Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2024 | Apr. 30, 2024 | |
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 | Mar. 31, 2024 | |
Entity File Number | 001-34057 | |
Document Fiscal Year Focus | 2024 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | AGNC INVESTMENT CORP. | |
Entity Address, Address Line One | 7373 Wisconsin Avenue, 22nd 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 | 726,929,217 | |
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 7.000% 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 | |
Depositary shares each representing a 1/1000th interest in a share of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | AGNCP | |
Security Exchange Name | NASDAQ | |
Depositary shares each representing a 1/1000th interest in a share of 7.75% Series G Fixed Rate Reset Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Depositary shares of 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock | |
Trading Symbol | AGNCL | |
Security Exchange Name | NASDAQ |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Mar. 31, 2024 | Dec. 31, 2023 |
Assets: | ||
Agency securities, at fair value (including pledged securities of $48,461 and $49,575, respectively) | $ 53,615 | $ 53,673 |
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 114 | 121 |
Credit risk transfer securities, at fair value (including pledged securities of $722 and $678, respectively) | 753 | 723 |
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $245 and $262, respectively) | 353 | 351 |
U.S. Treasury securities, at fair value (including pledged securities of $1,825 and $1,530, respectively) | 1,836 | 1,540 |
Cash and cash equivalents | 505 | 518 |
Restricted cash | 1,368 | 1,253 |
Derivative assets, at fair value | 84 | 185 |
Receivable for investment securities sold (including pledged securities of $5 and $0, respectively) | 5 | 0 |
Receivable under reverse repurchase agreements | 12,424 | 11,618 |
Goodwill and other intangible assets, net | 526 | 526 |
Other assets | 293 | 1,088 |
Total assets | 71,876 | 71,596 |
Liabilities: | ||
Repurchase Agreements | 49,971 | 50,426 |
Debt of consolidated variable interest entities, at fair value | 76 | 80 |
Payable for investment securities purchased | 636 | 210 |
Derivative liabilities, at fair value | 65 | 362 |
Dividends payable | 118 | 115 |
Other liabilities | 317 | 1,252 |
Total liabilities | 63,298 | 63,339 |
Stockholders' equity: | ||
Preferred Stock - aggregate liquidation preference of $1,688 | 1,634 | 1,634 |
Common stock - $0.01 par value; 1,500 shares authorized; 720.3 and 694.3 shares issued and outstanding, respectively | 7 | 7 |
Additional paid-in capital | 15,521 | 15,281 |
Retained deficit | (7,990) | (8,148) |
Accumulated other comprehensive loss | (594) | (517) |
Total stockholders' equity | 8,578 | 8,257 |
Total liabilities and stockholders' equity | 71,876 | 71,596 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 12,115 | $ 10,894 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Dec. 31, 2023 | |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Preferred Stock, Liquidation Preference, Value | $ 1,688,000 | $ 1,688,000 |
Preferred Stock C, Liquidation Preference, Value | 325,000 | |
Preferred Stock D, Liquidation Preference, Value | $ 235,000 | |
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 1,500,000 | 1,500,000 |
Common Stock, Shares, Issued | 720,300 | 694,300 |
Common Stock, Shares, Outstanding | 720,300 | 694,300 |
US Treasury Securities [Member] | Short [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Derivative, Forward Settlement Value | $ (3,461,000) | $ (7,168,000) |
Common Stock [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
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] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
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] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
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] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Depositary shares each representing a 1/1000th interest in a share of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Agency Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Pledged Financial Instruments, Securities | $ 48,461,000 | 49,575,000 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Pledged Financial Instruments, Securities | 245,000 | 262,000 |
Receivable for securities sold [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Pledged Financial Instruments, Securities | 5,000 | |
Asset Pledged as Collateral [Member] | Credit Risk Transfer Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Pledged Financial Instruments, Securities | 722,000 | 678,000 |
Asset Pledged as Collateral [Member] | US Treasury Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Pledged Financial Instruments, Securities | $ 1,825,000 | $ 1,530,000 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) shares in Millions, $ in Millions | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Dividends declared per common share | $ 0.36 | $ 0.36 |
Net gain (loss) on sale of investment securities | $ (91) | $ (81) |
Unrealized gain (loss) on investment securities measured at fair value through net income, net | (471) | 594 |
(Loss) gain on derivative instruments and other securities, net | 1,059 | (544) |
Nonoperating Income (Expense) | 497 | (31) |
Interest income | 642 | 351 |
Interest expense | 672 | 449 |
Net interest income | (30) | (98) |
Labor and Related Expense | 16 | 14 |
General and administrative expenses | 8 | 8 |
Total expenses | 24 | 22 |
Net income (loss) | 443 | (151) |
Dividend on preferred stock | 31 | 30 |
Net income (loss) available (attributable) to common shareholders | 412 | (181) |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax | (77) | 142 |
Comprehensive (loss) income | 366 | (9) |
Comprehensive (loss) income (attributable) available to common shareholders | $ 335 | $ (39) |
Weighted average number of common shares outstanding - basic | 702.2 | 579.3 |
Weighted average number of common shares outstanding - diluted | 704.2 | 579.3 |
Earnings Per Share, Basic | $ 0.59 | $ (0.31) |
Net income (loss) per common share - diluted | $ 0.59 | $ (0.31) |
Consolidated Statement of Stock
Consolidated Statement of Stockholders' Equity - USD ($) shares in Thousands, $ in Thousands | 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, 2022 | $ 7,870,000 | $ 1,634,000 | $ 6,000 | $ 14,186,000 | $ (7,284,000) | $ (672,000) |
Balance, Common Stock, shares at Dec. 31, 2022 | 574,600 | |||||
Net income (loss) | (151,000) | (151,000) | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | $ 142,000 | 142,000 | ||||
Shares Issued, Shares, Share-based Payment Arrangement, before Forfeiture | 800 | |||||
APIC, Share-based Payment Arrangement, Recognition and Exercise | $ (1,000) | (1,000) | ||||
Stock Issued During Period, Shares, New Issues | 17,100 | |||||
Stock Issued During Period, Value, New Issues | 171,000 | $ 0 | 171,000 | |||
Preferred dividends declared | (30,000) | (30,000) | ||||
Common dividends declared | (209,000) | (209,000) | ||||
Balance, value at Mar. 31, 2023 | 7,792,000 | 1,634,000 | $ 6,000 | 14,356,000 | (7,674,000) | (530,000) |
Balance, Common Stock, shares at Mar. 31, 2023 | 592,500 | |||||
Balance, value at Dec. 31, 2023 | $ 8,257,000 | 1,634,000 | $ 7,000 | 15,281,000 | (8,148,000) | (517,000) |
Balance, Common Stock, shares at Dec. 31, 2023 | 694,300 | 694,300 | ||||
Net income (loss) | $ 443,000 | 443,000 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | $ (77,000) | (77,000) | ||||
Shares Issued, Shares, Share-based Payment Arrangement, before Forfeiture | 900 | |||||
APIC, Share-based Payment Arrangement, Recognition and Exercise | $ (1,000) | (1,000) | ||||
Stock Issued During Period, Shares, New Issues | 25,100 | 25,100 | ||||
Stock Issued During Period, Value, New Issues | $ 241,000 | $ 0 | 241,000 | |||
Preferred dividends declared | (31,000) | (31,000) | ||||
Common dividends declared | (254,000) | (254,000) | ||||
Balance, value at Mar. 31, 2024 | $ 8,578,000 | $ 1,634,000 | $ 7,000 | $ 15,521,000 | $ (7,990,000) | $ (594,000) |
Balance, Common Stock, shares at Mar. 31, 2024 | 720,300 | 720,300 |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Statement of Cash Flows [Abstract] | ||
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | $ 1,873 | $ 2,839 |
Operating activities: | ||
Net income (loss) | 443 | (151) |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Amortization of premiums and discounts on mortgage-backed securities, net | 37 | 120 |
Stock based compensation | (1) | (1) |
Loss on sale of investment securities, net | 91 | 81 |
Unrealized (gain) loss on investment securities measured at fair value through net income, net | 471 | (594) |
(Gain) loss on derivative instruments and other securities, net | (1,059) | 544 |
(Increase) decrease in other assets | 797 | (42) |
Increase (decrease) in other liabilities | (759) | 69 |
Net cash provided by operating activities | 20 | 26 |
Investing activities: | ||
Purchases of Agency mortgage-backed securities | (6,337) | (7,829) |
Purchases of credit risk transfer and non-Agency securities and other mortgage credit investments | (84) | (45) |
Proceeds from sale of Agency mortgage-backed securities | 5,060 | 1,400 |
Proceeds from sale of credit risk transfer and non-Agency securities | 62 | 166 |
Principal collections on Agency mortgage-backed securities | 1,065 | 855 |
Principal collections on credit risk transfer and non-Agency securities | 12 | 25 |
Payments on U.S. Treasury securities | (3,387) | (8,243) |
Proceeds from Sale of U.S. Treasury securities | 4,446 | 4,329 |
Net payments on reverse repurchase agreements | (644) | (2,201) |
Net proceeds from (payments on) derivative instruments | 389 | (28) |
Net cash provided by (used in) investing activities | 582 | (11,571) |
Financing activities: | ||
Proceeds from repurchase arrangements | 1,140,681 | 705,124 |
Payments on repurchase agreements | (1,141,136) | (693,002) |
Payments on debt of consolidated variable interest entities | (4) | (5) |
Net proceeds from common stock issuance | 241 | 171 |
Cash dividends paid | (282) | (238) |
Net cash provided by (used in) financing activities | (500) | 12,050 |
Net change in cash and cash equivalents | 102 | 505 |
Cash and cash equivalents at end of period | 505 | 975 |
Supplemental disclosure to cash flow information: | ||
Restricted Cash and Cash Equivalents | $ 1,368 | $ 1,864 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2024 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization AGNC Investment Corp. (referred throughout this report as the "Company," "we," "us" and "our") was 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 a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency residential mortgage-backed securities ("Agency RMBS") for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise ("GSE") or a U.S. Government agency. We also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency, and other assets related to the housing, mortgage or real estate markets. We fund our investments primarily through collateralized borrowings structured as repurchase agreements. 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, and we will generally not be subject to U.S. federal or state corporate income tax 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 within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year. We are internally managed with the principal objective of generating favorable long-term stockholder returns with a substantial yield component. 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. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2024 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation Our accompanying consolidated financial statements and related notes have been 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 accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2023. The preparation of consolidated 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 consolidated 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 consolidated 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. 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 synthetically 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, over-collateralization 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"), whereas 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). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss 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 by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments. We generally recognize gains or losses through net income on available-for-sale securities only if the security is sold; however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair value in net income as a component of other gain (loss). We did not recognize any loss on available for sale securities through net income that we held as of March 31, 2024 because, as of such date, we did not intend to sell any of them in an unrealized loss position nor was it more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. Since all of our available-for-sale designated securities consist of Agency RMBS, we do not have an allowance for credit losses. We have not recognized impairment losses on our available-for-sale securities through net income for the periods presented in our consolidated financial statements. 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, primary to secondary mortgage rate spreads, 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 for reasonableness with consideration given to both historical prepayment speeds and current market conditions. If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape we may make adjustments to the models. 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 previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date 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, collateral call provisions, 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 agreements with our lending counterparties. Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the securities at a future date. We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments. Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase agreements 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. 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. 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. Net cash receipts from and payments on our 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. 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 Secured Overnight Financing Rate ("SOFR") and Overnight Index Swap Rate ("OIS"). Our interest rate swaps typically have terms from one to 10 years. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange. The initial margin amount is intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors. 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. 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 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. U.S. Treasury securities and US Treasury futures contracts 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 enter into short-sales of U.S. Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market. 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. Treasury futures contracts are standardized contracts that obligate us to sell or buy U.S. Treasury securities for future delivery. 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. Fair Value Measurements We determine the fair value of 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 utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date. We categorize a financial instrument within the hierarchy 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 majority of our financial instruments are classified as Level 2 inputs. The availability of observable inputs can be 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. We typically obtain price estimates from multiple third- party pricing sources, such as pricing services and dealers, or, if applicable, from the registered clearing exchange. We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity. 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 following is a description of the valuation methodologies used for financial instruments measured at fair value on a recurring basis classified as Level 2 inputs. These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of these markets and the similarity of our instruments to those actively traded enable our pricing sources and us to utilize the observed quoted prices as a basis for formulating fair value measurements. Investment securities - are valued based on prices obtained from multiple third-party pricing sources. The pricing sources utilize various valuation approaches, including market and income approaches. For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for TBA securities having the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. 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, spread measurements to benchmark 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. TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity. Interest rate swaps - are valued 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. Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the 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 based on observable market inputs, adjusted for non-performance risk, if any. U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs. Recent Accounting Pronouncements We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption. |
Basis of Accounting | Basis of Presentation Our accompanying consolidated financial statements and related notes have been 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 accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2023. |
Investment Securities
Investment Securities | 3 Months Ended |
Mar. 31, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | 3 years and ≤ 5 years 4,647 4,641 6.21% 5.70% 10,381 10,331 5.98% 5.52% > 5 years and ≤10 years 45,747 48,314 4.77% 4.34% 40,895 42,988 4.55% 4.10% > 10 years 3,752 3,870 5.00% 4.90% 2,606 2,685 4.77% 4.63% Total $ 54,776 $ 57,464 4.93% 4.52% $ 54,824 $ 56,965 4.86% 4.41% ________________________________ 1. Table excludes other mortgage credit investments of $59 million and $44 million as of March 31, 2024 and December 31, 2023, respectively. 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 March 31, 2024 and December 31, 2023 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Unrealized Fair Value Unrealized Fair Unrealized March 31, 2024 $ — $ — $ 4,569 $ (594) $ 4,569 $ (594) December 31, 2023 $ — $ — $ 4,797 $ (517) $ 4,797 $ (517) 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 months ended March 31, 2024 and 2023 by investment classification of accounting (in millions): Three Months Ended March 31, 2024 2023 Investment Securities Available-for-Sale Securities 2,3 Fair Value Option Securities Total Available-for-Sale Securities 2,3 Fair Value Option Securities Total Investment securities sold, at cost $ — $ (5,218) $ (5,218) $ (202) $ (1,672) $ (1,874) Proceeds from investment securities sold 1 — 5,127 5,127 178 1,615 1,793 Net gain (loss) on sale of investment securities $ — $ (91) $ (91) $ (24) $ (57) $ (81) Gross gain on sale of investment securities $ — $ 10 $ 10 $ — $ 1 $ 1 Gross loss on sale of investment securities — (101) (101) (24) (58) (82) Net gain (loss) on sale of investment securities $ — $ (91) $ (91) $ (24) $ (57) $ (81) ________________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. 2. See Note 9 for a summary of changes in accumulated OCI. 3." id="sjs-B4">Investment Securities As of March 31, 2024 and December 31, 2023, our investment portfolio consisted of $54.8 billion investment securities, at fair value, $8.4 billion and $5.4 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $59 million and $44 million, respectively, which we account for under the equity method of accounting. Our TBA position is reported at its net carrying value totaling $43 million and $66 million as of March 31, 2024 and December 31, 2023, 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 security and the cost basis or the forward price to be paid or received for the underlying security. As of March 31, 2024 and December 31, 2023, our investment securities had a net unamortized premium balance of $1.2 billion. The following tables summarize our investment securities as of March 31, 2024 and December 31, 2023, excluding TBA securities and other mortgage credit investments (dollars in millions). Details of our TBA securities are included in Note 5. March 31, 2024 December 31, 2023 Investment Securities Amortized Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 55,465 $ 52,767 $ 55,289 $ 53,161 Adjustable rate 722 716 293 290 CMO 120 113 127 120 Interest-only and principal-only strips 65 58 67 61 Multifamily 75 75 161 162 Total Agency RMBS 56,447 53,729 55,937 53,794 Non-Agency RMBS 1 19 14 43 34 CMBS 304 280 303 273 CRT securities 694 753 682 723 Total investment securities $ 57,464 $ 54,776 $ 56,965 $ 54,824 March 31, 2024 Agency RMBS Non-Agency 1 Investment Securities Fannie Mae Freddie Mac Ginnie RMBS CMBS CRT Total Available-for-sale securities: Par value $ 3,772 $ 1,117 $ 1 $ — $ — $ — $ 4,890 Unamortized discount (2) — — — — — (2) Unamortized premium 221 71 — — — — 292 Amortized cost 3,991 1,188 1 — — — 5,180 Gross unrealized gains — — — — — — — Gross unrealized losses (452) (142) — — — — (594) Total available-for-sale securities, at fair value 3,539 1,046 1 — — — 4,586 Securities remeasured at fair value through earnings: Par value 28,931 21,406 42 21 310 687 51,397 Unamortized discount (122) (81) (1) (3) (8) (9) (224) Unamortized premium 697 395 — 1 2 16 1,111 Amortized cost 29,506 21,720 41 19 304 694 52,284 Gross unrealized gains 95 61 — — 3 59 218 Gross unrealized losses (1,506) (773) (1) (5) (27) — (2,312) Total securities remeasured at fair value through earnings 28,095 21,008 40 14 280 753 50,190 Total securities, at fair value $ 31,634 $ 22,054 $ 41 $ 14 $ 280 $ 753 $ 54,776 Weighted average coupon as of March 31, 2024 4.73 % 5.02 % 4.63 % 6.19 % 7.28 % 10.72 % 4.93 % Weighted average yield as of March 31, 2024 2 4.27 % 4.70 % 4.96 % 6.34 % 7.42 % 9.47 % 4.52 % December 31, 2023 Agency RMBS Non-Agency 1 Investment Securities Fannie Freddie Mac Ginnie RMBS CMBS CRT Total Available-for-sale securities: Par value $ 3,881 $ 1,152 $ 1 $ — $ — $ — $ 5,034 Unamortized discount (1) — — — — — (1) Unamortized premium 227 73 — — — — 300 Amortized cost 4,107 1,225 1 — — — 5,333 Gross unrealized gains — — — — — — — Gross unrealized losses (392) (125) — — — — (517) Total available-for-sale securities, at fair value 3,715 1,100 1 — — — 4,816 Securities remeasured at fair value through earnings: Par value 29,910 19,503 283 44 307 679 50,726 Unamortized discount (108) (59) (3) (3) (7) (9) (189) Unamortized premium 702 376 — 2 3 12 1,095 Amortized cost 30,504 19,820 280 43 303 682 51,632 Gross unrealized gains 170 111 1 — 2 41 325 Gross unrealized losses (1,270) (638) — (9) (32) — (1,949) Total securities remeasured at fair value through earnings 29,404 19,293 281 34 273 723 50,008 Total securities, at fair value $ 33,119 $ 20,393 $ 282 $ 34 $ 273 $ 723 $ 54,824 Weighted average coupon as of December 31, 2023 4.69 % 4.91 % 4.94 % 5.10 % 7.27 % 10.45 % 4.86 % Weighted average yield as of December 31, 2023 2 4.22 % 4.53 % 5.16 % 4.92 % 7.04 % 8.87 % 4.41 % ________________________________ 1. Non-Agency amounts exclude other mortgage credit investments of $59 million and $44 million as of March 31, 2024 and December 31, 2023, respectively. 2. Incorporates a weighted average future constant prepayment rate assumption of 10.4% and 11.4% based on forward rates as of March 31, 2024 and December 31, 2023, respectively. As of March 31, 2024 and December 31, 2023, our investments in CRT and non-Agency securities had the following credit ratings (in millions): March 31, 2024 December 31, 2023 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS 2 CMBS CRT RMBS 2 CMBS AAA $ — $ 1 $ 7 $ — $ 1 $ 9 AA — — 37 — — 31 A — — 29 — — 25 BBB 112 — 29 144 14 44 BB 142 1 92 137 7 81 B 44 2 55 39 2 55 Not Rated 455 10 31 403 10 28 Total $ 753 $ 14 $ 280 $ 723 $ 34 $ 273 ________________________________ 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. 2. RMBS excludes other mortgage credit investments of $59 million and $44 million as of March 31, 2024 and December 31, 2023, respectively. 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. 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 March 31, 2024 and December 31, 2023, 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 10.4% and 11.4%, 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 March 31, 2024 and December 31, 2023 according to their estimated weighted average life classification (dollars in millions): March 31, 2024 December 31, 2023 Estimated Weighted Average Life of Investment Securities 1 Fair Value Amortized Weighted Weighted Fair Value Amortized Weighted Weighted ≤ 3 years $ 630 $ 639 7.65% 7.22% $ 942 $ 961 6.61% 5.93% > 3 years and ≤ 5 years 4,647 4,641 6.21% 5.70% 10,381 10,331 5.98% 5.52% > 5 years and ≤10 years 45,747 48,314 4.77% 4.34% 40,895 42,988 4.55% 4.10% > 10 years 3,752 3,870 5.00% 4.90% 2,606 2,685 4.77% 4.63% Total $ 54,776 $ 57,464 4.93% 4.52% $ 54,824 $ 56,965 4.86% 4.41% ________________________________ 1. Table excludes other mortgage credit investments of $59 million and $44 million as of March 31, 2024 and December 31, 2023, respectively. 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 March 31, 2024 and December 31, 2023 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Unrealized Fair Value Unrealized Fair Unrealized March 31, 2024 $ — $ — $ 4,569 $ (594) $ 4,569 $ (594) December 31, 2023 $ — $ — $ 4,797 $ (517) $ 4,797 $ (517) 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 months ended March 31, 2024 and 2023 by investment classification of accounting (in millions): Three Months Ended March 31, 2024 2023 Investment Securities Available-for-Sale Securities 2,3 Fair Value Option Securities Total Available-for-Sale Securities 2,3 Fair Value Option Securities Total Investment securities sold, at cost $ — $ (5,218) $ (5,218) $ (202) $ (1,672) $ (1,874) Proceeds from investment securities sold 1 — 5,127 5,127 178 1,615 1,793 Net gain (loss) on sale of investment securities $ — $ (91) $ (91) $ (24) $ (57) $ (81) Gross gain on sale of investment securities $ — $ 10 $ 10 $ — $ 1 $ 1 Gross loss on sale of investment securities — (101) (101) (24) (58) (82) Net gain (loss) on sale of investment securities $ — $ (91) $ (91) $ (24) $ (57) $ (81) ________________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. 2. See Note 9 for a summary of changes in accumulated OCI. 3. |
Repurchase Agreements And Rever
Repurchase Agreements And Reverse Repurchase Agreements | 3 Months Ended |
Mar. 31, 2024 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements And Other Debt | 1 to ≤ 3 months 9,244 5.47 % 59 7,933 5.55 % 64 > 3 to ≤ 6 months 784 5.41 % 151 — — % — Investment securities repo 48,140 5.46 % 22 48,879 5.60 % 19 U.S. Treasury repo: ≤ 1 month 1,831 5.47 % 1 1,547 5.54 % 2 Total $ 49,971 5.46 % 21 $ 50,426 5.60 % 19 As of March 31, 2024 and December 31, 2023, $16.9 billion and $16.7 billion, respectively, of our investment securities repurchase agreements and all of our U.S. Treasury repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand. As of March 31, 2024, we had $10.4 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 4 days and a weighted average interest rate of 5.46%. As of December 31, 2023, we had $8.8 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 4 days and a weighted average interest rate of 5.54%. As of March 31, 2024 and December 31, 2023, 46% and 48%, 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 42% and 43% of our repurchase agreement funding outstanding as of March 31, 2024 and December 31, 2023, respectively. Reverse Repurchase Agreements" id="sjs-B4">Repurchase Agreements and Reverse Repurchase Agreements 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 March 31, 2024, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6. As of March 31, 2024 and December 31, 2023, we had $50.0 billion and $50.4 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 or subject to a tri-party repo agreement. The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2024 and December 31, 2023 (dollars in millions): March 31, 2024 December 31, 2023 Remaining Maturity Repurchase Agreements Weighted Weighted Repurchase Agreements Weighted Weighted Investment securities repo ≤ 1 month $ 38,112 5.46 % 10 $ 40,946 5.61 % 11 > 1 to ≤ 3 months 9,244 5.47 % 59 7,933 5.55 % 64 > 3 to ≤ 6 months 784 5.41 % 151 — — % — Investment securities repo 48,140 5.46 % 22 48,879 5.60 % 19 U.S. Treasury repo: ≤ 1 month 1,831 5.47 % 1 1,547 5.54 % 2 Total $ 49,971 5.46 % 21 $ 50,426 5.60 % 19 As of March 31, 2024 and December 31, 2023, $16.9 billion and $16.7 billion, respectively, of our investment securities repurchase agreements and all of our U.S. Treasury repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand. As of March 31, 2024, we had $10.4 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 4 days and a weighted average interest rate of 5.46%. As of December 31, 2023, we had $8.8 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 4 days and a weighted average interest rate of 5.54%. As of March 31, 2024 and December 31, 2023, 46% and 48%, 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 42% and 43% of our repurchase agreement funding outstanding as of March 31, 2024 and December 31, 2023, respectively. Reverse Repurchase Agreements |
Derivative and Other Hedging In
Derivative and Other Hedging Instruments | 3 Months Ended |
Mar. 31, 2024 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
US Government Futures Securities [Table Text Block] | U.S. Treasury Futures March 31, 2024 December 31, 2023 Years to Maturity Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 > 5 year ≤ 7 years $ (905) $ (997) $ (1,003) $ (6) $ (2,714) $ (2,961) $ (3,064) $ (103) > 7 year ≤ 10 years (1,343) (1,528) (1,539) (11) (2,924) (3,294) (3,451) (157) > 10 years (791) (936) (953) (17) (791) (913) (989) (76) Total U.S. Treasury futures $ (3,039) $ (3,461) $ (3,495) $ (34) $ (6,429) $ (7,168) $ (7,504) $ (336) ________________________________ 1. |
Derivative and Other Hedging Instruments | Derivative and Other Hedging Instruments For the periods presented, our interest rate based hedges primarily consisted of interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We also utilized forward contracts, primarily consisting of TBA securities, for the purchase and sale of investment securities. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 2. 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 March 31, 2024 and December 31, 2023 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location March 31, 2024 December 31, 2023 Interest rate swaps 1 Derivative assets, at fair value $ 24 $ 15 Swaptions Derivative assets, at fair value 2 89 TBA and forward settling non-Agency securities Derivative assets, at fair value 58 81 Total derivative assets, at fair value $ 84 $ 185 Interest rate swaps 1 Derivative liabilities, at fair value $ — $ (1) TBA and forward settling non-Agency securities Derivative liabilities, at fair value (15) (15) U.S. Treasury futures - short Derivative liabilities, at fair value (34) (336) SOFR futures contracts - long Derivative liabilities, at fair value (16) (10) Credit default swaps 1 Derivative liabilities, at fair value — — Total derivative liabilities, at fair value $ (65) $ (362) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 1,836 $ 1,540 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (12,115) (10,894) Total U.S. Treasury securities, net at fair value $ (10,279) $ (9,354) ________________________________ 1. As of March 31, 2024 and December 31, 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $3.0 billion and $2.9 billion, respectively. As of March 31, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $(7) million and $(6) million, respectively. The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2024 and December 31, 2023 (dollars in millions): Pay Fixed / Receive Variable Interest Rate Swaps March 31, 2024 1 December 31, 2023 Years to Maturity Notional Average Fixed Pay Rate 2 Average Variable Receive Rate 3 Average Notional Average Average Variable Receive Rate 3 Average ≤ 1 years $ 8,500 0.06% 5.34% 0.4 $ 13,750 0.14% 5.37% 0.4 > 1 to ≤ 3 years 15,800 0.17% 5.34% 1.7 15,800 0.17% 5.36% 2.0 > 3 to ≤ 5 years 5,800 0.24% 5.34% 3.7 5,800 0.24% 5.38% 3.9 > 5 to ≤ 7 years 5,400 1.72% 5.34% 6.2 3,900 0.92% 5.37% 6.2 > 7 to ≤ 10 years 8,896 3.28% 5.34% 9.3 5,226 3.06% 5.38% 9.2 Total $ 44,396 0.97% 5.34% 3.8 $ 44,476 0.57% 5.37% 3.0 ________________________________ 1. As of March 31, 2024, notional amount includes forward starting swaps of $1.0 billion with an average forward start date of 0.2 years. 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 0.90% as of March 31, 2024. 3. As of March 31, 2024 and December 31, 2023, 80% and 20% of notional amount receive index references SOFR and OIS, respectively. Receive Fixed / Pay Variable March 31, 2024 December 31, 2023 Years to Maturity Notional Average Variable Pay Rate 1 Average Average Notional Average Variable Pay Rate 1 Average Average > 1 to ≤ 3 years $ (1,000) 5.34% 4.65% 1.3 (1,000) 5.38% 4.65% 1.5 Total $ (1,000) 5.34% 4.65% 1.3 $ (1,000) 5.38% 4.65% 1.5 ________________________________ 1. Pay index references SOFR. Payer Swaptions Option Underlying Payer Swap Current Option Expiration Date Cost Basis Fair Value Average Notional Average Fixed Pay Rate 1 Average December 31, 2023 ≤ 1 year $ 28 $ 86 5 $ 1,250 2.61% 10.0 Total $ 28 $ 86 5 $ 1,250 2.61% 10.0 ________________________________ 1. Receive index references SOFR. Receiver Swaptions Option Underlying Receiver Swap Current Option Expiration Date Cost Basis Fair Value Average Notional Average Fixed Receive Average March 31, 2024 ≤ 1 year $ 3 $ 2 21 $ 150 2.98% 5.0 December 31, 2023 ≤ 1 year $ 3 $ 3 24 $ 150 2.98% 5.0 U.S. Treasury Securities 1 March 31, 2024 December 31, 2023 Years to Maturity Face Amount Long/(Short) Cost Basis Fair Value Face Amount Long/(Short) Cost Basis Fair Value ≤ 5 years $ 586 $ 594 $ 605 $ 1,408 $ 1,419 $ 1,454 > 5 year ≤ 7 years (563) (566) (438) (818) (821) (703) > 7 year ≤ 10 years (9,230) (8,884) (8,592) (8,649) (8,277) (8,187) > 10 years (1,785) (1,832) (1,854) (1,796) (1,796) (1,918) Total U.S. Treasury securities $ (10,992) $ (10,688) $ (10,279) $ (9,855) $ (9,475) $ (9,354) ________________________________ 1. As of March 31, 2024 and December 31, 2023, short U.S. Treasury securities totaling $(12.1) billion and $(10.9) billion, at fair value, respectively, had a weighted average yield of 3.69% and 3.64%, respectively. As of March 31, 2024 and December 31, 2023, long U.S. Treasury securities totaling $1.8 billion and $1.5 billion, at fair value, respectively, had a weighted average yield of 4.37% and 4.39%, respectively. U.S. Treasury Futures March 31, 2024 December 31, 2023 Years to Maturity Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 > 5 year ≤ 7 years $ (905) $ (997) $ (1,003) $ (6) $ (2,714) $ (2,961) $ (3,064) $ (103) > 7 year ≤ 10 years (1,343) (1,528) (1,539) (11) (2,924) (3,294) (3,451) (157) > 10 years (791) (936) (953) (17) (791) (913) (989) (76) Total U.S. Treasury futures $ (3,039) $ (3,461) $ (3,495) $ (34) $ (6,429) $ (7,168) $ (7,504) $ (336) ________________________________ 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. March 31, 2024 December 31, 2023 TBA Securities by Coupon Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 15-Year TBA securities: ≥ 5.0% $ 90 $ 89 $ 90 $ 1 $ 90 $ 89 $ 91 $ 2 Total 15-Year TBA securities 90 89 90 1 90 89 91 2 30-Year TBA securities: ≤ 3.0% — — — — (29) (24) (25) (1) 3.5% 105 93 94 1 — — — — 4.0% — — — — — — — — 4.5% 1,715 1,631 1,636 5 363 343 352 9 5.0% 5,040 4,907 4,932 25 1,717 1,704 1,704 — 5.5% 2,874 2,861 2,872 11 2,034 2,014 2,047 33 6.0% (2,107) (2,125) (2,128) (3) 20 10 21 11 ≥ 6.5% 934 949 952 3 1,137 1,152 1,164 12 Total 30-Year TBA securities, net 8,561 8,316 8,358 42 5,242 5,199 5,263 64 Total TBA securities, net $ 8,651 $ 8,405 $ 8,448 $ 43 $ 5,332 $ 5,288 $ 5,354 $ 66 ________________________________ 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. As of March 31, 2024 and December 31, 2023, we had a two-year swap equivalent SOFR futures contract long notional position of $0.7 billion and $0.9 billion, respectively, with a net carrying value of $(16) million and $(10) million, respectively. As of March 31, 2024 and December 31, 2023, we had $95 million notional value of centrally cleared credit default swaps ("CDS") outstanding that reference the Markit CDX Investment Grade or High Yield Grade Index, maturing in December 2028. Under the terms of our CDS, we pay fixed periodic payments equal to 1% per annum of the notional value and we are entitled to receive payments for qualified credit events. As of March 31, 2024 and December 31, 2023, the CDS had a market value of $(7) million and $(6) million, respectively, and a net carrying value of zero dollars, net of variation margin settlements. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the CDS asset or liability. 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 months ended March 31, 2024 and 2023 (in millions): Derivative and Other Hedging Instruments Beginning Additions Settlement, Termination, Ending Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Three months ended March 31, 2024: TBA securities, net $ 5,332 25,390 (22,071) $ 8,651 $ (58) Interest rate swaps - payer $ 44,476 5,170 (5,250) $ 44,396 658 Interest rate swaps - receiver $ (1,000) — — $ (1,000) (9) Credit default swaps - buy protection $ (96) — — $ (96) (3) Payer swaptions $ 1,250 — (1,250) $ — 33 Receiver swaptions $ (150) — — $ (150) — U.S. Treasury securities - short position $ (11,347) (3,101) 1,641 $ (12,807) 338 U.S. Treasury securities - long position $ 1,492 1,669 (1,346) $ 1,815 (43) U.S. Treasury futures contracts - short position $ (6,429) (3,384) 6,774 $ (3,039) 186 $ 1,102 Three months ended March 31, 2023: TBA securities, net $ 19,050 60,147 (68,801) $ 10,396 $ 112 Interest rate swaps - payer $ 47,825 3,000 (1,900) $ 48,925 (232) Credit default swaps - buy protection $ (215) (710) 500 $ (425) (3) Payer swaptions $ 3,050 — (1,450) $ 1,600 (66) U.S. Treasury securities - short position $ (7,373) (2,949) 936 $ (9,386) (157) U.S. Treasury securities - long position $ 357 7,446 (1,243) $ 6,560 75 U.S. Treasury futures contracts - short position $ (9,213) (7,215) 10,528 $ (5,900) (235) $ (506) ________________________________ 1. Amounts exclude other miscellaneous gains and losses and other interest income (expense) recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Pledged Assets
Pledged Assets | 3 Months Ended |
Mar. 31, 2024 | |
Pledged Assets [Abstract] | |
Pledged Assets | 1 and ≤ 2 months 4,644 4,954 18 2,847 3,069 10 > 2 and ≤ 3 months 5,076 5,561 18 5,524 5,947 19 > 3 months 820 894 3 — — — Total $ 51,225 $ 53,643 $ 230 $ 52,072 $ 53,934 $ 217 ________________________________ 1. Includes $39 million and $42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2024 and December 31, 2023, respectively. 2. Excludes $397 million of repledged U.S. Treasury securities received as collateral from counterparties as of December 31, 2023. Assets Pledged from Counterparties As of March 31, 2024 and December 31, 2023, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). March 31, 2024 December 31, 2023 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency securities - fair value $ — $ — $ 68 $ 68 $ — $ — $ — $ — U.S. Treasury securities - fair value 12,352 — 20 12,372 11,667 — 306 11,973 Cash — 2 5 7 — 89 49 138 Total $ 12,352 $ 2 $ 93 $ 12,447 $ 11,667 $ 89 $ 355 $ 12,111 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 March 31, 2024 and December 31, 2023 (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 Net Amount Financial Instruments Collateral Received 2 March 31, 2024 Interest rate swap and swaption agreements, at fair value 1 $ 26 $ — $ 26 $ — $ (2) $ 24 TBA securities, at fair value 1 58 — 58 (15) (42) 1 Receivable under reverse repurchase agreements 12,424 — 12,424 (8,722) (3,702) — Total $ 12,508 $ — $ 12,508 $ (8,737) $ (3,746) $ 25 December 31, 2023 Interest rate swap and swaption agreements, at fair value 1 $ 104 $ — $ 104 $ — $ (89) $ 15 TBA securities, at fair value 1 80 — 80 (15) (65) — Receivable under reverse repurchase agreements 11,618 — 11,618 (8,433) (3,181) 4 Total $ 11,802 $ — $ 11,802 $ (8,448) $ (3,335) $ 19 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 Net Amount Financial Instruments Collateral Pledged 2 March 31, 2024 TBA securities, at fair value 1 $ 15 $ — $ 15 $ (15) $ — $ — Repurchase agreements 49,971 — 49,971 (8,722) (41,249) — Total $ 49,986 $ — $ 49,986 $ (8,737) $ (41,249) $ — December 31, 2023 TBA securities, at fair value 1 $ 15 $ — $ 15 $ (15) $ — $ — Repurchase agreements 50,426 — 50,426 (8,433) (41,993) — Total $ 50,441 $ — $ 50,441 $ (8,448) $ (41,993) $ — ________________________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2." 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 March 31, 2024, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 3% of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables). As of March 31, 2024, 5% 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 March 31, 2024 and December 31, 2023 (in millions): March 31, 2024 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Derivative Agreements and Other Total Agency RMBS - fair value $ 48,428 $ 114 $ 72 $ 48,614 CRT - fair value 722 — — 722 Non-Agency - fair value 250 — — 250 U.S. Treasury securities - fair value 1,825 — — 1,825 Accrued interest on pledged securities 230 — — 230 Restricted cash 293 — 1,075 1,368 Total $ 51,748 $ 114 $ 1,147 $ 53,009 December 31, 2023 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Derivative Agreements and Other Total Agency RMBS - fair value $ 49,602 $ 121 $ 15 $ 49,738 CRT - fair value 678 — — 678 Non-Agency - fair value 262 — — 262 U.S. Treasury securities - fair value 1,865 — 62 1,927 Accrued interest on pledged securities 217 — — 217 Restricted cash 9 — 1,244 1,253 Total $ 52,633 $ 121 $ 1,321 $ 54,075 ________________________________ 1. Includes repledged assets received as collateral from counterparties and securities sold but not yet settled. 2. Includes $39 million and $42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2024 and December 31, 2023, respectively. 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 March 31, 2024 and December 31, 2023 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . March 31, 2024 December 31, 2023 Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2 Fair Value of Pledged Securities Amortized Accrued Fair Value of Pledged Securities Amortized Accrued ≤ 1 month $ 40,685 $ 42,234 $ 191 $ 43,701 $ 44,918 $ 188 > 1 and ≤ 2 months 4,644 4,954 18 2,847 3,069 10 > 2 and ≤ 3 months 5,076 5,561 18 5,524 5,947 19 > 3 months 820 894 3 — — — Total $ 51,225 $ 53,643 $ 230 $ 52,072 $ 53,934 $ 217 ________________________________ 1. Includes $39 million and $42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2024 and December 31, 2023, respectively. 2. Excludes $397 million of repledged U.S. Treasury securities received as collateral from counterparties as of December 31, 2023. Assets Pledged from Counterparties As of March 31, 2024 and December 31, 2023, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). March 31, 2024 December 31, 2023 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency securities - fair value $ — $ — $ 68 $ 68 $ — $ — $ — $ — U.S. Treasury securities - fair value 12,352 — 20 12,372 11,667 — 306 11,973 Cash — 2 5 7 — 89 49 138 Total $ 12,352 $ 2 $ 93 $ 12,447 $ 11,667 $ 89 $ 355 $ 12,111 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 March 31, 2024 and December 31, 2023 (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 Net Amount Financial Instruments Collateral Received 2 March 31, 2024 Interest rate swap and swaption agreements, at fair value 1 $ 26 $ — $ 26 $ — $ (2) $ 24 TBA securities, at fair value 1 58 — 58 (15) (42) 1 Receivable under reverse repurchase agreements 12,424 — 12,424 (8,722) (3,702) — Total $ 12,508 $ — $ 12,508 $ (8,737) $ (3,746) $ 25 December 31, 2023 Interest rate swap and swaption agreements, at fair value 1 $ 104 $ — $ 104 $ — $ (89) $ 15 TBA securities, at fair value 1 80 — 80 (15) (65) — Receivable under reverse repurchase agreements 11,618 — 11,618 (8,433) (3,181) 4 Total $ 11,802 $ — $ 11,802 $ (8,448) $ (3,335) $ 19 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 Net Amount Financial Instruments Collateral Pledged 2 March 31, 2024 TBA securities, at fair value 1 $ 15 $ — $ 15 $ (15) $ — $ — Repurchase agreements 49,971 — 49,971 (8,722) (41,249) — Total $ 49,986 $ — $ 49,986 $ (8,737) $ (41,249) $ — December 31, 2023 TBA securities, at fair value 1 $ 15 $ — $ 15 $ (15) $ — $ — Repurchase agreements 50,426 — 50,426 (8,433) (41,993) — Total $ 50,441 $ — $ 50,441 $ (8,448) $ (41,993) $ — ________________________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2024 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2024 and December 31, 2023, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income. March 31, 2024 December 31, 2023 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 53,615 $ — $ — $ 53,673 $ — Agency securities transferred to consolidated VIEs — 114 — — 121 — Credit risk transfer securities — 753 — — 723 — Non-Agency securities — 294 — — 307 — U.S. Treasury securities 1,836 — — 1,540 — — Interest rate swaps 1 — 24 — — 15 — Swaptions — 2 — — 89 — TBA securities — 58 — — 81 — Total $ 1,836 $ 54,860 $ — $ 1,540 $ 55,009 $ — Liabilities: Debt of consolidated VIEs $ — $ 76 $ — $ — $ 80 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 12,115 — — 10,894 — — Interest rate swaps 1 — — — — 1 — Credit default swaps 1 — — — — — — TBA securities — 15 — — 15 — U.S. Treasury futures 34 — — 336 — — SOFR Futures 16 — — 10 — — Total $ 12,165 $ 91 $ — $ 11,240 $ 96 $ — ________________________________ 1. As of March 31, 2024 and December 31, 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $3.0 billion and $2.9 billion, respectively, based on "Level 2" inputs. As of March 31, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $(7) million and $(6) million, respectively, based on "Level 2" inputs. See Notes 2 and 5 for additional details. |
Net Income (Loss) Per Common Sh
Net Income (Loss) Per Common Share (Notes) | 3 Months Ended |
Mar. 31, 2024 | |
Net Income (Loss) Per Common Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | Three Months Ended March 31, 2024 2023 Weighted average number of common shares issued and outstanding 700.1 577.6 Weighted average number of fully vested restricted stock units outstanding 2.1 1.7 Weighted average number of common shares outstanding - basic 702.2 579.3 Weighted average number of dilutive unvested restricted stock units outstanding 2.0 — Weighted average number of common shares outstanding - diluted 704.2 579.3 Net income (loss) available (attributable) to common stockholders $ 412 $ (181) Net income (loss) per common share - basic $ 0.59 $ (0.31) Net income (loss) per common share - diluted $ 0.59 $ (0.31) |
Earnings Per Share [Text Block] | Net Income (Loss) Per Common Share Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) 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 ("RSUs") outstanding for the period granted under our long-term incentive program to employees and non-employee Board of Directors. Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per common share. Our potential common stock equivalents consist of unvested time and performance-based RSUs. The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated (shares and dollars in millions): Three Months Ended March 31, 2024 2023 Weighted average number of common shares issued and outstanding 700.1 577.6 Weighted average number of fully vested restricted stock units outstanding 2.1 1.7 Weighted average number of common shares outstanding - basic 702.2 579.3 Weighted average number of dilutive unvested restricted stock units outstanding 2.0 — Weighted average number of common shares outstanding - diluted 704.2 579.3 Net income (loss) available (attributable) to common stockholders $ 412 $ (181) Net income (loss) per common share - basic $ 0.59 $ (0.31) Net income (loss) per common share - diluted $ 0.59 $ (0.31) For the three months ended March 31, 2023 1.2 million of potentially dilutive unvested time and performance based 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 the period. |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2024 | |
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 March 31, 2024 and December 31, 2023, 13,800, 10,350, 16,100, 23,000 and 6,900 shares of preferred stock were designated as 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E, F and G Preferred Stock", respectively). As of March 31, 2024 and December 31, 2023, 13,000, 9,400, 16,100, 23,000 and 6,000 shares of Series C, D, E, F and G Preferred Stock, respectively, were issued and outstanding. Each share of preferred stock is represented by 1,000 depositary shares. Each share of preferred stock has a liquidation preference of $25,000 per share ($25 per depositary share). 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 each series of preferred stock ranks on parity with one another. 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, we may redeem shares at $25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared), exclusively at our option. The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2024 (dollars and shares in millions): Cumulative Redeemable Preferred Stock 1 Issue Date Depositary Carrying Aggregate Per Annum Dividend Rate 2,3 First Optional Redemption Date / Conversion Date 3,4 Fixed-to-Floating Rate: Series C August 22, 2017 13.0 $ 315 $ 325 10.689% October 15, 2022 Series D March 6, 2019 9.4 227 235 6.875% April 15, 2024 Series E October 3, 2019 16.1 390 403 6.500% October 15, 2024 Series F February 11, 2020 23.0 557 575 6.125% April 15, 2025 Fixed-Rate Reset: Series G September 14, 2022 6.0 145 150 7.750% October 15, 2027 Total 67.5 $ 1,634 $ 1,688 ________________________________ 1. The depositary shares underlying our preferred stock accrue dividends at an initial 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 or fixed-rate-reset conversion date; thereafter, dividends will accrue on a floating rate or fixed-rate-reset basis equal to the conversion rate plus a fixed spread. 2. The Series C per annum dividend rate represents the dividend rate in effect as of March 31, 2024. 3. The Series C dividend accrues at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 5.111%, per annum, resetting quarterly in accordance with the certificate of designations for such series and the Adjustable Interest Rate (LIBOR) Act of 2021 (the “LIBOR Act”). At the conclusion of the fixed rate period (the conversion date) for each of the Series D, E, and F Preferred Stock, the dividend for such series will accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 4.332%, 4.993% and 4.697%, respectively, per annum, resetting quarterly in accordance with the certificate of designations for such series and the LIBOR Act. At the conclusion of the fixed rate period for the Series G Preferred Stock, the dividend will accrue at a floating rate equal to the 5-Year US Treasury rate, plus a spread of 4.39%, per annum and will reset in accordance with the certificate of designations for such series. 4. 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. 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. During the three months ended March 31, 2024, we sold 25.1 million shares, of our common stock under the sales agreements for proceeds of $241 million, or $9.61 per common share, respectively, net of offering costs. As of March 31, 2024, shares of our common stock with an aggregate offering price of $0.6 billion remained authorized for issuance under this program through December 31, 2024. Accumulated Other Comprehensive Income (Loss) The following table summarizes changes to accumulated OCI for the three months ended March 31, 2024 and 2023 (in millions): Three Months Ended March 31, Accumulated Other Comprehensive Income (Loss) 2024 2023 Beginning Balance $ (517) $ (672) OCI before reclassifications (77) 118 Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net — 24 Ending Balance $ (594) $ (530) |
Pay vs Performance Disclosure
Pay vs Performance Disclosure - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Pay vs Performance Disclosure | ||
Net income (loss) | $ 443 | $ (151) |
Insider Trading Arrangements
Insider Trading Arrangements | 3 Months Ended |
Mar. 31, 2024 | |
Trading Arrangements, by Individual | |
Non-Rule 10b5-1 Arrangement Adopted | false |
Non-Rule 10b5-1 Arrangement Terminated | false |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policy) | 3 Months Ended |
Mar. 31, 2024 | |
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. |
New Accounting Pronouncements, Policy [Policy Text Block] | Recent Accounting Pronouncements We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption. |
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 synthetically 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, over-collateralization 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"), whereas 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). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss 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 by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments. |
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, primary to secondary mortgage rate spreads, 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 for reasonableness with consideration given to both historical prepayment speeds and current market conditions. If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape we may make adjustments to the models. 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 previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date 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, collateral call provisions, 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 agreements with our lending counterparties. Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the securities at a future date. We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments. Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase agreements 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. |
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. Net cash receipts from and payments on our 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. 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 Secured Overnight Financing Rate ("SOFR") and Overnight Index Swap Rate ("OIS"). Our interest rate swaps typically have terms from one to 10 years. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange. The initial margin amount is intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors. 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. 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 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. U.S. Treasury securities and US Treasury futures contracts 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 enter into short-sales of U.S. Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market. 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. Treasury futures contracts are standardized contracts that obligate us to sell or buy U.S. Treasury securities for future delivery. 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. |
Fair Value Measurement, Policy | Fair Value Measurements We determine the fair value of 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 utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date. We categorize a financial instrument within the hierarchy 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 majority of our financial instruments are classified as Level 2 inputs. The availability of observable inputs can be 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. We typically obtain price estimates from multiple third- party pricing sources, such as pricing services and dealers, or, if applicable, from the registered clearing exchange. We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity. 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 following is a description of the valuation methodologies used for financial instruments measured at fair value on a recurring basis classified as Level 2 inputs. These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of these markets and the similarity of our instruments to those actively traded enable our pricing sources and us to utilize the observed quoted prices as a basis for formulating fair value measurements. Investment securities - are valued based on prices obtained from multiple third-party pricing sources. The pricing sources utilize various valuation approaches, including market and income approaches. For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for TBA securities having the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. 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, spread measurements to benchmark 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. TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity. Interest rate swaps - are valued 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. Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the 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 based on observable market inputs, adjusted for non-performance risk, if any. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2024 | |
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. Net cash receipts from and payments on our 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. 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 Secured Overnight Financing Rate ("SOFR") and Overnight Index Swap Rate ("OIS"). Our interest rate swaps typically have terms from one to 10 years. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange. The initial margin amount is intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors. 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. 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 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. U.S. Treasury securities and US Treasury futures contracts 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 enter into short-sales of U.S. Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market. 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. Treasury futures contracts are standardized contracts that obligate us to sell or buy U.S. Treasury securities for future delivery. 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 synthetically 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, over-collateralization 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"), whereas 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). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss 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 by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments. |
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, primary to secondary mortgage rate spreads, 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 for reasonableness with consideration given to both historical prepayment speeds and current market conditions. If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape we may make adjustments to the models. 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 previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date 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, collateral call provisions, 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) | 3 Months Ended |
Mar. 31, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
Securities by Credit Rating [Table Text Block] | As of March 31, 2024 and December 31, 2023, our investments in CRT and non-Agency securities had the following credit ratings (in millions): March 31, 2024 December 31, 2023 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS 2 CMBS CRT RMBS 2 CMBS AAA $ — $ 1 $ 7 $ — $ 1 $ 9 AA — — 37 — — 31 A — — 29 — — 25 BBB 112 — 29 144 14 44 BB 142 1 92 137 7 81 B 44 2 55 39 2 55 Not Rated 455 10 31 403 10 28 Total $ 753 $ 14 $ 280 $ 723 $ 34 $ 273 ________________________________ 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. 2. RMBS excludes other mortgage credit investments of $59 million and $44 million as of March 31, 2024 and December 31, 2023, respectively. |
Components of Investment Securities | The following tables summarize our investment securities as of March 31, 2024 and December 31, 2023, excluding TBA securities and other mortgage credit investments (dollars in millions). Details of our TBA securities are included in Note 5. March 31, 2024 December 31, 2023 Investment Securities Amortized Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 55,465 $ 52,767 $ 55,289 $ 53,161 Adjustable rate 722 716 293 290 CMO 120 113 127 120 Interest-only and principal-only strips 65 58 67 61 Multifamily 75 75 161 162 Total Agency RMBS 56,447 53,729 55,937 53,794 Non-Agency RMBS 1 19 14 43 34 CMBS 304 280 303 273 CRT securities 694 753 682 723 Total investment securities $ 57,464 $ 54,776 $ 56,965 $ 54,824 |
Summary Of Agency Securities Estimated Weighted Average Life Classifications | The following table summarizes our investments as of March 31, 2024 and December 31, 2023 according to their estimated weighted average life classification (dollars in millions): March 31, 2024 December 31, 2023 Estimated Weighted Average Life of Investment Securities 1 Fair Value Amortized Weighted Weighted Fair Value Amortized Weighted Weighted ≤ 3 years $ 630 $ 639 7.65% 7.22% $ 942 $ 961 6.61% 5.93% > 3 years and ≤ 5 years 4,647 4,641 6.21% 5.70% 10,381 10,331 5.98% 5.52% > 5 years and ≤10 years 45,747 48,314 4.77% 4.34% 40,895 42,988 4.55% 4.10% > 10 years 3,752 3,870 5.00% 4.90% 2,606 2,685 4.77% 4.63% Total $ 54,776 $ 57,464 4.93% 4.52% $ 54,824 $ 56,965 4.86% 4.41% ________________________________ 1. Table excludes other mortgage credit investments of $59 million and $44 million as of March 31, 2024 and December 31, 2023, respectively. |
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 months ended March 31, 2024 and 2023 by investment classification of accounting (in millions): Three Months Ended March 31, 2024 2023 Investment Securities Available-for-Sale Securities 2,3 Fair Value Option Securities Total Available-for-Sale Securities 2,3 Fair Value Option Securities Total Investment securities sold, at cost $ — $ (5,218) $ (5,218) $ (202) $ (1,672) $ (1,874) Proceeds from investment securities sold 1 — 5,127 5,127 178 1,615 1,793 Net gain (loss) on sale of investment securities $ — $ (91) $ (91) $ (24) $ (57) $ (81) Gross gain on sale of investment securities $ — $ 10 $ 10 $ — $ 1 $ 1 Gross loss on sale of investment securities — (101) (101) (24) (58) (82) Net gain (loss) on sale of investment securities $ — $ (91) $ (91) $ (24) $ (57) $ (81) ________________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. 2. See Note 9 for a summary of changes in accumulated OCI. 3. |
Schedule of Available-for-sale Securities Reconciliation | March 31, 2024 Agency RMBS Non-Agency 1 Investment Securities Fannie Mae Freddie Mac Ginnie RMBS CMBS CRT Total Available-for-sale securities: Par value $ 3,772 $ 1,117 $ 1 $ — $ — $ — $ 4,890 Unamortized discount (2) — — — — — (2) Unamortized premium 221 71 — — — — 292 Amortized cost 3,991 1,188 1 — — — 5,180 Gross unrealized gains — — — — — — — Gross unrealized losses (452) (142) — — — — (594) Total available-for-sale securities, at fair value 3,539 1,046 1 — — — 4,586 Securities remeasured at fair value through earnings: Par value 28,931 21,406 42 21 310 687 51,397 Unamortized discount (122) (81) (1) (3) (8) (9) (224) Unamortized premium 697 395 — 1 2 16 1,111 Amortized cost 29,506 21,720 41 19 304 694 52,284 Gross unrealized gains 95 61 — — 3 59 218 Gross unrealized losses (1,506) (773) (1) (5) (27) — (2,312) Total securities remeasured at fair value through earnings 28,095 21,008 40 14 280 753 50,190 Total securities, at fair value $ 31,634 $ 22,054 $ 41 $ 14 $ 280 $ 753 $ 54,776 Weighted average coupon as of March 31, 2024 4.73 % 5.02 % 4.63 % 6.19 % 7.28 % 10.72 % 4.93 % Weighted average yield as of March 31, 2024 2 4.27 % 4.70 % 4.96 % 6.34 % 7.42 % 9.47 % 4.52 % December 31, 2023 Agency RMBS Non-Agency 1 Investment Securities Fannie Freddie Mac Ginnie RMBS CMBS CRT Total Available-for-sale securities: Par value $ 3,881 $ 1,152 $ 1 $ — $ — $ — $ 5,034 Unamortized discount (1) — — — — — (1) Unamortized premium 227 73 — — — — 300 Amortized cost 4,107 1,225 1 — — — 5,333 Gross unrealized gains — — — — — — — Gross unrealized losses (392) (125) — — — — (517) Total available-for-sale securities, at fair value 3,715 1,100 1 — — — 4,816 Securities remeasured at fair value through earnings: Par value 29,910 19,503 283 44 307 679 50,726 Unamortized discount (108) (59) (3) (3) (7) (9) (189) Unamortized premium 702 376 — 2 3 12 1,095 Amortized cost 30,504 19,820 280 43 303 682 51,632 Gross unrealized gains 170 111 1 — 2 41 325 Gross unrealized losses (1,270) (638) — (9) (32) — (1,949) Total securities remeasured at fair value through earnings 29,404 19,293 281 34 273 723 50,008 Total securities, at fair value $ 33,119 $ 20,393 $ 282 $ 34 $ 273 $ 723 $ 54,824 Weighted average coupon as of December 31, 2023 4.69 % 4.91 % 4.94 % 5.10 % 7.27 % 10.45 % 4.86 % Weighted average yield as of December 31, 2023 2 4.22 % 4.53 % 5.16 % 4.92 % 7.04 % 8.87 % 4.41 % ________________________________ 1. Non-Agency amounts exclude other mortgage credit investments of $59 million and $44 million as of March 31, 2024 and December 31, 2023, respectively. 2. Incorporates a weighted average future constant prepayment rate assumption of 10.4% and 11.4% based on forward rates as of March 31, 2024 and December 31, 2023, respectively. |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | 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 March 31, 2024 and December 31, 2023 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Unrealized Fair Value Unrealized Fair Unrealized March 31, 2024 $ — $ — $ 4,569 $ (594) $ 4,569 $ (594) December 31, 2023 $ — $ — $ 4,797 $ (517) $ 4,797 $ (517) |
Repurchase Agreements and Rev_2
Repurchase Agreements and Reverse Repurchase Agreements (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Borrowings under Repurchase Agreements and Weighted Average Interest Rates | The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2024 and December 31, 2023 (dollars in millions): March 31, 2024 December 31, 2023 Remaining Maturity Repurchase Agreements Weighted Weighted Repurchase Agreements Weighted Weighted Investment securities repo ≤ 1 month $ 38,112 5.46 % 10 $ 40,946 5.61 % 11 > 1 to ≤ 3 months 9,244 5.47 % 59 7,933 5.55 % 64 > 3 to ≤ 6 months 784 5.41 % 151 — — % — Investment securities repo 48,140 5.46 % 22 48,879 5.60 % 19 U.S. Treasury repo: ≤ 1 month 1,831 5.47 % 1 1,547 5.54 % 2 Total $ 49,971 5.46 % 21 $ 50,426 5.60 % 19 |
Derivative and Other Hedging _2
Derivative and Other Hedging Instruments (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Derivative [Line Items] | |
Schedule of Interest Rate Swap Agreement by Receive Index (as a percentage of Notional Amount) [Table Text Block] | Receive Fixed / Pay Variable March 31, 2024 December 31, 2023 Years to Maturity Notional Average Variable Pay Rate 1 Average Average Notional Average Variable Pay Rate 1 Average Average > 1 to ≤ 3 years $ (1,000) 5.34% 4.65% 1.3 (1,000) 5.38% 4.65% 1.5 Total $ (1,000) 5.34% 4.65% 1.3 $ (1,000) 5.38% 4.65% 1.5 |
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 March 31, 2024 and December 31, 2023 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location March 31, 2024 December 31, 2023 Interest rate swaps 1 Derivative assets, at fair value $ 24 $ 15 Swaptions Derivative assets, at fair value 2 89 TBA and forward settling non-Agency securities Derivative assets, at fair value 58 81 Total derivative assets, at fair value $ 84 $ 185 Interest rate swaps 1 Derivative liabilities, at fair value $ — $ (1) TBA and forward settling non-Agency securities Derivative liabilities, at fair value (15) (15) U.S. Treasury futures - short Derivative liabilities, at fair value (34) (336) SOFR futures contracts - long Derivative liabilities, at fair value (16) (10) Credit default swaps 1 Derivative liabilities, at fair value — — Total derivative liabilities, at fair value $ (65) $ (362) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 1,836 $ 1,540 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (12,115) (10,894) Total U.S. Treasury securities, net at fair value $ (10,279) $ (9,354) ________________________________ 1. As of March 31, 2024 and December 31, 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $3.0 billion and $2.9 billion, respectively. As of March 31, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $(7) million and $(6) million, respectively. |
Schedule of Interest Rate Swaption Agreements Outstanding | Payer Swaptions Option Underlying Payer Swap Current Option Expiration Date Cost Basis Fair Value Average Notional Average Fixed Pay Rate 1 Average December 31, 2023 ≤ 1 year $ 28 $ 86 5 $ 1,250 2.61% 10.0 Total $ 28 $ 86 5 $ 1,250 2.61% 10.0 ________________________________ 1. Receive index references SOFR. Receiver Swaptions Option Underlying Receiver Swap Current Option Expiration Date Cost Basis Fair Value Average Notional Average Fixed Receive Average March 31, 2024 ≤ 1 year $ 3 $ 2 21 $ 150 2.98% 5.0 December 31, 2023 ≤ 1 year $ 3 $ 3 24 $ 150 2.98% 5.0 |
US government securities | U.S. Treasury Securities 1 March 31, 2024 December 31, 2023 Years to Maturity Face Amount Long/(Short) Cost Basis Fair Value Face Amount Long/(Short) Cost Basis Fair Value ≤ 5 years $ 586 $ 594 $ 605 $ 1,408 $ 1,419 $ 1,454 > 5 year ≤ 7 years (563) (566) (438) (818) (821) (703) > 7 year ≤ 10 years (9,230) (8,884) (8,592) (8,649) (8,277) (8,187) > 10 years (1,785) (1,832) (1,854) (1,796) (1,796) (1,918) Total U.S. Treasury securities $ (10,992) $ (10,688) $ (10,279) $ (9,855) $ (9,475) $ (9,354) ________________________________ 1. |
US Government Futures Securities [Table Text Block] | U.S. Treasury Futures March 31, 2024 December 31, 2023 Years to Maturity Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 > 5 year ≤ 7 years $ (905) $ (997) $ (1,003) $ (6) $ (2,714) $ (2,961) $ (3,064) $ (103) > 7 year ≤ 10 years (1,343) (1,528) (1,539) (11) (2,924) (3,294) (3,451) (157) > 10 years (791) (936) (953) (17) (791) (913) (989) (76) Total U.S. Treasury futures $ (3,039) $ (3,461) $ (3,495) $ (34) $ (6,429) $ (7,168) $ (7,504) $ (336) ________________________________ 1. |
Summary of Long and Short Position of Derivative Instruments | March 31, 2024 December 31, 2023 TBA Securities by Coupon Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 15-Year TBA securities: ≥ 5.0% $ 90 $ 89 $ 90 $ 1 $ 90 $ 89 $ 91 $ 2 Total 15-Year TBA securities 90 89 90 1 90 89 91 2 30-Year TBA securities: ≤ 3.0% — — — — (29) (24) (25) (1) 3.5% 105 93 94 1 — — — — 4.0% — — — — — — — — 4.5% 1,715 1,631 1,636 5 363 343 352 9 5.0% 5,040 4,907 4,932 25 1,717 1,704 1,704 — 5.5% 2,874 2,861 2,872 11 2,034 2,014 2,047 33 6.0% (2,107) (2,125) (2,128) (3) 20 10 21 11 ≥ 6.5% 934 949 952 3 1,137 1,152 1,164 12 Total 30-Year TBA securities, net 8,561 8,316 8,358 42 5,242 5,199 5,263 64 Total TBA securities, net $ 8,651 $ 8,405 $ 8,448 $ 43 $ 5,332 $ 5,288 $ 5,354 $ 66 ________________________________ 1. |
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 months ended March 31, 2024 and 2023 (in millions): Derivative and Other Hedging Instruments Beginning Additions Settlement, Termination, Ending Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Three months ended March 31, 2024: TBA securities, net $ 5,332 25,390 (22,071) $ 8,651 $ (58) Interest rate swaps - payer $ 44,476 5,170 (5,250) $ 44,396 658 Interest rate swaps - receiver $ (1,000) — — $ (1,000) (9) Credit default swaps - buy protection $ (96) — — $ (96) (3) Payer swaptions $ 1,250 — (1,250) $ — 33 Receiver swaptions $ (150) — — $ (150) — U.S. Treasury securities - short position $ (11,347) (3,101) 1,641 $ (12,807) 338 U.S. Treasury securities - long position $ 1,492 1,669 (1,346) $ 1,815 (43) U.S. Treasury futures contracts - short position $ (6,429) (3,384) 6,774 $ (3,039) 186 $ 1,102 Three months ended March 31, 2023: TBA securities, net $ 19,050 60,147 (68,801) $ 10,396 $ 112 Interest rate swaps - payer $ 47,825 3,000 (1,900) $ 48,925 (232) Credit default swaps - buy protection $ (215) (710) 500 $ (425) (3) Payer swaptions $ 3,050 — (1,450) $ 1,600 (66) U.S. Treasury securities - short position $ (7,373) (2,949) 936 $ (9,386) (157) U.S. Treasury securities - long position $ 357 7,446 (1,243) $ 6,560 75 U.S. Treasury futures contracts - short position $ (9,213) (7,215) 10,528 $ (5,900) (235) $ (506) ________________________________ 1. Amounts exclude other miscellaneous gains and losses and other interest income (expense) recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Not Designated as Hedging Instrument [Member] | |
Derivative [Line Items] | |
Schedule Of Interest Rate Swap Agreement By Remaining Maturity | The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2024 and December 31, 2023 (dollars in millions): Pay Fixed / Receive Variable Interest Rate Swaps March 31, 2024 1 December 31, 2023 Years to Maturity Notional Average Fixed Pay Rate 2 Average Variable Receive Rate 3 Average Notional Average Average Variable Receive Rate 3 Average ≤ 1 years $ 8,500 0.06% 5.34% 0.4 $ 13,750 0.14% 5.37% 0.4 > 1 to ≤ 3 years 15,800 0.17% 5.34% 1.7 15,800 0.17% 5.36% 2.0 > 3 to ≤ 5 years 5,800 0.24% 5.34% 3.7 5,800 0.24% 5.38% 3.9 > 5 to ≤ 7 years 5,400 1.72% 5.34% 6.2 3,900 0.92% 5.37% 6.2 > 7 to ≤ 10 years 8,896 3.28% 5.34% 9.3 5,226 3.06% 5.38% 9.2 Total $ 44,396 0.97% 5.34% 3.8 $ 44,476 0.57% 5.37% 3.0 |
Pledged Assets (Tables)
Pledged Assets (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Pledged Assets [Abstract] | |
Schedule of Securities and Cash Pledged as Collateral from Counterparties [Table Text Block] | As of March 31, 2024 and December 31, 2023, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). March 31, 2024 December 31, 2023 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency securities - fair value $ — $ — $ 68 $ 68 $ — $ — $ — $ — U.S. Treasury securities - fair value 12,352 — 20 12,372 11,667 — 306 11,973 Cash — 2 5 7 — 89 49 138 Total $ 12,352 $ 2 $ 93 $ 12,447 $ 11,667 $ 89 $ 355 $ 12,111 |
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 March 31, 2024 and December 31, 2023 (in millions): March 31, 2024 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Derivative Agreements and Other Total Agency RMBS - fair value $ 48,428 $ 114 $ 72 $ 48,614 CRT - fair value 722 — — 722 Non-Agency - fair value 250 — — 250 U.S. Treasury securities - fair value 1,825 — — 1,825 Accrued interest on pledged securities 230 — — 230 Restricted cash 293 — 1,075 1,368 Total $ 51,748 $ 114 $ 1,147 $ 53,009 December 31, 2023 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Derivative Agreements and Other Total Agency RMBS - fair value $ 49,602 $ 121 $ 15 $ 49,738 CRT - fair value 678 — — 678 Non-Agency - fair value 262 — — 262 U.S. Treasury securities - fair value 1,865 — 62 1,927 Accrued interest on pledged securities 217 — — 217 Restricted cash 9 — 1,244 1,253 Total $ 52,633 $ 121 $ 1,321 $ 54,075 ________________________________ 1. Includes repledged assets received as collateral from counterparties and securities sold but not yet settled. 2. |
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 March 31, 2024 and December 31, 2023 (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 Net Amount Financial Instruments Collateral Received 2 March 31, 2024 Interest rate swap and swaption agreements, at fair value 1 $ 26 $ — $ 26 $ — $ (2) $ 24 TBA securities, at fair value 1 58 — 58 (15) (42) 1 Receivable under reverse repurchase agreements 12,424 — 12,424 (8,722) (3,702) — Total $ 12,508 $ — $ 12,508 $ (8,737) $ (3,746) $ 25 December 31, 2023 Interest rate swap and swaption agreements, at fair value 1 $ 104 $ — $ 104 $ — $ (89) $ 15 TBA securities, at fair value 1 80 — 80 (15) (65) — Receivable under reverse repurchase agreements 11,618 — 11,618 (8,433) (3,181) 4 Total $ 11,802 $ — $ 11,802 $ (8,448) $ (3,335) $ 19 |
Offsetting 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 March 31, 2024 and December 31, 2023 (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 Net Amount Financial Instruments Collateral Received 2 March 31, 2024 Interest rate swap and swaption agreements, at fair value 1 $ 26 $ — $ 26 $ — $ (2) $ 24 TBA securities, at fair value 1 58 — 58 (15) (42) 1 Receivable under reverse repurchase agreements 12,424 — 12,424 (8,722) (3,702) — Total $ 12,508 $ — $ 12,508 $ (8,737) $ (3,746) $ 25 December 31, 2023 Interest rate swap and swaption agreements, at fair value 1 $ 104 $ — $ 104 $ — $ (89) $ 15 TBA securities, at fair value 1 80 — 80 (15) (65) — Receivable under reverse repurchase agreements 11,618 — 11,618 (8,433) (3,181) 4 Total $ 11,802 $ — $ 11,802 $ (8,448) $ (3,335) $ 19 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 Net Amount Financial Instruments Collateral Pledged 2 March 31, 2024 TBA securities, at fair value 1 $ 15 $ — $ 15 $ (15) $ — $ — Repurchase agreements 49,971 — 49,971 (8,722) (41,249) — Total $ 49,986 $ — $ 49,986 $ (8,737) $ (41,249) $ — December 31, 2023 TBA securities, at fair value 1 $ 15 $ — $ 15 $ (15) $ — $ — Repurchase agreements 50,426 — 50,426 (8,433) (41,993) — Total $ 50,441 $ — $ 50,441 $ (8,448) $ (41,993) $ — ________________________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. |
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 March 31, 2024 and December 31, 2023 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . March 31, 2024 December 31, 2023 Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2 Fair Value of Pledged Securities Amortized Accrued Fair Value of Pledged Securities Amortized Accrued ≤ 1 month $ 40,685 $ 42,234 $ 191 $ 43,701 $ 44,918 $ 188 > 1 and ≤ 2 months 4,644 4,954 18 2,847 3,069 10 > 2 and ≤ 3 months 5,076 5,561 18 5,524 5,947 19 > 3 months 820 894 3 — — — Total $ 51,225 $ 53,643 $ 230 $ 52,072 $ 53,934 $ 217 ________________________________ 1. Includes $39 million and $42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2024 and December 31, 2023, respectively. 2. Excludes $397 million of repledged U.S. Treasury securities received as collateral from counterparties as of December 31, 2023. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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 March 31, 2024 and December 31, 2023, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income. March 31, 2024 December 31, 2023 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 53,615 $ — $ — $ 53,673 $ — Agency securities transferred to consolidated VIEs — 114 — — 121 — Credit risk transfer securities — 753 — — 723 — Non-Agency securities — 294 — — 307 — U.S. Treasury securities 1,836 — — 1,540 — — Interest rate swaps 1 — 24 — — 15 — Swaptions — 2 — — 89 — TBA securities — 58 — — 81 — Total $ 1,836 $ 54,860 $ — $ 1,540 $ 55,009 $ — Liabilities: Debt of consolidated VIEs $ — $ 76 $ — $ — $ 80 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 12,115 — — 10,894 — — Interest rate swaps 1 — — — — 1 — Credit default swaps 1 — — — — — — TBA securities — 15 — — 15 — U.S. Treasury futures 34 — — 336 — — SOFR Futures 16 — — 10 — — Total $ 12,165 $ 91 $ — $ 11,240 $ 96 $ — ________________________________ 1. As of March 31, 2024 and December 31, 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $3.0 billion and $2.9 billion, respectively, based on "Level 2" inputs. As of March 31, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $(7) million and $(6) million, respectively, based on "Level 2" inputs. See Notes 2 and 5 for additional details. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Equity [Abstract] | |
Preferred Stock [Table Text Block] | Cumulative Redeemable Preferred Stock 1 Issue Date Depositary Carrying Aggregate Per Annum Dividend Rate 2,3 First Optional Redemption Date / Conversion Date 3,4 Fixed-to-Floating Rate: Series C August 22, 2017 13.0 $ 315 $ 325 10.689% October 15, 2022 Series D March 6, 2019 9.4 227 235 6.875% April 15, 2024 Series E October 3, 2019 16.1 390 403 6.500% October 15, 2024 Series F February 11, 2020 23.0 557 575 6.125% April 15, 2025 Fixed-Rate Reset: Series G September 14, 2022 6.0 145 150 7.750% October 15, 2027 Total 67.5 $ 1,634 $ 1,688 ________________________________ 1. The depositary shares underlying our preferred stock accrue dividends at an initial 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 or fixed-rate-reset conversion date; thereafter, dividends will accrue on a floating rate or fixed-rate-reset basis equal to the conversion rate plus a fixed spread. 2. The Series C per annum dividend rate represents the dividend rate in effect as of March 31, 2024. 3. The Series C dividend accrues at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 5.111%, per annum, resetting quarterly in accordance with the certificate of designations for such series and the Adjustable Interest Rate (LIBOR) Act of 2021 (the “LIBOR Act”). At the conclusion of the fixed rate period (the conversion date) for each of the Series D, E, and F Preferred Stock, the dividend for such series will accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 4.332%, 4.993% and 4.697%, respectively, per annum, resetting quarterly in accordance with the certificate of designations for such series and the LIBOR Act. At the conclusion of the fixed rate period for the Series G Preferred Stock, the dividend will accrue at a floating rate equal to the 5-Year US Treasury rate, plus a spread of 4.39%, per annum and will reset in accordance with the certificate of designations for such series. 4. |
Schedule of Stock by Class [Table Text Block] | During the three months ended March 31, 2024, we sold 25.1 million shares, of our common stock under the sales agreements for proceeds of $241 million, or $9.61 per common share, respectively, net of offering costs. As of March 31, 2024, shares of our common stock with an aggregate offering price of $0.6 billion remained authorized for issuance under this program through December 31, 2024. |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes changes to accumulated OCI for the three months ended March 31, 2024 and 2023 (in millions): Three Months Ended March 31, Accumulated Other Comprehensive Income (Loss) 2024 2023 Beginning Balance $ (517) $ (672) OCI before reclassifications (77) 118 Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net — 24 Ending Balance $ (594) $ (530) |
Organization (Details)
Organization (Details) | 3 Months Ended |
Mar. 31, 2024 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Required Annual Distribution of Taxable Net Income | 90% |
Intended annual distribution of taxable net income | 100% |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies (Details) | 3 Months Ended |
Mar. 31, 2024 | |
Derivative [Line Items] | |
Required Annual Distribution of Taxable Net Income | 90% |
Summary of Significant Accoun_5
Summary of Significant Accounting Policies Variable Interest Entities (Details) - USD ($) $ in Millions | Mar. 31, 2024 | Dec. 31, 2023 |
Variable Interest Entity [Line Items] | ||
Other Long-term Debt | $ 76 | $ 80 |
Investment Securities (Narrativ
Investment Securities (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Mar. 31, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Debt Securities, Available-for-sale [Line Items] | |||
Weighted average expected constant prepayment rate | 10.40% | 11.40% | |
Debt, at fair value | $ (76,000) | $ (80,000) | |
Mortgage Credit Investment Fund Limited Partnership | 59,000 | 44,000 | |
Agency Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Unamortized premium balance | 1,200,000 | ||
TBA securities Fifteen Year and Thirty Year Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Net long TBA position, at fair value | 8,400,000 | 5,400,000 | |
TBA, net carrying value | $ 43,000 | $ 66,000 |
Investment Securities Investmen
Investment Securities Investment Securities (Summary of Investment in Agency Security) (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | $ 57,464,000 | $ 56,965,000 |
Debt Securities, Trading and Available-for-sale | 54,776,000 | 54,824,000 |
Total agency MBS, at fair value | 53,729,000 | 53,794,000 |
Mortgage Credit Investment Fund Limited Partnership | 59,000 | 44,000 |
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 | 19,000 | 43,000 |
Debt Securities, Trading and Available-for-sale | 14,000 | 34,000 |
Commercial Mortgage Backed Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 304,000 | 303,000 |
Debt Securities, Trading and Available-for-sale | 280,000 | 273,000 |
Credit Risk Transfer Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 694,000 | 682,000 |
Debt Securities, Trading and Available-for-sale | 753,000 | 723,000 |
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 | 55,465,000 | 55,289,000 |
Debt Securities, Trading and Available-for-sale | 52,767,000 | 53,161,000 |
Adjustable-Rate [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 722,000 | 293,000 |
Debt Securities, Trading and Available-for-sale | 716,000 | 290,000 |
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 | 120,000 | 127,000 |
Debt Securities, Trading and Available-for-sale | 113,000 | 120,000 |
Multifamily [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 75,000 | 161,000 |
Debt Securities, Trading and Available-for-sale | 75,000 | 162,000 |
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 | 65,000 | 67,000 |
Debt Securities, Trading and Available-for-sale | 58,000 | 61,000 |
Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | $ 56,447,000 | $ 55,937,000 |
Investment Securities (Componen
Investment Securities (Components Of Investment Securities) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Mar. 31, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | $ 50,190,000 | $ 50,008,000 | |
Debt Securities, Trading and Available-for-sale | $ 54,776,000 | $ 54,824,000 | |
Weighted average coupon | 4.93% | 4.86% | |
Weighted average yield | 4.52% | 4.41% | |
Future Prepayment Rate Assumption Of Investment Portfolio | 10.40% | 11.40% | |
Fannie Mae [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | $ 28,095,000 | $ 29,404,000 | |
Debt Securities, Trading and Available-for-sale | $ 31,634,000 | $ 33,119,000 | |
Weighted average coupon | 4.73% | 4.69% | |
Weighted average yield | 4.27% | 4.22% | |
Freddie Mac [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | $ 21,008,000 | $ 19,293,000 | |
Debt Securities, Trading and Available-for-sale | $ 22,054,000 | $ 20,393,000 | |
Weighted average coupon | 5.02% | 4.91% | |
Weighted average yield | 4.70% | 4.53% | |
Ginnie Mae [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | $ 40,000 | $ 281,000 | |
Debt Securities, Trading and Available-for-sale | $ 41,000 | $ 282,000 | |
Weighted average coupon | 4.63% | 4.94% | |
Weighted average yield | 4.96% | 5.16% | |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | $ 14,000 | $ 34,000 | |
Debt Securities, Trading and Available-for-sale | $ 14,000 | $ 34,000 | |
Weighted average coupon | 6.19% | 5.10% | |
Weighted average yield | 6.34% | 4.92% | |
Commercial Mortgage Backed Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | $ 280,000 | $ 273,000 | |
Debt Securities, Trading and Available-for-sale | $ 280,000 | $ 273,000 | |
Weighted average coupon | 7.28% | 7.27% | |
Weighted average yield | 7.42% | 7.04% | |
Credit Risk Transfer Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | $ 753,000 | $ 723,000 | |
Debt Securities, Trading and Available-for-sale | $ 753,000 | ||
Weighted average coupon | 10.72% | 10.45% | |
Weighted average yield | 9.47% | 8.87% | |
Available-for-sale Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | $ 4,890,000 | $ 5,034,000 | |
Debt Securities, Available-for-Sale, Unamortized discount | 2,000 | 1,000 | |
Debt Securities, Available-for-Sale, Unamortized premium | 292,000 | 300,000 | |
Debt Securities, Available-for-sale, Amortized Cost | 5,180,000 | 5,333,000 | |
Debt Securities, Available-for-Sale, Gross Unrealized Losses | 594,000 | 517,000 | |
Total available-for-sale securities, at fair value | 4,586,000 | 4,816,000 | |
Debt Securities, Available-for-Sale, Gross Unrealized Gains | 0 | 0 | |
Available-for-sale Securities [Member] | Fannie Mae [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | 3,772,000 | 3,881,000 | |
Debt Securities, Available-for-Sale, Unamortized discount | 2,000 | 1,000 | |
Debt Securities, Available-for-Sale, Unamortized premium | 221,000 | 227,000 | |
Debt Securities, Available-for-sale, Amortized Cost | 3,991,000 | 4,107,000 | |
Debt Securities, Available-for-Sale, Gross Unrealized Losses | 452,000 | 392,000 | |
Total available-for-sale securities, at fair value | 3,539,000 | 3,715,000 | |
Debt Securities, Available-for-Sale, Gross Unrealized Gains | 0 | 0 | |
Available-for-sale Securities [Member] | Freddie Mac [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | 1,117,000 | 1,152,000 | |
Debt Securities, Available-for-Sale, Unamortized discount | 0 | 0 | |
Debt Securities, Available-for-Sale, Unamortized premium | 71,000 | 73,000 | |
Debt Securities, Available-for-sale, Amortized Cost | 1,188,000 | 1,225,000 | |
Debt Securities, Available-for-Sale, Gross Unrealized Losses | 142,000 | 125,000 | |
Total available-for-sale securities, at fair value | 1,046,000 | 1,100,000 | |
Debt Securities, Available-for-Sale, Gross Unrealized Gains | 0 | 0 | |
Available-for-sale Securities [Member] | Ginnie Mae [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | 1,000 | 1,000 | |
Debt Securities, Available-for-Sale, Unamortized discount | 0 | 0 | |
Debt Securities, Available-for-Sale, Unamortized premium | 0 | 0 | |
Debt Securities, Available-for-sale, Amortized Cost | 1,000 | 1,000 | |
Debt Securities, Available-for-Sale, Gross Unrealized Losses | 0 | 0 | |
Total available-for-sale securities, at fair value | 1,000 | 1,000 | |
Debt Securities, Available-for-Sale, Gross Unrealized Gains | 0 | 0 | |
Trading Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading Securities, Gross Unrealized Gains | 218,000 | 325,000 | |
Debt Securities, Trading Securities, Gross Unrealized Losses | 2,312,000 | 1,949,000 | |
Trading Securities Par | 51,397,000 | 50,726,000 | |
Debt Securities, Trading Securities, Unamortized discount | 224,000 | 189,000 | |
Debt Securities, Trading Securities, Unamortized Premium | 1,111,000 | 1,095,000 | |
Debt Securities, Trading, Amortized Cost | 52,284,000 | 51,632,000 | |
Trading Securities [Member] | Fannie Mae [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading Securities, Gross Unrealized Gains | 95,000 | 170,000 | |
Debt Securities, Trading Securities, Gross Unrealized Losses | 1,506,000 | 1,270,000 | |
Trading Securities Par | 28,931,000 | 29,910,000 | |
Debt Securities, Trading Securities, Unamortized discount | 122,000 | 108,000 | |
Debt Securities, Trading Securities, Unamortized Premium | 697,000 | 702,000 | |
Debt Securities, Trading, Amortized Cost | 29,506,000 | 30,504,000 | |
Trading Securities [Member] | Freddie Mac [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading Securities, Gross Unrealized Gains | 61,000 | 111,000 | |
Debt Securities, Trading Securities, Gross Unrealized Losses | 773,000 | 638,000 | |
Trading Securities Par | 21,406,000 | 19,503,000 | |
Debt Securities, Trading Securities, Unamortized discount | 81,000 | 59,000 | |
Debt Securities, Trading Securities, Unamortized Premium | 395,000 | 376,000 | |
Debt Securities, Trading, Amortized Cost | 21,720,000 | 19,820,000 | |
Trading Securities [Member] | Ginnie Mae [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading Securities, Gross Unrealized Gains | 0 | 1,000 | |
Debt Securities, Trading Securities, Gross Unrealized Losses | 1,000 | 0 | |
Trading Securities Par | 42,000 | 283,000 | |
Debt Securities, Trading Securities, Unamortized discount | (1,000) | (3,000) | |
Debt Securities, Trading Securities, Unamortized Premium | 0 | 0 | |
Debt Securities, Trading, Amortized Cost | 41,000 | 280,000 | |
Trading Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading Securities, Gross Unrealized Gains | 0 | 0 | |
Debt Securities, Trading Securities, Gross Unrealized Losses | 5,000 | 9,000 | |
Trading Securities Par | 21,000 | 44,000 | |
Debt Securities, Trading Securities, Unamortized discount | 3,000 | 3,000 | |
Debt Securities, Trading Securities, Unamortized Premium | 1,000 | 2,000 | |
Debt Securities, Trading, Amortized Cost | 19,000 | 43,000 | |
Trading Securities [Member] | Commercial Mortgage Backed Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading Securities, Gross Unrealized Gains | 3,000 | 2,000 | |
Debt Securities, Trading Securities, Gross Unrealized Losses | 27,000 | 32,000 | |
Trading Securities Par | 310,000 | 307,000 | |
Debt Securities, Trading Securities, Unamortized discount | 8,000 | 7,000 | |
Debt Securities, Trading Securities, Unamortized Premium | 2,000 | 3,000 | |
Debt Securities, Trading, Amortized Cost | 304,000 | 303,000 | |
Trading Securities [Member] | Credit Risk Transfer Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading Securities, Gross Unrealized Gains | 59,000 | 41,000 | |
Debt Securities, Trading Securities, Gross Unrealized Losses | 0 | 0 | |
Trading Securities Par | 687,000 | 679,000 | |
Debt Securities, Trading Securities, Unamortized discount | 9,000 | 9,000 | |
Debt Securities, Trading Securities, Unamortized Premium | 16,000 | 12,000 | |
Debt Securities, Trading, Amortized Cost | 694,000 | 682,000 | |
Securities Remeasured at Fair Value [Member] | Credit Risk Transfer Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading and Available-for-sale | 723,000 | ||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading and Available-for-sale | 14,000 | 34,000 | |
Commercial Mortgage Backed Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading and Available-for-sale | 280,000 | 273,000 | |
Credit Risk Transfer Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading and Available-for-sale | 753,000 | 723,000 | |
Credit Risk Transfer Securities [Member] | Securities Remeasured at Fair Value [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading and Available-for-sale | $ 753,000 | $ 723,000 |
Investment Securities (Summary
Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Millions | Mar. 31, 2024 | Dec. 31, 2023 |
Fair Value | $ 54,776 | $ 54,824 |
Amortized Cost | $ 57,464 | $ 56,965 |
Weighted Average Coupon | 4.93% | 4.86% |
Weighted Average Yield | 4.52% | 4.41% |
Less Than or Equal to Three Years [Member] | ||
Fair Value | $ 630 | $ 942 |
Amortized Cost | $ 639 | $ 961 |
Weighted Average Coupon | 7.65% | 6.61% |
Weighted Average Yield | 7.22% | 5.93% |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | ||
Fair Value | $ 4,647 | $ 10,381 |
Amortized Cost | $ 4,641 | $ 10,331 |
Weighted Average Coupon | 6.21% | 5.98% |
Weighted Average Yield | 5.70% | 5.52% |
Greater Than Five Years [Member] | ||
Fair Value | $ 45,747 | $ 40,895 |
Amortized Cost | $ 48,314 | $ 42,988 |
Weighted Average Coupon | 4.77% | 4.55% |
Weighted Average Yield | 4.34% | 4.10% |
Greater Than Ten Years [Member] | ||
Fair Value | $ 3,752 | $ 2,606 |
Amortized Cost | $ 3,870 | $ 2,685 |
Weighted Average Coupon | 5% | 4.77% |
Weighted Average Yield | 4.90% | 4.63% |
Investment Securities (Summar_2
Investment Securities (Summary Of Changes In Accumulated OCI For Available-For-Sale Security) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Unrealized Gains and (Losses), Net | $ (77) | $ 142 |
Agency Securities [Member] | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning OCI Balance | (517) | (672) |
Unrealized Gains and (Losses), Net | (77) | 118 |
Reversal of Unrealized (Gains) and Losses, Net on Realization | 0 | 24 |
Ending OCI Balance | $ (594) | $ (530) |
Investment Securities (Summar_3
Investment Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) - Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months | $ 0 | $ 0 |
Unrealized Loss Position For - Unrealized Loss - 12 Months or More | (594,000) | (517,000) |
Unrealized Loss Position For - Unrealized Loss - Total | (594,000) | (517,000) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 4,569,000 | 4,797,000 |
Debt Securities, Available-for-sale, Unrealized Loss Position | $ 4,569,000 | $ 4,797,000 |
Investment Securities (Summar_4
Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Cost of Sale of Fair Value Option Securities | $ (5,218,000) | $ (1,672,000) |
Cost of Sale of Investment Securities | (5,218,000) | (1,874,000) |
Proceeds from Sale of Debt Securities | 5,127,000 | 1,793,000 |
Proceeds from Sale of Debt Securities, Trading | 5,127,000 | 1,615,000 |
Proceeds from Sale of Debt Securities, Available-for-sale | 0 | (178,000) |
Net gain (loss) on sale of investment securities | (91,000) | (81,000) |
Principal Payments Received on Available-For-Sale securities | 143,000 | 179,000 |
Available-for-sale Securities [Member] | ||
Agency MBS sold, at cost | 0 | 202,000 |
Net gain (loss) on sale of investment securities | (24,000) | |
Debt Securities, Available-for-sale, Realized Gain | 0 | 0 |
Debt Securities, Available-for-sale, Realized Loss | 0 | 24,000 |
Securities Remeasured at Fair Value [Member] | ||
Net gain (loss) on sale of investment securities | (57,000) | |
Debt Securities, Available-for-sale, Realized Gain | 10,000 | 1,000 |
Debt Securities, Available-for-sale, Realized Loss | 101,000 | 58,000 |
Securities (Assets) [Member] | ||
Net gain (loss) on sale of investment securities | (91,000) | (81,000) |
Debt Securities, Available-for-sale, Realized Gain | 10,000 | 1,000 |
Debt Securities, Available-for-sale, Realized Loss | 101,000 | $ 82,000 |
Cost and Proceeds of Investment Securities [Member] | Available-for-sale Securities [Member] | ||
Net gain (loss) on sale of investment securities | 0 | |
Cost and Proceeds of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | ||
Net gain (loss) on sale of investment securities | (91,000) | |
Gross Gain & Loss of Investment Securities [Member] | Available-for-sale Securities [Member] | ||
Net gain (loss) on sale of investment securities | 0 | |
Gross Gain & Loss of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | ||
Net gain (loss) on sale of investment securities | $ (91,000) |
Investment Securities Securitie
Investment Securities Securities by Credit Rating (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | $ 50,190,000 | $ 50,008,000 |
Debt Securities, Trading and Available-for-sale | 54,776,000 | 54,824,000 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading and Available-for-sale | 14,000 | 34,000 |
Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading and Available-for-sale | 280,000 | 273,000 |
Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading and Available-for-sale | 753,000 | 723,000 |
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 | 753,000 | 723,000 |
BBB Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 14,000 |
BBB Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 29,000 | 44,000 |
BBB Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 112,000 | 144,000 |
BB Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 1,000 | 7,000 |
BB Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 92,000 | 81,000 |
BB Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 142,000 | 137,000 |
AAA Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 1,000 | 1,000 |
AAA Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 7,000 | 9,000 |
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 | 0 | 0 |
AA Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 37,000 | 31,000 |
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 | 0 | 0 |
A Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 29,000 | 25,000 |
A Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
B Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 2,000 | 2,000 |
B Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 55,000 | 55,000 |
B Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 44,000 | 39,000 |
Not Rated [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 10,000 | 10,000 |
Not Rated [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 31,000 | 28,000 |
Not Rated [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | $ 455,000 | $ 403,000 |
Repurchase Agreements And Rev_3
Repurchase Agreements And Reverse Repurchase Agreements (Narrative) (Details) $ in Millions | Mar. 31, 2024 USD ($) days | Dec. 31, 2023 USD ($) days |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Receivable Under Reverse Repurchase Agreements | $ 12,424 | $ 11,618 |
Securities Sold under Agreements to Repurchase | 49,971 | 50,426 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 12,115 | $ 10,894 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 5.46% | 5.60% |
Debt of consolidated variable interest entities, at fair value | $ (76) | $ (80) |
TBA securities Fifteen Year and Thirty Year Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Fair Value, Net | 43 | 66 |
TBA and Forward Settling Agency Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Forward Settlement Value | 8,405 | 5,288 |
Derivative, Fair Value, Net | 43 | 66 |
Maturity Overnight [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | 16,900 | 16,700 |
Forward Contracts [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 10,400 | $ 8,800 |
Weighted Average Forward Start Days | days | 4 | 4 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 5.46% | 5.54% |
Bethesda Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Percentage of Repurchase Agreement Funding | 46% | 48% |
FICC [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Percentage of Repurchase Agreement Funding | 42% | 43% |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 3,000 | $ 3,100 |
Repurchase Agreements And Other
Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) $ in Millions | Mar. 31, 2024 USD ($) days | Dec. 31, 2023 USD ($) days |
Receivable Under Reverse Repurchase Agreements | $ 12,424 | $ 11,618 |
Repurchase Agreements | $ 49,971 | $ 50,426 |
Weighted Average Interest Rate | 5.46% | 5.60% |
Weighted Average Days to Maturity | days | 21 | 19 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 12,115 | $ 10,894 |
Maturity Overnight [Member] | ||
Repurchase Agreements | 16,900 | 16,700 |
30 Days or Less [Member] | ||
Repurchase Agreements | $ 38,112 | $ 40,946 |
Weighted Average Interest Rate | 5.46% | 5.61% |
Weighted Average Days to Maturity | days | 10 | 11 |
1 to 3 Months | ||
Repurchase Agreements | $ 9,244 | $ 7,933 |
Weighted Average Interest Rate | 5.47% | 5.55% |
Weighted Average Days to Maturity | days | 59 | 64 |
3 to 6 Months | ||
Repurchase Agreements | $ 784 | $ 0 |
Weighted Average Interest Rate | 5.41% | 0% |
Weighted Average Days to Maturity | days | 151 | 0 |
US Treasury Securities [Member] | 2 Days to 1 Month [Member] | ||
Repurchase Agreements | $ 1,831 | $ 1,547 |
Weighted Average Interest Rate | 5.47% | 5.54% |
Weighted Average Days to Maturity | days | 1 | 2 |
FICC [Member] | ||
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 3,000 | $ 3,100 |
US Government Agencies Debt Securities [Member] | ||
Repurchase Agreements | $ 48,140 | $ 48,879 |
Weighted Average Interest Rate | 5.46% | 5.60% |
Weighted Average Days to Maturity | days | 22 | 19 |
Derivative and Other Hedging _3
Derivative and Other Hedging Instruments (Narrative) (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Mar. 31, 2024 USD ($) | Mar. 31, 2023 USD ($) | Jun. 30, 2023 USD ($) month | Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) | |
Interest Rate Swaption [Member] | |||||
Average Maturity (Years) | 10 years | ||||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 5 | ||||
Notional Amount | $ 1,250,000 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 33,000 | $ (66,000) | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | 0 | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (1,250,000) | (1,450,000) | |||
Derivative, Average Fixed Interest Rate | 2.61% | ||||
Interest Rate Derivatives, at Fair Value, Net | $ 86,000 | ||||
Options At Cost | $ 28,000 | ||||
Derivative, Notional Amount | 0 | 1,600,000 | 1,250,000 | $ 3,050,000 | |
TBA and Forward Settling Agency Securities [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (58,000) | 112,000 | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 25,390,000 | 60,147,000 | |||
Derivative Asset, Fair Value, Gross Asset | 8,448,000 | 5,354,000 | |||
Derivative, Fair Value, Net | 43,000 | 66,000 | |||
Derivative, Notional Amount | 8,651,000 | 10,396,000 | 5,332,000 | 19,050,000 | |
US Treasury Securities [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 186,000 | (235,000) | |||
Derivative, Fair Value, Net | (34,000) | (336,000) | |||
Credit Default Swap | |||||
Derivative, Fair Value, Net | (7,000) | (6,000) | |||
Credit Default Swap, Buying Protection | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (3,000) | (3,000) | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | 710,000 | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 0 | (500,000) | |||
Derivative, Notional Amount | 95,000 | ||||
SOFR Futures Contracts | |||||
Derivative, Notional Amount | 700,000 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1,102,000 | (506,000) | |||
Derivative assets, at fair value | 84,000 | 185,000 | |||
Not Designated as Hedging Instrument [Member] | Credit Default Swap, Buying Protection | |||||
Derivative, Notional Amount | 96,000 | 425,000 | 96,000 | 215,000 | |
Short [Member] | US Treasury Securities [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 338,000 | (157,000) | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 3,101,000 | 2,949,000 | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (1,641,000) | (936,000) | |||
Derivative Asset, Fair Value, Gross Asset | 3,495,000 | 7,504,000 | |||
Derivative, Notional Amount | 12,807,000 | 9,386,000 | 11,347,000 | 7,373,000 | |
Long [Member] | US Treasury Securities [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (43,000) | 75,000 | |||
Trading Securities Added During the Period | 1,669,000 | 7,446,000 | |||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (1,346,000) | (1,243,000) | |||
Debt Securities, Trading, and Equity Securities, FV-NI | 1,815,000 | $ 6,560,000 | $ 1,492,000 | $ 357,000 | |
Long [Member] | SOFR Futures Contracts | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (10,000) |
Derivative and Other Hedging _4
Derivative and Other Hedging Instruments (Fair Value Information) (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | Dec. 31, 2022 | |
Derivative [Line Items] | ||||
Derivative asset, fair value | $ 84,000 | $ 185,000 | ||
Derivative liability, fair value | (65,000) | (362,000) | ||
Derivative assets, at fair value | (84,000) | (185,000) | ||
Derivative Liability | (65,000) | (362,000) | ||
U.S. Treasury securities | 1,836,000 | 1,540,000 | ||
U.S. Treasury Securities - short | (12,115,000) | (10,894,000) | ||
Total - (short)/long, net | (10,279,000) | (9,354,000) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1,102,000 | $ (506,000) | ||
Net Fair Value of Interest Rate Swaps Excluding the Recognition of Variation Margin Settlements as a Reduction of Carrying Value | 3,000,000 | 2,900,000 | ||
TBA and Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 25,390,000 | 60,147,000 | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (58,000) | 112,000 | ||
Derivative, Fair Value, Net | 43,000 | 66,000 | ||
Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 44,396,000 | 44,476,000 | ||
Derivative liability, fair value | 0 | (1,000) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 5,170,000 | 3,000,000 | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (5,250,000) | (1,900,000) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 658,000 | (232,000) | ||
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative asset, fair value | 24,000 | 15,000 | ||
Interest Rate Swaption [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 1,250,000 | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 0 | 0 | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (1,250,000) | (1,450,000) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 33,000 | (66,000) | ||
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative asset, fair value | 2,000 | 89,000 | ||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative liability, fair value | (15,000) | (15,000) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (22,071,000) | (68,801,000) | ||
US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 186,000 | (235,000) | ||
Derivative, Fair Value, Net | (34,000) | (336,000) | ||
Credit Default Swap | ||||
Derivative [Line Items] | ||||
Derivative liability, fair value | 0 | 0 | ||
Derivative, Fair Value, Net | (7,000) | (6,000) | ||
SOFR Futures Contracts | ||||
Derivative [Line Items] | ||||
Derivative liability, fair value | (16,000) | (10,000) | ||
US Treasury Securities [Member] | Fair Value, Recurring [Member] | Future [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability | (34,000) | (336,000) | ||
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 | (58,000) | (81,000) | ||
Sale Of TBA And Forward Settling Agency Securities [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability | (15,000) | (15,000) | ||
Sale Of 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 | (58,000) | |||
Short [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 3,101,000 | 2,949,000 | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (1,641,000) | (936,000) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 338,000 | (157,000) | ||
Long [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (43,000) | 75,000 | ||
Debt Securities, Trading, and Equity Securities, FV-NI | 1,815,000 | 6,560,000 | $ 1,492,000 | $ 357,000 |
Trading Securities Added During the Period | 1,669,000 | 7,446,000 | ||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (1,346,000) | $ (1,243,000) | ||
Long [Member] | SOFR Futures Contracts | ||||
Derivative [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (10,000) |
Derivative and Other Hedging _5
Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) $ in Millions | 3 Months Ended | 6 Months Ended | 9 Months Ended | ||
Mar. 31, 2024 USD ($) month | Mar. 31, 2023 USD ($) month | Jun. 30, 2023 USD ($) month | Sep. 30, 2023 | Dec. 31, 2023 USD ($) | |
Interest Rate Swaps Linked to Overnight Index Swap Rate | 20% | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 1,102 | $ (506) | |||
Interest Rate Swaps Linked to Secured Overnight Financing Rate | 80% | ||||
Interest Rate Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 33 | (66) | |||
Notional Amount | $ 1,250 | ||||
Average Fixed Pay Rate | 2.61% | ||||
Options At Cost | $ 28 | ||||
Interest Rate Derivatives, at Fair Value, Net | $ 86 | ||||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 5 | ||||
Average Maturity (Years) | 10 years | ||||
Interest Rate Swap [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 658 | (232) | |||
Notional Amount | $ 44,396 | $ 44,476 | |||
Average Fixed Pay Rate | 0.97% | 0.57% | |||
Average Receive Rate | 5.34% | 5.37% | |||
Average Maturity (Years) | 3 years 9 months 18 days | 3 years | |||
Receiver Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 0 | ||||
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | |||||
Notional Amount | $ 1,250 | ||||
Average Fixed Pay Rate | 2.61% | ||||
Options At Cost | $ 28 | ||||
Interest Rate Derivatives, at Fair Value, Net | $ 86 | ||||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 5 | ||||
Average Maturity (Years) | 10 years | ||||
Less Than or Equal to One Year [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 8,500 | $ 13,750 | |||
Average Fixed Pay Rate | 0.06% | 0.14% | |||
Average Receive Rate | 5.34% | 5.37% | |||
Average Maturity (Years) | 4 months 24 days | 4 months 24 days | |||
Less Than or Equal to One Year [Member] | Receiver Swaption [Member] | |||||
Notional Amount | $ 150 | $ 150 | |||
Average Fixed Pay Rate | 2.98% | 2.98% | |||
Options At Cost | $ 3 | $ 3 | |||
Interest Rate Derivatives, at Fair Value, Net | $ 2 | $ 3 | |||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 21 | 24 | |||
Average Maturity (Years) | 5 years | 5 years | |||
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 15,800 | $ 15,800 | |||
Average Fixed Pay Rate | 0.17% | 0.17% | |||
Average Receive Rate | 5.34% | 5.36% | |||
Average Maturity (Years) | 1 year 8 months 12 days | 2 years | |||
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 5,800 | $ 5,800 | |||
Average Fixed Pay Rate | 0.24% | 0.24% | |||
Average Receive Rate | 5.34% | 5.38% | |||
Average Maturity (Years) | 3 years 8 months 12 days | 3 years 10 months 24 days | |||
Greater Than Five Years and Less than or Equal to Seven Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 5,400 | $ 3,900 | |||
Average Fixed Pay Rate | 1.72% | 0.92% | |||
Average Receive Rate | 5.34% | 5.37% | |||
Average Maturity (Years) | 6 years 2 months 12 days | 6 years 2 months 12 days | |||
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member] | |||||
Notional Amount | $ 8,896 | $ 5,226 | |||
Average Fixed Pay Rate | 3.28% | 3.06% | |||
Average Receive Rate | 5.34% | 5.38% | |||
Average Maturity (Years) | 9 years 3 months 18 days | 9 years 2 months 12 days |
Derivative and Other Hedging _6
Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) $ in Millions | 3 Months Ended | 6 Months Ended | 9 Months Ended | ||
Mar. 31, 2024 USD ($) month | Mar. 31, 2023 USD ($) month | Jun. 30, 2023 USD ($) month | Sep. 30, 2023 | Dec. 31, 2023 USD ($) | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 1,102 | $ (506) | |||
Interest Rate Swaps Linked to Overnight Index Swap Rate | 20% | ||||
Interest Rate Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 33 | (66) | |||
Cost | $ 28 | ||||
Fair Value | $ 86 | ||||
Average Months to Expiration | month | 5 | ||||
Derivative Liability, Notional Amount | $ (1,250) | ||||
Average Fixed Pay Rate | 2.61% | ||||
Average Maturity (Years) | 10 years | ||||
Interest Rate Swap [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 658 | (232) | |||
Derivative Liability, Notional Amount | $ (44,396) | $ (44,476) | |||
Average Fixed Pay Rate | 0.97% | 0.57% | |||
Average Maturity (Years) | 3 years 9 months 18 days | 3 years | |||
Average Receive Rate | 5.34% | 5.37% | |||
Receiver Swaption [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 0 | ||||
Interest Rate Receive Swap | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (9) | ||||
Derivative Liability, Notional Amount | (1,000) | $ (1,000) | |||
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | |||||
Cost | $ 28 | ||||
Fair Value | 86 | ||||
Average Months to Expiration | month | 5 | ||||
Derivative Liability, Notional Amount | $ (1,250) | ||||
Average Fixed Pay Rate | 2.61% | ||||
Average Maturity (Years) | 10 years | ||||
Less Than or Equal to One Year [Member] | Interest Rate Swap [Member] | |||||
Derivative Liability, Notional Amount | $ (8,500) | $ (13,750) | |||
Average Fixed Pay Rate | 0.06% | 0.14% | |||
Average Maturity (Years) | 4 months 24 days | 4 months 24 days | |||
Average Receive Rate | 5.34% | 5.37% | |||
Less Than or Equal to One Year [Member] | Receiver Swaption [Member] | |||||
Cost | $ 3 | $ 3 | |||
Fair Value | $ 2 | $ 3 | |||
Average Months to Expiration | month | 21 | 24 | |||
Derivative Liability, Notional Amount | $ (150) | $ (150) | |||
Average Fixed Pay Rate | 2.98% | 2.98% | |||
Average Maturity (Years) | 5 years | 5 years | |||
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | |||||
Derivative Liability, Notional Amount | $ (15,800) | $ (15,800) | |||
Average Fixed Pay Rate | 0.17% | 0.17% | |||
Average Maturity (Years) | 1 year 8 months 12 days | 2 years | |||
Average Receive Rate | 5.34% | 5.36% | |||
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Receive Swap | |||||
Derivative Liability, Notional Amount | $ (1,000) | $ (1,000) | |||
Average Fixed Pay Rate | 5.34% | 5.38% | |||
Average Maturity (Years) | 1 year 3 months 18 days | 1 year 6 months | |||
Average Receive Rate | 4.65% | 4.65% | |||
Forward Contracts [Member] | Interest Rate Swap [Member] | |||||
Weighted Average Forward Start Date | 2 months 12 days | ||||
Derivative Liability, Notional Amount | $ (1,000) | ||||
Average Fixed Pay Rate | 0.90% |
Derivative and Other Hedging _7
Derivative and Other Hedging Instruments (US Treasury Securities) (Details) - USD ($) $ in Millions | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative [Line Items] | ||||
U.S. Treasury securities, net | $ (10,279) | $ (9,354) | ||
Weighted Average Yield Percentage | 4.52% | 4.41% | ||
At Par Value [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | $ (10,992) | $ (9,855) | ||
US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Fair Value, Net | (34) | (336) | ||
TBA and Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (8,651) | (5,332) | $ (10,396) | $ (19,050) |
Derivative, Forward Settlement Value | (8,405) | (5,288) | ||
Derivative Asset, Fair Value, Gross Asset | (8,448) | (5,354) | ||
Derivative, Fair Value, Net | 43 | 66 | ||
Less Than or Equal to Five Years | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | 586 | 1,408 | ||
Greater Than Five Years and Less than or Equal to Seven Years [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (563) | (818) | ||
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (9,230) | (8,649) | ||
Greater Than Ten Years [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (1,785) | (1,796) | ||
Greater Than Ten Years [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Fair Value, Net | (17) | (76) | ||
Greater Than Five Years and Less than or Equal to Seven Years [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Fair Value, Net | (6) | (103) | ||
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Fair Value, Net | $ (11) | $ (157) | ||
Short [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Weighted Average Yield Percentage | 3.69% | 3.64% | ||
Short [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ (12,807) | $ (11,347) | (9,386) | (7,373) |
Derivative, Forward Settlement Value | (3,461) | (7,168) | ||
Derivative Asset, Fair Value, Gross Asset | (3,495) | (7,504) | ||
Short [Member] | US Treasury Securities [Member] | Future [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (3,039) | (6,429) | $ (5,900) | $ (9,213) |
Short [Member] | Greater Than Ten Years [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (791) | (791) | ||
Derivative, Forward Settlement Value | (936) | (913) | ||
Derivative Asset, Fair Value, Gross Asset | (953) | (989) | ||
Short [Member] | Greater Than Five Years and Less than or Equal to Seven Years [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (905) | (2,714) | ||
Derivative, Forward Settlement Value | (997) | (2,961) | ||
Derivative Asset, Fair Value, Gross Asset | (1,003) | (3,064) | ||
Short [Member] | Greater Than Seven Years and Less than or Equal to Ten Years [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (1,343) | (2,924) | ||
Derivative, Forward Settlement Value | (1,528) | (3,294) | ||
Derivative Asset, Fair Value, Gross Asset | $ (1,539) | $ (3,451) | ||
Long [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Weighted Average Yield Percentage | 4.37% | 4.39% | ||
Fair Value Hedging [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | $ (10,279) | $ (9,354) | ||
Fair Value Hedging [Member] | Less Than or Equal to Five Years | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | 605 | 1,454 | ||
Fair Value Hedging [Member] | Greater Than Five Years and Less than or Equal to Seven Years [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (438) | (703) | ||
Fair Value Hedging [Member] | Greater Than Seven Years and Less than or Equal to Ten Years [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (8,592) | (8,187) | ||
Fair Value Hedging [Member] | Greater Than Ten Years [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (1,854) | (1,918) | ||
Fair Value Hedging [Member] | Long [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | 1,800 | 1,500 | ||
At Cost Basis [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (10,688) | (9,475) | ||
At Cost Basis [Member] | Less Than or Equal to Five Years | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | 594 | 1,419 | ||
At Cost Basis [Member] | Greater Than Five Years and Less than or Equal to Seven Years [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (566) | (821) | ||
At Cost Basis [Member] | Greater Than Seven Years and Less than or Equal to Ten Years [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (8,884) | (8,277) | ||
At Cost Basis [Member] | Greater Than Ten Years [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | $ (1,832) | $ (1,796) |
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 | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ (8,651) | $ (5,332) | $ (10,396) | $ (19,050) |
Cost Basis | (8,405) | (5,288) | ||
Net long TBA position, at fair value | (8,448) | (5,354) | ||
TBA, net carrying value | 43 | 66 | ||
30 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (8,561) | (5,242) | ||
Cost Basis | (8,316) | (5,199) | ||
Net long TBA position, at fair value | (8,358) | (5,263) | ||
TBA, net carrying value | 42 | 64 | ||
30 Year Maturity [Member] | 6.5% Coupon | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (934) | (1,137) | ||
Cost Basis | (949) | (1,152) | ||
Net long TBA position, at fair value | (952) | (1,164) | ||
TBA, net carrying value | 3 | 12 | ||
30 Year Maturity [Member] | 5.5% Coupon | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (2,874) | (2,034) | ||
Cost Basis | (2,861) | (2,014) | ||
Net long TBA position, at fair value | (2,872) | (2,047) | ||
TBA, net carrying value | 11 | 33 | ||
30 Year Maturity [Member] | 5.0% Coupon | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (5,040) | (1,717) | ||
Cost Basis | (4,907) | (1,704) | ||
Net long TBA position, at fair value | (4,932) | (1,704) | ||
TBA, net carrying value | 25 | 0 | ||
30 Year Maturity [Member] | 3.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
TBA, net carrying value | 0 | (1) | ||
30 Year Maturity [Member] | 3.5% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (105) | 0 | ||
Cost Basis | (93) | 0 | ||
Net long TBA position, at fair value | (94) | 0 | ||
TBA, net carrying value | 1 | 0 | ||
30 Year Maturity [Member] | 4.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 0 | 0 | ||
Cost Basis | 0 | 0 | ||
Net long TBA position, at fair value | 0 | 0 | ||
TBA, net carrying value | 0 | 0 | ||
30 Year Maturity [Member] | 4.5% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (1,715) | (363) | ||
Cost Basis | (1,631) | (343) | ||
Net long TBA position, at fair value | (1,636) | (352) | ||
TBA, net carrying value | 5 | 9 | ||
30 Year Maturity [Member] | 6.0% Coupon | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (20) | |||
Cost Basis | (10) | |||
Net long TBA position, at fair value | (21) | |||
TBA, net carrying value | (3) | 11 | ||
30 Year Maturity [Member] | Short [Member] | 3.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 0 | (29) | ||
Cost Basis | 0 | (24) | ||
Net long TBA position, at fair value | 0 | (25) | ||
30 Year Maturity [Member] | Short [Member] | 6.0% Coupon | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (2,107) | |||
Cost Basis | (2,125) | |||
Net long TBA position, at fair value | (2,128) | |||
15 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (90) | (90) | ||
Cost Basis | (89) | (89) | ||
Net long TBA position, at fair value | (90) | (91) | ||
TBA, net carrying value | 1 | 2 | ||
15 Year Maturity [Member] | 5.0% Coupon | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (90) | (90) | ||
Cost Basis | (89) | (89) | ||
Net long TBA position, at fair value | (90) | (91) | ||
TBA, net carrying value | $ 1 | $ 2 |
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 | |||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | Dec. 31, 2022 | |
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | $ 1,102 | $ (506) | ||
Interest Rate Swaption [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | 0 | (1,600) | $ (1,250) | $ (3,050) |
Additions | 0 | 0 | ||
Settlement, Expirations or Exercise | 1,250 | 1,450 | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | 33 | (66) | ||
TBA and Forward Settling Agency Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (8,651) | (10,396) | (5,332) | (19,050) |
Additions | (25,390) | (60,147) | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | (58) | 112 | ||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Settlement, Expirations or Exercise | 22,071 | 68,801 | ||
Interest Rate Swap [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Additions | (5,170) | (3,000) | ||
Settlement, Expirations or Exercise | 5,250 | 1,900 | ||
Notional Amount | (44,396) | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | 658 | (232) | ||
US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 186 | (235) | ||
Receiver Swaption [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (150) | (150) | ||
Additions | 0 | |||
Settlement, Expirations or Exercise | 0 | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | 0 | |||
Credit Default Swap, Buying Protection | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (95) | |||
Additions | 0 | (710) | ||
Settlement, Expirations or Exercise | 0 | 500 | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | (3) | (3) | ||
SOFR Futures Contracts | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (700) | |||
Interest Rate Receive Swap | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Additions | 0 | |||
Settlement, Expirations or Exercise | 0 | |||
Notional Amount | (1,000) | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | (9) | |||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (44,396) | (48,925) | (44,476) | (47,825) |
Not Designated as Hedging Instrument [Member] | Credit Default Swap, Buying Protection | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (96) | (425) | (96) | (215) |
Not Designated as Hedging Instrument [Member] | Interest Rate Receive Swap | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (1,000) | (1,000) | ||
Short [Member] | US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (12,807) | (9,386) | (11,347) | (7,373) |
Additions | (3,101) | (2,949) | ||
Settlement, Expirations or Exercise | 1,641 | 936 | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | 338 | (157) | ||
Long [Member] | US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (43) | 75 | ||
Debt Securities, Trading, and Equity Securities, FV-NI | 1,815 | 6,560 | 1,492 | 357 |
Trading Securities Added During the Period | 1,669 | 7,446 | ||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (1,346) | (1,243) | ||
Long [Member] | SOFR Futures Contracts | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (10) | |||
Future [Member] | Short [Member] | US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (3,039) | (5,900) | $ (6,429) | $ (9,213) |
Additions | (3,384) | (7,215) | ||
Settlement, Expirations or Exercise | $ 6,774 | $ 10,528 |
Balance Sheet Offsetting (Detai
Balance Sheet Offsetting (Details) - USD ($) $ in Millions | Mar. 31, 2024 | Dec. 31, 2023 |
Other Assets [Line Items] | ||
Other assets | $ 293 | $ 1,088 |
Other liabilities | $ 317 | $ 1,252 |
Pledged Assets (Narrative) (Det
Pledged Assets (Narrative) (Details) - USD ($) $ in Millions | Mar. 31, 2024 | Dec. 31, 2023 |
Pledged Assets [Abstract] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repurchase Agreements | $ 39 | $ 42 |
Risk Of Repurchase Agreement To Stockholders Equity | 3% |
Pledged Assets Repurchase Agree
Pledged Assets Repurchase Agreements with Counterparties Greater than or Equal to 5% of Equity at Risk (Details) $ in Millions | Mar. 31, 2024 USD ($) days | Dec. 31, 2023 USD ($) days |
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ | $ 49,971 | $ 50,426 |
Weighted Average Days to Maturity | days | 21 | 19 |
Risk Of Repurchase Agreement To Stockholders Equity | 3% | |
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 | 5% |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged as Collateral) (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 |
Offsetting Assets and Liabilities [Line Items] | |||
Accrued interest on pledged securities | $ 230,000 | $ 217,000 | |
Restricted cash | 1,368,000 | 1,253,000 | $ 1,864,000 |
Total Fair Value of Securities Pledged and Accrued Interest | 53,009,000 | ||
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 54,075,000 | ||
Security Owned and Pledged as Collateral, Fair Value | 51,225,000 | 52,072,000 | |
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repurchase Agreements | 39,000 | 42,000 | |
Repurchase Agreements [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | 48,428,000 | 49,602,000 | |
Derivative Agreements and Other | |||
Offsetting Assets and Liabilities [Line Items] | |||
Total Fair Value of Securities Pledged and Accrued Interest | 1,147,000 | 1,321,000 | |
Security Owned and Pledged as Collateral, Fair Value | 72,000 | 15,000 | |
Repurchase Agreements [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Accrued interest on pledged securities | 230,000 | 217,000 | |
Total Fair Value of Securities Pledged and Accrued Interest | 51,748,000 | ||
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 52,633,000 | ||
Variable Interest Entity, Primary Beneficiary [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Accrued interest on pledged securities | 0 | 0 | |
Total Fair Value of Securities Pledged and Accrued Interest | 114,000 | ||
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 121,000 | ||
Security Owned and Pledged as Collateral, Fair Value | 114,000 | 121,000 | |
Includes Sold But Not Yet Settled Securities [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | 48,614,000 | 49,738,000 | |
Credit Risk Transfer Securities [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | 722,000 | 678,000 | |
Credit Risk Transfer Securities [Member] | Repurchase Agreements [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | 722,000 | 678,000 | |
Non-Agency [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | 250,000 | 262,000 | |
Non-Agency [Member] | Repurchase Agreements [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | 250,000 | 262,000 | |
US Treasury Securities [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | 1,825,000 | 1,927,000 | |
Securities Received as Collateral, Amount Repledged and Sold | 397,000 | ||
US Treasury Securities [Member] | Repurchase Agreements [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | 1,825,000 | 1,865,000 | |
US Treasury Securities [Member] | Derivative Agreements and Other | |||
Offsetting Assets and Liabilities [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | 0 | 62,000 | |
Derivative Agreements and Other | |||
Offsetting Assets and Liabilities [Line Items] | |||
Accrued interest on pledged securities | 0 | 0 | |
Repurchase Agreements [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Restricted cash | 293,000 | 9,000 | |
Excluding Cash Received [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Restricted cash | 1,368,000 | 1,253,000 | |
Derivative Agreements and Other | |||
Offsetting Assets and Liabilities [Line Items] | |||
Restricted cash | $ 1,075,000 | $ 1,244,000 |
Pledged Assets (Securities Pled
Pledged Assets (Securities Pledged as Collateral) (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 51,225,000 | $ 52,072,000 |
Agency Securities Pledged As Collateral Amortized Cost | 53,643,000 | 53,934,000 |
Agency Securities Pledged As Collateral Accrued Interest | 230,000 | 217,000 |
Maturity Less than 30 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 40,685,000 | 43,701,000 |
Agency Securities Pledged As Collateral Amortized Cost | 42,234,000 | 44,918,000 |
Agency Securities Pledged As Collateral Accrued Interest | 191,000 | 188,000 |
Maturity 31 To 59 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 4,644,000 | 2,847,000 |
Agency Securities Pledged As Collateral Amortized Cost | 4,954,000 | 3,069,000 |
Agency Securities Pledged As Collateral Accrued Interest | 18,000 | 10,000 |
Maturity 60 To 90 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 5,076,000 | 5,524,000 |
Agency Securities Pledged As Collateral Amortized Cost | 5,561,000 | 5,947,000 |
Agency Securities Pledged As Collateral Accrued Interest | 18,000 | 19,000 |
Maturity over 90 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 820,000 | 0 |
Agency Securities Pledged As Collateral Amortized Cost | 894,000 | 0 |
Agency Securities Pledged As Collateral Accrued Interest | 3,000 | 0 |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 48,428,000 | 49,602,000 |
Credit Risk Transfer Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 722,000 | 678,000 |
Credit Risk Transfer Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 722,000 | 678,000 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 1,825,000 | 1,927,000 |
Securities Received as Collateral, Amount Repledged and Sold | 397,000 | |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 1,825,000 | 1,865,000 |
Non-Agency [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 250,000 | 262,000 |
Non-Agency [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 250,000 | $ 262,000 |
Pledged Assets (Assets Pledge_2
Pledged Assets (Assets Pledged from Counterparties) (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 |
Offsetting Assets and Liabilities [Line Items] | |||
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 12,115,000 | $ 10,894,000 | |
Restricted Cash and Cash Equivalents | 1,368,000 | 1,253,000 | $ 1,864,000 |
Assets Pledged to Us [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Restricted Cash and Cash Equivalents | 7,000 | 138,000 | |
Restricted Cash and Securities Pledged | 12,447,000 | 12,111,000 | |
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 | (20,000) | (306,000) | |
Restricted Cash and Cash Equivalents | 5,000 | 49,000 | |
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 | (93,000) | (355,000) | |
Derivative [Member] | Assets Pledged to Us [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Restricted Cash and Securities Pledged | 2,000 | 89,000 | |
US Treasury Securities [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Securities Received as Collateral, Amount Repledged and Sold | 397,000 | ||
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 | (12,372,000) | (11,973,000) | |
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 | (12,352,000) | (11,667,000) | |
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 | (12,352,000) | (11,667,000) | |
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 | 0 | |
Derivative [Member] | Assets Pledged to Us [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Restricted Cash and Cash Equivalents | 2,000 | 89,000 | |
Reverse Repurchase Agreements [Member] | Assets Pledged to Us [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Restricted Cash and Cash Equivalents | $ 0 | $ 0 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Millions | Mar. 31, 2024 | Dec. 31, 2023 |
Offsetting Assets and Liabilities [Line Items] | ||
Collateral Received | $ (3,746) | |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 12,508 | $ 11,802 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 12,508 | 11,802 |
Financial Instruments | (8,737) | (8,448) |
Collateral Received | (3,335) | |
Net Amount | 25 | 19 |
Assets [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 26 | 104 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 26 | 104 |
Financial Instruments | 0 | 0 |
Collateral Received | (2) | (89) |
Net Amount | 24 | 15 |
Assets [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 58 | 80 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 58 | 80 |
Financial Instruments | (15) | (15) |
Collateral Received | (42) | (65) |
Net Amount | 1 | 0 |
Assets [Member] | Reverse Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Net Amount | 0 | 4 |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 49,986 | 50,441 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 49,986 | 50,441 |
Financial Instruments | (8,737) | (8,448) |
Collateral Received | (41,249) | (41,993) |
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] | ||
Net Amount | 0 | |
Liability [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 15 | 15 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 15 | 15 |
Financial Instruments | (15) | (15) |
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 | 12,424 | 11,618 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 12,424 | 11,618 |
Financial Instruments | (8,722) | (8,433) |
Collateral Received | (3,702) | (3,181) |
Repurchase Agreements [Member] | Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 49,971 | 50,426 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 49,971 | 50,426 |
Financial Instruments | (8,722) | (8,433) |
Collateral Received | $ (41,249) | $ (41,993) |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Dec. 31, 2023 | |
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] | ||
Derivative Liability | $ 34,000 | $ 336,000 |
Future [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | SOFR Futures Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Liability | 16,000 | 10,000 |
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 | 2,000 | 89,000 |
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 | 24,000 | 15,000 |
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 | 0 | 1,000 |
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 | (58,000) | (81,000) |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | 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] | ||
TBA securities | (58,000) | |
Securities Sold under Agreements to Repurchase | $ 49,971,000 | 50,426,000 |
Transfers between hierarchy levels | no | |
Agency securities | $ 53,615,000 | 53,673,000 |
Non-Agency Securities, at Fair Value | 353,000 | 351,000 |
Financial Instruments, Owned, Other, at Fair Value | 753,000 | 723,000 |
U.S. Treasury securities | 1,836,000 | 1,540,000 |
TBA securities | (84,000) | (185,000) |
Derivative Liability | 65,000 | 362,000 |
Debt of consolidated variable interest entities, at fair value | 76,000 | 80,000 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 12,115,000 | 10,894,000 |
Interest rate swaps | 84,000 | 185,000 |
Mortgage Credit Investment Fund Limited Partnership | 59,000 | 44,000 |
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 | 1,836,000 | 1,540,000 |
Total liabilities | 12,165,000 | 11,240,000 |
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 | 54,860,000 | 55,009,000 |
Total liabilities | 91,000 | 96,000 |
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 | $ 15,000 | $ 15,000 |
Net Income (Loss) Per Common _2
Net Income (Loss) Per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Millions | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||
Weighted Average Number of Shares Outstanding | 700,100 | 577,600 |
Weighted Average Number of Fully Vested Restricted Stock Units and Performance Share Units Outstanding | 2,100 | 1,700 |
Weighted Average Number of Shares Outstanding, Basic | 702,200 | 579,300 |
Incremental Common Shares Attributable to Dilutive Effect of Share-based Payment Arrangements | 2,000 | 0 |
Weighted Average Number of Shares Outstanding, Diluted | 704,200 | 579,300 |
Net Income (Loss) Available to Common Stockholders, Basic | $ 412 | $ (181) |
Earnings Per Share, Basic | $ 0.59 | $ (0.31) |
Earnings Per Share, Diluted | $ 0.59 | $ (0.31) |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 1,200 |
Stockholders' Equity (Preferred
Stockholders' Equity (Preferred Stock) (Details) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | |||||
Feb. 11, 2020 | Oct. 03, 2019 | Aug. 22, 2017 | May 31, 2014 | Mar. 31, 2024 | Dec. 31, 2023 | Sep. 14, 2022 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock E, Value, Issued | $ 390,000 | ||||||
Preferred Stock E, Liquidation Preference, Value | $ 403,000 | ||||||
Preferred Stock F, Value, Issued | $ 557,000 | ||||||
Preferred Stock D, Value, Issued | $ 227,000 | ||||||
Preferred Stock D, Liquidation Preference, Value | 235,000 | ||||||
Preferred Stock C, Value, Issued | 315,000 | ||||||
Preferred Stock C, Liquidation Preference, Value | 325,000 | ||||||
Preferred Stock, Value, Issued | 1,634,000 | $ 1,634,000 | |||||
Preferred Stock, Liquidation Preference, Value | $ 1,688,000 | $ 1,688,000 | |||||
Preferred Stock G, Value, Issued | $ 145,000 | ||||||
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% | ||||||
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% | 10.689% | |||||
Preferred Stock Dividend Payment Rate Variable Rate Spread | 5.111% | ||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||
Preferred Stock, Shares Issued | 13,000 | ||||||
Preferred Stock, Dividedn Rate, Percentage, Basis Spread | 511.10% | ||||||
Series D Preferred Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 10,350 | ||||||
Preferred Stock, Dividend Rate, Percentage | 6.875% | ||||||
Preferred Stock Dividend Payment Rate Variable Rate Spread | 4.332% | ||||||
Preferred Stock, Shares Issued | 9,400 | ||||||
Preferred Stock, Dividedn Rate, Percentage, Basis Spread | 433.20% | ||||||
Series E Preferred Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 16,100 | ||||||
Preferred Stock, Dividend Rate, Percentage | 6.50% | ||||||
Preferred Stock, Shares Issued | 16,100 | ||||||
Preferred Stock, Dividedn Rate, Percentage, Basis Spread | 499.30% | ||||||
Series F Preferred Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 23,000 | ||||||
Preferred Stock, Dividend Rate, Percentage | 6.125% | ||||||
Preferred Stock, Shares Issued | 23,000 | ||||||
Preferred Stock, Liquidation Preference, Value | $ 575,000 | ||||||
Preferred Stock, Dividedn Rate, Percentage, Basis Spread | 469.70% | ||||||
Series G Preferred Stock | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 6,900 | ||||||
Preferred Stock, Dividend Rate, Percentage | 7.75% | ||||||
Preferred Stock, Shares Issued | 6,000 | ||||||
Preferred Stock, Liquidation Preference, Value | $ 150,000 | ||||||
Preferred Stock, Dividedn Rate, Percentage, Basis Spread | 439% | ||||||
Depositary Share [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Shares Issued | 67,500,000 | ||||||
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 | ||||||
Depositary Share [Member] | Series E Preferred Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Shares Issued | 16,100,000 | ||||||
Depositary Share [Member] | Series F Preferred Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Shares Issued | 23,000,000 | ||||||
Depositary Share [Member] | Series G Preferred Stock | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Preferred Stock, Shares Issued | 6,000,000 |
Stockholders' Equity (Accumulat
Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
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 | $ (77) | $ 142 |
Agency Securities [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Beginning OCI Balance | (517) | (672) |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax | (77) | 118 |
Amounts reclassified from accumulated OCI | 0 | 24 |
Ending OCI Balance | $ (594) | $ (530) |
Stockholders' Equity (Follow-On
Stockholders' Equity (Follow-On Equity Offerings) (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Class of Stock [Line Items] | ||
Stock Issued During Period, Shares, New Issues | 25,100 | |
Stock Issued During Period, Value, New Issues | $ 241,000 | $ 171,000 |
Stockholders' Equity (At-the-Ma
Stockholders' Equity (At-the-Market Offering Program) (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Common Stock, Shares Authorized | $ 600,000 | |
Stock Issued During Period, Shares, New Issues | 25,100 | |
Stock Issued During Period, Value, New Issues | $ 241,000 | $ 171,000 |
Stock Issued During Period, Price Per Share | $ 9.61 |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Dividends Declared (Details) - $ / shares | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Dividends declared per common share | $ 0.36 | $ 0.36 |
Uncategorized Items - agnc-2024
Label | Element | Value |
Cash, Cash Equivalents, Restricted Cash, and Restricted Cash Equivalents | us-gaap_CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents | $ 1,771,000,000 |
Cash, Cash Equivalents, Restricted Cash, and Restricted Cash Equivalents | us-gaap_CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents | $ 2,334,000,000 |