentation 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. 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, 2019 | |
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 are internally-managed, and our principal objective is to provide our stockholders with attractive risk-adjusted returns through a combination of monthly dividends and tangible net book value accretion. We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities. We operate 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 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. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2019 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Investment Securities Agency RMBS 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," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). 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 U.S. 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 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. All of our securities are reported at fair value on our consolidated balance sheet. 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 securities pursuant to ASC Topic 825, Financial Instruments . 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 newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"). Unrealized gains and losses on securities for which we elected the fair value option or are classified as trading 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. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a 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 derivative instruments. We estimate the fair value of our investment securities based on prices provided by multiple third-party pricing services and non-binding dealer quotes (collectively "pricing sources"). These pricing sources use various valuation approaches, including market and income approaches, using "Level 2" inputs. The pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value of our Agency RMBS based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, which may include maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. The pricing sources may also utilize discounted cash flow model-derived pricing techniques to estimate the fair value of investment securities. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities. We review the pricing estimates obtained from the pricing sources and perform procedures to validate their reasonableness. 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. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the third-party estimates. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) actual prepayments to date and our current estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. 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 adjusted for credit impairments, 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 , 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 short-term benchmark rates 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. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. 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 considered to be at market. 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, or TBA securities, to invest in and finance Agency securities and 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. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. 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 registered central clearing exchanges and major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. Interest rate swap agreements We use interest rate swaps to economically 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 ("payer swaps") based on a short-term benchmark rate, such as the three-month London Interbank Offered Rate ("LIBOR"), Overnight Index Swap Rate ("OIS") or Secured Overnight Financing Rate ("SOFR"). Our interest rate swaps typically have terms from one to 10 years but may extend up to 20 years or more. The majority of our interest rate swaps 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 current benchmark 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 daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability. 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 short-term benchmark rates, 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 interest rate swaption agreements 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 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 of 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 contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities. U.S. Treasury securities We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. 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 U.S. Treasury security as of the reporting date. Gains and losses associated with 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. 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 2016-13, Financial Instruments - Credit Losses (Topic 326): ASU 2016-13 changes the impairment model for most financial assets and certain other instruments. Under ASU 2016-13, credit losses on available-for-sale investment securities are recorded as an allowance rather than as a direct reduction of amortized cost. Remaining losses unrelated to credit loss, such as due to changing interest rates, continue to be recorded through OCI. 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. |
Investment Securities
Investment Securities | 9 Months Ended |
Sep. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | 3 years and ≤ 5 years 18,359 17,934 3.81% 3.14% 5,518 5,586 3.35% 2.73% > 5 years and ≤10 years 75,057 73,711 3.73% 3.06% 72,503 73,588 3.92% 3.37% > 10 years 159 153 3.61% 3.48% 4,576 4,679 3.57% 3.30% Total $ 100,683 $ 98,763 3.76% 3.08% $ 84,287 $ 85,569 3.86% 3.31% 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, 2019 and December 31, 2018 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss September 30, 2019 $ 10 $ (1 ) $ 9,651 $ (89 ) $ 9,661 $ (90 ) December 31, 2018 $ 4,783 $ (72 ) $ 18,231 $ (878 ) $ 23,014 $ (950 ) We did not recognize OTTI charges on our investment securities classified as available-for-sale during the periods presented on our consolidated statements of operations. As of the end of each respective reporting period, a decision had not been made to sell 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 or U.S. Government agency 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, 2019 and 2018 by investment classification of accounting (in millions): Three Months Ended September 30, 2019 2018 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 $ — $ (7,080 ) $ (7,080 ) $ (1,965 ) $ (1,039 ) $ (3,004 ) Proceeds from investment securities sold 1 — 7,169 7,169 1,929 1,035 2,964 Net gain (loss) on sale of investment securities $ — $ 89 $ 89 $ (36 ) $ (4 ) $ (40 ) Gross gain on sale of investment securities $ — $ 90 $ 90 $ 1 $ 2 $ 3 Gross loss on sale of investment securities — (1 ) (1 ) (37 ) (6 ) (43 ) Net gain (loss) on sale of investment securities $ — $ 89 $ 89 $ (36 ) $ (4 ) $ (40 ) Nine Months Ended September 30, 2019 2018 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 $ (705 ) $ (19,411 ) $ (20,116 ) $ (3,801 ) $ (4,017 ) $ (7,818 ) Proceeds from investment securities sold 1 696 19,701 20,397 3,746 3,956 7,702 Net gain (loss) on sale of investment securities $ (9 ) $ 290 $ 281 $ (55 ) $ (61 ) $ (116 ) Gross gain on sale of investment securities $ — $ 294 $ 294 $ 6 $ 12 $ 18 Gross loss on sale of investment securities (9 ) (4 ) (13 ) (61 ) (73 ) (134 ) Net gain (loss) on sale of investment securities $ (9 ) $ 290 $ 281 $ (55 ) $ (61 ) $ (116 ) ________________________________ 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. Consolidated Variable Interest Entities As of September 30, 2019 and December 31, 2018" id="sjs-B4">Investment Securities As of September 30, 2019 and December 31, 2018 , our investment portfolio consisted of $100.7 billion and $84.3 billion of investment securities, at fair value, respectively, and $1.9 billion and $7.3 billion of net TBA securities, at fair value, respectively. Our net TBA position is reported at its net carrying value of $47 million and $70 million as of September 30, 2019 and December 31, 2018 , 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, 2019 and December 31, 2018 , our investment securities had a net unamortized premium balance of $3.1 billion and $2.9 billion , respectively. The following tables summarize our investment securities as of September 30, 2019 and December 31, 2018 , excluding TBA securities, (dollars in millions). Details of our TBA securities as of each of the respective dates are included in Note 6 . September 30, 2019 December 31, 2018 Investment Securities Amortized Cost Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 96,259 $ 98,090 $ 83,047 $ 81,753 Adjustable rate 171 174 212 213 CMO 482 490 588 583 Interest-only and principal-only strips 152 176 172 178 Multifamily 37 40 — — Total Agency RMBS 97,101 98,970 84,019 82,727 Non-Agency RMBS 194 209 264 266 CMBS 345 370 280 282 CRT securities 1,123 1,134 1,006 1,012 Total investment securities $ 98,763 $ 100,683 $ 85,569 $ 84,287 September 30, 2019 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 15,033 $ 4,989 $ 20 $ — $ — $ — $ 20,042 Unamortized discount (12 ) (2 ) — — — — (14 ) Unamortized premium 731 284 — — — — 1,015 Amortized cost 15,752 5,271 20 — — — 21,043 Gross unrealized gains 142 29 1 — — — 172 Gross unrealized losses (60 ) (30 ) — — — — (90 ) Total available-for-sale securities, at fair value 15,834 5,270 21 — — — 21,125 Securities remeasured at fair value through earnings: Par value 42,642 31,305 — 204 340 1,096 75,587 Unamortized discount (64 ) (2 ) — (10 ) (2 ) (2 ) (80 ) Unamortized premium 1,179 997 — 1 7 29 2,213 Amortized cost 43,757 32,300 — 195 345 1,123 77,720 Gross unrealized gains 1,095 729 — 14 25 17 1,880 Gross unrealized losses (21 ) (15 ) — — — (6 ) (42 ) Total securities remeasured at fair value through earnings 44,831 33,014 — 209 370 1,134 79,558 Total securities, at fair value $ 60,665 $ 38,284 $ 21 $ 209 $ 370 $ 1,134 $ 100,683 Weighted average coupon as of September 30, 2019 3.72 % 3.78 % 3.83 % 4.06 % 4.57 % 5.18 % 3.76 % Weighted average yield as of September 30, 2019 1 3.06 % 3.07 % 2.09 % 4.45 % 4.36 % 3.68 % 3.08 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 13.4% based on forward rates as of September 30, 2019 . December 31, 2018 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 17,591 $ 5,673 $ 25 $ 6 $ — $ — $ 23,295 Unamortized discount (10 ) (2 ) — — — — (12 ) Unamortized premium 912 343 — — — — 1,255 Amortized cost 18,493 6,014 25 6 — — 24,538 Gross unrealized gains 4 2 1 — — — 7 Gross unrealized losses (686 ) (264 ) — — — — (950 ) Total available-for-sale securities, at fair value 17,811 5,752 26 6 — — 23,595 Securities remeasured at fair value through earnings: Par value 39,453 18,428 — 268 281 968 59,398 Unamortized discount (78 ) (9 ) — (10 ) (6 ) — (103 ) Unamortized premium 1,055 638 — — 5 38 1,736 Amortized cost 40,430 19,057 — 258 280 1,006 61,031 Gross unrealized gains 223 57 — 2 3 18 303 Gross unrealized losses (386 ) (243 ) — — (1 ) (12 ) (642 ) Total securities remeasured at fair value through earnings 40,267 18,871 — 260 282 1,012 60,692 Total securities, at fair value $ 58,078 $ 24,623 $ 26 $ 266 $ 282 $ 1,012 $ 84,287 Weighted average coupon as of December 31, 2018 3.82 % 3.87 % 3.37 % 3.83 % 4.58 % 5.86 % 3.86 % Weighted average yield as of December 31, 2018 1 3.28 % 3.28 % 2.04 % 4.22 % 4.68 % 5.16 % 3.31 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 7.9% based on forward rates as of December 31, 2018 . As of September 30, 2019 and December 31, 2018 , our investments in CRT and non-Agency securities had the following credit ratings: September 30, 2019 December 31, 2018 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS CMBS CRT RMBS CMBS AAA $ — $ — $ 38 $ — $ 160 $ 52 AA — 84 237 — 17 152 A 5 26 28 17 33 15 BBB 21 70 57 25 43 53 BB 569 17 10 492 8 10 B 443 5 — 453 2 — Not Rated 96 7 — 25 3 — Total $ 1,134 $ 209 $ 370 $ 1,012 $ 266 $ 282 ________________________________ 1. Represents the lowest of Standard and Poor's ("S&P"), Moody's, Fitch, DBRS, Kroll Bond Rating Agency ("KBRA") and Morningstar 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, 2019 , our CRT securities had floating and fixed rate coupons ranging from 2.7% to 8.4% , referenced to loans originated between 2011 and 2019 with weighted average coupons ranging from 3.7% to 5.1% . As of December 31, 2018 , our CRT securities had floating rate coupons ranging from 3.9% to 9.5% , referenced to loans originated between 2011 and 2018 with weighted average coupons ranging from 3.8% to 4.8% . The actual maturities of our investment securities are generally shorter than their stated contractual maturities. The actual maturities of our Agency and high credit quality non-Agency RMBS are primarily affected by principal prepayments and to a lesser degree the contractual lives of the underlying mortgages and periodic contractual principal repayments. The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates. As of September 30, 2019 and December 31, 2018 , the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 13.4% and 7.9% , respectively. Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs. The following table summarizes our investments as of September 30, 2019 and December 31, 2018 according to their estimated weighted average life classification (dollars in millions): September 30, 2019 December 31, 2018 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 ≤ 3 years $ 7,108 $ 6,965 3.92% 3.12% $ 1,690 $ 1,716 3.99% 2.64% > 3 years and ≤ 5 years 18,359 17,934 3.81% 3.14% 5,518 5,586 3.35% 2.73% > 5 years and ≤10 years 75,057 73,711 3.73% 3.06% 72,503 73,588 3.92% 3.37% > 10 years 159 153 3.61% 3.48% 4,576 4,679 3.57% 3.30% Total $ 100,683 $ 98,763 3.76% 3.08% $ 84,287 $ 85,569 3.86% 3.31% 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, 2019 and December 31, 2018 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss September 30, 2019 $ 10 $ (1 ) $ 9,651 $ (89 ) $ 9,661 $ (90 ) December 31, 2018 $ 4,783 $ (72 ) $ 18,231 $ (878 ) $ 23,014 $ (950 ) We did not recognize OTTI charges on our investment securities classified as available-for-sale during the periods presented on our consolidated statements of operations. As of the end of each respective reporting period, a decision had not been made to sell 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 or U.S. Government agency 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, 2019 and 2018 by investment classification of accounting (in millions): Three Months Ended September 30, 2019 2018 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 $ — $ (7,080 ) $ (7,080 ) $ (1,965 ) $ (1,039 ) $ (3,004 ) Proceeds from investment securities sold 1 — 7,169 7,169 1,929 1,035 2,964 Net gain (loss) on sale of investment securities $ — $ 89 $ 89 $ (36 ) $ (4 ) $ (40 ) Gross gain on sale of investment securities $ — $ 90 $ 90 $ 1 $ 2 $ 3 Gross loss on sale of investment securities — (1 ) (1 ) (37 ) (6 ) (43 ) Net gain (loss) on sale of investment securities $ — $ 89 $ 89 $ (36 ) $ (4 ) $ (40 ) Nine Months Ended September 30, 2019 2018 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 $ (705 ) $ (19,411 ) $ (20,116 ) $ (3,801 ) $ (4,017 ) $ (7,818 ) Proceeds from investment securities sold 1 696 19,701 20,397 3,746 3,956 7,702 Net gain (loss) on sale of investment securities $ (9 ) $ 290 $ 281 $ (55 ) $ (61 ) $ (116 ) Gross gain on sale of investment securities $ — $ 294 $ 294 $ 6 $ 12 $ 18 Gross loss on sale of investment securities (9 ) (4 ) (13 ) (61 ) (73 ) (134 ) Net gain (loss) on sale of investment securities $ (9 ) $ 290 $ 281 $ (55 ) $ (61 ) $ (116 ) ________________________________ 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. Consolidated Variable Interest Entities As of September 30, 2019 and December 31, 2018 |
Repurchase Agreements And Rever
Repurchase Agreements And Reverse Repurchase Agreements | 9 Months Ended |
Sep. 30, 2019 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements And Other Debt | 1 to ≤ 3 months 14,886 2.28 % 56 20,991 2.57 % 56 > 3 to ≤ 6 months 17,044 2.41 % 102 2,218 2.65 % 167 > 6 to ≤ 9 months 4,118 2.43 % 201 200 3.19 % 208 > 9 to ≤ 12 months — — % — 950 2.80 % 279 > 12 to ≤ 24 months 925 2.66 % 464 2,200 2.91 % 438 > 24 to ≤ 36 months 1,600 2.50 % 914 625 3.11 % 776 Total Agency repo 90,224 2.48 % 64 75,717 2.79 % 49 U.S. Treasury repo: > 1 day to ≤ 1 month 388 2.17 % 1 — — % — Total $ 90,612 2.48 % 64 $ 75,717 2.79 % 49 As of September 30, 2019 and December 31, 2018 , $10.3 billion and $19.5 billion , respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand. As of September 30, 2019 , we had $4.0 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 81 days and a weighted average interest rate of 2.43% . As of December 31, 2018 we had $10.7 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 9 days and a weighted average interest rate of 2.90% . As of September 30, 2019 and December 31, 2018 , 40% and 35% , respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 39% and 33% of our repurchase agreement funding outstanding as of September 30, 2019 and December 31, 2018 , respectively. Reverse Repurchase Agreements As of September 30, 2019 and December 31, 2018 , we had $6.1 billion and $21.8 billion , respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S. Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $5.1 billion and $21.4 billion , respectively. As of September 30, 2019 and December 31, 2018 , $5.0 billion and $4.5 billion , respectively, of our reverse repurchase agreements were with the FICC sourced through BES. Other Debt As of September 30, 2019 and December 31, 2018 , we had debt of consolidated VIEs, at fair value, of $238 million and $275 million , respectively, which had a weighted average interest rate of LIBOR plus 43 and 40 basis points, respectively, and an estimated weighted average life of 5.4 years and 6.1 years, respectively." id="sjs-B4">Repurchase Agreements and Other Debt Repurchase Agreements We pledge our securities as collateral under our borrowings structured as repurchase agreements with financial institutions. 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, 2019 , we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 7 . As of September 30, 2019 and December 31, 2018 , we had $90.6 billion and $75.7 billion , respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S. Treasury securities. 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 one year have floating interest rates based on an index plus or minus a fixed spread. The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of September 30, 2019 and December 31, 2018 (dollars in millions): September 30, 2019 December 31, 2018 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 $ 51,651 2.56 % 10 $ 48,533 2.88 % 9 > 1 to ≤ 3 months 14,886 2.28 % 56 20,991 2.57 % 56 > 3 to ≤ 6 months 17,044 2.41 % 102 2,218 2.65 % 167 > 6 to ≤ 9 months 4,118 2.43 % 201 200 3.19 % 208 > 9 to ≤ 12 months — — % — 950 2.80 % 279 > 12 to ≤ 24 months 925 2.66 % 464 2,200 2.91 % 438 > 24 to ≤ 36 months 1,600 2.50 % 914 625 3.11 % 776 Total Agency repo 90,224 2.48 % 64 75,717 2.79 % 49 U.S. Treasury repo: > 1 day to ≤ 1 month 388 2.17 % 1 — — % — Total $ 90,612 2.48 % 64 $ 75,717 2.79 % 49 As of September 30, 2019 and December 31, 2018 , $10.3 billion and $19.5 billion , respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand. As of September 30, 2019 , we had $4.0 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 81 days and a weighted average interest rate of 2.43% . As of December 31, 2018 we had $10.7 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 9 days and a weighted average interest rate of 2.90% . As of September 30, 2019 and December 31, 2018 , 40% and 35% , respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 39% and 33% of our repurchase agreement funding outstanding as of September 30, 2019 and December 31, 2018 , respectively. Reverse Repurchase Agreements As of September 30, 2019 and December 31, 2018 , we had $6.1 billion and $21.8 billion , respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S. Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $5.1 billion and $21.4 billion , respectively. As of September 30, 2019 and December 31, 2018 , $5.0 billion and $4.5 billion , respectively, of our reverse repurchase agreements were with the FICC sourced through BES. Other Debt As of September 30, 2019 and December 31, 2018 , we had debt of consolidated VIEs, at fair value, of $238 million and $275 million , respectively, which had a weighted average interest rate of LIBOR plus 43 and 40 basis points, respectively, and an estimated weighted average life of 5.4 years and 6.1 years, respectively. |
Derivative and Other Hedging In
Derivative and Other Hedging Instruments | 9 Months Ended |
Sep. 30, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
US Government Futures Securities [Table Text Block] | U.S. Treasury Futures September 30, 2019 December 31, 2018 Maturity Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 10 years $ (1,000 ) $ (1,320 ) $ (1,303 ) $ 17 $ (1,650 ) $ (1,969 ) $ (2,013 ) $ (44 ) ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. |
Derivative and Other Hedging Instruments | Derivative and Other Hedging Instruments We hedge a portion of our interest rate risk primarily utilizing interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We utilize TBA securities primarily as a means of investing in the Agency securities market. 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, 2019 and December 31, 2018 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location September 30, 2019 December 31, 2018 Interest rate swaps Derivative assets, at fair value $ 17 $ 126 Swaptions Derivative assets, at fair value 74 37 TBA securities Derivative assets, at fair value 67 110 U.S. Treasury futures - short Derivative assets, at fair value 17 — Total derivative assets, at fair value $ 175 $ 273 Interest rate swaps Derivative liabilities, at fair value $ (2 ) $ — TBA securities Derivative liabilities, at fair value (20 ) (40 ) U.S. Treasury futures - short Derivative liabilities, at fair value — (44 ) Total derivative liabilities, at fair value $ (22 ) $ (84 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 215 $ 46 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (5,114 ) (21,431 ) Total U.S. Treasury securities, net at fair value $ (4,899 ) $ (21,385 ) The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of September 30, 2019 and December 31, 2018 (dollars in millions): September 30, 2019 December 31, 2018 Pay Fixed / Receive Variable Interest Rate Swaps Notional Average Rate Average Average Notional 1 Average Rate 2 Average Average ≤ 3 years $ 62,900 1.37% 1.98% 1.8 $ 19,900 1.63% 2.62% 1.3 > 3 to ≤ 5 years 9,850 1.17% 1.90% 4.0 8,425 2.06% 2.61% 4.0 > 5 to ≤ 7 years 4,300 1.28% 1.94% 6.5 7,875 2.66% 2.66% 6.1 > 7 to ≤ 10 years 3,700 1.42% 2.01% 8.7 10,550 2.36% 2.64% 8.8 > 10 years 1,025 1.69% 2.12% 16.2 4,875 2.77% 2.63% 11.6 Total $ 81,775 1.35% 1.98% 2.8 $ 51,625 2.11% 2.63% 5.0 ________________________________ 1. As of December 31, 2018 , notional amount includes forward starting swaps of $5.7 billion with an average forward start date of 0.5 years. 2. Average fixed pay rate as of December 31, 2018 includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.98% as of December 31, 2018 . Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount) September 30, 2019 December 31, 2018 OIS 79 % — % 3M LIBOR 14 % 100 % SOFR 7 % — % Total 100 % 100 % Swaptions Option Underlying Payer Swap Current Option Expiration Date Cost Basis Fair Value Average Months to Current Option Expiration Date 1 Notional Amount Average Fixed Pay Rate Average Receive Rate (LIBOR) Average Term (Years) September 30, 2019 ≤ 1 year $ 99 $ 27 9 $ 3,950 2.40% 3M 9.0 > 1 year ≤ 2 years 77 47 17 4,700 2.39% 3M 10.0 Total $ 176 $ 74 13 $ 8,650 2.39% 3M 9.5 December 31, 2018 ≤ 1 year $ 80 $ 23 4 $ 3,000 2.96% 3M 7.0 > 1 year ≤ 2 years 18 14 18 500 2.78% 3M 10.0 Total $ 98 $ 37 6 $ 3,500 2.93% 3M 7.4 ________________________________ 1. As of September 30, 2019 and December 31, 2018 , ≤ 1 year notional amount includes $700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date. U.S. Treasury Securities September 30, 2019 December 31, 2018 Maturity Face Amount Long/(Short) Cost Basis 1 Fair Value Face Amount Long/(Short) Cost Basis 1 Fair Value 5 years $ 198 $ 199 $ 204 $ (703 ) $ (706 ) $ (713 ) 7 years — — — (14,357 ) (14,325 ) (14,410 ) 10 years (4,622 ) (4,707 ) (5,103 ) (6,240 ) (6,224 ) (6,262 ) Total U.S. Treasury securities $ (4,424 ) $ (4,508 ) $ (4,899 ) $ (21,300 ) $ (21,255 ) $ (21,385 ) ________________________________ 1. As of September 30, 2019 and December 31, 2018 , our short U.S. Treasury securities had a weighted average yield of 2.67% and 2.66% , respectively, and our long U.S. Treasury securities had a weighted average yield of 2.21% and 2.98% , respectively. U.S. Treasury Futures September 30, 2019 December 31, 2018 Maturity Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 10 years $ (1,000 ) $ (1,320 ) $ (1,303 ) $ 17 $ (1,650 ) $ (1,969 ) $ (2,013 ) $ (44 ) ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. September 30, 2019 December 31, 2018 TBA Securities by Coupon Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 15-Year TBA securities: 2.5% $ 195 $ 196 $ 197 $ 1 $ — $ — $ — $ — 3.0% 1,096 1,122 1,120 (2 ) 567 557 566 9 3.5% 330 343 341 (2 ) 1,706 1,708 1,726 18 4.0% 150 156 156 — 1,350 1,370 1,381 11 Total 15-Year TBA securities 1,771 1,817 1,814 (3 ) 3,623 3,635 3,673 38 30-Year TBA securities: ≤3.0% 6,994 7,008 7,054 46 1,028 981 1,003 22 3.5% (4,050 ) (4,158 ) (4,155 ) 3 (2,979 ) (2,943 ) (2,977 ) (34 ) 4.0% (3,170 ) (3,291 ) (3,290 ) 1 3,030 3,073 3,089 16 ≥ 4.5% 422 444 444 — 2,450 2,506 2,534 28 Total 30-Year TBA securities, net 196 3 53 50 3,529 3,617 3,649 32 Total TBA securities, net $ 1,967 $ 1,820 $ 1,867 $ 47 $ 7,152 $ 7,252 $ 7,322 $ 70 ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) 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, 2019 and 2018 (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, 2019: TBA securities, net $ 11,043 24,305 (33,381 ) $ 1,967 $ 144 Interest rate swaps $ 74,950 82,625 (75,800 ) $ 81,775 (482 ) Payer swaptions $ 4,400 4,500 (250 ) $ 8,650 (19 ) Receiver swaptions $ — (175 ) 175 $ — — U.S. Treasury securities - short position $ (7,245 ) (98 ) 2,710 $ (4,633 ) (154 ) U.S. Treasury securities - long position $ 1,134 353 (1,278 ) $ 209 5 U.S. Treasury futures contracts - short position $ (1,650 ) (1,000 ) 1,650 $ (1,000 ) (40 ) $ (546 ) Three months ended September 30, 2018: TBA securities, net $ 19,805 55,702 (66,233 ) $ 9,274 $ (56 ) Interest rate swaps $ 47,875 2,150 (1,350 ) $ 48,675 282 Payer swaptions $ 5,600 — — $ 5,600 30 U.S. Treasury securities - short position $ (13,394 ) (4,402 ) 1,583 $ (16,213 ) 150 U.S. Treasury securities - long position $ — 792 (682 ) $ 110 — U.S. Treasury futures contracts - short position $ (1,650 ) (1,650 ) 1,650 $ (1,650 ) 21 $ 427 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 Nine months ended September 30, 2019: TBA securities, net $ 7,152 70,606 (75,791 ) $ 1,967 $ 390 Interest rate swaps $ 51,625 152,975 (122,825 ) $ 81,775 (2,097 ) Payer swaptions $ 3,500 7,150 (2,000 ) $ 8,650 (71 ) Receiver swaptions $ — (175 ) 175 $ — — U.S. Treasury securities - short position $ (21,345 ) (7,404 ) 24,116 $ (4,633 ) (1,084 ) U.S. Treasury securities - long position $ 45 1,776 (1,612 ) $ 209 11 U.S. Treasury futures contracts - short position $ (1,650 ) (4,300 ) 4,950 $ (1,000 ) (128 ) $ (2,979 ) Nine months ended September 30, 2018: TBA securities, net $ 15,474 163,777 (169,977 ) $ 9,274 $ (362 ) Interest rate swaps $ 43,700 9,800 (4,825 ) $ 48,675 1,161 Payer swaptions $ 6,650 1,100 (2,150 ) $ 5,600 155 U.S. Treasury securities - short position $ (10,699 ) (10,693 ) 5,179 $ (16,213 ) 397 U.S. Treasury securities - long position $ — 1,841 (1,731 ) $ 110 — U.S. Treasury futures contracts - short position $ (2,910 ) (6,209 ) 7,469 $ (1,650 ) 104 $ 1,455 ________________________________ 1. |
Pledged Assets
Pledged Assets | 9 Months Ended |
Sep. 30, 2019 | |
Pledged Assets [Abstract] | |
Pledged Assets | 30 and ≤ 60 days 10,087 9,915 30 14,586 14,810 46 > 60 and ≤ 90 days 5,603 5,517 17 7,770 7,843 24 > 90 days 24,757 24,264 74 6,882 7,079 21 Total $ 93,854 $ 92,021 $ 277 $ 79,182 $ 80,386 $ 247 ________________________________ 1. Includes $161 million and $163 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2019 and December 31, 2018 , respectively. 2. Excludes $542 million and $437 million of repledged U.S. Treasury securities received as collateral from counterparties as of September 30, 2019 and December 31, 2018 , respectively. Assets Pledged from Counterparties As of September 30, 2019 and December 31, 2018 , we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). September 30, 2019 December 31, 2018 Assets Pledged to AGNC 1 Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total U.S. Treasury securities - fair value $ 6,067 $ — $ 8 $ 6,075 $ 21,876 $ 35 $ 37 $ 21,948 Cash — 63 11 74 — 129 — 129 Total $ 6,067 $ 63 $ 19 $ 6,149 $ 21,876 $ 164 $ 37 $ 22,077 ________________________________ 1. Includes $542 million and $437 million of repledged U.S. Treasury securities received as collateral from counterparties as of September 30, 2019 and December 31, 2018 , respectively. U.S Treasury securities received as collateral under our reverse repurchase agreements for which 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, 2019 and December 31, 2018 (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, 2019 Interest rate swap and swaption agreements, at fair value 1 $ 91 $ — $ 91 $ (1 ) $ (63 ) $ 27 TBA securities, at fair value 67 — 67 (20 ) — 47 Receivable under reverse repurchase agreements 6,093 — 6,093 (6,093 ) — — Total $ 6,251 $ — $ 6,251 $ (6,114 ) $ (63 ) $ 74 December 31, 2018 Interest rate swap and swaption agreements, at fair value 1 $ 163 $ — $ 163 $ — $ (158 ) $ 5 TBA securities, at fair value 110 — 110 (40 ) — 70 Receivable under reverse repurchase agreements 21,813 — 21,813 (17,236 ) (4,575 ) 2 Total $ 22,086 $ — $ 22,086 $ (17,276 ) $ (4,733 ) $ 77 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, 2019 Interest rate swap agreements, at fair value 1 $ 2 $ — $ 2 $ (1 ) $ (1 ) $ — TBA securities, at fair value 20 — 20 (20 ) — — Repurchase agreements 90,612 — 90,612 (6,093 ) (84,519 ) — Total $ 90,634 $ — $ 90,634 $ (6,114 ) $ (84,520 ) $ — December 31, 2018 Interest rate swap agreements, at fair value 1 $ — $ — $ — $ — $ — $ — TBA securities, at fair value 40 — 40 (40 ) — — Repurchase agreements 75,717 — 75,717 (17,236 ) (58,481 ) — Total $ 75,757 $ — $ 75,757 $ (17,276 ) $ (58,481 ) $ — ________________________________ 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." 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 brokerage and custody agreements 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 if 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 as and when due to us 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, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default. As of September 30, 2019 , our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 4% of our tangible stockholders' equity (measured as the excess of the value of collateral pledged over the amount of our repurchase liabilities). As of September 30, 2019 , approximately 11% of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation. Assets Pledged to Counterparties The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of September 30, 2019 and December 31, 2018 (in millions): September 30, 2019 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3 Total Agency RMBS - fair value $ 93,333 $ 393 $ 423 $ 198 $ 94,347 CRT - fair value 358 — — — 358 Non-Agency - fair value — — — — — U.S. Treasury securities - fair value 671 — — 33 704 Accrued interest on pledged securities 277 1 1 1 280 Restricted cash and cash equivalents 180 — 551 — 731 Total $ 94,819 $ 394 $ 975 $ 232 $ 96,420 December 31, 2018 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3 Total Agency RMBS - fair value $ 78,997 $ 436 $ 174 $ 133 $ 79,740 CRT - fair value 141 — — — 141 Non-Agency - fair value 45 — — — 45 U.S. Treasury securities - fair value 437 — — — 437 Accrued interest on pledged securities 246 1 1 — 248 Restricted cash and cash equivalents 77 — 522 — 599 Total $ 79,943 $ 437 $ 697 $ 133 $ 81,210 ________________________________ 1. Includes repledged assets received as collateral from counterparties. 2. Includes $161 million and $163 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2019 and December 31, 2018 , respectively. 3. Includes margin for TBAs cleared through prime brokers and other clearing deposits. 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 Note 4 for additional information regarding our consolidated VIEs. The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of September 30, 2019 and December 31, 2018 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 . September 30, 2019 December 31, 2018 Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2 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 ≤ 30 days $ 53,407 $ 52,325 $ 156 $ 49,944 $ 50,654 $ 156 > 30 and ≤ 60 days 10,087 9,915 30 14,586 14,810 46 > 60 and ≤ 90 days 5,603 5,517 17 7,770 7,843 24 > 90 days 24,757 24,264 74 6,882 7,079 21 Total $ 93,854 $ 92,021 $ 277 $ 79,182 $ 80,386 $ 247 ________________________________ 1. Includes $161 million and $163 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2019 and December 31, 2018 , respectively. 2. Excludes $542 million and $437 million of repledged U.S. Treasury securities received as collateral from counterparties as of September 30, 2019 and December 31, 2018 , respectively. Assets Pledged from Counterparties As of September 30, 2019 and December 31, 2018 , we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). September 30, 2019 December 31, 2018 Assets Pledged to AGNC 1 Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total U.S. Treasury securities - fair value $ 6,067 $ — $ 8 $ 6,075 $ 21,876 $ 35 $ 37 $ 21,948 Cash — 63 11 74 — 129 — 129 Total $ 6,067 $ 63 $ 19 $ 6,149 $ 21,876 $ 164 $ 37 $ 22,077 ________________________________ 1. Includes $542 million and $437 million of repledged U.S. Treasury securities received as collateral from counterparties as of September 30, 2019 and December 31, 2018 , respectively. U.S Treasury securities received as collateral under our reverse repurchase agreements for which 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, 2019 and December 31, 2018 (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, 2019 Interest rate swap and swaption agreements, at fair value 1 $ 91 $ — $ 91 $ (1 ) $ (63 ) $ 27 TBA securities, at fair value 67 — 67 (20 ) — 47 Receivable under reverse repurchase agreements 6,093 — 6,093 (6,093 ) — — Total $ 6,251 $ — $ 6,251 $ (6,114 ) $ (63 ) $ 74 December 31, 2018 Interest rate swap and swaption agreements, at fair value 1 $ 163 $ — $ 163 $ — $ (158 ) $ 5 TBA securities, at fair value 110 — 110 (40 ) — 70 Receivable under reverse repurchase agreements 21,813 — 21,813 (17,236 ) (4,575 ) 2 Total $ 22,086 $ — $ 22,086 $ (17,276 ) $ (4,733 ) $ 77 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, 2019 Interest rate swap agreements, at fair value 1 $ 2 $ — $ 2 $ (1 ) $ (1 ) $ — TBA securities, at fair value 20 — 20 (20 ) — — Repurchase agreements 90,612 — 90,612 (6,093 ) (84,519 ) — Total $ 90,634 $ — $ 90,634 $ (6,114 ) $ (84,520 ) $ — December 31, 2018 Interest rate swap agreements, at fair value 1 $ — $ — $ — $ — $ — $ — TBA securities, at fair value 40 — 40 (40 ) — — Repurchase agreements 75,717 — 75,717 (17,236 ) (58,481 ) — Total $ 75,757 $ — $ 75,757 $ (17,276 ) $ (58,481 ) $ — ________________________________ 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. |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements We determine the fair value of our financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. We typically obtain price estimates from multiple third-party pricing services and dealers or, if applicable, the clearing exchange (see Note 3 for further details.) We utilize a three-level valuation hierarchy for disclosure of fair value measurements. 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. 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 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 loss severities, 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. We also review third-party price 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 pricing sources, we will exclude 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 categorization. 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, 2019 and December 31, 2018 based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented. September 30, 2019 December 31, 2018 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 98,577 $ — $ — $ 82,291 $ — Agency securities transferred to consolidated VIEs — 393 — — 436 — Credit risk transfer securities — 1,134 — — 1,012 — Non-Agency securities — 579 — — 548 — U.S. Treasury securities 215 — — 46 — — Interest rate swaps — 17 — — 126 — Swaptions — 74 — — 37 — TBA securities — 67 — — 110 — U.S. Treasury futures 17 — — — — — Total $ 232 $ 100,841 $ — $ 46 $ 84,560 $ — Liabilities: Debt of consolidated VIEs $ — $ 238 $ — $ — $ 275 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 5,114 — — 21,431 — — Interest rate swaps — 2 — — — — TBA securities — 20 — — 40 — U.S. Treasury futures — — — 44 — — Total $ 5,114 $ 260 $ — $ 21,475 $ 315 $ — 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, 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 corresponding 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, 2019 | |
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, 2019 2018 2019 2018 Weighted average number of common shares issued and outstanding 546.0 462.2 539.9 419.7 Weighted average number of fully vested RSUs outstanding 0.4 0.1 0.4 0.1 Weighted average number of common shares outstanding - basic 546.4 462.3 540.3 419.8 Weighted average number of dilutive unvested RSUs outstanding — 0.4 — 0.3 Weighted average number of common shares outstanding - diluted 546.4 462.7 540.3 420.1 Net income (loss) available (attributable) to common stockholders $ (17 ) $ 207 $ (219 ) $ 906 Net income (loss) per common share - basic $ (0.03 ) $ 0.45 $ (0.41 ) $ 2.16 Net income (loss) per common share - diluted $ (0.03 ) $ 0.45 $ (0.41 ) $ 2.16 |
Earnings Per Share [Text Block] | Net Income (Loss) Per Common Share Basic net income (loss) per common share is computed by dividing net income (loss) available (attributable) to common stockholders by the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time and performance-based restricted stock units (collectively "RSUs") 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 include unvested RSUs. Vested and unvested RSUs outstanding were 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 net income per common share for the periods indicated (shares and dollars in millions): Three Months Ended September 30, Nine Months Ended September 30, 2019 2018 2019 2018 Weighted average number of common shares issued and outstanding 546.0 462.2 539.9 419.7 Weighted average number of fully vested RSUs outstanding 0.4 0.1 0.4 0.1 Weighted average number of common shares outstanding - basic 546.4 462.3 540.3 419.8 Weighted average number of dilutive unvested RSUs outstanding — 0.4 — 0.3 Weighted average number of common shares outstanding - diluted 546.4 462.7 540.3 420.1 Net income (loss) available (attributable) to common stockholders $ (17 ) $ 207 $ (219 ) $ 906 Net income (loss) per common share - basic $ (0.03 ) $ 0.45 $ (0.41 ) $ 2.16 Net income (loss) per common share - diluted $ (0.03 ) $ 0.45 $ (0.41 ) $ 2.16 For the three and nine months ended September 30, 2019 , 0.7 million and 0.6 million , respectively, of potentially dilutive RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for such periods. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2019 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders' Equity Preferred Stock 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, 2019 and December 31, 2018 , 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"). During March 2019, we designated an additional 9,400 shares as 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series D Preferred Stock"). Each share of Series B, C, and D Preferred Stock is represented by 1,000 depositary shares. 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 depositary shares underlying our preferred stock have no voting rights, except under limited conditions. Beginning on each series' optional redemption date, such shares will be redeemable at $25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared), exclusively at our option. The following is a summary of our preferred stock issued and outstanding as of September 30, 2019 (dollars and shares in millions). Please see Note 11, Subsequent Events, for additional information related to our preferred stock. Preferred Stock Issuance Date Depositary Shares Issued and Outstanding Carrying Value Aggregate Liquidation Preference Fixed Rate Optional Redemption Date 2 Fixed-to-Floating Rate Conversion Date Floating Annual Rate Fixed Rate Series B May 8, 2014 7.0 $ 169 $ 175 7.750% May 8, 2019 N/A N/A Fixed-to-Floating Rate 1 Series C August 22, 2017 13.0 315 325 7.000% October 15, 2022 October 15, 2022 3M LIBOR + 5.111% Series D March 6, 2019 9.4 227 235 6.875% April 15, 2024 April 15, 2024 3M LIBOR + 4.332% Total 29.4 $ 711 $ 735 ________________________________ 1. Fixed-to-floating rate redeemable preferred stock accrue dividends at an annual fixed rate of the $25.00 liquidation preference per depositary share from the issuance date up to, but not including, the fixed-to-floating rate conversion date; thereafter, dividends will accrue on a floating rate basis equal to 3-month LIBOR plus a fixed spread. 2. Shares may be redeemed prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for U.S federal income tax purposes. Common Stock Offering In May 2018, we completed a public offering in which 34.5 million shares of our common stock were sold to the underwriters for proceeds of $633 million , or $18.35 per common share, net of offering costs. In August 2018, we completed a follow-on public offering of 43.7 million shares of our common stock for proceeds of $817 million , or $18.68 per common share, net of estimated offering costs. At-the-Market Offering Program We are authorized by our Board of Directors to enter 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 a maximum aggregate offering price of our common stock through June 14, 2021. During the three months ended September 30, 2019 and September 30, 2018 we did not sell any shares of common stock under the sales agreements. During the nine months ended September 30, 2019 , we sold 11.4 million shares of our common stock under the sales agreements for proceeds of $190 million , or $16.67 per common share, net of offering costs. During the nine months ended September 30, 2018 , we sold 8.3 million shares of our common stock under the sales agreements for proceeds of $155 million , or $18.73 per common share, net of offering costs. As of September 30, 2019 , shares of our common stock with an aggregate offering price of $466 million remained authorized for issuance under this program. Common Stock Repurchase Program In July 2019, our Board of Directors authorized the repurchase of up to $1 billion of our outstanding shares of common stock through December 31, 2020. During the three months ended September 30, 2019 , we repurchased 6.9 million shares, or $103 million , of our common stock for an average repurchase price of $14.90 per common share, inclusive of transaction costs. As of September 30, 2019 , we had $0.9 billion of common stock remaining available for repurchase. We may repurchase shares in the open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities and Exchange Act of 1934, as amended. We intend to repurchase shares under the stock repurchase program only when the repurchase price is less than our then-current estimate of our tangible net book value per common share. Accumulated Other Comprehensive Income (Loss) The following table summarizes changes to accumulated OCI for the three and nine months ended September 30, 2019 and 2018 (in millions): Three Months Ended September 30, Nine Months Ended September 30, Accumulated Other Comprehensive Income (Loss) 2019 2018 2019 2018 Beginning Balance $ (164 ) $ (1,111 ) $ (943 ) $ (345 ) OCI before reclassifications 246 (229 ) 1,016 (1,014 ) (Gain) loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities — 36 9 55 Ending Balance $ 82 $ (1,304 ) $ 82 $ (1,304 ) |
Subsequent Event
Subsequent Event | 9 Months Ended |
Sep. 30, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Event | Subsequent Events Preferred Stock Offering On October 3, 2019, we issued $403 million , or 16.1 million depositary shares, of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series E Preferred Stock"), for net proceeds of $390 million . Each depositary share represents a 1/1,000th interest in a share of Series E Preferred Stock. At the conclusion of the Series E fixed rate period on October 15, 2024, the Series E Preferred Stock dividend will accrue at a floating rate equal to three-month LIBOR plus a spread of 4.993% per annum, and commencing on such date, the Series E Preferred Stock is redeemable at our option at the liquidation preference of $25.00 per depositary share, plus any accrued and unpaid dividends. Redemption of Preferred Stock On October 25, 2019, we announced that we will redeem all 7,000 outstanding shares of our Series B Preferred Stock and the corresponding 7.0 million depositary shares, each representing a 1/1,000th interest in a share of the Series B Preferred Stock, on November 26, 2019 (the "Redemption Date"). The Series B Preferred Stock will be redeemed at the redemption amount of $25.00 per depositary share, plus $0.22066 per depositary share of accrued and unpaid dividends to, but not including, the Redemption Date. Common Stock Dividend Declaration On October 10, 2019 , our Board of Directors declared a monthly dividend of $0.16 per common share payable on November 12, 2019 to common stockholders of record as of October 31, 2019 . |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policy) | 9 Months Ended |
Sep. 30, 2019 | |
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. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. 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 considered to be at market. |
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 2016-13, Financial Instruments - Credit Losses (Topic 326): ASU 2016-13 changes the impairment model for most financial assets and certain other instruments. Under ASU 2016-13, credit losses on available-for-sale investment securities are recorded as an allowance rather than as a direct reduction of amortized cost. Remaining losses unrelated to credit loss, such as due to changing interest rates, continue to be recorded through OCI. 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. |
Investment Securities | Investment Securities Agency RMBS 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," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). 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 U.S. 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 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. All of our securities are reported at fair value on our consolidated balance sheet. 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 securities pursuant to ASC Topic 825, Financial Instruments . 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 newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"). Unrealized gains and losses on securities for which we elected the fair value option or are classified as trading 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. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a 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 derivative instruments. We estimate the fair value of our investment securities based on prices provided by multiple third-party pricing services and non-binding dealer quotes (collectively "pricing sources"). These pricing sources use various valuation approaches, including market and income approaches, using "Level 2" inputs. The pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value of our Agency RMBS based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, which may include maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. The pricing sources may also utilize discounted cash flow model-derived pricing techniques to estimate the fair value of investment securities. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities. We review the pricing estimates obtained from the pricing sources and perform procedures to validate their reasonableness. 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. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the third-party estimates. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) actual prepayments to date and our current estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. 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 adjusted for credit impairments, 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 , 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 short-term benchmark rates 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, or TBA securities, to invest in and finance Agency securities and 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. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. 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 registered central clearing exchanges and major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. Interest rate swap agreements We use interest rate swaps to economically 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 ("payer swaps") based on a short-term benchmark rate, such as the three-month London Interbank Offered Rate ("LIBOR"), Overnight Index Swap Rate ("OIS") or Secured Overnight Financing Rate ("SOFR"). Our interest rate swaps typically have terms from one to 10 years but may extend up to 20 years or more. The majority of our interest rate swaps 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 current benchmark 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 daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability. 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 short-term benchmark rates, 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 interest rate swaption agreements 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 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 of 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 contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities. U.S. Treasury securities We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. 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 U.S. Treasury security as of the reporting date. Gains and losses associated with U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2019 | |
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, or TBA securities, to invest in and finance Agency securities and 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. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. 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 registered central clearing exchanges and major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. Interest rate swap agreements We use interest rate swaps to economically 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 ("payer swaps") based on a short-term benchmark rate, such as the three-month London Interbank Offered Rate ("LIBOR"), Overnight Index Swap Rate ("OIS") or Secured Overnight Financing Rate ("SOFR"). Our interest rate swaps typically have terms from one to 10 years but may extend up to 20 years or more. The majority of our interest rate swaps 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 current benchmark 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 daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability. 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 short-term benchmark rates, 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 interest rate swaption agreements 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 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 of 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 contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities. U.S. Treasury securities We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. 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 U.S. Treasury security as of the reporting date. Gains and losses associated with 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 Agency RMBS 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," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). 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 U.S. 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 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. All of our securities are reported at fair value on our consolidated balance sheet. 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 securities pursuant to ASC Topic 825, Financial Instruments . 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 newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"). Unrealized gains and losses on securities for which we elected the fair value option or are classified as trading 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. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a 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 derivative instruments. We estimate the fair value of our investment securities based on prices provided by multiple third-party pricing services and non-binding dealer quotes (collectively "pricing sources"). These pricing sources use various valuation approaches, including market and income approaches, using "Level 2" inputs. The pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value of our Agency RMBS based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, which may include maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. The pricing sources may also utilize discounted cash flow model-derived pricing techniques to estimate the fair value of investment securities. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities. We review the pricing estimates obtained from the pricing sources and perform procedures to validate their reasonableness. 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. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the third-party estimates. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) actual prepayments to date and our current estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. 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 adjusted for credit impairments, if any. |
Investment Securities (Tables)
Investment Securities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Securities by Credit Rating [Table Text Block] | As of September 30, 2019 and December 31, 2018 , our investments in CRT and non-Agency securities had the following credit ratings: September 30, 2019 December 31, 2018 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS CMBS CRT RMBS CMBS AAA $ — $ — $ 38 $ — $ 160 $ 52 AA — 84 237 — 17 152 A 5 26 28 17 33 15 BBB 21 70 57 25 43 53 BB 569 17 10 492 8 10 B 443 5 — 453 2 — Not Rated 96 7 — 25 3 — Total $ 1,134 $ 209 $ 370 $ 1,012 $ 266 $ 282 ________________________________ 1. Represents the lowest of Standard and Poor's ("S&P"), Moody's, Fitch, DBRS, Kroll Bond Rating Agency ("KBRA") and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date. |
Available-for-sale Securities [Table Text Block] | December 31, 2018 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 17,591 $ 5,673 $ 25 $ 6 $ — $ — $ 23,295 Unamortized discount (10 ) (2 ) — — — — (12 ) Unamortized premium 912 343 — — — — 1,255 Amortized cost 18,493 6,014 25 6 — — 24,538 Gross unrealized gains 4 2 1 — — — 7 Gross unrealized losses (686 ) (264 ) — — — — (950 ) Total available-for-sale securities, at fair value 17,811 5,752 26 6 — — 23,595 Securities remeasured at fair value through earnings: Par value 39,453 18,428 — 268 281 968 59,398 Unamortized discount (78 ) (9 ) — (10 ) (6 ) — (103 ) Unamortized premium 1,055 638 — — 5 38 1,736 Amortized cost 40,430 19,057 — 258 280 1,006 61,031 Gross unrealized gains 223 57 — 2 3 18 303 Gross unrealized losses (386 ) (243 ) — — (1 ) (12 ) (642 ) Total securities remeasured at fair value through earnings 40,267 18,871 — 260 282 1,012 60,692 Total securities, at fair value $ 58,078 $ 24,623 $ 26 $ 266 $ 282 $ 1,012 $ 84,287 Weighted average coupon as of December 31, 2018 3.82 % 3.87 % 3.37 % 3.83 % 4.58 % 5.86 % 3.86 % Weighted average yield as of December 31, 2018 1 3.28 % 3.28 % 2.04 % 4.22 % 4.68 % 5.16 % 3.31 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 7.9% based on forward rates as of December 31, 2018 . September 30, 2019 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 15,033 $ 4,989 $ 20 $ — $ — $ — $ 20,042 Unamortized discount (12 ) (2 ) — — — — (14 ) Unamortized premium 731 284 — — — — 1,015 Amortized cost 15,752 5,271 20 — — — 21,043 Gross unrealized gains 142 29 1 — — — 172 Gross unrealized losses (60 ) (30 ) — — — — (90 ) Total available-for-sale securities, at fair value 15,834 5,270 21 — — — 21,125 Securities remeasured at fair value through earnings: Par value 42,642 31,305 — 204 340 1,096 75,587 Unamortized discount (64 ) (2 ) — (10 ) (2 ) (2 ) (80 ) Unamortized premium 1,179 997 — 1 7 29 2,213 Amortized cost 43,757 32,300 — 195 345 1,123 77,720 Gross unrealized gains 1,095 729 — 14 25 17 1,880 Gross unrealized losses (21 ) (15 ) — — — (6 ) (42 ) Total securities remeasured at fair value through earnings 44,831 33,014 — 209 370 1,134 79,558 Total securities, at fair value $ 60,665 $ 38,284 $ 21 $ 209 $ 370 $ 1,134 $ 100,683 Weighted average coupon as of September 30, 2019 3.72 % 3.78 % 3.83 % 4.06 % 4.57 % 5.18 % 3.76 % Weighted average yield as of September 30, 2019 1 3.06 % 3.07 % 2.09 % 4.45 % 4.36 % 3.68 % 3.08 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 13.4% based on forward rates as of September 30, 2019 . |
Components of Investment Securities | The following tables summarize our investment securities as of September 30, 2019 and December 31, 2018 , excluding TBA securities, (dollars in millions). Details of our TBA securities as of each of the respective dates are included in Note 6 . September 30, 2019 December 31, 2018 Investment Securities Amortized Cost Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 96,259 $ 98,090 $ 83,047 $ 81,753 Adjustable rate 171 174 212 213 CMO 482 490 588 583 Interest-only and principal-only strips 152 176 172 178 Multifamily 37 40 — — Total Agency RMBS 97,101 98,970 84,019 82,727 Non-Agency RMBS 194 209 264 266 CMBS 345 370 280 282 CRT securities 1,123 1,134 1,006 1,012 Total investment securities $ 98,763 $ 100,683 $ 85,569 $ 84,287 September 30, 2019 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 15,033 $ 4,989 $ 20 $ — $ — $ — $ 20,042 Unamortized discount (12 ) (2 ) — — — — (14 ) Unamortized premium 731 284 — — — — 1,015 Amortized cost 15,752 5,271 20 — — — 21,043 Gross unrealized gains 142 29 1 — — — 172 Gross unrealized losses (60 ) (30 ) — — — — (90 ) Total available-for-sale securities, at fair value 15,834 5,270 21 — — — 21,125 Securities remeasured at fair value through earnings: Par value 42,642 31,305 — 204 340 1,096 75,587 Unamortized discount (64 ) (2 ) — (10 ) (2 ) (2 ) (80 ) Unamortized premium 1,179 997 — 1 7 29 2,213 Amortized cost 43,757 32,300 — 195 345 1,123 77,720 Gross unrealized gains 1,095 729 — 14 25 17 1,880 Gross unrealized losses (21 ) (15 ) — — — (6 ) (42 ) Total securities remeasured at fair value through earnings 44,831 33,014 — 209 370 1,134 79,558 Total securities, at fair value $ 60,665 $ 38,284 $ 21 $ 209 $ 370 $ 1,134 $ 100,683 Weighted average coupon as of September 30, 2019 3.72 % 3.78 % 3.83 % 4.06 % 4.57 % 5.18 % 3.76 % Weighted average yield as of September 30, 2019 1 3.06 % 3.07 % 2.09 % 4.45 % 4.36 % 3.68 % 3.08 % |
Summary Of Agency Securities Estimated Weighted Average Life Classifications | The following table summarizes our investments as of September 30, 2019 and December 31, 2018 according to their estimated weighted average life classification (dollars in millions): September 30, 2019 December 31, 2018 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 ≤ 3 years $ 7,108 $ 6,965 3.92% 3.12% $ 1,690 $ 1,716 3.99% 2.64% > 3 years and ≤ 5 years 18,359 17,934 3.81% 3.14% 5,518 5,586 3.35% 2.73% > 5 years and ≤10 years 75,057 73,711 3.73% 3.06% 72,503 73,588 3.92% 3.37% > 10 years 159 153 3.61% 3.48% 4,576 4,679 3.57% 3.30% Total $ 100,683 $ 98,763 3.76% 3.08% $ 84,287 $ 85,569 3.86% 3.31% |
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, 2019 and December 31, 2018 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss September 30, 2019 $ 10 $ (1 ) $ 9,651 $ (89 ) $ 9,661 $ (90 ) December 31, 2018 $ 4,783 $ (72 ) $ 18,231 $ (878 ) $ 23,014 $ (950 ) |
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, 2019 and 2018 by investment classification of accounting (in millions): Three Months Ended September 30, 2019 2018 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 $ — $ (7,080 ) $ (7,080 ) $ (1,965 ) $ (1,039 ) $ (3,004 ) Proceeds from investment securities sold 1 — 7,169 7,169 1,929 1,035 2,964 Net gain (loss) on sale of investment securities $ — $ 89 $ 89 $ (36 ) $ (4 ) $ (40 ) Gross gain on sale of investment securities $ — $ 90 $ 90 $ 1 $ 2 $ 3 Gross loss on sale of investment securities — (1 ) (1 ) (37 ) (6 ) (43 ) Net gain (loss) on sale of investment securities $ — $ 89 $ 89 $ (36 ) $ (4 ) $ (40 ) Nine Months Ended September 30, 2019 2018 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 $ (705 ) $ (19,411 ) $ (20,116 ) $ (3,801 ) $ (4,017 ) $ (7,818 ) Proceeds from investment securities sold 1 696 19,701 20,397 3,746 3,956 7,702 Net gain (loss) on sale of investment securities $ (9 ) $ 290 $ 281 $ (55 ) $ (61 ) $ (116 ) Gross gain on sale of investment securities $ — $ 294 $ 294 $ 6 $ 12 $ 18 Gross loss on sale of investment securities (9 ) (4 ) (13 ) (61 ) (73 ) (134 ) Net gain (loss) on sale of investment securities $ (9 ) $ 290 $ 281 $ (55 ) $ (61 ) $ (116 ) ________________________________ 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 Rev_2
Repurchase Agreements and Reverse Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Borrowings under Repurchase Agreements and Weighted Average Interest Rates | he following table summarizes our borrowings under repurchase agreements by their remaining maturities as of September 30, 2019 and December 31, 2018 (dollars in millions): September 30, 2019 December 31, 2018 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 $ 51,651 2.56 % 10 $ 48,533 2.88 % 9 > 1 to ≤ 3 months 14,886 2.28 % 56 20,991 2.57 % 56 > 3 to ≤ 6 months 17,044 2.41 % 102 2,218 2.65 % 167 > 6 to ≤ 9 months 4,118 2.43 % 201 200 3.19 % 208 > 9 to ≤ 12 months — — % — 950 2.80 % 279 > 12 to ≤ 24 months 925 2.66 % 464 2,200 2.91 % 438 > 24 to ≤ 36 months 1,600 2.50 % 914 625 3.11 % 776 Total Agency repo 90,224 2.48 % 64 75,717 2.79 % 49 U.S. Treasury repo: > 1 day to ≤ 1 month 388 2.17 % 1 — — % — Total $ 90,612 2.48 % 64 $ 75,717 2.79 % 49 |
Derivative and Other Hedging _2
Derivative and Other Hedging Instruments (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Derivative [Line Items] | |
Schedule of Interest Rate Swap Agreement by Receive Index (as a percentage of Notional Amount) [Table Text Block] | Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount) September 30, 2019 December 31, 2018 OIS 79 % — % 3M LIBOR 14 % 100 % SOFR 7 % — % Total 100 % 100 % |
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, 2019 and December 31, 2018 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location September 30, 2019 December 31, 2018 Interest rate swaps Derivative assets, at fair value $ 17 $ 126 Swaptions Derivative assets, at fair value 74 37 TBA securities Derivative assets, at fair value 67 110 U.S. Treasury futures - short Derivative assets, at fair value 17 — Total derivative assets, at fair value $ 175 $ 273 Interest rate swaps Derivative liabilities, at fair value $ (2 ) $ — TBA securities Derivative liabilities, at fair value (20 ) (40 ) U.S. Treasury futures - short Derivative liabilities, at fair value — (44 ) Total derivative liabilities, at fair value $ (22 ) $ (84 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 215 $ 46 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (5,114 ) (21,431 ) Total U.S. Treasury securities, net at fair value $ (4,899 ) $ (21,385 ) |
Schedule of Interest Rate Swaption Agreements Outstanding | Swaptions Option Underlying Payer Swap Current Option Expiration Date Cost Basis Fair Value Average Months to Current Option Expiration Date 1 Notional Amount Average Fixed Pay Rate Average Receive Rate (LIBOR) Average Term (Years) September 30, 2019 ≤ 1 year $ 99 $ 27 9 $ 3,950 2.40% 3M 9.0 > 1 year ≤ 2 years 77 47 17 4,700 2.39% 3M 10.0 Total $ 176 $ 74 13 $ 8,650 2.39% 3M 9.5 December 31, 2018 ≤ 1 year $ 80 $ 23 4 $ 3,000 2.96% 3M 7.0 > 1 year ≤ 2 years 18 14 18 500 2.78% 3M 10.0 Total $ 98 $ 37 6 $ 3,500 2.93% 3M 7.4 ________________________________ 1. As of September 30, 2019 and December 31, 2018 , ≤ 1 year notional amount includes $700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date. U.S. Treasury Securities September 30, 2019 December 31, 2018 Maturity Face Amount Long/(Short) Cost Basis 1 Fair Value Face Amount Long/(Short) Cost Basis 1 Fair Value 5 years $ 198 $ 199 $ 204 $ (703 ) $ (706 ) $ (713 ) 7 years — — — (14,357 ) (14,325 ) (14,410 ) 10 years (4,622 ) (4,707 ) (5,103 ) (6,240 ) (6,224 ) (6,262 ) Total U.S. Treasury securities $ (4,424 ) $ (4,508 ) $ (4,899 ) $ (21,300 ) $ (21,255 ) $ (21,385 ) |
US government securities | U.S. Treasury Securities September 30, 2019 December 31, 2018 Maturity Face Amount Long/(Short) Cost Basis 1 Fair Value Face Amount Long/(Short) Cost Basis 1 Fair Value 5 years $ 198 $ 199 $ 204 $ (703 ) $ (706 ) $ (713 ) 7 years — — — (14,357 ) (14,325 ) (14,410 ) 10 years (4,622 ) (4,707 ) (5,103 ) (6,240 ) (6,224 ) (6,262 ) Total U.S. Treasury securities $ (4,424 ) $ (4,508 ) $ (4,899 ) $ (21,300 ) $ (21,255 ) $ (21,385 ) ________________________________ 1. As of September 30, 2019 and December 31, 2018 , our short U.S. Treasury securities had a weighted average yield of 2.67% and 2.66% , respectively, and our long U.S. Treasury securities had a weighted average yield of 2.21% and 2.98% , respectively. |
US Government Futures Securities [Table Text Block] | U.S. Treasury Futures September 30, 2019 December 31, 2018 Maturity Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 10 years $ (1,000 ) $ (1,320 ) $ (1,303 ) $ 17 $ (1,650 ) $ (1,969 ) $ (2,013 ) $ (44 ) ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract 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, 2019 December 31, 2018 TBA Securities by Coupon Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 15-Year TBA securities: 2.5% $ 195 $ 196 $ 197 $ 1 $ — $ — $ — $ — 3.0% 1,096 1,122 1,120 (2 ) 567 557 566 9 3.5% 330 343 341 (2 ) 1,706 1,708 1,726 18 4.0% 150 156 156 — 1,350 1,370 1,381 11 Total 15-Year TBA securities 1,771 1,817 1,814 (3 ) 3,623 3,635 3,673 38 30-Year TBA securities: ≤3.0% 6,994 7,008 7,054 46 1,028 981 1,003 22 3.5% (4,050 ) (4,158 ) (4,155 ) 3 (2,979 ) (2,943 ) (2,977 ) (34 ) 4.0% (3,170 ) (3,291 ) (3,290 ) 1 3,030 3,073 3,089 16 ≥ 4.5% 422 444 444 — 2,450 2,506 2,534 28 Total 30-Year TBA securities, net 196 3 53 50 3,529 3,617 3,649 32 Total TBA securities, net $ 1,967 $ 1,820 $ 1,867 $ 47 $ 7,152 $ 7,252 $ 7,322 $ 70 ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) 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, 2019 and 2018 (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, 2019: TBA securities, net $ 11,043 24,305 (33,381 ) $ 1,967 $ 144 Interest rate swaps $ 74,950 82,625 (75,800 ) $ 81,775 (482 ) Payer swaptions $ 4,400 4,500 (250 ) $ 8,650 (19 ) Receiver swaptions $ — (175 ) 175 $ — — U.S. Treasury securities - short position $ (7,245 ) (98 ) 2,710 $ (4,633 ) (154 ) U.S. Treasury securities - long position $ 1,134 353 (1,278 ) $ 209 5 U.S. Treasury futures contracts - short position $ (1,650 ) (1,000 ) 1,650 $ (1,000 ) (40 ) $ (546 ) Three months ended September 30, 2018: TBA securities, net $ 19,805 55,702 (66,233 ) $ 9,274 $ (56 ) Interest rate swaps $ 47,875 2,150 (1,350 ) $ 48,675 282 Payer swaptions $ 5,600 — — $ 5,600 30 U.S. Treasury securities - short position $ (13,394 ) (4,402 ) 1,583 $ (16,213 ) 150 U.S. Treasury securities - long position $ — 792 (682 ) $ 110 — U.S. Treasury futures contracts - short position $ (1,650 ) (1,650 ) 1,650 $ (1,650 ) 21 $ 427 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 Nine months ended September 30, 2019: TBA securities, net $ 7,152 70,606 (75,791 ) $ 1,967 $ 390 Interest rate swaps $ 51,625 152,975 (122,825 ) $ 81,775 (2,097 ) Payer swaptions $ 3,500 7,150 (2,000 ) $ 8,650 (71 ) Receiver swaptions $ — (175 ) 175 $ — — U.S. Treasury securities - short position $ (21,345 ) (7,404 ) 24,116 $ (4,633 ) (1,084 ) U.S. Treasury securities - long position $ 45 1,776 (1,612 ) $ 209 11 U.S. Treasury futures contracts - short position $ (1,650 ) (4,300 ) 4,950 $ (1,000 ) (128 ) $ (2,979 ) Nine months ended September 30, 2018: TBA securities, net $ 15,474 163,777 (169,977 ) $ 9,274 $ (362 ) Interest rate swaps $ 43,700 9,800 (4,825 ) $ 48,675 1,161 Payer swaptions $ 6,650 1,100 (2,150 ) $ 5,600 155 U.S. Treasury securities - short position $ (10,699 ) (10,693 ) 5,179 $ (16,213 ) 397 U.S. Treasury securities - long position $ — 1,841 (1,731 ) $ 110 — U.S. Treasury futures contracts - short position $ (2,910 ) (6,209 ) 7,469 $ (1,650 ) 104 $ 1,455 ________________________________ 1. |
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, 2019 and December 31, 2018 (dollars in millions): September 30, 2019 December 31, 2018 Pay Fixed / Receive Variable Interest Rate Swaps Notional Average Rate Average Average Notional 1 Average Rate 2 Average Average ≤ 3 years $ 62,900 1.37% 1.98% 1.8 $ 19,900 1.63% 2.62% 1.3 > 3 to ≤ 5 years 9,850 1.17% 1.90% 4.0 8,425 2.06% 2.61% 4.0 > 5 to ≤ 7 years 4,300 1.28% 1.94% 6.5 7,875 2.66% 2.66% 6.1 > 7 to ≤ 10 years 3,700 1.42% 2.01% 8.7 10,550 2.36% 2.64% 8.8 > 10 years 1,025 1.69% 2.12% 16.2 4,875 2.77% 2.63% 11.6 Total $ 81,775 1.35% 1.98% 2.8 $ 51,625 2.11% 2.63% 5.0 |
Pledged Assets (Tables)
Pledged Assets (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Pledged Assets [Abstract] | |
Schedule of Securities and Cash Pledged as Collateral from Counterparties [Table Text Block] | As of September 30, 2019 and December 31, 2018 , we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). September 30, 2019 December 31, 2018 Assets Pledged to AGNC 1 Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total U.S. Treasury securities - fair value $ 6,067 $ — $ 8 $ 6,075 $ 21,876 $ 35 $ 37 $ 21,948 Cash — 63 11 74 — 129 — 129 Total $ 6,067 $ 63 $ 19 $ 6,149 $ 21,876 $ 164 $ 37 $ 22,077 |
Schedule of Financial Instruments Owned and Pledged as Collateral | The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of September 30, 2019 and December 31, 2018 (in millions): September 30, 2019 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3 Total Agency RMBS - fair value $ 93,333 $ 393 $ 423 $ 198 $ 94,347 CRT - fair value 358 — — — 358 Non-Agency - fair value — — — — — U.S. Treasury securities - fair value 671 — — 33 704 Accrued interest on pledged securities 277 1 1 1 280 Restricted cash and cash equivalents 180 — 551 — 731 Total $ 94,819 $ 394 $ 975 $ 232 $ 96,420 December 31, 2018 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3 Total Agency RMBS - fair value $ 78,997 $ 436 $ 174 $ 133 $ 79,740 CRT - fair value 141 — — — 141 Non-Agency - fair value 45 — — — 45 U.S. Treasury securities - fair value 437 — — — 437 Accrued interest on pledged securities 246 1 1 — 248 Restricted cash and cash equivalents 77 — 522 — 599 Total $ 79,943 $ 437 $ 697 $ 133 $ 81,210 ________________________________ 1. Includes repledged assets received as collateral from counterparties. 2. Includes $161 million and $163 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2019 and December 31, 2018 , respectively. 3. Includes margin for TBAs cleared through prime brokers 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 by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of September 30, 2019 and December 31, 2018 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 . September 30, 2019 December 31, 2018 Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2 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 ≤ 30 days $ 53,407 $ 52,325 $ 156 $ 49,944 $ 50,654 $ 156 > 30 and ≤ 60 days 10,087 9,915 30 14,586 14,810 46 > 60 and ≤ 90 days 5,603 5,517 17 7,770 7,843 24 > 90 days 24,757 24,264 74 6,882 7,079 21 Total $ 93,854 $ 92,021 $ 277 $ 79,182 $ 80,386 $ 247 ________________________________ 1. Includes $161 million and $163 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2019 and December 31, 2018 , respectively. 2. Excludes $542 million |
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, 2019 and December 31, 2018 (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, 2019 Interest rate swap and swaption agreements, at fair value 1 $ 91 $ — $ 91 $ (1 ) $ (63 ) $ 27 TBA securities, at fair value 67 — 67 (20 ) — 47 Receivable under reverse repurchase agreements 6,093 — 6,093 (6,093 ) — — Total $ 6,251 $ — $ 6,251 $ (6,114 ) $ (63 ) $ 74 December 31, 2018 Interest rate swap and swaption agreements, at fair value 1 $ 163 $ — $ 163 $ — $ (158 ) $ 5 TBA securities, at fair value 110 — 110 (40 ) — 70 Receivable under reverse repurchase agreements 21,813 — 21,813 (17,236 ) (4,575 ) 2 Total $ 22,086 $ — $ 22,086 $ (17,276 ) $ (4,733 ) $ 77 |
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, 2019 Interest rate swap agreements, at fair value 1 $ 2 $ — $ 2 $ (1 ) $ (1 ) $ — TBA securities, at fair value 20 — 20 (20 ) — — Repurchase agreements 90,612 — 90,612 (6,093 ) (84,519 ) — Total $ 90,634 $ — $ 90,634 $ (6,114 ) $ (84,520 ) $ — December 31, 2018 Interest rate swap agreements, at fair value 1 $ — $ — $ — $ — $ — $ — TBA securities, at fair value 40 — 40 (40 ) — — Repurchase agreements 75,717 — 75,717 (17,236 ) (58,481 ) — Total $ 75,757 $ — $ 75,757 $ (17,276 ) $ (58,481 ) $ — ________________________________ 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. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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, 2019 and December 31, 2018 based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented. September 30, 2019 December 31, 2018 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 98,577 $ — $ — $ 82,291 $ — Agency securities transferred to consolidated VIEs — 393 — — 436 — Credit risk transfer securities — 1,134 — — 1,012 — Non-Agency securities — 579 — — 548 — U.S. Treasury securities 215 — — 46 — — Interest rate swaps — 17 — — 126 — Swaptions — 74 — — 37 — TBA securities — 67 — — 110 — U.S. Treasury futures 17 — — — — — Total $ 232 $ 100,841 $ — $ 46 $ 84,560 $ — Liabilities: Debt of consolidated VIEs $ — $ 238 $ — $ — $ 275 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 5,114 — — 21,431 — — Interest rate swaps — 2 — — — — TBA securities — 20 — — 40 — U.S. Treasury futures — — — 44 — — Total $ 5,114 $ 260 $ — $ 21,475 $ 315 $ — |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Equity [Abstract] | |
Preferred Stock [Table Text Block] | The following is a summary of our preferred stock issued and outstanding as of September 30, 2019 (dollars and shares in millions). Please see Note 11, Subsequent Events, for additional information related to our preferred stock. Preferred Stock Issuance Date Depositary Shares Issued and Outstanding Carrying Value Aggregate Liquidation Preference Fixed Rate Optional Redemption Date 2 Fixed-to-Floating Rate Conversion Date Floating Annual Rate Fixed Rate Series B May 8, 2014 7.0 $ 169 $ 175 7.750% May 8, 2019 N/A N/A Fixed-to-Floating Rate 1 Series C August 22, 2017 13.0 315 325 7.000% October 15, 2022 October 15, 2022 3M LIBOR + 5.111% Series D March 6, 2019 9.4 227 235 6.875% April 15, 2024 April 15, 2024 3M LIBOR + 4.332% Total 29.4 $ 711 $ 735 ________________________________ 1. Fixed-to-floating rate redeemable preferred stock accrue dividends at an annual fixed rate of the $25.00 liquidation preference per depositary share from the issuance date up to, but not including, the fixed-to-floating rate conversion date; thereafter, dividends will accrue on a floating rate basis equal to 3-month LIBOR plus a fixed spread. 2. Shares may be redeemed prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for U.S federal income tax purposes. |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes changes to accumulated OCI for the three and nine months ended September 30, 2019 and 2018 (in millions): Three Months Ended September 30, Nine Months Ended September 30, Accumulated Other Comprehensive Income (Loss) 2019 2018 2019 2018 Beginning Balance $ (164 ) $ (1,111 ) $ (943 ) $ (345 ) OCI before reclassifications 246 (229 ) 1,016 (1,014 ) (Gain) loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities — 36 9 55 Ending Balance $ 82 $ (1,304 ) $ 82 $ (1,304 ) |
Organization (Details)
Organization (Details) | 9 Months Ended |
Sep. 30, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
Intended annual distribution of taxable net income | 100.00% |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies (Details) | 9 Months Ended |
Sep. 30, 2019 | |
Derivative [Line Items] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
Summary of Significant Accoun_5
Summary of Significant Accounting Policies Variable Interest Entities (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Variable Interest Entity [Line Items] | ||
Other Long-term Debt | $ 238 | $ 275 |
Debt Instrument, Description of Variable Rate Basis | LIBOR | |
Spread Over LIBOR | 43 | 40 |
Weighted Average Life Other Debt | 5 years 4 months 24 days | 6 years 1 month 6 days |
Investment Securities (Narrativ
Investment Securities (Narrative) (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | ||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 100,700 | $ 84,300 |
Weighted average expected constant prepayment rate | 13.40% | 7.90% |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | $ (393) | $ (436) |
Debt, at fair value | (238) | (275) |
Agency Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Unamortized premium balance | 3,100 | 2,900 |
TBA securities Fifteen Year and Thirty Year Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Net long TBA position, at fair value | 1,900 | 7,300 |
TBA, net carrying value | $ 47 | $ 70 |
Credit Risk Transfer Securities [Member] | Minimum [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Weighted Average Coupon Rate | 2.70% | 3.90% |
Underlying Collateral Coupon | 3.70% | 3.80% |
Credit Risk Transfer Securities [Member] | Maximum [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Weighted Average Coupon Rate | 8.40% | 9.50% |
Underlying Collateral Coupon | 5.10% | 4.80% |
Investment Securities Investmen
Investment Securities Investment Securities (Summary of Investment in Agency Security) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | $ 98,763 | $ 85,569 |
Debt Securities, Trading and Available-for-sale | 100,683 | 84,287 |
Total agency MBS, at fair value | 98,970 | 82,727 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 194 | 264 |
Debt Securities, Trading and Available-for-sale | 209 | 266 |
Commercial Mortgage Backed Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 345 | 280 |
Debt Securities, Trading and Available-for-sale | 370 | 282 |
Credit Risk Transfer Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 1,123 | 1,006 |
Debt Securities, Trading and Available-for-sale | 1,134 | 1,012 |
Fixed Income Securities [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 96,259 | 83,047 |
Debt Securities, Trading and Available-for-sale | 98,090 | 81,753 |
Adjustable-Rate [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 171 | 212 |
Debt Securities, Trading and Available-for-sale | 174 | 213 |
Collateralized Mortgage Obligations [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 482 | 588 |
Debt Securities, Trading and Available-for-sale | 490 | 583 |
Multifamily [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 37 | 0 |
Debt Securities, Trading and Available-for-sale | 40 | 0 |
Interest Only And Principal Only Strip [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 152 | 172 |
Debt Securities, Trading and Available-for-sale | 176 | 178 |
Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | $ 97,101 | $ 84,019 |
Investment Securities (Componen
Investment Securities (Components Of Investment Securities) (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Schedule of Investments [Line Items] | ||
Agency securities transferred to consolidated VIEs | $ 393 | $ 436 |
Debt Securities, Trading | 79,558 | 60,692 |
Debt Securities, Trading and Available-for-sale | 100,683 | 84,287 |
Amortized cost | $ 98,763 | $ 85,569 |
Weighted average coupon | 3.76% | 3.86% |
Weighted average yield | 3.08% | 3.31% |
Future Prepayment Rate Assumption Of Investment Portfolio | 13.40% | 7.90% |
Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 20,042 | $ 23,295 |
Unamortized discount | (14) | (12) |
Unamortized premium | 1,015 | 1,255 |
Amortized cost | 21,043 | 24,538 |
Gross unrealized gains | 172 | 7 |
Gross unrealized losses | (90) | (950) |
Total available-for-sale securities, at fair value | 21,125 | 23,595 |
Trading Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (80) | (103) |
Unamortized premium | 2,213 | 1,736 |
Debt Securities, Trading, Unrealized Gain | 1,880 | 303 |
Debt Securities, Trading, Unrealized Loss | (42) | (642) |
Trading Securities, Cost | 77,720 | 61,031 |
Trading Securities Par | 75,587 | 59,398 |
Fannie Mae [Member] | ||
Schedule of Investments [Line Items] | ||
Debt Securities, Trading | 44,831 | 40,267 |
Debt Securities, Trading and Available-for-sale | $ 60,665 | $ 58,078 |
Weighted average coupon | 3.72% | 3.82% |
Weighted average yield | 3.06% | 3.28% |
Fannie Mae [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 15,033 | $ 17,591 |
Unamortized discount | (12) | (10) |
Unamortized premium | 731 | 912 |
Amortized cost | 15,752 | 18,493 |
Gross unrealized gains | 142 | 4 |
Gross unrealized losses | (60) | (686) |
Total available-for-sale securities, at fair value | 15,834 | 17,811 |
Fannie Mae [Member] | Trading Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (64) | (78) |
Unamortized premium | 1,179 | 1,055 |
Debt Securities, Trading, Unrealized Gain | 1,095 | 223 |
Debt Securities, Trading, Unrealized Loss | (21) | (386) |
Trading Securities, Cost | 43,757 | 40,430 |
Trading Securities Par | 42,642 | 39,453 |
Freddie Mac [Member] | ||
Schedule of Investments [Line Items] | ||
Debt Securities, Trading | 33,014 | 18,871 |
Debt Securities, Trading and Available-for-sale | $ 38,284 | $ 24,623 |
Weighted average coupon | 3.78% | 3.87% |
Weighted average yield | 3.07% | 3.28% |
Freddie Mac [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 4,989 | $ 5,673 |
Unamortized discount | (2) | (2) |
Unamortized premium | 284 | 343 |
Amortized cost | 5,271 | 6,014 |
Gross unrealized gains | 29 | 2 |
Gross unrealized losses | (30) | (264) |
Total available-for-sale securities, at fair value | 5,270 | 5,752 |
Freddie Mac [Member] | Trading Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (2) | (9) |
Unamortized premium | 997 | 638 |
Debt Securities, Trading, Unrealized Gain | 729 | 57 |
Debt Securities, Trading, Unrealized Loss | (15) | (243) |
Trading Securities, Cost | 32,300 | 19,057 |
Trading Securities Par | 31,305 | 18,428 |
Ginnie Mae [Member] | ||
Schedule of Investments [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
Debt Securities, Trading and Available-for-sale | $ 21 | $ 26 |
Weighted average coupon | 3.83% | 3.37% |
Weighted average yield | 2.09% | 2.04% |
Ginnie Mae [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 20 | $ 25 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Amortized cost | 20 | 25 |
Gross unrealized gains | 1 | 1 |
Gross unrealized losses | 0 | 0 |
Total available-for-sale securities, at fair value | 21 | 26 |
Ginnie Mae [Member] | Trading Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Debt Securities, Trading, Unrealized Gain | 0 | 0 |
Debt Securities, Trading, Unrealized Loss | 0 | 0 |
Trading Securities, Cost | 0 | 0 |
Trading Securities Par | 0 | 0 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Investments [Line Items] | ||
Debt Securities, Trading | 209 | 260 |
Debt Securities, Trading and Available-for-sale | $ 209 | $ 266 |
Weighted average coupon | 4.06% | 3.83% |
Weighted average yield | 4.45% | 4.22% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 0 | $ 6 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Amortized cost | 0 | 6 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | 0 | 0 |
Total available-for-sale securities, at fair value | 0 | 6 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Trading Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (10) | (10) |
Unamortized premium | 1 | 0 |
Debt Securities, Trading, Unrealized Gain | 14 | 2 |
Debt Securities, Trading, Unrealized Loss | 0 | 0 |
Trading Securities, Cost | 195 | 258 |
Trading Securities Par | 204 | 268 |
Commercial Mortgage Backed Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Debt Securities, Trading | 370 | 282 |
Debt Securities, Trading and Available-for-sale | $ 370 | $ 282 |
Weighted average coupon | 4.57% | 4.58% |
Weighted average yield | 4.36% | 4.68% |
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] | Trading Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (2) | (6) |
Unamortized premium | 7 | 5 |
Debt Securities, Trading, Unrealized Gain | 25 | 3 |
Debt Securities, Trading, Unrealized Loss | 0 | (1) |
Trading Securities, Cost | 345 | 280 |
Trading Securities Par | 340 | 281 |
Credit Risk Transfer Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Debt Securities, Trading | 1,134 | 1,012 |
Debt Securities, Trading and Available-for-sale | $ 1,134 | $ 1,012 |
Weighted average coupon | 5.18% | 5.86% |
Weighted average yield | 3.68% | 5.16% |
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] | Trading Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (2) | 0 |
Unamortized premium | 29 | 38 |
Debt Securities, Trading, Unrealized Gain | 17 | 18 |
Debt Securities, Trading, Unrealized Loss | (6) | (12) |
Trading Securities, Cost | 1,123 | 1,006 |
Trading Securities Par | 1,096 | 968 |
Credit Risk Transfer Securities [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Debt Securities, Trading and Available-for-sale | $ 1,134 | $ 1,012 |
Investment Securities (Summary
Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Agency securities classified as available for sale, Fair value | $ 100,683 | $ 84,287 |
Agency securities classified as available for sale, Amortized cost | $ 98,763 | $ 85,569 |
Weighted Average Coupon | 3.76% | 3.86% |
Weighted Average Yield | 3.08% | 3.31% |
Less Than or Equal to Three Years [Member] | ||
Fair Value | $ 7,108 | $ 1,690 |
Amortized Cost | $ 6,965 | $ 1,716 |
Weighted Average Coupon | 3.92% | 3.99% |
Weighted Average Yield | 3.12% | 2.64% |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | ||
Fair Value | $ 18,359 | $ 5,518 |
Amortized Cost | $ 17,934 | $ 5,586 |
Weighted Average Coupon | 3.81% | 3.35% |
Weighted Average Yield | 3.14% | 2.73% |
Greater Than Five Years [Member] | ||
Fair Value | $ 75,057 | $ 72,503 |
Amortized Cost | $ 73,711 | $ 73,588 |
Weighted Average Coupon | 3.73% | 3.92% |
Weighted Average Yield | 3.06% | 3.37% |
Greater Than Ten Years [Member] | ||
Fair Value | $ 159 | $ 4,576 |
Amortized Cost | $ 153 | $ 4,679 |
Weighted Average Coupon | 3.61% | 3.57% |
Weighted Average Yield | 3.48% | 3.30% |
Investment Securities (Summar_2
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Unrealized Gains and (Losses), Net | $ 246 | $ (193) | $ 1,025 | $ (959) |
Agency Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning OCI Balance | (164) | (1,111) | (943) | (345) |
Unrealized Gains and (Losses), Net | 246 | (229) | 1,016 | (1,014) |
Reversal of Unrealized (Gains) and Losses, Net on Realization | 0 | 36 | 9 | 55 |
Ending OCI Balance | $ 82 | $ (1,304) | $ 82 | $ (1,304) |
Investment Securities (Summar_3
Investment Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) - Accumulated Other Comprehensive Income (Loss) [Member] - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Unrealized Loss Position For - Estimated Fair Value - Less than 12 Months | $ 10 | $ 4,783 |
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months | (1) | (72) |
Unrealized Loss Position For - Estimated Fair Value - 12 Months or More | 9,651 | 18,231 |
Unrealized Loss Position For - Unrealized Loss - 12 Months or More | (89) | (878) |
Unrealized Loss Position For - Estimated Fair Value - Total | 9,661 | 23,014 |
Unrealized Loss Position For - Unrealized Loss - Total | $ (90) | $ (950) |
Investment Securities (Summar_4
Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Cost of Sale of Fair Value Option Securities | $ (7,080) | $ (1,039) | $ (19,411) | $ (4,017) |
Cost of Sale of Investment Securities | (7,080) | (3,004) | (20,116) | (7,818) |
Proceeds from agency MBS sold | 8,313 | 12,381 | ||
Net gain (loss) on sale of investment securities | 89 | (40) | 281 | (116) |
Available-for-sale Securities [Member] | ||||
Agency MBS sold, at cost | 0 | (1,965) | (705) | (3,801) |
Proceeds from agency MBS sold | 0 | 1,929 | 696 | 3,746 |
Net gain (loss) on sale of investment securities | (36) | (55) | ||
Gross gain on sale of investment securities | 0 | 1 | 0 | 6 |
Gross loss on sale of investment securities | 0 | (37) | (9) | (61) |
Securities Remeasured at Fair Value [Member] | ||||
Proceeds from agency MBS sold | 7,169 | 1,035 | 19,701 | 3,956 |
Net gain (loss) on sale of investment securities | (4) | (61) | ||
Gross gain on sale of investment securities | 90 | 2 | 294 | 12 |
Gross loss on sale of investment securities | (1) | (6) | (4) | (73) |
Securities (Assets) [Member] | ||||
Proceeds from agency MBS sold | 7,169 | 2,964 | 20,397 | 7,702 |
Net gain (loss) on sale of investment securities | 89 | (40) | 281 | (116) |
Gross gain on sale of investment securities | 90 | 3 | 294 | 18 |
Gross loss on sale of investment securities | (1) | $ (43) | (13) | $ (134) |
Cost and Proceeds of Investment Securities [Member] | Available-for-sale Securities [Member] | ||||
Net gain (loss) on sale of investment securities | 0 | (9) | ||
Cost and Proceeds of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | ||||
Net gain (loss) on sale of investment securities | 89 | 290 | ||
Gross Gain & Loss of Investment Securities [Member] | Available-for-sale Securities [Member] | ||||
Net gain (loss) on sale of investment securities | 0 | (9) | ||
Gross Gain & Loss of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | ||||
Net gain (loss) on sale of investment securities | $ 89 | $ 290 |
Investment Securities Securitie
Investment Securities Securities by Credit Rating (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | $ 79,558 | $ 60,692 |
Debt Securities, Trading and Available-for-sale | 100,683 | 84,287 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 209 | 260 |
Debt Securities, Trading and Available-for-sale | 209 | 266 |
Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 370 | 282 |
Debt Securities, Trading and Available-for-sale | 370 | 282 |
Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 1,134 | 1,012 |
Debt Securities, Trading and Available-for-sale | 1,134 | 1,012 |
Securities Remeasured at Fair Value [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading and Available-for-sale | 1,134 | 1,012 |
BBB Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 70 | 43 |
BBB Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 57 | 53 |
BBB Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 21 | 25 |
BB Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 17 | 8 |
BB Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 10 | 10 |
BB Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 569 | 492 |
AAA Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 160 |
AAA Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 38 | 52 |
AAA Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
AA Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 84 | 17 |
AA Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 237 | 152 |
AA Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
A Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 26 | 33 |
A Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 28 | 15 |
A Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 5 | 17 |
B Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 5 | 2 |
B Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
B Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 443 | 453 |
Not Rated [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 7 | 3 |
Not Rated [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
Not Rated [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | $ 96 | $ 25 |
Repurchase Agreements And Rev_3
Repurchase Agreements And Reverse Repurchase Agreements (Narrative) (Details) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019USD ($)days | Dec. 31, 2018USD ($)days | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Receivable Under Reverse Repurchase Agreements | $ 6,093 | $ 21,813 |
Securities Sold under Agreements to Repurchase | 90,612 | 75,717 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 5,114 | $ 21,431 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 2.48% | 2.79% |
Debt of consolidated variable interest entities, at fair value | $ (238) | $ (275) |
Description of variable rate basis | LIBOR | |
Basis spread over LIBOR | 43 | 40 |
Weighted average life of other debt | 5 years 4 months 24 days | 6 years 1 month 6 days |
TBA securities Fifteen Year and Thirty Year Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Fair Value, Net | $ 47 | $ 70 |
TBA and Forward Settling Agency Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Forward Settlement Value | 1,820 | 7,252 |
Derivative, Fair Value, Net | 47 | 70 |
Forward Contracts [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 4,000 | $ 10,700 |
Weighted Average Forward Start Days | days | 81 | 9 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 2.43% | 2.90% |
Agency Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 90,224 | $ 75,717 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 2.48% | 2.79% |
Bethesda Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Percentage of Repurchase Agreement Funding | 40.00% | 35.00% |
FICC [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Percentage of Repurchase Agreement Funding | 39.00% | 33.00% |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 5,000 | $ 4,500 |
Repurchase Agreements And Other
Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) $ in Millions | Sep. 30, 2019USD ($)days | Dec. 31, 2018USD ($)days |
Receivable Under Reverse Repurchase Agreements | $ 6,093 | $ 21,813 |
Repurchase Agreements | $ 90,612 | $ 75,717 |
Weighted Average Interest Rate | 2.48% | 2.79% |
Weighted Average Days to Maturity | days | 64 | 49 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 5,114 | $ 21,431 |
Maturity Overnight [Member] | ||
Repurchase Agreements | 10,300 | 19,500 |
30 Days or Less [Member] | ||
Repurchase Agreements | $ 51,651 | $ 48,533 |
Weighted Average Interest Rate | 2.56% | 2.88% |
Weighted Average Days to Maturity | days | 10 | 9 |
1 to 3 Months | ||
Repurchase Agreements | $ 14,886 | $ 20,991 |
Weighted Average Interest Rate | 2.28% | 2.57% |
Weighted Average Days to Maturity | days | 56 | 56 |
3 to 6 Months | ||
Repurchase Agreements | $ 17,044 | $ 2,218 |
Weighted Average Interest Rate | 2.41% | 2.65% |
Weighted Average Days to Maturity | days | 102 | 167 |
6 to 9 Months | ||
Repurchase Agreements | $ 4,118 | $ 200 |
Weighted Average Interest Rate | 2.43% | 3.19% |
Weighted Average Days to Maturity | days | 201 | 208 |
9 to 12 Months | ||
Repurchase Agreements | $ 0 | $ 950 |
Weighted Average Interest Rate | 0.00% | 2.80% |
Weighted Average Days to Maturity | days | 0 | 279 |
12 to 24 Months | ||
Repurchase Agreements | $ 925 | $ 2,200 |
Weighted Average Interest Rate | 2.66% | 2.91% |
Weighted Average Days to Maturity | days | 464 | 438 |
24 to 36 Months | ||
Repurchase Agreements | $ 1,600 | $ 625 |
Weighted Average Interest Rate | 2.50% | 3.11% |
Weighted Average Days to Maturity | days | 914 | 776 |
US Treasury Securities [Member] | 2 Days to 1 Month [Member] | ||
Repurchase Agreements | $ 388 | $ 0 |
Weighted Average Interest Rate | 2.17% | 0.00% |
Weighted Average Days to Maturity | days | 1 | 0 |
Agency Securities [Member] | ||
Repurchase Agreements | $ 90,224 | $ 75,717 |
Weighted Average Interest Rate | 2.48% | 2.79% |
Weighted Average Days to Maturity | days | 64 | 49 |
FICC [Member] | ||
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 5,000 | $ 4,500 |
Derivative and Other Hedging _3
Derivative and Other Hedging Instruments (Narrative) (Details) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||
Sep. 30, 2019USD ($) | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)month | Sep. 30, 2018USD ($) | Dec. 31, 2018USD ($)month | Jun. 30, 2019USD ($) | Jun. 30, 2018USD ($) | Dec. 31, 2017USD ($) | |
Interest Rate Swaption [Member] | ||||||||
Average Maturity (Years) | 9 years 6 months | 7 years 4 months 24 days | ||||||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 13 | 6 | ||||||
Notional Amount | $ 8,650 | $ 8,650 | $ 3,500 | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (19) | $ 30 | (71) | $ 155 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 4,500 | 0 | 7,150 | 1,100 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | $ (250) | 0 | $ (2,000) | (2,150) | ||||
Derivative, Average Fixed Interest Rate | 2.39% | 2.39% | 2.93% | |||||
Interest Rate Derivatives, at Fair Value, Net | $ 74 | $ 74 | $ 37 | |||||
Options At Cost | 176 | 98 | ||||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Notional Amount | 1,967 | 9,274 | 1,967 | 9,274 | 7,152 | $ 11,043 | $ 19,805 | $ 15,474 |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 144 | (56) | 390 | (362) | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 24,305 | 55,702 | 70,606 | 163,777 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (66,233) | (169,977) | ||||||
US Treasury Securities [Member] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (40) | 21 | (128) | 104 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (546) | 427 | (2,979) | 1,455 | ||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Notional Amount | 8,650 | 8,650 | ||||||
Short [Member] | US Treasury Securities [Member] | ||||||||
Notional Amount | 4,633 | 16,213 | 4,633 | 16,213 | 21,345 | 7,245 | 13,394 | 10,699 |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (154) | 150 | (1,084) | 397 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 98 | 4,402 | 7,404 | 10,693 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 2,710 | (1,583) | 24,116 | (5,179) | ||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 5 | 0 | 11 | 0 | ||||
Trading Securities Added During the Period | 353 | 792 | 1,776 | 1,841 | ||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (1,278) | (682) | (1,612) | (1,731) | ||||
Debt Securities, Trading, and Equity Securities, FV-NI | $ 110 | $ 110 | $ 45 | $ 1,134 | $ 0 | $ 0 | ||
Long [Member] | ||||||||
Debt Securities, Trading, and Equity Securities, FV-NI | $ 209 | $ 209 |
Derivative and Other Hedging _4
Derivative and Other Hedging Instruments (Fair Value Information) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Jun. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | ||||||||
Derivative asset, fair value | $ 175 | $ 175 | $ 273 | |||||
Derivative liability, fair value | (22) | (22) | (84) | |||||
Derivative assets, at fair value | (175) | (175) | (273) | |||||
Derivative Liability | (22) | (22) | (84) | |||||
U.S. Treasury securities | 215 | 215 | 46 | |||||
U.S. Treasury Securities - short | (5,114) | (5,114) | (21,431) | |||||
Total - (short)/long, net | (4,899) | (4,899) | (21,385) | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (546) | $ 427 | (2,979) | $ 1,455 | ||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 1,967 | 9,274 | 1,967 | 9,274 | $ 11,043 | 7,152 | $ 19,805 | $ 15,474 |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 24,305 | 55,702 | 70,606 | 163,777 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (66,233) | (169,977) | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 144 | (56) | 390 | (362) | ||||
Interest Rate Swap [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 81,775 | 81,775 | 51,625 | |||||
Derivative liability, fair value | (2) | (2) | 0 | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 82,625 | 2,150 | 152,975 | 9,800 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (75,800) | (1,350) | (122,825) | (4,825) | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (482) | 282 | (2,097) | 1,161 | ||||
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative asset, fair value | 17 | 17 | 126 | |||||
Interest Rate Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 8,650 | 8,650 | 3,500 | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 4,500 | 0 | 7,150 | 1,100 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (250) | 0 | (2,000) | (2,150) | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (19) | 30 | (71) | 155 | ||||
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative asset, fair value | 74 | 74 | 37 | |||||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative liability, fair value | (20) | (20) | (40) | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (33,381) | (75,791) | ||||||
US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (40) | 21 | (128) | 104 | ||||
US Treasury Securities [Member] | Fair Value, Recurring [Member] | Future [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative assets, at fair value | 17 | 17 | 0 | |||||
Derivative Liability | 0 | 0 | (44) | |||||
TBA and Forward Settling Agency Securities [Member] | Fair Value, 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 | (67) | (67) | (110) | |||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 81,775 | 81,775 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 8,650 | 8,650 | ||||||
Short [Member] | US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Liability, Notional Amount | 4,633 | 16,213 | 4,633 | 16,213 | 7,245 | 21,345 | 13,394 | 10,699 |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 98 | 4,402 | 7,404 | 10,693 | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 2,710 | (1,583) | 24,116 | (5,179) | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (154) | 150 | (1,084) | 397 | ||||
Long [Member] | ||||||||
Derivative [Line Items] | ||||||||
Debt Securities, Trading, and Equity Securities, FV-NI | 209 | 209 | ||||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 5 | 0 | 11 | 0 | ||||
Debt Securities, Trading, and Equity Securities, FV-NI | 110 | 110 | $ 1,134 | $ 45 | $ 0 | $ 0 | ||
Trading Securities Added During the Period | 353 | 792 | 1,776 | 1,841 | ||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (1,278) | $ (682) | $ (1,612) | $ (1,731) |
Derivative and Other Hedging _5
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, 2019USD ($) | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)month | Sep. 30, 2018USD ($) | Dec. 31, 2018USD ($)month | |
Interest Rate Swaps Linked to Overnight Index Swap Rate | 79.00% | 79.00% | 0.00% | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (546) | $ 427 | $ (2,979) | $ 1,455 | |
Interest Rate Swaps Linked to 3-Month LIBOR | 14.00% | 14.00% | 100.00% | ||
Interest Rate Swaps Linked to Secured Overnight Financing Rate | 7.00% | 7.00% | 0.00% | ||
Payer Swaption [Member] | |||||
Interest Rate Derivative Not Designated As Hedging Instruments Receive Rate | 3M | 3M | |||
Interest Rate Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (19) | 30 | $ (71) | 155 | |
Notional Amount | $ 8,650 | $ 8,650 | $ 3,500 | ||
Average Fixed Pay Rate | 2.39% | 2.39% | 2.93% | ||
Options At Cost | $ 176 | $ 98 | |||
Interest Rate Derivatives, at Fair Value, Net | $ 74 | $ 74 | $ 37 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 13 | 6 | |||
Average Maturity (Years) | 9 years 6 months | 7 years 4 months 24 days | |||
Forward Contracts [Member] | Interest Rate Swap [Member] | |||||
Derivative, Notional Amount | $ 5,700 | ||||
Weighted Average Forward Start Date | 6 months | ||||
Interest Rate Swap [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (482) | $ 282 | $ (2,097) | $ 1,161 | |
Notional Amount | $ 81,775 | $ 81,775 | $ 51,625 | ||
Average Fixed Pay Rate | 1.35% | 1.35% | 2.11% | ||
Average Receive Rate | 1.98% | 1.98% | 2.63% | ||
Average Maturity (Years) | 2 years 9 months 18 days | 5 years | |||
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 | $ 3,950 | $ 3,950 | $ 3,000 | ||
Average Fixed Pay Rate | 2.40% | 2.40% | 2.96% | ||
Options At Cost | $ 99 | $ 80 | |||
Interest Rate Derivatives, at Fair Value, Net | $ 27 | $ 27 | $ 23 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 9 | 4 | |||
Average Maturity (Years) | 9 years | 7 years | |||
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 | 3M | |||
Greater Than One Year and Less Than or Equal to Two Years [Member] | Interest Rate Swaption [Member] | |||||
Notional Amount | $ 4,700 | $ 4,700 | $ 500 | ||
Average Fixed Pay Rate | 2.39% | 2.39% | 2.78% | ||
Options At Cost | $ 77 | $ 18 | |||
Interest Rate Derivatives, at Fair Value, Net | $ 47 | $ 47 | $ 14 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 17 | 18 | |||
Average Maturity (Years) | 10 years | 10 years | |||
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 62,900 | $ 62,900 | $ 19,900 | ||
Average Fixed Pay Rate | 1.37% | 1.37% | 1.63% | ||
Average Receive Rate | 1.98% | 1.98% | 2.62% | ||
Average Maturity (Years) | 1 year 9 months 18 days | 1 year 3 months 18 days | |||
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 9,850 | $ 9,850 | $ 8,425 | ||
Average Fixed Pay Rate | 1.17% | 1.17% | 2.06% | ||
Average Receive Rate | 1.90% | 1.90% | 2.61% | ||
Average Maturity (Years) | 4 years | 4 years | |||
Greater Than Five Years and Less than or Equal to Seven Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 4,300 | $ 4,300 | $ 7,875 | ||
Average Fixed Pay Rate | 1.28% | 1.28% | 2.66% | ||
Average Receive Rate | 1.94% | 1.94% | 2.66% | ||
Average Maturity (Years) | 6 years 6 months | 6 years 1 month 6 days | |||
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 3,700 | $ 3,700 | $ 10,550 | ||
Average Fixed Pay Rate | 1.42% | 1.42% | 2.36% | ||
Average Receive Rate | 2.01% | 2.01% | 2.64% | ||
Average Maturity (Years) | 8 years 8 months 12 days | 8 years 9 months 18 days | |||
Greater Than Ten Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 1,025 | $ 1,025 | $ 4,875 | ||
Average Fixed Pay Rate | 1.69% | 1.69% | 2.77% | ||
Average Receive Rate | 2.12% | 2.12% | 2.63% | ||
Average Maturity (Years) | 16 years 2 months 12 days | 11 years 7 months 6 days |
Derivative and Other Hedging _6
Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2019USD ($) | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)month | Sep. 30, 2018USD ($) | Dec. 31, 2018USD ($)month | |
Interest Rate Swaps Linked to 3-Month LIBOR | 14.00% | 14.00% | 100.00% | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (546) | $ 427 | $ (2,979) | $ 1,455 | |
Interest Rate Swaps Linked to Overnight Index Swap Rate | 79.00% | 79.00% | 0.00% | ||
Interest Rate Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (19) | 30 | $ (71) | 155 | |
Cost | 176 | $ 98 | |||
Fair Value | 74 | $ 74 | $ 37 | ||
Average Months to Expiration | month | 13 | 6 | |||
Derivative Liability, Notional Amount | $ 8,650 | $ 8,650 | $ 3,500 | ||
Average Fixed Pay Rate | 2.39% | 2.39% | 2.93% | ||
Average Maturity (Years) | 9 years 6 months | 7 years 4 months 24 days | |||
Payer Swaption [Member] | |||||
Average Receive Rate (LIBOR) | 3M | 3M | |||
Interest Rate Swap [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (482) | $ 282 | $ (2,097) | $ 1,161 | |
Derivative Liability, Notional Amount | $ 81,775 | $ 81,775 | $ 51,625 | ||
Average Fixed Pay Rate | 1.35% | 1.35% | 2.11% | ||
Average Maturity (Years) | 2 years 9 months 18 days | 5 years | |||
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | |||||
Cost | $ 99 | $ 80 | |||
Fair Value | $ 27 | $ 27 | $ 23 | ||
Average Months to Expiration | month | 9 | 4 | |||
Derivative Liability, Notional Amount | $ 3,950 | $ 3,950 | $ 3,000 | ||
Average Fixed Pay Rate | 2.40% | 2.40% | 2.96% | ||
Average Maturity (Years) | 9 years | 7 years | |||
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 | $ 62,900 | $ 62,900 | $ 19,900 | ||
Average Fixed Pay Rate | 1.37% | 1.37% | 1.63% | ||
Average Maturity (Years) | 1 year 9 months 18 days | 1 year 3 months 18 days | |||
Bermudan [Member] | Interest Rate Swaption [Member] | |||||
Derivative Liability, Notional Amount | $ 700 | $ 700 | |||
Interest Rate Swaps Excluding Forward Starting [Member] | Interest Rate Swap [Member] | |||||
Average Fixed Pay Rate | 1.98% |
Derivative and Other Hedging _7
Derivative and Other Hedging Instruments (US Treasury Securities) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ (4,899) | $ (21,385) |
Weighted Average Yield Percentage | 3.08% | 3.31% |
7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ 0 | $ (14,357) |
At Par Value [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (4,424) | (21,300) |
TBA and Forward Settling Agency Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,967) | (7,152) |
Derivative, Forward Settlement Value | (1,820) | (7,252) |
Derivative Asset, Fair Value, Gross Asset | (1,867) | (7,322) |
Derivative, Fair Value, Net | 47 | 70 |
5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 198 | (703) |
10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (4,622) | (6,240) |
10 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 17 | (44) |
Short [Member] | 10 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,000) | (1,650) |
Derivative, Forward Settlement Value | (1,320) | (1,969) |
Derivative Asset, Fair Value, Gross Asset | (1,303) | (2,013) |
Fair Value Hedging [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (4,899) | (21,385) |
Fair Value Hedging [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 0 | (14,410) |
Fair Value Hedging [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 204 | (713) |
Fair Value Hedging [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (5,103) | (6,262) |
At Cost Basis [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (4,508) | (21,255) |
At Cost Basis [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 0 | (14,325) |
At Cost Basis [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | 199 | (706) |
At Cost Basis [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ (4,707) | $ (6,224) |
US Treasury Securities [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Weighted Average Yield Percentage | 2.67% | 2.66% |
US Treasury Securities [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Weighted Average Yield Percentage | 2.21% |
Derivative and Other Hedging _8
Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - TBA and Forward Settling Agency Securities [Member] - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Derivative, Notional Amount | $ (1,967) | $ (7,152) |
Cost Basis | (1,820) | (7,252) |
Net long TBA position, at fair value | (1,867) | (7,322) |
TBA, net carrying value | 47 | 70 |
30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (196) | (3,529) |
Cost Basis | (3) | (3,617) |
Net long TBA position, at fair value | (53) | (3,649) |
TBA, net carrying value | 50 | 32 |
30 Year Maturity [Member] | 3.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (6,994) | (1,028) |
Cost Basis | (7,008) | (981) |
Net long TBA position, at fair value | (7,054) | (1,003) |
TBA, net carrying value | 46 | 22 |
30 Year Maturity [Member] | 3.5% Coupon [Member] | ||
Derivative [Line Items] | ||
TBA, net carrying value | 3 | (34) |
30 Year Maturity [Member] | 4.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (3,030) | |
Cost Basis | (3,073) | |
Net long TBA position, at fair value | (3,089) | |
TBA, net carrying value | 1 | 16 |
30 Year Maturity [Member] | 4.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (422) | (2,450) |
Cost Basis | (444) | (2,506) |
Net long TBA position, at fair value | (444) | (2,534) |
TBA, net carrying value | 0 | 28 |
30 Year Maturity [Member] | Short [Member] | 3.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (4,050) | (2,979) |
Cost Basis | (4,158) | (2,943) |
Net long TBA position, at fair value | (4,155) | (2,977) |
30 Year Maturity [Member] | Short [Member] | 4.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (3,170) | |
Cost Basis | (3,291) | |
Net long TBA position, at fair value | (3,290) | |
15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,771) | (3,623) |
Cost Basis | (1,817) | (3,635) |
Net long TBA position, at fair value | (1,814) | (3,673) |
TBA, net carrying value | (3) | 38 |
15 Year Maturity [Member] | 2.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (195) | 0 |
Cost Basis | (196) | 0 |
Net long TBA position, at fair value | (197) | 0 |
TBA, net carrying value | 1 | 0 |
15 Year Maturity [Member] | 3.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,096) | (567) |
Cost Basis | (1,122) | (557) |
Net long TBA position, at fair value | (1,120) | (566) |
TBA, net carrying value | (2) | 9 |
15 Year Maturity [Member] | 3.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (330) | (1,706) |
Cost Basis | (343) | (1,708) |
Net long TBA position, at fair value | (341) | (1,726) |
TBA, net carrying value | (2) | 18 |
15 Year Maturity [Member] | 4.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (150) | (1,350) |
Cost Basis | (156) | (1,370) |
Net long TBA position, at fair value | (156) | (1,381) |
TBA, net carrying value | $ 0 | $ 11 |
Derivative and Other Hedging _9
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Jun. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | |
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | $ (546) | $ 427 | $ (2,979) | $ 1,455 | ||||
Interest Rate Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (3,500) | |||||||
Additions | (4,500) | 0 | (7,150) | (1,100) | ||||
Settlement, Expirations or Exercise | 250 | 0 | 2,000 | 2,150 | ||||
Notional Amount | (8,650) | (8,650) | ||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (19) | 30 | (71) | 155 | ||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (11,043) | (19,805) | (7,152) | (15,474) | ||||
Additions | (24,305) | (55,702) | (70,606) | (163,777) | ||||
Settlement, Expirations or Exercise | 66,233 | 169,977 | ||||||
Notional Amount | (1,967) | (9,274) | (1,967) | (9,274) | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 144 | (56) | 390 | (362) | ||||
Derivative, Notional Amount | (1,967) | (1,967) | $ (7,152) | |||||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Settlement, Expirations or Exercise | 33,381 | 75,791 | ||||||
Interest Rate Swap [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (51,625) | |||||||
Additions | (82,625) | (2,150) | (152,975) | (9,800) | ||||
Settlement, Expirations or Exercise | 75,800 | 1,350 | 122,825 | 4,825 | ||||
Notional Amount | (81,775) | (81,775) | ||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (482) | 282 | (2,097) | 1,161 | ||||
US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (40) | 21 | (128) | 104 | ||||
Receiver Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Additions | 175 | 175 | ||||||
Settlement, Expirations or Exercise | (175) | (175) | ||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 0 | 0 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (8,650) | (8,650) | ||||||
Derivative, Notional Amount | (5,600) | (5,600) | $ (4,400) | (3,500) | $ (5,600) | $ (6,650) | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (81,775) | (81,775) | ||||||
Derivative, Notional Amount | (48,675) | (48,675) | (74,950) | (51,625) | (47,875) | (43,700) | ||
Not Designated as Hedging Instrument [Member] | Receiver Swaption [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | 0 | 0 | ||||||
Derivative, Notional Amount | 0 | 0 | ||||||
Short [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (7,245) | (13,394) | (21,345) | (10,699) | ||||
Additions | (98) | (4,402) | (7,404) | (10,693) | ||||
Settlement, Expirations or Exercise | (2,710) | 1,583 | (24,116) | 5,179 | ||||
Notional Amount | (4,633) | (16,213) | (4,633) | (16,213) | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (154) | 150 | (1,084) | 397 | ||||
Long [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Debt Securities, Trading, and Equity Securities, FV-NI | 209 | 209 | ||||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 5 | 0 | 11 | 0 | ||||
Debt Securities, Trading, and Equity Securities, FV-NI | 110 | 110 | $ 1,134 | $ 45 | $ 0 | $ 0 | ||
Trading Securities Added During the Period | 353 | 792 | 1,776 | 1,841 | ||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (1,278) | (682) | (1,612) | (1,731) | ||||
Future [Member] | Short [Member] | US Treasury Securities [Member] | ||||||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||||||
Notional Amount | (1,650) | (1,650) | (1,650) | (2,910) | ||||
Additions | 1,000 | (1,650) | 4,300 | (6,209) | ||||
Settlement, Expirations or Exercise | (1,650) | 1,650 | (4,950) | 7,469 | ||||
Notional Amount | $ (1,000) | $ (1,650) | $ (1,000) | $ (1,650) |
Pledged Assets (Narrative) (Det
Pledged Assets (Narrative) (Details) | Sep. 30, 2019 |
Pledged Assets [Abstract] | |
Risk Of Repurchase Agreement To Stockholders Equity | 4.00% |
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, 2019USD ($)days | Dec. 31, 2018USD ($)days |
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ | $ 90,612 | $ 75,717 |
Risk Of Repurchase Agreement To Stockholders Equity | 4.00% | |
Weighted Average Days to Maturity | days | 64 | 49 |
FICC [Member] | ||
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Risk Of Repurchase Agreement To Stockholders Equity | 11.00% |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged as Collateral) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | $ 93,854 | $ 79,182 |
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repurchase Agreements | 161 | 163 |
Accrued interest on pledged securities | 280 | 248 |
Restricted cash and cash equivalents | 734 | 599 |
Total Fair Value of Securities Pledged and Accrued Interest | 96,420 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 81,210 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 93,333 | 78,997 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 423 | 174 |
Accrued interest on pledged securities | 1 | |
Restricted cash and cash equivalents | 551 | 522 |
Total Fair Value of Securities Pledged and Accrued Interest | 975 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 697 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 277 | 246 |
Total Fair Value of Securities Pledged and Accrued Interest | 94,819 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 79,943 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 393 | 436 |
Accrued interest on pledged securities | 1 | 1 |
Total Fair Value of Securities Pledged and Accrued Interest | 394 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 437 | |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 198 | 133 |
Accrued interest on pledged securities | 1 | 0 |
Total Fair Value of Securities Pledged and Accrued Interest | 232 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 133 | |
Includes Sold But Not Yet Settled Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 94,347 | 79,740 |
Credit Risk Transfer Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 358 | 141 |
Credit Risk Transfer Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 358 | 141 |
Credit Risk Transfer Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 0 |
Non-Agency [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 45 |
Non-Agency [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 45 |
Non-Agency [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 0 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 704 | 437 |
US Treasury Securities [Member] | Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 33 | |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 671 | 437 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 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 | 180 | 77 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | 0 | 0 |
Excluding Cash Received [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | $ 731 | $ 599 |
Pledged Assets (Securities Pled
Pledged Assets (Securities Pledged as Collateral) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Offsetting Assets and Liabilities [Line Items] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repo | $ 161 | $ 163 |
Security Owned and Pledged as Collateral, Fair Value | 93,854 | 79,182 |
Agency Securities Pledged As Collateral Amortized Cost | 92,021 | 80,386 |
Agency Securities Pledged As Collateral Accrued Interest | 277 | 247 |
Maturity Less than 30 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 53,407 | 49,944 |
Agency Securities Pledged As Collateral Amortized Cost | 52,325 | 50,654 |
Agency Securities Pledged As Collateral Accrued Interest | 156 | 156 |
Maturity 31 To 59 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 10,087 | 14,586 |
Agency Securities Pledged As Collateral Amortized Cost | 9,915 | 14,810 |
Agency Securities Pledged As Collateral Accrued Interest | 30 | 46 |
Maturity 60 To 90 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 5,603 | 7,770 |
Agency Securities Pledged As Collateral Amortized Cost | 5,517 | 7,843 |
Agency Securities Pledged As Collateral Accrued Interest | 17 | 24 |
Maturity over 90 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 24,757 | 6,882 |
Agency Securities Pledged As Collateral Amortized Cost | 24,264 | 7,079 |
Agency Securities Pledged As Collateral Accrued Interest | 74 | 21 |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 93,333 | 78,997 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 423 | 174 |
Credit Risk Transfer Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 358 | 141 |
Credit Risk Transfer Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 358 | 141 |
Credit Risk Transfer Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 0 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 704 | 437 |
Securities Received as Collateral, Amount Repledged and Sold | 542 | 437 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 671 | 437 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 0 |
Non-Agency [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 45 |
Non-Agency [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 45 |
Non-Agency [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 0 | $ 0 |
Pledged Assets (Assets Pledge_2
Pledged Assets (Assets Pledged from Counterparties) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Offsetting Assets and Liabilities [Line Items] | ||
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 5,114 | $ 21,431 |
Restricted Cash and Cash Equivalents | 734 | 599 |
Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | 74 | 129 |
Restricted Cash and Securities Pledged | 6,149 | 22,077 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 8 | 37 |
Restricted Cash and Cash Equivalents | 11 | |
Securities Sold under Agreements to Repurchase [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 19 | 37 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Securities Pledged | 63 | 164 |
US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 6,075 | 21,948 |
Reverse Repurchase Agreements [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 6,067 | 21,876 |
Reverse Repurchase Agreements [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 6,067 | 21,876 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | 551 | 522 |
Derivative [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 35 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | $ 63 | $ 129 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Offsetting Assets and Liabilities [Line Items] | ||
Collateral Received | $ (63) | |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 6,251 | $ 22,086 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 6,251 | 22,086 |
Financial Instruments | (6,114) | (17,276) |
Collateral Received | (4,733) | |
Net Amount | 74 | 77 |
Assets [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 91 | 163 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 91 | 163 |
Financial Instruments | (1) | 0 |
Collateral Received | (63) | (158) |
Net Amount | 27 | 5 |
Assets [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 67 | 110 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 67 | 110 |
Financial Instruments | (20) | (40) |
Net Amount | 47 | 70 |
Assets [Member] | Reverse Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Net Amount | 0 | 2 |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 90,634 | 75,757 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 90,634 | 75,757 |
Financial Instruments | (6,114) | (17,276) |
Collateral Received | (84,520) | (58,481) |
Net Amount | 0 | |
Liability [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Net Amount | 0 | 0 |
Liability [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 2 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 2 | 0 |
Financial Instruments | (1) | 0 |
Collateral Received | (1) | 0 |
Net Amount | 0 | 0 |
Liability [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 20 | 40 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 20 | 40 |
Financial Instruments | (20) | (40) |
Collateral Received | 0 | 0 |
Net Amount | 0 | 0 |
Reverse Repurchase Agreements [Member] | Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 6,093 | 21,813 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 6,093 | 21,813 |
Financial Instruments | (6,093) | (17,236) |
Collateral Received | 0 | (4,575) |
Repurchase Agreements [Member] | Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 90,612 | 75,717 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 90,612 | 75,717 |
Financial Instruments | (6,093) | (17,236) |
Collateral Received | $ (84,519) | $ (58,481) |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2019 | Dec. 31, 2018 | |
Future [Member] | Fair Value, 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 | $ 17 | $ 0 |
Derivative Liability | 0 | 44 |
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 | 74 | 37 |
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 | 17 | 126 |
Interest Rate Swap [Member] | Derivative liabilities, at fair value [Member] | Fair Value, 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 | 2 | 0 |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, 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 | $ (67) | (110) |
Transfers between hierarchy levels | 0 | |
Agency securities | $ 98,577 | 82,291 |
Agency securities transferred to consolidated VIEs | 393 | 436 |
Non-Agency Securities, at Fair Value | 579 | 548 |
Financial Instruments, Owned, Other, at Fair Value | 1,134 | 1,012 |
U.S. Treasury securities | 215 | 46 |
TBA securities | (175) | (273) |
Derivative Liability | 22 | 84 |
Debt of consolidated variable interest entities, at fair value | 238 | 275 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 5,114 | 21,431 |
Interest rate swaps | 175 | 273 |
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total assets | 232 | 46 |
Total liabilities | 5,114 | 21,475 |
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total assets | 100,841 | 84,560 |
Total liabilities | 260 | 315 |
Fair Value, 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 | $ 20 | $ 40 |
Net Income (Loss) Per Common _2
Net Income (Loss) Per Common Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Weighted Average Number of Shares Outstanding | 546 | 462.2 | 539.9 | 419.7 |
Weighted Average Number of Fully Vested Restricted Stock Units and Performance Share Units Outstanding | 0.4 | 0.1 | 0.4 | 0.1 |
Weighted Average Number of Shares Outstanding, Basic | 546.4 | 462.3 | 540.3 | 419.8 |
Incremental Common Shares Attributable to Dilutive Effect of Share-based Payment Arrangements | 0 | 0.4 | 0 | 0.3 |
Weighted Average Number of Shares Outstanding, Diluted | 546.4 | 462.7 | 540.3 | 420.1 |
Net Income (Loss) Available to Common Stockholders, Basic | $ (17) | $ 207 | $ (219) | $ 906 |
Earnings Per Share, Basic | $ (0.03) | $ 0.45 | $ (0.41) | $ 2.16 |
Earnings Per Share, Diluted | $ (0.03) | $ 0.45 | $ (0.41) | $ 2.16 |
Restricted Stock Units (RSUs) [Member] | ||||
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Incremental Common Shares Attributable to Dilutive Effect of Share-based Payment Arrangements | 0.7 | 0.6 |
Stockholders' Equity (Preferred
Stockholders' Equity (Preferred Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | 1 Months Ended | 9 Months Ended | ||
May 31, 2014 | Sep. 30, 2019 | Dec. 31, 2018 | May 05, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Preferred Stock B, Value, Issued | $ 169 | |||
Preferred Stock B, Liquidation Preference, Value | 175 | |||
Preferred Stock D, Value, Issued | 227 | |||
Preferred Stock D, Liquidation Preference, Value | 235 | |||
Preferred Stock C, Value, Issued | 315 | |||
Preferred Stock C, Liquidation Preference, Value | 325 | |||
Preferred Stock, Value, Issued | 711 | $ 484 | ||
Preferred Stock, Liquidation Preference, Value | $ 735 | $ 500 | ||
Preferred Stock, Shares Authorized | 10,000,000 | |||
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 | |||
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 | 7.00% | |||
Preferred Stock Dividend Payment Rate Variable Rate Spread | 5.111% | |||
Series D Preferred Stock [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 9,400 | |||
Preferred Stock, Dividend Rate, Percentage | 6.875% | |||
Preferred Stock Dividend Payment Rate Variable Rate Spread | 4.30% | |||
Depositary Share [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Preferred Stock, Shares Issued | 29,400,000 | |||
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 | |||
Depositary Share [Member] | Series D Preferred Stock [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Preferred Stock, Shares Issued | 9,400,000 |
Stockholders' Equity (Common St
Stockholders' Equity (Common Stock Repurchase Program) (Details) - USD ($) shares in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2019 | Sep. 30, 2018 | Jul. 31, 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Stock Repurchase Program, Authorized Amount | $ 1,000,000,000 | |||
Repurchase of common stock shares | (6.9) | |||
Repurchase of common stock, value | $ 103,000,000 | $ 103,000,000 | ||
Payments for Repurchase of Common Stock | 103,000,000 | $ 0 | ||
Stock Repurchased During Period, Average Repurchase Price (in dollars per share) | 14.90 | |||
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $ 900,000,000 | $ 900,000,000 | ||
Common Stock [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Repurchase of common stock shares | (6.9) | (6.9) |
Stockholders' Equity (Accumulat
Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax | $ 246 | $ (193) | $ 1,025 | $ (959) |
Agency Securities [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Beginning OCI Balance | (164) | (1,111) | (943) | (345) |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax | 246 | (229) | 1,016 | (1,014) |
Amounts reclassified from accumulated OCI | 0 | 36 | 9 | 55 |
Ending OCI Balance | $ 82 | $ (1,304) | $ 82 | $ (1,304) |
Stockholders' Equity (Follow-On
Stockholders' Equity (Follow-On Equity Offerings) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Aug. 03, 2018 | May 29, 2018 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 |
Class of Stock [Line Items] | |||||
Sale of Stock, Price Per Share | $ 18.68 | $ 18.35 | $ 18.73 | $ 16.67 | $ 18.73 |
Stock Issued During Period, Shares, New Issues | 43.7 | 34.5 | 11.4 | 8.3 | |
Stock Issued During Period, Value, New Issues | $ 817 | $ 633 | $ 817 | $ 190 | $ 1,605 |
Stockholders' Equity (At-the-Ma
Stockholders' Equity (At-the-Market Offering Program) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Aug. 03, 2018 | May 29, 2018 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Common Stock, Shares Authorized | $ 466 | ||||
Stock Issued During Period, Shares, New Issues | 43.7 | 34.5 | 11.4 | 8.3 | |
Stock Issued During Period, Value, New Issues | $ 817 | $ 633 | $ 817 | $ 190 | $ 1,605 |
Sale of Stock, Price Per Share | $ 18.68 | $ 18.35 | $ 18.73 | $ 16.67 | $ 18.73 |
Common Stock At The Market Sale Agreement [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Stock Issued During Period, Value, New Issues | $ 190 | $ 155 |
Subsequent Event (Details)
Subsequent Event (Details) - USD ($) | Nov. 26, 2019 | Oct. 10, 2019 | Oct. 03, 2019 | Aug. 03, 2018 | May 29, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Jul. 31, 2019 | May 05, 2014 |
Subsequent Event [Line Items] | |||||||||||
Dividends, Preferred Stock, Cash | $ 13,000,000 | $ 9,000,000 | $ 36,000,000 | $ 27,000,000 | |||||||
Common Stock, Dividends, Per Share, Declared | $ 0.48 | $ 0.54 | $ 1.52 | $ 1.62 | |||||||
Stock Issued During Period, Shares, New Issues | 43,700,000 | 34,500,000 | 11,400,000 | 8,300,000 | |||||||
Stock Issued During Period, Value, New Issues | $ 817,000,000 | $ 633,000,000 | $ 817,000,000 | $ 190,000,000 | $ 1,605,000,000 | ||||||
Sale of Stock, Price Per Share | $ 18.68 | $ 18.35 | $ 16.67 | $ 18.73 | $ 16.67 | $ 18.73 | |||||
Stock Repurchase Program, Authorized Amount | $ 1,000,000,000 | ||||||||||
Subsequent Event [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Preferred Stock E, Value, Issued | $ 390,000,000 | ||||||||||
Preferred Stock E, Liquidation Preference, Value | $ 403,000,000 | ||||||||||
Common Stock, Dividends, Per Share, Declared | $ 0.16 | ||||||||||
Common Stock [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Stock Issued During Period, Shares, New Issues | 43,700,000 | 11,400,000 | 86,500,000 | ||||||||
Stock Issued During Period, Value, New Issues | $ 1,000,000 | $ 1,000,000 | |||||||||
Series E Preferred Stock [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Preferred Stock Dividend Payment Rate Variable Rate Spread | 4.993% | ||||||||||
Series E Preferred Stock [Member] | Subsequent Event [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Preferred Stock, Dividend Rate, Percentage | 6.50% | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||||||
Series B Preferred Stock [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Preferred Stock, Dividend Rate, Percentage | 7.75% | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 8,050 | 8,050 | |||||||||
Series B Preferred Stock [Member] | Subsequent Event [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Dividends, Preferred Stock, Cash | $ 0.22066 | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 7,000 | ||||||||||
Depositary Share [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Preferred Stock, Shares Issued | 29,400,000 | 29,400,000 | |||||||||
Depositary Share [Member] | Series E Preferred Stock [Member] | Subsequent Event [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Preferred Stock, Shares Issued | 16,100,000 | ||||||||||
Depositary Share [Member] | Series B Preferred Stock [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Preferred Stock, Shares Issued | 7,000,000 | 7,000,000 | |||||||||
Depositary Share [Member] | Series B Preferred Stock [Member] | Subsequent Event [Member] | |||||||||||
Subsequent Event [Line Items] | |||||||||||
Preferred Stock, Shares Issued | 7,000,000 |
Uncategorized Items - agnc10q93
Label | Element | Value |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | us-gaap_CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents | $ 1,363,000,000 |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | us-gaap_CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents | $ 1,520,000,000 |