Document and Entity Information
Document and Entity Information - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2017 | Jan. 31, 2018 | Jun. 30, 2017 | |
Document and Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2017 | ||
Document Fiscal Year Focus | 2,017 | ||
Document Fiscal Period Focus | Q4 | ||
Entity Registrant Name | AGNC Investment Corp. | ||
Entity Central Index Key | 1,423,689 | ||
Entity Filer Category | Large Accelerated Filer | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Common Stock, Shares Outstanding | 391,316,840 | ||
Trading Symbol | AGNC | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 6.3 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Assets: | ||
Agency securities, at fair value (including pledged securities of $53,055 and $43,943, respectively) | $ 55,506 | $ 45,393 |
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 662 | 818 |
Credit risk transfer securities, at fair value | 876 | 164 |
Non-Agency securities, at fair value (including pledged securities of $0 and $90, respectively) | 36 | 124 |
U.S. Treasury securities, at fair value (including pledged securities of $0 and $173, respectively) | 0 | 182 |
REIT equity securities, at fair value | 29 | 0 |
Cash and cash equivalents | 1,046 | 1,208 |
Restricted cash and cash equivalents | 317 | 74 |
Derivative assets, at fair value | 205 | 355 |
Receivable for securities sold (pledged securities) | 0 | 21 |
Receivable under reverse repurchase agreements | 10,961 | 7,716 |
Goodwill and other intangible assets, net | 551 | 554 |
Other assets | 187 | 271 |
Total assets | 70,376 | 56,880 |
Liabilities: | ||
Repurchase Agreements | 50,296 | 37,858 |
Debt of consolidated variable interest entities, at fair value | 357 | 460 |
Federal Home Loan Bank advances | 0 | 3,037 |
Payable for securities purchased | 95 | 0 |
Derivative liabilities, at fair value | 28 | 256 |
Dividends payable | 80 | 66 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 10,467 | 7,636 |
Accounts payable and other liabilities | 299 | 211 |
Total liabilities | 61,622 | 49,524 |
Stockholders' equity: | ||
8.000% Series A Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $0 and $173, respectively) | 0 | 167 |
7.750% Series B Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $175) | 169 | 169 |
7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $325 and $0, respectively) | 315 | 0 |
Common stock - $0.01 par value; 600.0 shares authorized; 391.3 and 331.0 shares issued and outstanding, respectively | 4 | 3 |
Additional paid-in capital | 11,173 | 9,932 |
Retained deficit | (2,562) | (2,518) |
Accumulated other comprehensive loss | (345) | (397) |
Total stockholders' equity | 8,754 | 7,356 |
Total liabilities and stockholders' equity | $ 70,376 | $ 56,880 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parentheticals) - USD ($) shares in Millions, $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Statement of Financial Position [Abstract] | ||
Preferred Stock A, Liquidation Preference, Value | $ 0 | $ 167 |
Available-for-sale Securities Pledged as Collateral | $ 53,055 | 43,943 |
Preferred Stock, Shares Authorized | 10 | |
Preferred Stock B, Liquidation Preference, Value | $ 175 | 175 |
Preferred Stock C, Liquidation Preference, Value | $ 325 | $ 0 |
Common Stock, Par or Stated Value Per Share (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 600 | 600 |
Common Stock, Shares, Issued | 391.3 | 331 |
Common Stock, Shares, Outstanding | 391.3 | 331 |
Non-Agency Securities Pledged as Collateral | $ 0 | $ 90 |
Trading Securities Pledged as Collateral | 0 | 173 |
Assets Pledged included in Receivable for Securities Sold | $ 0 | $ 21 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) shares in Millions, $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Interest income: | |||||||||||
Interest income | $ 386 | $ 318 | $ 293 | $ 296 | $ 393 | $ 315 | $ 318 | $ 295 | $ 1,293 | $ 1,321 | $ 1,466 |
Interest expense | 174 | 140 | 112 | 98 | 98 | 96 | 101 | 99 | 524 | 394 | 330 |
Net interest income | 212 | 178 | 181 | 198 | 295 | 219 | 217 | 196 | 769 | 927 | 1,136 |
Other gain (loss), net: | |||||||||||
Gain (loss) on sale of investment securities, net | (16) | 22 | 15 | (84) | (5) | 61 | 55 | (2) | (63) | 109 | (23) |
Unrealized gain (loss) on investment securities measured at fair value through net income, net | (65) | (31) | 9 | 16 | (11) | (6) | 0 | 11 | (71) | (6) | 5 |
Gain (loss) on derivative instruments and other securities, net | 271 | 131 | (169) | (40) | 753 | 248 | (367) | (944) | 193 | (310) | (764) |
Management fee income | 3 | 3 | 4 | 3 | 4 | 4 | 0 | 0 | 13 | 8 | 0 |
Total other gain (loss), net: | 193 | 125 | (141) | (105) | 741 | 307 | (312) | (935) | 72 | (199) | (782) |
Expenses: | |||||||||||
Management fee expense | 0 | 0 | 25 | 27 | 0 | 52 | 116 | ||||
Compensation and benefits | 12 | 10 | 10 | 10 | 10 | 9 | 0 | 0 | 42 | 19 | 0 |
Other operating expenses | 8 | 7 | 6 | 7 | 7 | 6 | 15 | 6 | 28 | 34 | 23 |
Total operating expenses | 20 | 17 | 16 | 17 | 17 | 15 | 40 | 33 | 70 | 105 | 139 |
Net income | 385 | 286 | 24 | 76 | 1,019 | 511 | (135) | (772) | 771 | 623 | 215 |
Dividend on preferred stock | 9 | 9 | 7 | 7 | 7 | 7 | 7 | 7 | 32 | 28 | 28 |
Issuance costs of redeemed preferred stock | 0 | 6 | 0 | 0 | 6 | 0 | 0 | ||||
Net income available to common stockholders | 376 | 271 | 17 | 69 | 1,012 | 504 | (142) | (779) | 733 | 595 | 187 |
Other comprehensive income (loss): | |||||||||||
Unrealized gain (loss) on available-for-sale securities, net | 205 | (90) | (121) | (46) | 1,408 | 97 | (370) | (765) | (52) | 370 | 597 |
Unrealized gain on derivative instruments, net | 1 | 7 | 12 | 19 | 0 | 39 | 101 | ||||
Other comprehensive income (loss) | (1,407) | (90) | 382 | 784 | 52 | (331) | (496) | ||||
Comprehensive income (loss) | 180 | 376 | 145 | 122 | (388) | 421 | 247 | 12 | 823 | 292 | (281) |
Comprehensive income (loss) available (attributable) to common stockholders | $ 171 | $ 361 | $ 138 | $ 115 | $ (395) | $ 414 | $ 240 | $ 5 | $ 785 | $ 264 | $ (309) |
Weighted average number of common shares outstanding - basic | 391.3 | 364.7 | 346.4 | 331 | 358.6 | 331.9 | 348.6 | ||||
Weighted average number of common shares outstanding - diluted | 391.5 | 364.9 | 346.5 | 331.1 | 358.7 | 331.9 | 348.6 | ||||
Net income per common share - basic and diluted | $ 0.96 | $ 0.74 | $ 0.05 | $ 0.21 | $ 3.06 | $ 1.52 | $ (0.43) | $ (2.33) | $ 2.04 | $ 1.79 | $ 0.54 |
Consolidated Statement of Stock
Consolidated Statement of Stockholders' Equity - USD ($) shares in Millions, $ in Millions | Total | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Series A Preferred Stock [Member]Preferred Stock [Member] | Series B Preferred Stock [Member]Preferred Stock [Member] | Series C Preferred Stock [Member]Preferred Stock [Member] |
Balance, value at Dec. 31, 2014 | $ 9,428 | $ 4 | $ 10,332 | $ (1,674) | $ 430 | $ 167 | $ 169 | $ 0 |
Balance, Common Stock, shares at Dec. 31, 2014 | 352.8 | |||||||
Net income (loss) | 215 | 215 | ||||||
Other comprehensive income (loss): | ||||||||
Unrealized Gains and (Losses), Net | (597) | (597) | ||||||
Amounts reclassified from accumulated OCI | 101 | 101 | ||||||
Proceeds from Issuance of Preferred Stock and Preference Stock | 0 | |||||||
Issuance costs of redeemed preferred stock | 0 | |||||||
Repurchase of common stock | (285) | $ (1) | 284 | |||||
Payments for Repurchase of Common Stock | $ 285 | |||||||
Repurchase of common stock shares | (15.3) | (15.3) | ||||||
Preferred dividends declared | $ (28) | 28 | ||||||
Common dividends declared | (863) | (863) | ||||||
Balance, value at Dec. 31, 2015 | 7,971 | $ 3 | 10,048 | (2,350) | (66) | 167 | 169 | 0 |
Balance, Common Stock, shares at Dec. 31, 2015 | 337.5 | |||||||
Net income (loss) | 623 | 623 | ||||||
Other comprehensive income (loss): | ||||||||
Unrealized Gains and (Losses), Net | (370) | (370) | ||||||
Amounts reclassified from accumulated OCI | 39 | 39 | ||||||
Proceeds from Issuance of Preferred Stock and Preference Stock | 0 | |||||||
Issuance costs of redeemed preferred stock | 0 | |||||||
Repurchase of common stock | (116) | $ 0 | 116 | |||||
Payments for Repurchase of Common Stock | $ 116 | |||||||
Repurchase of common stock shares | (6.5) | (6.5) | ||||||
Preferred dividends declared | $ (28) | 28 | ||||||
Common dividends declared | (763) | (763) | ||||||
Balance, value at Dec. 31, 2016 | $ 7,356 | $ 3 | 9,932 | (2,518) | (397) | 167 | 169 | 0 |
Balance, Common Stock, shares at Dec. 31, 2016 | 331 | 331 | ||||||
Net income (loss) | $ 771 | 771 | ||||||
Other comprehensive income (loss): | ||||||||
Unrealized Gains and (Losses), Net | 52 | 52 | ||||||
Amounts reclassified from accumulated OCI | 0 | |||||||
Adjustments to Additional Paid in Capital, Share-based Compensation and Exercise of Stock Options | 4 | 4 | ||||||
Proceeds from Issuance of Preferred Stock and Preference Stock | 315 | 315 | ||||||
Preferred Stock, Redemption Amount | (173) | (167) | ||||||
Issuance costs of redeemed preferred stock | (6) | (6) | ||||||
Stock Issued During Period, Shares, New Issues | 60.3 | |||||||
Stock Issued During Period, Value, New Issues | 1,238 | $ 1 | 1,237 | |||||
Payments for Repurchase of Common Stock | 0 | |||||||
Preferred dividends declared | (32) | (32) | ||||||
Common dividends declared | (777) | (777) | ||||||
Balance, value at Dec. 31, 2017 | $ 8,754 | $ 4 | $ 11,173 | $ (2,562) | $ (345) | $ 0 | $ 169 | $ 315 |
Balance, Common Stock, shares at Dec. 31, 2017 | 391.3 | 391.3 |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Statement of Cash Flows [Abstract] | |||
Interest Paid | $ 474 | $ 332 | $ 215 |
Operating activities: | |||
Net income (loss) | 771 | 623 | 215 |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Amortization of premiums and discounts on mortgage-backed securities, net | 378 | 400 | 408 |
Amortization of accumulated other comprehensive loss on interest rate swaps de-designated as qualifying hedges | 0 | 39 | 101 |
Amortization of intangible assets | 3 | 2 | 0 |
Stock based compensation | 4 | 1 | 0 |
(Gain) loss on sale of investment securities, net | 63 | (109) | 23 |
Unrealized gain (loss) on investment securities measured at fair value through net income, net | 71 | 6 | (5) |
(Gain) loss on derivative instruments and other securities, net | (193) | 310 | 764 |
(Increase) decrease in other assets | 82 | 34 | (83) |
Increase in accounts payable and other accrued liabilities | 81 | 46 | 5 |
Net cash provided by operating activities | 1,260 | 1,352 | 1,428 |
Investing activities: | |||
Purchases of Agency mortgage-backed securities | (35,920) | (20,836) | (32,770) |
Purchases of credit risk transfer and non-Agency securities | (1,074) | (229) | (116) |
Proceeds from sale of Agency mortgage-backed securities | 18,701 | 18,030 | 27,794 |
Proceeds from sale of credit risk transfer and non-Agency securities | 494 | 0 | 0 |
Principal collections on Agency mortgage-backed securities | 6,869 | 8,114 | 7,920 |
Principal collections on credit risk transfer and non-Agency securities | 5 | 23 | 2 |
Payments on U.S. Treasury securities | (11,756) | (4,483) | (49,724) |
Proceeds from U.S. Treasury securities | 14,557 | 10,393 | 48,354 |
Net proceeds from (payments on) reverse repurchase agreements | (3,162) | (6,003) | 3,505 |
Net proceeds from (payments on) derivative instruments | 253 | (1,292) | (328) |
Purchases of REIT equity securities | (28) | 0 | (11) |
Proceeds from sale of REIT equity securities | 0 | 39 | 35 |
Purchase of AGNC Mortgage Management, LLC, net of cash acquired | 0 | (555) | 0 |
(Increase) decrease in restricted cash pledged for derivative instruments | (267) | 1,244 | (568) |
Net cash provided by (used in) investing activities | (11,328) | 4,445 | 4,093 |
Financing activities: | |||
Proceeds from repurchase arrangements | 483,516 | 217,538 | 380,580 |
Payments on repurchase agreements | (471,078) | (221,434) | (389,122) |
Proceeds from Federal Home Loan Bank advances | 0 | 2,098 | 12,957 |
Payments on Federal Home Loan Bank advances | (3,037) | (2,814) | (9,204) |
Payments on debt of consolidated variable interest entities | (104) | (135) | (155) |
Net proceeds from preferred stock issuance | 315 | 0 | 0 |
Payment for preferred stock redemption | (173) | 0 | 0 |
Net proceeds from common stock issuances | 1,238 | 0 | 0 |
Payments for common stock repurchases | 0 | (116) | (285) |
Cash dividends paid | (795) | (799) | (902) |
(Increase) decrease in restricted cash pledged for derivative instruments | 24 | (37) | 0 |
Net cash provided by (used in) financing activities | 9,906 | (5,699) | (6,131) |
Net change in cash and cash equivalents | (162) | 98 | (610) |
Cash and cash equivalents at beginning of period | 1,208 | 1,110 | 1,720 |
Cash and cash equivalents at end of period | 1,046 | 1,208 | 1,110 |
Income Taxes Paid | $ 0 | $ 0 | $ 1 |
Unaudited Interim Consolidated
Unaudited Interim Consolidated Financial Statements | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |
Unaudited Interim Consolidated Financial Statements | In accordance with the terms and conditions of our 2016 Equity and Incentive Compensation Plan (the "2016 Equity Plan"), which was adopted by our stockholders on December 9, 2016, we may grant equity-based compensation in the form of stock options, stock appreciation rights, restricted shares, restricted stock units, performance shares, performance units, dividend equivalents and certain other awards denominated or payable in, or otherwise based on, shares of our common stock, plus cash incentive awards, for the purpose of providing our non-employee directors, officers and other employees incentives and rewards for service or performance. The 2016 Equity Plan authorizes a total of 10 million shares our common stock that may be used to satisfy awards under the plan, subject to the share counting rules set forth within the plan. The Compensation Committee of our Board of Directors determines awards to be granted under our 2016 Equity Plan and the terms of such awards, including vesting schedules. Prior to establishing our 2016 Equity Plan, we granted equity-based awards to independent directors per the terms of our AGNC Equity Incentive Plan for Independent Directors (the "Director Plan"). The Director Plan was terminated in December of 2016 and replaced by our 2016 Equity Plan. Outstanding awards under the Director Plan continued in effect in accordance with their terms. During fiscal years 2017 and 2016, we granted time-based RSU awards to employees with a grant date fair value of $5 million and $2 million , respectively, which vest annually over a three-year period. We granted time-based RSU awards to independent directors during fiscal year 2017 of $500,000 under our 2016 Equity Plan and during fiscal years 2016 and 2015 of $625,000 and $625,000 , respectively, under our prior Director Plan, which vest at the end of a 13-month period. The following table summarizes time-based RSU transactions under our 2016 Equity Plan for fiscal years 2017 and 2016 . 2016 Equity Incentive Plan Time-Based RSUs Weighted Average Grant Date Fair Value 1 Weighted Average Vest Date Fair Value Unvested balance as of December 31, 2015 — $ — $ — Granted 101,407 $ 17.89 $ — Accrued RSU dividend equivalents 968 $ — $ — Unvested balance as of December 31, 2016 102,375 $ 17.72 $ — Granted 238,203 $ 19.52 $ — Accrued RSU dividend equivalents 32,498 $ — $ — Vested (37,602 ) $ 16.08 $ 20.42 Forfeitures (246 ) $ 18.29 $ — Unvested balance as of December 31, 2017 335,228 $ 17.46 $ — ________________________________ 1. Accrued RSU dividend equivalents have a weighted average grant date fair value of $0. The following table summarizes restricted stock and RSU transactions under the Director Plan for fiscal years 2017 , 2016 and 2015: Director Plan Shares of Restricted Stock Time-Based RSUs Weighted Average Grant Date Fair Value 1 Weighted Average Vest Date Fair Value Unvested balance as of December 31, 2014 2 14,000 18,239 $ 25.11 $ — Granted — 28,880 $ 21.64 $ — Accrued RSU dividend equivalents — 3,319 $ — $ — Vested (9,000 ) (19,007 ) $ 23.17 $ 21.03 Unvested balance as of December 31, 2015 5,000 31,431 $ 21.44 $ — Granted — 33,015 $ 18.93 $ — Accrued RSU dividend equivalents — 3,527 $ — $ — Vested (5,000 ) (46,538 ) $ 20.00 $ 18.99 Unvested balance as of December 31, 2016 — 21,435 $ 17.49 $ — Accrued RSU dividend equivalents — 1,032 $ — $ — Vested — (22,467 ) $ 16.69 $ 20.15 Unvested balance as of December 31, 2017 — — $ — $ — ________________________________ 1. Accrued RSU dividend equivalents have a weighted average grant date fair value of $0. 2. Consist of restricted stock awards granted to independent directors prior to fiscal year 2015, which had a grant date fair value equal to the closing price of our common stock on the grant date and vested annually over three years. During fiscal year 2017, we granted performance-based RSU awards to employees under our 2016 Equity Plan, which vest at the end of a three-year period provided that specified performance criteria are met. The performance criteria are based on a formula tied to our achievement of long-term economic returns consisting of the change in tangible net book value and dividends paid per common share on an absolute basis and relative to a select group of our peers. The fair value of the performance-based RSU awards as of the grant date was $5 million assuming the target levels of performance is achieved, but the actual value will vary within a range of 0% to 200% of target based on actual performance achieved relative to the targets. The following table summarizes performance-based RSU awards under our 2016 Equity Plan for fiscal year 2017. No performance-based awards were issued during fiscal year 2016. 2016 Equity Incentive Plan Performance-Based RSUs at Target Performance Level Weighted Average Grant Date Fair Value 1 Unvested balance as of December 31, 2016 — $ — Granted 250,609 $ 19.39 Accrued RSU dividend equivalents 22,767 $ — Vested — $ — Unvested balance as of December 31, 2017 273,376 $ 17.78 _______________________ 1. Accrued RSU dividend equivalents have a weighted average grant date fair value of $0. As of December 31, 2017 , 9.1 million shares remained available for awards under the 2016 Equity Plan. For purposes of determining the total number of shares available for awards under the 2016 Equity Plan, available shares are reduced by (i) shares issued for vested RSU awards, net of units withheld to cover minimum statutory tax withholding requirements paid by us in cash on behalf of the employee and (ii) outstanding unvested awards, (iii) outstanding previously vested awards, if distribution of such awards has been deferred beyond the vesting date, and (iv) accrued dividend equivalent units on outstanding awards through December 31, 2017 . Unvested performance-based awards assume the maximum payout under the terms of the award. As of December 31, 2017 , there were no outstanding previously vested awards. During fiscal years 2017 and 2016, we recognized compensation expense of $3.1 million and $28 thousand , respectively, for stock-based awards to employees. During fiscal years 2017 , 2016 and 2015, we recognized other operating expense of $455,000 , $731,000 and $704,000 , respectively, for stock-based awards to independent directors. As of December 31, 2017 , we had unrecognized expense related to stock-based awards of approximately $8 million , which is expected to be recognized over a weighted average period of 1.9 years. Other Long-Term Incentive Compensation During fiscal year 2017, we granted long-term incentive compensation awards under our MTGE Incentive Plan of $2 million , which was used to purchase shares of MTGE common stock on the open market. The awards vests annually over a three-year period. During fiscal year 2017, we recognized accrued compensation expense of $1 million associated with MTGE Incentive Plan awards. As of December 31, 2017, we had unrecognized compensation expense of $2 million associated with such awards, measured at fair value based on the closing stock price of MTGE common stock. |
Organization
Organization | 12 Months Ended |
Dec. 31, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization We were organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC." We operate 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. So long as we continue to qualify as a REIT, we will generally not be subject to U.S. Federal or state corporate taxes on our taxable income to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100% of our taxable income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year. We earn income primarily from investing in residential mortgage-backed securities for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise or a U.S. Government agency ("Agency RMBS") on a leveraged basis. We may also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a U.S. Government-sponsored enterprise or U.S. Government agency. Our principal objective is to provide our stockholders with attractive risk-adjusted returns through a combination of monthly dividends and tangible net book value accretion. We generate income from the interest earned on our investment assets, net of associated borrowing and hedging activities, and net realized gains and losses on our investments and hedging activities. We fund our investments primarily through borrowings structured as repurchase agreements. Prior to July 1, 2016, we were externally managed by AGNC Management, LLC (our "Manager"). On July 1, 2016, we completed the acquisition of all the outstanding membership interests of AGNC Mortgage Management, LLC ("AMM"), the parent company of our Manager, from American Capital Asset Management, LLC, a wholly owned portfolio company of American Capital, Ltd. AMM is also the parent company of MTGE Management, LLC, the external manager of MTGE Investment Corp. ("MTGE") (Nasdaq: MTGE). Following the closing of the acquisition of AMM, we became internally managed and the external manager of MTGE. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation Our consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). Our consolidated financial statements include the accounts of all subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the period reported. Actual results could differ from those estimates. Earnings per Share Basic earnings per share ("EPS") is computed by dividing net income (loss) available (attributable) to common stockholders by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise or issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per share. Accumulated Other Comprehensive Income (Loss) Accounting Standards Codification ("ASC") Topic 220, Comprehensive Income , divides comprehensive income into net income and other comprehensive income (loss) ("OCI"), which includes unrealized gains and losses on securities classified as available-for-sale and unrealized gains and losses on derivative financial instruments that are designated and qualify for cash flow hedge accounting under ASC Topic 815, Derivatives and Hedging ("ASC 815"). During fiscal year 2011, we discontinued designating our derivative financial instruments, principally interest rate swaps, as cash flow hedges. For further information regarding our discontinuation of cash flow hedge accounting, see Derivatives Instruments below and Note 5. Cash and Cash Equivalents Cash and cash equivalents consist of unrestricted demand deposits and highly liquid investments with original maturities of three months or less. Cash and cash equivalents are carried at cost, which approximates fair value. Restricted Cash and Cash Equivalents Restricted cash and cash equivalents includes cash and cash equivalents pledged as collateral for clearing and executing trades, repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. Restricted cash and cash equivalents are carried at cost, which approximates fair value. Investment Securities The Agency RMBS in which we invest consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS. Mortgage-related securities may also include investments in the common stock of other publicly traded mortgage REITs, including MTGE, that primarily invest in Agency securities, non-Agency securities, other mortgage related instruments and/or real estate on a leveraged basis. As of December 31, 2017 , our investments in REIT equity securities consisted solely of MTGE common stock. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for such securities pursuant to ASC Topic 825, Financial Instruments . All of our securities are reported at fair value as they have either been designated as available-for-sale or trading or we have elected the fair value option of accounting. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated OCI. Unrealized gains and losses on securities classified as trading or for which we elected the fair value option are reported in net income through other gain (loss) during the period in which they occur. Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities acquired after fiscal year 2016. In our view, this election simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a particular reporting period, as the fair value changes for these assets are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. We are not permitted to change the designation of securities acquired prior to January 1, 2017; accordingly, such securities will continue to be classified as available-for-sale securities until we receive full repayment of principal or we dispose of the security. We estimate the fair value of our investment securities based on a market approach using "Level 2" inputs from third-party pricing services and non-binding dealer quotes derived from common market pricing methods. Such methods incorporate, but are not limited to, reported trades and executable bid and asked prices for similar securities, benchmark interest rate curves, such as the spread to the U.S. Treasury rate and interest rate swap curves, convexity, duration and the underlying characteristics of the security, including coupon, periodic and life caps, rate reset period, issuer, additional credit support and expected life of the security. Refer to Note 7 for further discussion of fair value measurements. We evaluate our investments designated as available-for-sale for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired may involve judgments and assumptions based on subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if any one of the following three conditions exists as of the financial reporting date: (i) we intend to sell the security (that is, a decision has been made to sell the security), (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover the security's amortized cost basis, even if we do not intend to sell the security and it is not more likely than not that we will be required to sell the security. A general allowance for unidentified impairments in a portfolio of securities is not permitted. If either of the first two conditions exists as of the financial reporting date, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. If the third condition exists, the OTTI is separated into (i) the amount relating to credit loss (the "credit component") and (ii) the amount relating to all other factors (the "non-credit components"). Only the credit component is recognized in earnings, with the non-credit components recognized in OCI. We did not recognize OTTI charges on our investment securities for fiscal years 2017, 2016 or 2015. Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the third-party estimates and, based on our judgment, we may adjust the estimates. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) actual prepayments to date and our current estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments, based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any. Repurchase Agreements We finance the acquisition of securities for our investment portfolio primarily through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing ("ASC 860"), we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates on our repurchase agreements generally correspond to one or three-month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market. Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Our reverse repurchase agreements typically have maturities of 30 days or less. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are generally reset daily. Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market ("TBA") to invest in and finance Agency securities as well as to periodically reduce our exposure to Agency RMBS. We account for derivative instruments in accordance with ASC 815. ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. The use of derivative instruments creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. Our derivative agreements require that we post or receive collateral to mitigate such risk. We also attempt to minimize our risk of loss by limiting our counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on one or three-month LIBOR ("payer swaps") with terms up to 20 years. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market. Swap agreements entered into after May 2013 are centrally cleared through a registered commodities exchange. We value centrally cleared interest rate swaps using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including LIBOR, swap rates and the forward yield curve. Our centrally cleared swaps require that we post an "initial margin" amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange "variation margin" based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, which took effect January 3, 2017, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, beginning 2017, we account for the receipt or payment of variation margin as a direct reduction to the carrying value of the interest rate swap asset or liability. Variation margin pledged / (received) was previously reported in restricted cash and cash equivalents / (other liabilities) in our consolidated balance sheet. We value non-centrally cleared swaps using a combination of third-party valuations obtained from pricing services and the swap counterparty. The third-party valuations are model-driven using observable inputs, including LIBOR, swap rates and the forward yield curve. We also consider both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps. In considering the effect of nonperformance risk, we assess the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements. Prior to fiscal year 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, during fiscal year 2011, we elected to discontinue hedge accounting for our interest rate swaps. Upon discontinuation of hedge accounting, the net deferred loss related to our de-designated interest rate swaps remained in accumulated OCI and was reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap through December 2016. Interest rate swaptions We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our swaption agreements typically provide us the option to enter into a pay-fixed rate interest rate swap ("payer swaptions"). We may also enter into swaption agreements that provide us the option to enter into a receive-fixed interest rate swap ("receiver swaptions"). Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. We estimate the fair value of interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option, adjusted for non-performance risk, if any. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the TBA contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities. U.S. Treasury securities We purchase and sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Variable Interest Entities ASC Topic 810, Consolidation ("ASC 810"), requires an enterprise to consolidate a variable interest entity ("VIE") if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE and ongoing assessments of whether an enterprise is the primary beneficiary of a VIE as well as additional disclosures for entities that have variable interests in VIEs. We have entered into transactions involving CMO trusts, which are VIEs. We will consolidate a CMO trust if we are the CMO trust's primary beneficiary; that is, if we have a variable interest that provides us with a controlling financial interest in the CMO trust. An entity is deemed to have a controlling financial interest if the entity has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses of or right to receive benefits from the VIE that could potentially be significant to the VIE. As part of the qualitative assessment in determining if we have a controlling financial interest, we evaluate whether we control the selection of financial assets transferred to the CMO trust. For each of our consolidated CMO trusts we controlled the selection of the Agency RMBS transferred from our investment portfolio to an investment bank in exchange for cash proceeds and at the same time entered into a commitment with the investment bank to purchase to-be-issued securities collateralized by the Agency RMBS transferred, which resulted in our consolidation of the CMO trusts. Agency RMBS transferred to consolidated VIEs are reported on our consolidated balance sheets in Agency securities transferred to consolidated VIEs, at fair value and can only be used to settle the obligations of each respective VIE. We elected the option to account for the consolidated debt at fair value, with changes in fair value reflected in earnings during the period in which they occur, because we believe this election more appropriately reflects our financial position as both the consolidated assets and consolidated debt are presented in a consistent manner on our consolidated balance sheets. We estimate the fair value of the consolidated debt based on the fair value of the Agency RMBS transferred to consolidated VIEs, less the fair value of our retained interests, which are measured on a market approach using "Level 2" inputs from third-party pricing services and dealer quotes. The fair value of the Agency RMBS transferred to the consolidated VIEs and the fair value of our retained interests are based on more observable inputs than inputs used to independently determine the value of our consolidated debt. Long-Term Incentive Compensation Stock-Based Compensation We measure and recognize compensation expense for all stock-based payment awards made to employees and independent directors based on their fair values. Stock-based awards issued under our equity incentive plan include time-based and performance-based restricted stock unit ("RSU") awards. An RSU award is an agreement to issue an equivalent number of shares of our common stock, plus any equivalent shares for dividends declared on our common stock, at the time the award vests, or later if distribution of such shares has been deferred beyond the vesting date. Time-based RSU awards vest over a specified service period. Performance-based RSU awards vest over a specified service period subject to achieving long-term performance criteria. We value RSU awards based on the fair value of our common stock on the date of grant. Compensation expense is recognized over each award’s respective service period. In the case of performance awards, we estimate the probability that the performance criteria will be achieved, and recognize expense only for those awards expected to vest. We reevaluate our estimates each reporting period and recognize a cumulative effect adjustment to expense if our estimates change from the prior period. We do not estimate forfeiture rates; rather, we adjust for forfeitures in the periods in which they occur. Shares underlying RSUs are issued on the vesting dates, or later if distribution of such shares has been deferred beyond the vesting date, net of any minimum statutory tax withholdings to be paid by us on behalf of our employees. As a result, the actual number of shares issued will be fewer than the actual number of RSUs outstanding. When RSUs vest, we record a liability for withholding amounts to be paid by us as a reduction to additional paid-in capital. Other Long-Term Incentive Compensation Other long-term incentive compensation granted to employees consists of dollar denominated awards granted under our AGNC Mortgage Management, LLC Performance Incentive Plan-MTGE ("MTGE Incentive Plan"), which vest over a specified service period. The awards are cash funded by us and used to purchase shares of MTGE common stock on the open market, or we may alternatively contribute an equivalent number of shares of MTGE common stock from our investment holdings based on the closing price of a share of MTGE common stock on the grant date. The shares acquired or contributed by us are held in a trust during the requisite service period or longer, if distribution of such shares has been deferred beyond the vesting date. Awards granted under the MTGE Incentive Plan are intended to help facilitate the alignment of compensation for our personnel who are involved in the management of MTGE with MTGE’s actual performance. We initially value MTGE Incentive Plan awards based on the dollar denominated value of the awards and subsequently remeasure the value of outstanding awards as of each reporting date based on the fair value of MTGE common stock held in the trust, including accrued dividend reinvestments. Compensation expense is recognized over each award’s requisite service period, with the impact of changes in the fair value of MTGE common stock and dividend reinvestments recognized as a cumulative adjustment to compensation expense, and we record a liability on our accompanying consolidated balance sheets for our obligation to deliver shares of MTGE common stock on the vesting date, or subsequent distribution date if deferred beyond the vesting date. We report the fair value of MTGE common stock held in the trust in other assets on our accompanying consolidated balance sheets. Goodwill and Other Intangible Assets, Net Goodwill is the cost of an acquisition in excess of the fair value of identified assets acquired and liabilities assumed and is recognized as an asset on our consolidated balance sheets. Acquired intangible assets that do not meet the criteria for recognition as a separate asset are included in goodwill. Goodwill is not subject to amortization but must be tested for impairment at least annually. Intangible assets meeting the criteria for recognition as separate assets are recorded at their respective fair market values at the date of acquisition. Intangible assets with an estimated useful life are amortized over their expected useful life. As of December 31, 2017 and 2016, we had $526 million of goodwill and $25 million and $28 million , respectively, of other intangible assets, net of accumulated amortization, reported in goodwill and other intangible assets, net in our accompanying consolidated balance sheets related to our acquisition of AMM on July 1, 2016. Other intangible assets have a remaining weighted average amortization period of 8.5 years as of December 31, 2017. A large majority our goodwill is associated with our pre-existing management agreement with AMM that did not qualify for separate recognition. We test goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative analysis requires that we compare the carrying value of the identified reporting unit comprising the goodwill to its fair value. If the carrying value of the reporting unit is greater than its fair value, an impairment charge is recognized to the extent the carrying amount of the reporting unit exceeds its fair value. We did not recognize a goodwill impairment charge during fiscal years 2017 or 2016. Loss Contingencies We evaluate the existence of any pending or threatened litigation or other potential claims against the Company in accordance with ASC Topic 450, Contingencies, which requires that we assess the likelihood and range of potential outcomes of any such matters. We are the defendant in three stockholder derivative lawsuits alleging that certain of our current and former directors and officers breached fiduciary duties and wasted corporate assets relating to past renewals of the management agreement with our former external Manager and the internalization of our management, which occurred on July 1, 2016. Although the outcomes of these cases cannot be predicted with certainty, we do not believe that these cases have merit or will result in a material liability, and, as of December 31, 2017 , we did not accrue a loss contingency related to these matters. Income Taxes We elected to be taxed as a REIT under the provisions of the Internal Revenue Code and the corresponding provisions of state law, commencing with our initial tax year ended December 31, 2008. To continue to qualify as a R |
Investment Securities
Investment Securities | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | 3 years and ≤ 5 years 7,499 7,518 3.31% 2.39% 13,601 13,509 3.38% 2.44% > 5 years and ≤10 years 45,977 46,398 3.75% 2.95% 30,513 30,979 3.74% 2.89% > 10 years 892 857 4.87% 4.74% 1,966 1,962 3.17% 3.27% Total $ 57,080 $ 57,466 3.71% 2.89% $ 46,499 $ 46,866 3.61% 2.77% The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2017 and 2016 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss December 31, 2017 $ 3,582 $ (15 ) $ 20,577 $ (451 ) $ 24,159 $ (466 ) December 31, 2016 $ 28,397 $ (554 ) $ 1,719 $ (68 ) $ 30,116 $ (622 ) We did not recognize OTTI charges on our investment securities for fiscal year s 2017 and 2016 . As of the end of each respective reporting period, a decision had not been made to sell any of our securities in an unrealized loss position and we did not believe it was more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. The unrealized losses on our securities were not due to credit losses given the GSE or U.S. Government agency guarantees, but rather were due to changes in interest rates and prepayment expectations. However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our investment securities upon selecting specific securities to sell. Gains and Losses on Sale of Investment Securities The following table is a summary of our net gain (loss) from the sale of investment securities for fiscal years 2017 and 2016 by investment classification of accounting (in millions). Fiscal Year 2017 Fiscal Year 2016 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ (6,324 ) $ (12,913 ) $ (19,237 ) $ (17,907 ) $ — $ (17,907 ) Proceeds from investment securities sold 1 6,241 12,933 19,174 18,016 — 18,016 Net gain (loss) on sale of investment securities $ (83 ) $ 20 $ (63 ) $ 109 $ — $ 109 Gross gain on sale of investment securities $ 16 $ 48 $ 64 $ 123 $ — $ 123 Gross loss on sale of investment securities (99 ) (28 ) (127 ) (14 ) — (14 ) Net gain (loss) on sale of investment securities $ (83 ) $ 20 $ (63 ) $ 109 $ — $ 109 ________________________________ 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. Securitizations and Variable Interest Entities As of December 31, 2017 and 2016 , we held investments in CMO trusts, which are VIEs. We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate Agency RMBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac. In connection with our consolidated CMO trusts, we recognized Agency securities with a total fair value and approximate unpaid principal balance of $0.7 billion and $0.8 billion as of December 31, 2017 and 2016 , respectively, and debt with a total fair value and approximate unpaid principal balance of $0.4 billion and $0.5 billion , respectively, in our accompanying consolidated balance sheets. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our involvement with the consolidated trusts is limited to the Agency securities transferred by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts. As of December 31, 2017 and 2016 , the fair value of our CMO securities and interest and principal-only securities was $0.9 billion and $1.1 billion , respectively, excluding the consolidated CMO trusts discussed above, or $1.2 billion and $1.5 billion , respectively, including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $124 million and $182 million as of December 31, 2017 and 2016 , respectively." id="sjs-B4">Investment Securities As of December 31, 2017 and 2016 , our investment portfolio consisted of $57.1 billion and $46.5 billion of investment securities, at fair value, respectively, and $15.7 billion and $11.2 billion of TBA securities, at fair value, respectively. Our TBA position is reported at its net carrying value of $3 million and $(147) million as of December 31, 2017 and 2016 , respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying Agency security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying Agency security. As of December 31, 2017 and 2016 , our investment securities had a net unamortized premium balance of $2.7 billion and $2.1 billion , respectively, including interest and principal-only securities. The following tables summarize our investment securities as of December 31, 2017 and 2016 , excluding TBA securities, (dollars in millions). Details of our TBA securities as of each of the respective dates are included in Note 5 . December 31, 2017 December 31, 2016 Investment Securities Amortized Cost Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 55,477 $ 55,026 $ 45,145 $ 44,736 Adjustable rate 278 283 371 379 CMO 629 631 796 801 Interest-only and principal-only strips 213 228 268 295 Total Agency RMBS 56,597 56,168 46,580 46,211 Non-Agency RMBS 7 7 102 101 CMBS 28 29 23 23 CRT securities 834 876 161 164 Total investment securities $ 57,466 $ 57,080 $ 46,866 $ 46,499 December 31, 2017 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 24,200 $ 8,219 $ 34 $ 7 $ — $ — $ 32,460 Unamortized discount (25 ) (3 ) — — — — (28 ) Unamortized premium 1,119 447 — — — — 1,566 Amortized cost 25,294 8,663 34 7 — — 33,998 Gross unrealized gains 98 22 1 — — — 121 Gross unrealized losses (325 ) (141 ) — — — — (466 ) Total available-for-sale securities, at fair value 25,067 8,544 35 7 — — 33,653 Securities remeasured at fair value through earnings: Par value 13,558 7,956 — — 29 801 22,344 Unamortized discount (34 ) — — — (1 ) — (35 ) Unamortized premium 711 415 — — — 33 1,159 Amortized cost 14,235 8,371 — — 28 834 23,468 Gross unrealized gains 26 2 — — 1 42 71 Gross unrealized losses (70 ) (42 ) — — — — (112 ) Total securities remeasured at fair value through earnings 14,191 8,331 — — 29 876 23,427 Total securities, at fair value $ 39,258 $ 16,875 $ 35 $ 7 $ 29 $ 876 $ 57,080 Weighted average coupon as of December 31, 2017 3.67 % 3.73 % 2.84 % 2.50 % 6.55 % 5.26 % 3.71 % Weighted average yield as of December 31, 2017 1 2.84 % 2.87 % 2.02 % 3.08 % 7.30 % 5.19 % 2.89 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2017 . December 31, 2016 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 34,244 $ 10,008 $ 44 $ 101 $ — $ — $ 44,397 Unamortized discount (43 ) (3 ) — — — — (46 ) Unamortized premium 1,518 544 — 1 — — 2,063 Amortized cost 35,719 10,549 44 102 — — 46,414 Gross unrealized gains 176 48 1 — — — 225 Gross unrealized losses (442 ) (179 ) — (1 ) — — (622 ) Total available-for-sale securities, at fair value 35,453 10,418 45 101 — — 46,017 Securities remeasured at fair value through earnings: Par value 171 — — — 24 157 352 Unamortized discount (35 ) — — — (1 ) — (36 ) Unamortized premium 118 14 — — — 4 136 Amortized cost 254 14 — — 23 161 452 Gross unrealized gains 28 3 — — — 3 34 Gross unrealized losses (3 ) (1 ) — — — — (4 ) Total securities remeasured at fair value through earnings 279 16 — — 23 164 482 Total securities, at fair value $ 35,732 $ 10,434 $ 45 $ 101 $ 23 $ 164 $ 46,499 Weighted average coupon as of December 31, 2016 3.59 % 3.67 % 2.75 % 3.42 % 6.55 % 5.25 % 3.61 % Weighted average yield as of December 31, 2016 1 2.77 % 2.72 % 2.00 % 3.27 % 7.54 % 6.28 % 2.77 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2016 . As of December 31, 2017 and 2016 , our investments in CRT and non-Agency securities had the following credit ratings: December 31, 2017 December 31, 2016 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS CMBS CRT RMBS CMBS AAA $ — $ 7 $ — $ — $ 99 $ — BBB 20 — 29 — — 23 BB 136 — — — — — B 691 — — 164 2 — Not Rated 29 — — — — — Total $ 876 $ 7 $ 29 $ 164 $ 101 $ 23 ________________________________ 1. Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date. Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards. As of December 31, 2017 , our CRT securities had floating rate coupons ranging from 3.9% to 8.5% , referenced to loans originated between 2012 and 2017 with weighted average coupons ranging from 3.6% to 4.4% . As of 2016 , our CRT securities had floating rate coupons ranging from 4.6% to 7.1% , referenced to loans originated between 2015 and 2016 with weighted average coupons ranging from 4.0% to 4.2% . The actual maturities of our investment securities are generally shorter than their stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic contractual principal payments and principal prepayments. As of December 31, 2017 and 2016 , the weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate investment portfolio was 8.4% and 8.0% , 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 December 31, 2017 and 2016 according to their estimated weighted average life classification (dollars in millions): December 31, 2017 December 31, 2016 Estimated Weighted Average Life of Investment Securities Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield ≥ 1 year and ≤ 3 years $ 2,712 $ 2,693 3.90% 2.67% $ 419 $ 416 4.33% 2.27% > 3 years and ≤ 5 years 7,499 7,518 3.31% 2.39% 13,601 13,509 3.38% 2.44% > 5 years and ≤10 years 45,977 46,398 3.75% 2.95% 30,513 30,979 3.74% 2.89% > 10 years 892 857 4.87% 4.74% 1,966 1,962 3.17% 3.27% Total $ 57,080 $ 57,466 3.71% 2.89% $ 46,499 $ 46,866 3.61% 2.77% The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2017 and 2016 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss December 31, 2017 $ 3,582 $ (15 ) $ 20,577 $ (451 ) $ 24,159 $ (466 ) December 31, 2016 $ 28,397 $ (554 ) $ 1,719 $ (68 ) $ 30,116 $ (622 ) We did not recognize OTTI charges on our investment securities for fiscal year s 2017 and 2016 . As of the end of each respective reporting period, a decision had not been made to sell any of our securities in an unrealized loss position and we did not believe it was more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. The unrealized losses on our securities were not due to credit losses given the GSE or U.S. Government agency guarantees, but rather were due to changes in interest rates and prepayment expectations. However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our investment securities upon selecting specific securities to sell. Gains and Losses on Sale of Investment Securities The following table is a summary of our net gain (loss) from the sale of investment securities for fiscal years 2017 and 2016 by investment classification of accounting (in millions). Fiscal Year 2017 Fiscal Year 2016 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ (6,324 ) $ (12,913 ) $ (19,237 ) $ (17,907 ) $ — $ (17,907 ) Proceeds from investment securities sold 1 6,241 12,933 19,174 18,016 — 18,016 Net gain (loss) on sale of investment securities $ (83 ) $ 20 $ (63 ) $ 109 $ — $ 109 Gross gain on sale of investment securities $ 16 $ 48 $ 64 $ 123 $ — $ 123 Gross loss on sale of investment securities (99 ) (28 ) (127 ) (14 ) — (14 ) Net gain (loss) on sale of investment securities $ (83 ) $ 20 $ (63 ) $ 109 $ — $ 109 ________________________________ 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. Securitizations and Variable Interest Entities As of December 31, 2017 and 2016 , we held investments in CMO trusts, which are VIEs. We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate Agency RMBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac. In connection with our consolidated CMO trusts, we recognized Agency securities with a total fair value and approximate unpaid principal balance of $0.7 billion and $0.8 billion as of December 31, 2017 and 2016 , respectively, and debt with a total fair value and approximate unpaid principal balance of $0.4 billion and $0.5 billion , respectively, in our accompanying consolidated balance sheets. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our involvement with the consolidated trusts is limited to the Agency securities transferred by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts. As of December 31, 2017 and 2016 , the fair value of our CMO securities and interest and principal-only securities was $0.9 billion and $1.1 billion , respectively, excluding the consolidated CMO trusts discussed above, or $1.2 billion and $1.5 billion , respectively, including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $124 million and $182 million as of December 31, 2017 and 2016 , respectively. |
Repurchase Agreements And Other
Repurchase Agreements And Other Debt | 12 Months Ended |
Dec. 31, 2017 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements And Other Debt | 1 to ≤ 3 months 16,150 1.50 % 50 10,011 0.93 % 55 > 3 to ≤ 6 months 7,287 1.50 % 130 2,030 1.02 % 136 > 6 to ≤ 9 months 2,361 1.66 % 225 1,270 0.98 % 214 > 9 to ≤ 12 months 202 1.64 % 297 1,566 1.08 % 299 > 12 to ≤ 24 months 1,700 1.84 % 468 1,203 1.28 % 538 > 24 to ≤ 36 months 2,200 1.80 % 803 1,300 1.36 % 865 > 36 to ≤ 48 months 625 1.90 % 1,141 2,200 1.32 % 1,168 > 48 to < 60 months — — — 625 1.38 % 1,506 Total Agency repo 50,296 1.57 % 116 37,686 0.98 % 187 U.S. Treasury repo: > 1 day to ≤ 1 month — — — 172 (0.30 )% 17 Total $ 50,296 1.57 % 116 $ 37,858 0.98 % 186 As of December 31, 2017 and 2016 , $5.3 billion and $150 million , respectively, of our Agency repurchase agreements matured overnight and none of our repurchase agreements were due on demand. Federal Home Loan Bank Advances As of December 31, 2016 , we had $3.0 billion of outstanding secured Federal Home Loan Bank ("FHLB") advances, with a weighted average borrowing rate of 0.73% . Our FHLB advances matured in February 2017, coinciding with the termination of our wholly-owned captive insurance subsidiary's FHLB membership in February 2017 pursuant to the Federal Housing Finance Agency's ("FHFA") final rule on FHLB membership released in January 2016. As a result, we had no outstanding secured FHLB advances as of December 31, 2017 . Debt of Consolidated Variable Interest Entities As of December 31, 2017 and 2016 , debt of consolidated VIEs, at fair value, was $357 million and $460 million , respectively, and had a weighted average interest rate of LIBOR plus 37 and 36 basis points, respectively, and a principal balance of $349 million and $452 million , respectively. The actual maturities of our debt of consolidated VIEs are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying Agency RMBS securitizing the debt of our consolidated VIEs and periodic principal prepayments of such underlying securities. The estimated weighted average life of the debt of our consolidated VIEs as of December 31, 2017 and 2016 was 5.7 years and 5.8 years, respectively." id="sjs-B4">Repurchase Agreements and Other Secured Borrowings We pledge certain of our securities as collateral under our borrowing agreements with financial institutions. Interest rates on our borrowings are generally based on LIBOR plus or minus a margin and amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of December 31, 2017 , we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6 . Repurchase Agreements As of December 31, 2017 and 2016 , we had $50.3 billion and $37.9 billion , respectively, of repurchase agreements outstanding. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis. Our repurchase agreements with original maturities greater than one year have floating interest rates based on an index plus or minus a fixed spread. Substantially all of our repurchase agreements were used to fund purchases of Agency securities ("Agency repo"). The remainder of our repurchase agreements were used to fund temporary holdings of U.S. Treasury securities ("U.S. Treasury repo"). The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of December 31, 2017 and 2016 (dollars in millions): December 31, 2017 December 31, 2016 Remaining Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Agency repo: ≤ 1 month $ 19,771 1.59 % 11 $ 17,481 0.90 % 11 > 1 to ≤ 3 months 16,150 1.50 % 50 10,011 0.93 % 55 > 3 to ≤ 6 months 7,287 1.50 % 130 2,030 1.02 % 136 > 6 to ≤ 9 months 2,361 1.66 % 225 1,270 0.98 % 214 > 9 to ≤ 12 months 202 1.64 % 297 1,566 1.08 % 299 > 12 to ≤ 24 months 1,700 1.84 % 468 1,203 1.28 % 538 > 24 to ≤ 36 months 2,200 1.80 % 803 1,300 1.36 % 865 > 36 to ≤ 48 months 625 1.90 % 1,141 2,200 1.32 % 1,168 > 48 to < 60 months — — — 625 1.38 % 1,506 Total Agency repo 50,296 1.57 % 116 37,686 0.98 % 187 U.S. Treasury repo: > 1 day to ≤ 1 month — — — 172 (0.30 )% 17 Total $ 50,296 1.57 % 116 $ 37,858 0.98 % 186 As of December 31, 2017 and 2016 , $5.3 billion and $150 million , respectively, of our Agency repurchase agreements matured overnight and none of our repurchase agreements were due on demand. Federal Home Loan Bank Advances As of December 31, 2016 , we had $3.0 billion of outstanding secured Federal Home Loan Bank ("FHLB") advances, with a weighted average borrowing rate of 0.73% . Our FHLB advances matured in February 2017, coinciding with the termination of our wholly-owned captive insurance subsidiary's FHLB membership in February 2017 pursuant to the Federal Housing Finance Agency's ("FHFA") final rule on FHLB membership released in January 2016. As a result, we had no outstanding secured FHLB advances as of December 31, 2017 . Debt of Consolidated Variable Interest Entities As of December 31, 2017 and 2016 , debt of consolidated VIEs, at fair value, was $357 million and $460 million , respectively, and had a weighted average interest rate of LIBOR plus 37 and 36 basis points, respectively, and a principal balance of $349 million and $452 million , respectively. The actual maturities of our debt of consolidated VIEs are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying Agency RMBS securitizing the debt of our consolidated VIEs and periodic principal prepayments of such underlying securities. The estimated weighted average life of the debt of our consolidated VIEs as of December 31, 2017 and 2016 was 5.7 years and 5.8 years, respectively. |
Derivative and Other Hedging In
Derivative and Other Hedging Instruments | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
US Government Futures Securities [Table Text Block] | U.S. Treasury Futures December 31, 2017 December 31, 2016 Maturity Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 5 years $ (730 ) $ (852 ) $ (848 ) $ 4 $ (730 ) $ (862 ) $ (859 ) $ 3 10 years (2,180 ) (2,718 ) (2,703 ) 15 (1,080 ) (1,347 ) (1,342 ) 5 Total U.S. Treasury futures $ (2,910 ) $ (3,570 ) $ (3,551 ) $ 19 $ (1,810 ) $ (2,209 ) $ (2,201 ) $ 8 ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. |
Derivative and Other Hedging Instruments | Derivative and Other Hedging Instruments We hedge a portion of our interest rate risk by entering into interest rate swaps, interest rate swaptions and U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also utilize TBA securities, options and other types of derivative instruments to hedge a portion of our risk. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 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 December 31, 2017 and 2016 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location 2017 2016 Interest rate swaps Derivative assets, at fair value $ 81 $ 321 Swaptions Derivative assets, at fair value 75 22 TBA securities Derivative assets, at fair value 30 4 U.S. Treasury futures - short Derivative assets, at fair value 19 8 Total derivative assets, at fair value $ 205 $ 355 Interest rate swaps Derivative liabilities, at fair value $ (1 ) $ (105 ) TBA securities Derivative liabilities, at fair value (27 ) (151 ) Total derivative liabilities, at fair value $ (28 ) $ (256 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ — $ 182 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (10,467 ) (7,636 ) Total U.S. Treasury securities, net at fair value $ (10,467 ) $ (7,454 ) The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of December 31, 2017 and 2016 (dollars in millions): December 31, 2017 December 31, 2016 Interest Rate Swaps Notional 1 Average Rate 2 Average Average Notional 1 Average Rate 2 Average Average ≤ 3 years $ 21,025 1.40% 1.46% 1.5 $ 19,775 1.16% 0.92% 1.5 > 3 to ≤ 5 years 6,825 1.82% 1.43% 4.1 7,450 1.62% 0.91% 4.0 > 5 to ≤ 7 years 5,775 2.02% 1.44% 5.9 4,725 1.89% 0.91% 5.9 > 7 to ≤ 10 years 6,650 2.10% 1.42% 9.1 3,325 1.90% 0.91% 9.2 > 10 years 3,425 2.49% 1.45% 12.9 1,900 2.64% 0.91% 13.8 Total $ 43,700 1.74% 1.44% 4.5 $ 37,175 1.48% 0.92% 3.9 ________________________________ 1. As of December 31, 2017 and 2016 , notional amount includes forward starting swaps of $4.6 billion and $0.6 billion , respectively, with an average forward start date of 0.3 and 1.2 years, respectively. 2. Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.68% and 1.46% as of December 31, 2017 and 2016 , respectively. Swaptions Option Underlying Payer Swap Current Option Expiration Date Cost Basis Fair Value Average Months to Current Option Expiration Date 1 Notional Amount Average Fixed Pay Rate Average Receive Rate (LIBOR) Average Term (Years) December 31, 2017 ≤ 1 year $ 118 $ 46 7 $ 5,100 2.71% 3M 8.8 > 1 year ≤ 2 years 23 16 18 1,050 2.71% 3M 8.7 > 2 year ≤ 3 years 18 13 30 500 2.78% 3M 10.0 Total $ 159 $ 75 10 $ 6,650 2.72% 3M 8.9 December 31, 2016 Total ≤ 1 year $ 52 $ 22 6 $ 1,200 3.06% 3M 8.3 ________________________________ 1. As of December 31, 2017 and 2016 , ≤ 1 year notional amount includes $700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date. U.S. Treasury Securities December 31, 2017 December 31, 2016 Maturity Face Amount Net Long / (Short) Cost Basis Fair Value Face Amount Net Long / (Short) Cost Basis Fair Value 5 years $ (288 ) $ (286 ) $ (283 ) $ (400 ) $ (404 ) $ (392 ) 7 years (6,131 ) (6,106 ) (6,029 ) (3,056 ) (3,041 ) (2,930 ) 10 years (4,280 ) (4,230 ) (4,155 ) (4,416 ) (4,236 ) (4,132 ) Total U.S. Treasury securities, net $ (10,699 ) $ (10,622 ) $ (10,467 ) $ (7,872 ) $ (7,681 ) $ (7,454 ) U.S. Treasury Futures December 31, 2017 December 31, 2016 Maturity Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 5 years $ (730 ) $ (852 ) $ (848 ) $ 4 $ (730 ) $ (862 ) $ (859 ) $ 3 10 years (2,180 ) (2,718 ) (2,703 ) 15 (1,080 ) (1,347 ) (1,342 ) 5 Total U.S. Treasury futures $ (2,910 ) $ (3,570 ) $ (3,551 ) $ 19 $ (1,810 ) $ (2,209 ) $ (2,201 ) $ 8 ________________________________ 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. December 31, 2017 December 31, 2016 TBA Securities by Coupon Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 15-Year TBA securities: 2.5% $ 1,373 $ 1,372 $ 1,370 $ (2 ) $ 1,853 $ 1,870 $ 1,856 $ (14 ) 3.0% 3,161 3,225 3,217 (8 ) 292 302 300 (2 ) 3.5% 414 428 428 — 15 16 16 — Total 15-Year TBA securities 4,948 5,025 5,015 (10 ) 2,160 2,188 2,172 (16 ) 30-Year TBA securities: 3.0% 4,317 4,303 4,312 9 3,027 3,114 3,007 (107 ) 3.5% 3,932 4,027 4,034 7 1,209 1,251 1,236 (15 ) 4.0% 2,338 2,449 2,446 (3 ) 4,530 4,769 4,760 (9 ) 4.5% (61 ) (65 ) (65 ) — (10 ) (10 ) (10 ) — Total 30-Year TBA securities, net 10,526 10,714 10,727 13 8,756 9,124 8,993 (131 ) Total TBA securities, net $ 15,474 $ 15,739 $ 15,742 $ 3 $ 10,916 $ 11,312 $ 11,165 $ (147 ) ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. Gain (Loss) From Derivative Instruments and Other Securities, Net The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for fiscal years 2017 , 2016 and 2015 (in millions): Derivative and Other Hedging Instruments Beginning Notional Amount Additions Settlement, Termination, Expiration or Exercise Ending Notional Amount Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Fiscal Year 2017: TBA securities, net $ 10,916 237,601 (233,043 ) $ 15,474 $ 330 Interest rate swaps $ 37,175 14,825 (8,300 ) $ 43,700 67 Payer swaptions $ 1,200 6,450 (1,000 ) $ 6,650 (66 ) U.S. Treasury securities - short position $ (8,061 ) (14,030 ) 11,392 $ (10,699 ) (141 ) U.S. Treasury securities - long position $ 189 404 (593 ) $ — 1 U.S. Treasury futures contracts - short position $ (1,810 ) (11,340 ) 10,240 $ (2,910 ) — $ 191 Fiscal Year 2016: TBA securities, net $ 7,295 116,439 (112,818 ) $ 10,916 $ (59 ) Interest rate swaps $ 40,525 15,650 (19,000 ) $ 37,175 (397 ) Payer swaptions $ 2,150 500 (1,450 ) $ 1,200 (3 ) U.S. Treasury securities - short position $ (1,714 ) (9,884 ) 3,537 $ (8,061 ) 134 U.S. Treasury securities - long position $ 25 961 (797 ) $ 189 7 U.S. Treasury futures contracts - short position $ (1,860 ) (7,840 ) 7,890 $ (1,810 ) (5 ) $ (323 ) Fiscal Year 2015: TBA securities, net $ 14,412 119,922 (127,039 ) $ 7,295 $ 305 Interest rate swaps $ 43,700 4,950 (8,125 ) $ 40,525 (932 ) Payer swaptions $ 6,800 1,500 (6,150 ) $ 2,150 (35 ) Receiver Swaptions $ (4,250 ) — 4,250 $ — 4 U.S. Treasury securities - short position $ (5,392 ) (12,503 ) 16,181 $ (1,714 ) (68 ) U.S. Treasury securities - long position $ 2,411 33,525 (35,911 ) $ 25 (38 ) U.S. Treasury futures contracts - short position $ (730 ) (4,480 ) 3,350 $ (1,860 ) (12 ) $ (776 ) ________________________________ 1. Amounts above exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Pledged Assets
Pledged Assets | 12 Months Ended |
Dec. 31, 2017 | |
Pledged Assets [Abstract] | |
Pledged Assets | 30 and ≤ 60 days 12,950 13,061 38 8,103 8,158 23 > 60 and ≤ 90 days 4,000 4,013 11 4,034 4,070 11 > 90 days 15,385 15,512 45 11,278 11,380 32 Total RMBS 52,497 52,899 153 43,096 43,471 122 U.S. Treasury securities: > 1 day ≤ 30 days — — — 173 173 — Total $ 52,497 $ 52,899 $ 153 $ 43,269 $ 43,644 $ 122 ________________________________ 1. Includes $182 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2017 and 2016 , respectively. 2. December 31, 2017 amounts exclude $113 million of repledged U.S. Treasury securities received as collateral from counterparties. The table above excludes Agency securities transferred to our consolidated VIEs. Securities transferred to our consolidated VIEs can only be used to settle the obligations of each respective VIE. However, we may pledge our retained interests in our consolidated VIEs as collateral under our repurchase agreements and derivative contracts. Please refer to Notes 3 and 4 for additional information regarding our consolidated VIEs. Assets Pledged from Counterparties As of December 31, 2017 and 2016 , we had assets pledged to us from counterparties as collateral under our reverse repurchase, repurchase and derivative agreements summarized in the tables below (in millions). December 31, 2017 December 31, 2016 Assets Pledged to AGNC Reverse Repurchase Agreements 1 Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency RMBS - fair value $ — $ — $ — $ — $ — $ — $ 14 $ 14 U.S. Treasury securities - fair value 10,853 — — 10,853 7,636 — — 7,636 Cash — 82 — 82 — 107 — 107 Total $ 10,853 $ 82 $ — $ 10,935 $ 7,636 $ 107 $ 14 $ 7,757 U.S Treasury securities received as collateral under our reverse repurchase agreements that we use to cover short sales of U.S. Treasury securities are accounted for as securities borrowing transactions. We recognize a corresponding obligation to return the borrowed securities at fair value on the accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of December 31, 2017 and 2016 (in millions): Offsetting of Financial and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Received 2 December 31, 2017 Interest rate swap and swaption agreements, at fair value 1 $ 156 $ — $ 156 $ (1 ) $ (82 ) $ 73 TBA securities, at fair value 30 — 30 (22 ) — 8 Receivable under reverse repurchase agreements 10,961 — 10,961 (9,682 ) (1,279 ) — Total $ 11,147 $ — $ 11,147 $ (9,705 ) $ (1,361 ) $ 81 December 31, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 342 $ — $ 342 $ (80 ) $ (49 ) $ 213 TBA securities, at fair value 4 — 4 (4 ) — — Receivable under reverse repurchase agreements 7,716 — 7,716 (6,963 ) (753 ) — Total $ 8,062 $ — $ 8,062 $ (7,047 ) $ (802 ) $ 213 Offsetting of Financial and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Pledged 2 December 31, 2017 Interest rate swap agreements, at fair value 1 $ 1 $ — $ 1 $ (1 ) $ — $ — TBA securities, at fair value 27 — 27 (22 ) (5 ) — Repurchase agreements 50,296 — 50,296 (9,682 ) (40,614 ) — Total $ 50,324 $ — $ 50,324 $ (9,705 ) $ (40,619 ) $ — December 31, 2016 Interest rate swap agreements, at fair value 1 $ 105 $ — $ 105 $ (80 ) $ (25 ) $ — TBA securities, at fair value 151 — 151 (4 ) (147 ) — Repurchase agreements and FHLB advances 40,895 — 40,895 (6,963 ) (33,932 ) — Total $ 41,151 $ — $ 41,151 $ (7,047 ) $ (34,104 ) $ — ________________________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities pledged / received as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable." id="sjs-B4">Pledged Assets Our funding agreements require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract. We are typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value. Our prime brokerage agreements, pursuant to which we receive custody and settlement services, and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits. If we breach our collateral requirements, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral. Our counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value. Our agreements do not specify the haircut; rather haircuts are determined on an individual transaction basis. Consequently, our funding agreements and derivative contracts expose us to credit risk relating to potential losses that could be recognized 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 provided for under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark to market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default. Our International Swaps and Derivatives Association ("ISDA") Master Agreements contain a cross default provision under which a default under the terms of certain of our other indebtedness in excess of certain thresholds causes an event of default under the ISDA Master Agreement. Threshold amounts vary by lender. Following an event of default, we could be required to settle our obligations under the agreements. Additionally, under certain of our ISDA Master Agreements, we could be required to settle our obligations under the agreements if we fail to maintain certain minimum stockholders' equity thresholds or our REIT status or if we fail to comply with limits on our leverage up to certain specified levels. As of December 31, 2017 , the fair value of additional collateral that could be required to be posted as a result of the credit-risk-related contingent features being triggered was not material to our financial statements. As of December 31, 2017 , our amount at risk with any counterparty related to our repurchase agreements was less than 5% of our tangible stockholders' equity and our maximum amount at risk with any counterparty related to our interest rate swap and swaption agreements, excluding centrally cleared swaps, was less than 1% of our stockholders' equity. Assets Pledged to Counterparties The following tables summarize our assets pledged as collateral under our funding, derivative and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2017 and 2016 (in millions): December 31, 2017 Assets Pledged to Counterparties Repurchase Agreements 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 52,497 $ 662 $ 221 $ 519 $ 53,899 U.S. Treasury securities - fair value 3 113 — 72 — 185 Accrued interest on pledged securities 153 2 1 2 158 Restricted cash and cash equivalents 35 — 281 1 317 Total $ 52,798 $ 664 $ 575 $ 522 $ 54,559 December 31, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLB Advances 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 43,005 $ 818 $ 275 $ 865 $ 44,963 Non-Agency RMBS - fair value 90 — — — 90 U.S. Treasury securities - fair value 173 — — — 173 Accrued interest on pledged securities 122 3 1 2 128 Restricted cash and cash equivalents 60 — 14 — 74 Total $ 43,450 $ 821 $ 290 $ 867 $ 45,428 ________________________________ 1. Includes $182 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2017 and 2016 , respectively. 2. Includes margin for TBAs cleared through prime brokers and other clearing deposits. 3. Includes repledged securities received as collateral from counterparties. As of December 31, 2016 , we held $126 million of membership and activity-based stock in the FHLB of Des Moines, which was redeemed in February 2017 with the termination of our captive insurance subsidiary's FHLB membership such that we held no such stock as of December 31, 2017 . FHLB stock is reported at cost, which equals par value, in other assets on our accompanying consolidated balance sheets. The cash and cash equivalents and Agency securities pledged as collateral under our derivative agreements are included in restricted cash and cash equivalents and Agency securities, at fair value, respectively, on our consolidated balance sheets. The following table summarizes our securities pledged as collateral under our repurchase agreements and FHLB advances by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of December 31, 2017 and 2016 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . December 31, 2017 December 31, 2016 Securities Pledged by Remaining Maturity of Repurchase Agreements and FHLB Advances Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities RMBS: 1,2 ≤ 30 days $ 20,162 $ 20,313 $ 59 $ 19,681 $ 19,863 $ 56 > 30 and ≤ 60 days 12,950 13,061 38 8,103 8,158 23 > 60 and ≤ 90 days 4,000 4,013 11 4,034 4,070 11 > 90 days 15,385 15,512 45 11,278 11,380 32 Total RMBS 52,497 52,899 153 43,096 43,471 122 U.S. Treasury securities: > 1 day ≤ 30 days — — — 173 173 — Total $ 52,497 $ 52,899 $ 153 $ 43,269 $ 43,644 $ 122 ________________________________ 1. Includes $182 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2017 and 2016 , respectively. 2. December 31, 2017 amounts exclude $113 million of repledged U.S. Treasury securities received as collateral from counterparties. The table above excludes Agency securities transferred to our consolidated VIEs. Securities transferred to our consolidated VIEs can only be used to settle the obligations of each respective VIE. However, we may pledge our retained interests in our consolidated VIEs as collateral under our repurchase agreements and derivative contracts. Please refer to Notes 3 and 4 for additional information regarding our consolidated VIEs. Assets Pledged from Counterparties As of December 31, 2017 and 2016 , we had assets pledged to us from counterparties as collateral under our reverse repurchase, repurchase and derivative agreements summarized in the tables below (in millions). December 31, 2017 December 31, 2016 Assets Pledged to AGNC Reverse Repurchase Agreements 1 Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency RMBS - fair value $ — $ — $ — $ — $ — $ — $ 14 $ 14 U.S. Treasury securities - fair value 10,853 — — 10,853 7,636 — — 7,636 Cash — 82 — 82 — 107 — 107 Total $ 10,853 $ 82 $ — $ 10,935 $ 7,636 $ 107 $ 14 $ 7,757 U.S Treasury securities received as collateral under our reverse repurchase agreements that we use to cover short sales of U.S. Treasury securities are accounted for as securities borrowing transactions. We recognize a corresponding obligation to return the borrowed securities at fair value on the accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of December 31, 2017 and 2016 (in millions): Offsetting of Financial and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Received 2 December 31, 2017 Interest rate swap and swaption agreements, at fair value 1 $ 156 $ — $ 156 $ (1 ) $ (82 ) $ 73 TBA securities, at fair value 30 — 30 (22 ) — 8 Receivable under reverse repurchase agreements 10,961 — 10,961 (9,682 ) (1,279 ) — Total $ 11,147 $ — $ 11,147 $ (9,705 ) $ (1,361 ) $ 81 December 31, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 342 $ — $ 342 $ (80 ) $ (49 ) $ 213 TBA securities, at fair value 4 — 4 (4 ) — — Receivable under reverse repurchase agreements 7,716 — 7,716 (6,963 ) (753 ) — Total $ 8,062 $ — $ 8,062 $ (7,047 ) $ (802 ) $ 213 Offsetting of Financial and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Pledged 2 December 31, 2017 Interest rate swap agreements, at fair value 1 $ 1 $ — $ 1 $ (1 ) $ — $ — TBA securities, at fair value 27 — 27 (22 ) (5 ) — Repurchase agreements 50,296 — 50,296 (9,682 ) (40,614 ) — Total $ 50,324 $ — $ 50,324 $ (9,705 ) $ (40,619 ) $ — December 31, 2016 Interest rate swap agreements, at fair value 1 $ 105 $ — $ 105 $ (80 ) $ (25 ) $ — TBA securities, at fair value 151 — 151 (4 ) (147 ) — Repurchase agreements and FHLB advances 40,895 — 40,895 (6,963 ) (33,932 ) — Total $ 41,151 $ — $ 41,151 $ (7,047 ) $ (34,104 ) $ — ________________________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities pledged / received as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. |
Fair Value Measurements
Fair Value Measurements | 12 Months Ended |
Dec. 31, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements We determine the fair value of our investment securities and debt of consolidated VIEs based upon fair value estimates obtained from multiple third-party pricing services and dealers. In determining fair value, third-party pricing sources use various valuation approaches, including market and income approaches. Factors used by third-party sources in estimating the fair value of an instrument may include observable inputs such as coupons, primary and secondary mortgage rates, pricing information, credit data, volatility statistics, and other market data that are current as of the measurement date. The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. Third-party pricing sources may also use certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and foreclosures, especially when estimating fair values for securities with lower levels of recent trading activity. We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices. For information regarding valuation of our derivative instruments, please refer to the discussion of derivative and other hedging instruments in Note 2 . We review third-party fair value estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities, and for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from third-party pricing sources, we will exclude third-party prices for securities from our estimation of fair value if we determine (based on our validation procedures and our market knowledge and expertise) that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price. The validation procedures described above also influence our determination of the appropriate fair value measurement classification. We utilize a three-level valuation hierarchy for disclosure of fair value measurement. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. A financial instrument's categorization within the hierarchy is based upon the lowest level of input that is significant to the fair value measurement. There were no transfers between valuation hierarchy levels during fiscal years 2017 and 2016 . The three levels of valuation hierarchy are defined as follows: • Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date. • Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated. The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2017 and 2016 (in millions): December 31, 2017 December 31, 2016 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 55,506 $ — $ — $ 45,393 $ — Agency securities transferred to consolidated VIEs — 662 — — 818 — Credit risk transfer securities — 876 — — 164 — Non-Agency securities — 36 — — 124 — U.S. Treasury securities — — — 182 — — REIT equity securities 29 — — — — — Interest rate swaps — 81 — — 321 — Swaptions — 75 — — 22 — TBA securities — 30 — — 4 — U.S. Treasury futures 19 — — 8 — — Total $ 48 $ 57,266 $ — $ 190 $ 46,846 $ — Liabilities: Debt of consolidated VIEs $ — $ 357 $ — $ — $ 460 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 10,467 — — 7,636 — — Interest rate swaps — 1 — — 105 — TBA securities — 27 — — 151 — Total $ 10,467 $ 385 $ — $ 7,636 $ 716 $ — We elected the option to account for debt of consolidated VIEs at fair value with changes in fair value reflected in earnings during the period in which they occur, because we believe this election more appropriately reflects our financial position as both the consolidated Agency securities and consolidated debt are presented in a consistent manner, at fair value, on our consolidated balance sheets. We estimate the fair value of the consolidated debt based on the difference between (i) the fair value of the RMBS transferred to consolidated VIEs and (ii) the fair value of our retained interests, each of which is based on valuations obtained from third-party pricing services and non-binding dealer quotes derived from common market pricing methods using "Level 2" inputs, which are more observable than using inputs to estimate the fair value of the consolidated debt on a stand-alone basis. Excluded from the table above are financial instruments, including cash and cash equivalents, restricted cash and cash equivalents, receivables, payables and borrowings under repurchase agreements and FHLB advances, which are presented in our consolidated financial statements at cost. The cost basis of these instruments is determined to approximate fair value due to their short duration or, in the case of longer-term repo, due to floating rates of interest based on an index plus or minus a fixed spread which is consistent with fixed spreads demanded in the market. We estimate the fair value of these instruments using "Level 1" or "Level 2" inputs. |
Net Income (Loss) Per Common Sh
Net Income (Loss) Per Common Share (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Net Income (Loss) Per Common Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | Fiscal Year 2017 2016 2015 Weighted average number of common shares outstanding - basic 358.6 331.9 348.6 Unvested restricted stock units and performance share units 0.1 — — Weighted average number of common shares outstanding - diluted 358.7 331.9 348.6 Net income available to common stockholders $ 733 $ 595 $ 187 Net income per common share - basic and diluted $ 2.04 $ 1.79 $ 0.54 |
Earnings Per Share [Text Block] | Net Income Per Common Share Basic net income per common share includes no dilution and is computed by dividing net income applicable to common stock by the weighted-average number of common shares outstanding for the respective period. Diluted earnings per common share includes the impact of dilutive potential common shares outstanding during the period using the treasury stock method. Dilutive potential common shares outstanding include unvested restricted stock units and performance share units granted under our long-term incentive program to employees and non-employee Board of Directors. The following table presents the computations of basic and diluted net income per common share for the periods indicated (shares and dollars in millions): Fiscal Year 2017 2016 2015 Weighted average number of common shares outstanding - basic 358.6 331.9 348.6 Unvested restricted stock units and performance share units 0.1 — — Weighted average number of common shares outstanding - diluted 358.7 331.9 348.6 Net income available to common stockholders $ 733 $ 595 $ 187 Net income per common share - basic and diluted $ 2.04 $ 1.79 $ 0.54 |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2017 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders' Equity Preferred Stock Pursuant to our amended and restated certificate of incorporation, we are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. As of December 31, 2016, 6.9 million shares were designated as 8.000% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") and 8,050 shares were designated as 7.750% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"). The Series B Preferred Stock is represented by Series B depositary shares of 1/1000 interest in a share of Series B Preferred Stock. As of December 31, 2016, we had 6.9 million shares of Series A Preferred Stock and 7,000 shares of Series B Preferred Stock (representing 7.0 million depositary shares) outstanding. During fiscal year 2017, we designated 13,800 shares as 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock"), represented by Series C depositary shares of 1/1000 interest in each share of Series C Preferred Stock. In August 2017, we issued 13,000 shares of Series C Preferred Stock in a public offering of 13.0 million Series C depositary shares at a price of $25 per depositary share for net proceeds of $315 million , after deducting underwriting discounts and estimated offering expenses. In September 2017, we redeemed all of our issued and outstanding shares of Series A Preferred Stock for $173 million (or $25 per share liquidation preference), plus accrued and unpaid dividends, and, in October of 2017, we filed a Certificate of Elimination of our Series A Preferred Stock with the Secretary of State of the State of Delaware, which eliminated the designation of Series A Preferred Stock from our amended and restated certificate of incorporation. As of December 31, 2017 , we had 7,000 shares of Series B Preferred Stock (represented by 7.0 million Series B depositary shares) and 13,000 shares of Series C Preferred Stock (represented by 13.0 million Series C depositary shares) outstanding and 9,980,000 of authorized but unissued shares of preferred stock. Prior to the September 2017 redemption, holders of Series A Preferred Stock were entitled to receive cumulative cash dividends at a rate of 8.000% per annum of their $25.00 per share liquidation preference. Holders of depository shares underlying our Series B Preferred Stock are entitled to receive cumulative cash dividends at a rate of 7.750% per annum of their $25.00 per depositary share liquidation preference. Holders of depositary shares underlying our Series C Preferred Stock are entitled to receive cumulative cash dividends at a rate of 7.00% per annum up to, and including, October 14, 2022 and thereafter at a floating rate equal to three-month LIBOR plus a spread of 5.111% per annum of their $25.00 per depositary share liquidation preference. Dividends are payable quarterly in arrears on the 15th day of each January, April, July and October. As of December 31, 2017 , we had declared all required quarterly dividends on our preferred stock. Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Our preferred stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and ranks on parity with each other. Under certain circumstances upon a change of control, our preferred stock is convertible to shares of our common stock. Holders of our preferred stock and depository shares underlying our preferred stock have no voting rights, except under limited conditions. Beginning on May 8, 2019 and October 15, 2022, depository shares underlying our Series B and Series C Preferred Stock, respectively, will be redeemable at $25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared) exclusively at our option. We may redeem shares of our preferred stock prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for Federal income tax purposes. Common Stock Offerings In May 2017, we completed a public offering in which 24.5 million shares of our common stock were sold to the underwriters for proceeds of $503 million , or $20.51 per common share, net of offering costs. In September 2017, we completed a public offering in which 28.2 million shares of our common stock were sold to the underwriters for proceeds of $577 million , or $20.47 per common share, net of estimated offering costs. At-the-Market Offering Program In February 2017, we entered into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to an aggregate amount of $750 million of shares of our common stock. During fiscal year 2017, we sold 7.6 million shares of our common stock under the sales agreements for proceeds of $159 million , or $20.96 per common share, net of estimated offering costs. As of December 31, 2017 , $589 million of shares of our common stock remain available for issuance under this program. Common Stock Repurchase Program In October 2016, our Board of Directors terminated our existing stock repurchase program and replaced it with a new stock repurchase authorization. Under the new stock repurchase program we were authorized to repurchase up to $1 billion of our outstanding shares of common stock through December 31, 2017. During fiscal years 2016 and 2015, we repurchased 6.5 million and 15.3 million shares, respectively, of our common stock at an average repurchase price of $17.89 and $18.58 per share, respectively, including expenses, totaling $116 million and $285 million , respectively. We did not repurchase shares of our common stock during fiscal year 2017. Distributions to Stockholders The following table summarizes cash dividends declared for fiscal years 2017 , 2016 and 2015 (in millions, except per share amounts): Dividends Declared Dividends Declared Per Share 8.000 % Series A Cumulative Redeemable Preferred Stock Fiscal year 2017 $ 9 $ 1.333000 Fiscal year 2016 $ 14 $ 2.000000 Fiscal year 2015 $ 14 $ 2.000000 7.750% Series B Cumulative Redeemable Preferred Stock (Per Depositary Share) Fiscal year 2017 $ 14 $ 1.937500 Fiscal year 2016 $ 14 $ 1.937500 Fiscal year 2015 $ 14 $ 1.937500 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (Per Depositary Share) Fiscal year 2017 $ 9 $ 0.695140 Common Stock Fiscal year 2017 $ 777 $ 2.160000 Fiscal year 2016 $ 763 $ 2.300000 Fiscal year 2015 $ 863 $ 2.480000 Accumulated Other Comprehensive Income (Loss) The following table summarizes changes to accumulated OCI for fiscal years 2017 , 2016 and 2015 (in millions): Accumulated Other Comprehensive Income (Loss) Net Unrealized Gain (Loss) on Available-for-Sale MBS Net Unrealized Gain (Loss) on Swaps Total Accumulated OCI Balance Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 OCI before reclassifications (620 ) — (620 ) Amounts reclassified from accumulated OCI 23 101 124 Balance as of December 31, 2015 $ (27 ) $ (39 ) $ (66 ) OCI before reclassifications (261 ) — (261 ) Amounts reclassified from accumulated OCI (109 ) 39 (70 ) Balance as of December 31, 2016 $ (397 ) $ — $ (397 ) OCI before reclassifications (31 ) — (31 ) Amounts reclassified from accumulated OCI 83 — 83 Balance as of December 31, 2017 $ (345 ) $ — $ (345 ) The following table summarizes reclassifications out of accumulated OCI for fiscal years 2017 , 2016 and 2015 (in millions): Fiscal Year Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2017 2016 2015 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 83 $ (109 ) $ 23 Realized gain (loss) on sale of investment securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net — 39 101 Interest expense Total reclassifications $ 83 $ (70 ) $ 124 |
Equity Incentive Plan (Notes)
Equity Incentive Plan (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Director Plan [Abstract] | |
Schedule of Share-based Compensation, Restricted Stock Units Award Activity [Table Text Block] | The following table summarizes time-based RSU transactions under our 2016 Equity Plan for fiscal years 2017 and 2016 . 2016 Equity Incentive Plan Time-Based RSUs Weighted Average Grant Date Fair Value 1 Weighted Average Vest Date Fair Value Unvested balance as of December 31, 2015 — $ — $ — Granted 101,407 $ 17.89 $ — Accrued RSU dividend equivalents 968 $ — $ — Unvested balance as of December 31, 2016 102,375 $ 17.72 $ — Granted 238,203 $ 19.52 $ — Accrued RSU dividend equivalents 32,498 $ — $ — Vested (37,602 ) $ 16.08 $ 20.42 Forfeitures (246 ) $ 18.29 $ — Unvested balance as of December 31, 2017 335,228 $ 17.46 $ — ________________________________ 1. Accrued RSU dividend equivalents have a weighted average grant date fair value of $0. |
Share-based Compensation, Performance Shares Award Outstanding Activity [Table Text Block] | The following table summarizes performance-based RSU awards under our 2016 Equity Plan for fiscal year 2017. No performance-based awards were issued during fiscal year 2016. 2016 Equity Incentive Plan Performance-Based RSUs at Target Performance Level Weighted Average Grant Date Fair Value 1 Unvested balance as of December 31, 2016 — $ — Granted 250,609 $ 19.39 Accrued RSU dividend equivalents 22,767 $ — Vested — $ — Unvested balance as of December 31, 2017 273,376 $ 17.78 _______________________ 1. Accrued RSU dividend equivalents have a weighted average grant date fair value of $0. |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity [Table Text Block] | The following table summarizes restricted stock and RSU transactions under the Director Plan for fiscal years 2017 , 2016 and 2015: Director Plan Shares of Restricted Stock Time-Based RSUs Weighted Average Grant Date Fair Value 1 Weighted Average Vest Date Fair Value Unvested balance as of December 31, 2014 2 14,000 18,239 $ 25.11 $ — Granted — 28,880 $ 21.64 $ — Accrued RSU dividend equivalents — 3,319 $ — $ — Vested (9,000 ) (19,007 ) $ 23.17 $ 21.03 Unvested balance as of December 31, 2015 5,000 31,431 $ 21.44 $ — Granted — 33,015 $ 18.93 $ — Accrued RSU dividend equivalents — 3,527 $ — $ — Vested (5,000 ) (46,538 ) $ 20.00 $ 18.99 Unvested balance as of December 31, 2016 — 21,435 $ 17.49 $ — Accrued RSU dividend equivalents — 1,032 $ — $ — Vested — (22,467 ) $ 16.69 $ 20.15 Unvested balance as of December 31, 2017 — — $ — $ — ________________________________ 1. Accrued RSU dividend equivalents have a weighted average grant date fair value of $0. 2. Consist of restricted stock awards granted to independent directors prior to fiscal year 2015, which had a grant date fair value equal to the closing price of our common stock on the grant date and vested annually over three years. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2017 | |
Narrative [Abstract] | |
Income Tax Disclosure [Text Block] | Income Taxes We elected to be taxed as a REIT under the provisions of the Internal Revenue Code and the corresponding provisions of state law, commencing with our initial tax year ended December 31, 2008. To continue to qualify as a REIT, we must annually distribute, in a timely manner to our stockholders, at least 90% of our taxable ordinary income, amongst other conditions. A REIT is generally not subject to U.S. Federal and state corporate income tax on its earnings to the extent that it distributes all its annual taxable income to its stockholders and so long as certain asset, income and stock ownership tests are met. We operate in a manner to allow us to be taxed as a REIT. During December of 2017, the Tax Cuts and Jobs Act ("TCJA") was signed into law. The TCJA includes sweeping changes to the U.S. tax system starting in fiscal year 2018, including a reduction of the maximum Federal corporate tax rate to 21% from 35% and a lower effective pass-through business income tax rate through the creation of a new deduction for individuals, estates, and trusts of 20 percent of their combined qualified business income amount and REIT ordinary dividend distributions received. Since we typically distribute all our annual taxable income and, as such, do not pay corporate income taxes, we do not expect the TCJA to have a significant impact now or in the future on our consolidated financial statements. We evaluate uncertain income tax positions, if any, in accordance with ASC Topic 740, Income Taxes ("ASC 740"). Income Taxes As of December 31, 2017, we have distributed all of our estimated taxable income for fiscal year 2017. Accordingly, we do not expect to incur an income tax liability on our 2017 taxable income. For fiscal years 2016 and 2015, we distributed all of our taxable income within the time limits prescribed by the Internal Revenue Code. Accordingly, we did not incur an income tax liability on our taxable income for such periods. Based on our analysis of any potential uncertain income tax positions, we concluded that we do not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2017, 2016 and 2015. Our tax returns for tax years 2014 and forward are open to examination by the IRS. If we incur income tax related interest and penalties, our policy is to classify them as a component of provision for income taxes. |
Management Agreement and Relate
Management Agreement and Related Party Transactions (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Narrative [Abstract] | |
Related Party Transactions Disclosure [Text Block] | Management Agreement and Related Party Transactions Prior to our acquisition of AMM on July 1, 2016, we were externally managed. We paid our Manager a management fee payable monthly in arrears in an amount equal to one-twelfth of 1.25% of our month-end stockholders' equity, adjusted to exclude the effect of any unrealized gains or losses included in either retained earnings or accumulated OCI, each as computed in accordance with GAAP. For fiscal years 2016 and 2015, we incurred management fees of $52 million and $116 million , respectively. Following our management internalization, we no longer incur management fees, but we incur expenses associated with an internally managed organization, including compensation expense previously borne by our Manager. Pursuant to our management agreement, we were also obligated to reimburse our Manager for its expenses incurred directly related to our operations. For fiscal years 2016 and 2015, we recorded expense reimbursements to our Manager of $3 million and $8 million , respectively. During fiscal year 2017 and 2016, following our acquisition of AMM, we earned management fees of $13 million and $8 million from our management of MTGE. |
Quarterly Results Quarterly Res
Quarterly Results Quarterly Results (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Results | Quarterly Results (Unaudited) The following is a presentation of the quarterly results of operations and comprehensive income for fiscal years 2017 and 2016 (in millions, except per share data). Quarter Ended March 31, 2017 June 30, 2017 September 30, 2017 December 31, 2017 Interest income: Interest income $ 296 $ 293 $ 318 $ 386 Interest expense 98 112 140 174 Net interest income 198 181 178 212 Other gain (loss): Gain (loss) on sale of investment securities, net (84 ) 15 22 (16 ) Unrealized gain (loss) on investment securities measured at fair value through net income, net 16 9 (31 ) (65 ) Gain (loss) on derivative instruments and other securities, net (40 ) (169 ) 131 271 Management fee income 3 4 3 3 Total other gain (loss), net (105 ) (141 ) 125 193 Expenses: Compensation and benefits 10 10 10 12 Other operating expenses 7 6 7 8 Total expenses 17 16 17 20 Net income 76 24 286 385 Dividend on preferred stock 7 7 9 9 Issuance costs of redeemed preferred stock — — 6 — Net income available to common shareholders $ 69 $ 17 $ 271 $ 376 Net income $ 76 $ 24 $ 286 $ 385 Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net 46 121 90 (205 ) Comprehensive Income 122 145 376 180 Dividend on preferred stock 7 7 9 9 Issuance costs of redeemed preferred stock — — 6 — Comprehensive income available to common shareholders $ 115 $ 138 $ 361 $ 171 Weighted average number of common shares outstanding - basic 331.0 346.4 364.7 391.3 Weighted average number of common shares outstanding - diluted 331.1 346.5 364.9 391.5 Net income per common share - basic and diluted $ 0.21 $ 0.05 $ 0.74 $ 0.96 Comprehensive income per common share - basic and diluted $ 0.35 $ 0.40 $ 0.99 $ 0.44 Dividends declared per common share $ 0.54 $ 0.54 $ 0.54 $ 0.54 Quarter Ended March 31, 2016 June 30, 2016 September 30, 2016 December 31, 2016 Interest income: Interest income $ 295 $ 318 $ 315 $ 393 Interest expense 99 101 96 98 Net interest income 196 217 219 295 Other gain (loss): Gain (loss) on sale of investment securities, net (2 ) 55 61 (5 ) Unrealized gain (loss) on investment securities measured at fair value through net income, net 11 — (6 ) (11 ) Gain (loss) on derivative instruments and other securities, net (944 ) (367 ) 248 753 Management fee income — — 4 4 Total other gain (loss), net (935 ) (312 ) 307 741 Expenses: Management fee expense 27 25 — — Compensation and benefits — — 9 10 Other operating expenses 6 15 6 7 Total expenses 33 40 15 17 Net income (loss) (772 ) (135 ) 511 1,019 Dividend on preferred stock 7 7 7 7 Net income (loss) available (attributable) to common shareholders $ (779 ) $ (142 ) $ 504 $ 1,012 Net income (loss) $ (772 ) $ (135 ) $ 511 $ 1,019 Other comprehensive income (loss): Unrealized gain (loss) on available-for-sale securities, net 765 370 (97 ) (1,408 ) Unrealized gain on derivative instruments, net 19 12 7 1 Other comprehensive income (loss) 784 382 (90 ) (1,407 ) Comprehensive income (loss) 12 247 421 (388 ) Dividend on preferred stock 7 7 7 7 Comprehensive income (loss) available (attributable) to common shareholders $ 5 $ 240 $ 414 $ (395 ) Weighted average number of common shares outstanding - basic and diluted 334.4 331.0 331.0 331.0 Net income (loss) per common share - basic and diluted $ (2.33 ) $ (0.43 ) $ 1.52 $ 3.06 Comprehensive income (loss) per common share - basic and diluted $ 0.01 $ 0.73 $ 1.25 $ (1.19 ) Dividends declared per common share $ 0.60 $ 0.60 $ 0.56 $ 0.54 |
Subsequent Event
Subsequent Event | 12 Months Ended |
Dec. 31, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Event | Subsequent Events On January 11, 2018 and February 13, 2018 , our Board of Directors declared a monthly dividend of $0.18 per common share, payable on February 8, 2018 and March 8, 2018 , respectively, to common stockholders of record as of January 31, 2018 and February 28, 2018, respectively. |
Summary of Significant Accoun22
Summary of Significant Accounting Policies (Policy) | 12 Months Ended |
Dec. 31, 2017 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | Basis of Presentation and Consolidation Our consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). Our consolidated financial statements include the accounts of all subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. |
Goodwill and Intangible Assets, Policy [Policy Text Block] | Goodwill and Other Intangible Assets, Net Goodwill is the cost of an acquisition in excess of the fair value of identified assets acquired and liabilities assumed and is recognized as an asset on our consolidated balance sheets. Acquired intangible assets that do not meet the criteria for recognition as a separate asset are included in goodwill. Goodwill is not subject to amortization but must be tested for impairment at least annually. Intangible assets meeting the criteria for recognition as separate assets are recorded at their respective fair market values at the date of acquisition. Intangible assets with an estimated useful life are amortized over their expected useful life. As of December 31, 2017 and 2016, we had $526 million of goodwill and $25 million and $28 million , respectively, of other intangible assets, net of accumulated amortization, reported in goodwill and other intangible assets, net in our accompanying consolidated balance sheets related to our acquisition of AMM on July 1, 2016. Other intangible assets have a remaining weighted average amortization period of 8.5 years as of December 31, 2017. A large majority our goodwill is associated with our pre-existing management agreement with AMM that did not qualify for separate recognition. We test goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative analysis requires that we compare the carrying value of the identified reporting unit comprising the goodwill to its fair value. If the carrying value of the reporting unit is greater than its fair value, an impairment charge is recognized to the extent the carrying amount of the reporting unit exceeds its fair value. We did not recognize a goodwill impairment charge during fiscal years 2017 or 2016. |
Reverse Repurchase Agreements Policy [Policy Text Block] | Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Our reverse repurchase agreements typically have maturities of 30 days or less. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are generally reset daily. |
New Accounting Pronouncements, Policy [Policy Text Block] | Recent Accounting Pronouncements We consider the applicability and impact of all Accounting Standards Updates ("ASUs") issued by the Financial Accounting Standards Board. ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. ASU 2014-09, Revenue from Contracts with Customers (Topic 606): ASU 2014-09 is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP. The standard’s core principle is that an entity will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. Revenue recognition with respect to financial instruments is not within the scope of ASU 2014-09 and our review of each of our revenue streams indicates that it will not have a significant impact on our consolidated financial statements. ASU 2014-09 is effective on January 1, 2018. ASU 2016-13, Financial Instruments - Credit Losses (Topic 326): ASU 2016-13 changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on available-for-sale debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. ASU 2016-13 is not expected to have a significant impact on our consolidated financial statements. ASU 2016-18, Statement of Cash Flows (Topic 230) - Restricted Cash: ASU 2016-18 requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. ASU 2016-18 will be effective on January 1, 2018 and is not expected to have a significant impact on our consolidated financial statements. |
Variable Interest Entity Disclosure [Text Block] | Variable Interest Entities ASC Topic 810, Consolidation ("ASC 810"), requires an enterprise to consolidate a variable interest entity ("VIE") if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE and ongoing assessments of whether an enterprise is the primary beneficiary of a VIE as well as additional disclosures for entities that have variable interests in VIEs. We have entered into transactions involving CMO trusts, which are VIEs. We will consolidate a CMO trust if we are the CMO trust's primary beneficiary; that is, if we have a variable interest that provides us with a controlling financial interest in the CMO trust. An entity is deemed to have a controlling financial interest if the entity has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses of or right to receive benefits from the VIE that could potentially be significant to the VIE. As part of the qualitative assessment in determining if we have a controlling financial interest, we evaluate whether we control the selection of financial assets transferred to the CMO trust. For each of our consolidated CMO trusts we controlled the selection of the Agency RMBS transferred from our investment portfolio to an investment bank in exchange for cash proceeds and at the same time entered into a commitment with the investment bank to purchase to-be-issued securities collateralized by the Agency RMBS transferred, which resulted in our consolidation of the CMO trusts. Agency RMBS transferred to consolidated VIEs are reported on our consolidated balance sheets in Agency securities transferred to consolidated VIEs, at fair value and can only be used to settle the obligations of each respective VIE. We elected the option to account for the consolidated debt at fair value, with changes in fair value reflected in earnings during the period in which they occur, because we believe this election more appropriately reflects our financial position as both the consolidated assets and consolidated debt are presented in a consistent manner on our consolidated balance sheets. We estimate the fair value of the consolidated debt based on the fair value of the Agency RMBS transferred to consolidated VIEs, less the fair value of our retained interests, which are measured on a market approach using "Level 2" inputs from third-party pricing services and dealer quotes. The fair value of the Agency RMBS transferred to the consolidated VIEs and the fair value of our retained interests are based on more observable inputs than inputs used to independently determine the value of our consolidated debt. |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the period reported. Actual results could differ from those estimates. |
Earnings Per Share, Policy [Policy Text Block] | Earnings per Share Basic earnings per share ("EPS") is computed by dividing net income (loss) available (attributable) to common stockholders by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise or issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per share. |
Comprehensive Income, Policy [Policy Text Block] | Accumulated Other Comprehensive Income (Loss) Accounting Standards Codification ("ASC") Topic 220, Comprehensive Income , divides comprehensive income into net income and other comprehensive income (loss) ("OCI"), which includes unrealized gains and losses on securities classified as available-for-sale and unrealized gains and losses on derivative financial instruments that are designated and qualify for cash flow hedge accounting under ASC Topic 815, Derivatives and Hedging ("ASC 815"). During fiscal year 2011, we discontinued designating our derivative financial instruments, principally interest rate swaps, as cash flow hedges. For further information regarding our discontinuation of cash flow hedge accounting, see Derivatives Instruments below and Note 5. |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents Cash and cash equivalents consist of unrestricted demand deposits and highly liquid investments with original maturities of three months or less. Cash and cash equivalents are carried at cost, which approximates fair value. |
Cash and Cash Equivalents, Restricted Cash and Cash Equivalents, Policy [Policy Text Block] | Restricted Cash and Cash Equivalents Restricted cash and cash equivalents includes cash and cash equivalents pledged as collateral for clearing and executing trades, repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. Restricted cash and cash equivalents are carried at cost, which approximates fair value. |
Investment Securities | Investment Securities The Agency RMBS in which we invest consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS. Mortgage-related securities may also include investments in the common stock of other publicly traded mortgage REITs, including MTGE, that primarily invest in Agency securities, non-Agency securities, other mortgage related instruments and/or real estate on a leveraged basis. As of December 31, 2017 , our investments in REIT equity securities consisted solely of MTGE common stock. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for such securities pursuant to ASC Topic 825, Financial Instruments . All of our securities are reported at fair value as they have either been designated as available-for-sale or trading or we have elected the fair value option of accounting. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated OCI. Unrealized gains and losses on securities classified as trading or for which we elected the fair value option are reported in net income through other gain (loss) during the period in which they occur. Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities acquired after fiscal year 2016. In our view, this election simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a particular reporting period, as the fair value changes for these assets are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. We are not permitted to change the designation of securities acquired prior to January 1, 2017; accordingly, such securities will continue to be classified as available-for-sale securities until we receive full repayment of principal or we dispose of the security. We estimate the fair value of our investment securities based on a market approach using "Level 2" inputs from third-party pricing services and non-binding dealer quotes derived from common market pricing methods. Such methods incorporate, but are not limited to, reported trades and executable bid and asked prices for similar securities, benchmark interest rate curves, such as the spread to the U.S. Treasury rate and interest rate swap curves, convexity, duration and the underlying characteristics of the security, including coupon, periodic and life caps, rate reset period, issuer, additional credit support and expected life of the security. Refer to Note 7 for further discussion of fair value measurements. We evaluate our investments designated as available-for-sale for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired may involve judgments and assumptions based on subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if any one of the following three conditions exists as of the financial reporting date: (i) we intend to sell the security (that is, a decision has been made to sell the security), (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover the security's amortized cost basis, even if we do not intend to sell the security and it is not more likely than not that we will be required to sell the security. A general allowance for unidentified impairments in a portfolio of securities is not permitted. If either of the first two conditions exists as of the financial reporting date, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. If the third condition exists, the OTTI is separated into (i) the amount relating to credit loss (the "credit component") and (ii) the amount relating to all other factors (the "non-credit components"). Only the credit component is recognized in earnings, with the non-credit components recognized in OCI. We did not recognize OTTI charges on our investment securities for fiscal years 2017, 2016 or 2015. |
Interest Income | Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the third-party estimates and, based on our judgment, we may adjust the estimates. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) actual prepayments to date and our current estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments, based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any. |
Repurchase and Resale Agreements Policy [Policy Text Block] | Repurchase Agreements We finance the acquisition of securities for our investment portfolio primarily through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing ("ASC 860"), we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates on our repurchase agreements generally correspond to one or three-month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market. |
Derivative Instruments | Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market ("TBA") to invest in and finance Agency securities as well as to periodically reduce our exposure to Agency RMBS. We account for derivative instruments in accordance with ASC 815. ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. The use of derivative instruments creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. Our derivative agreements require that we post or receive collateral to mitigate such risk. We also attempt to minimize our risk of loss by limiting our counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on one or three-month LIBOR ("payer swaps") with terms up to 20 years. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market. Swap agreements entered into after May 2013 are centrally cleared through a registered commodities exchange. We value centrally cleared interest rate swaps using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including LIBOR, swap rates and the forward yield curve. Our centrally cleared swaps require that we post an "initial margin" amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange "variation margin" based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, which took effect January 3, 2017, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, beginning 2017, we account for the receipt or payment of variation margin as a direct reduction to the carrying value of the interest rate swap asset or liability. Variation margin pledged / (received) was previously reported in restricted cash and cash equivalents / (other liabilities) in our consolidated balance sheet. We value non-centrally cleared swaps using a combination of third-party valuations obtained from pricing services and the swap counterparty. The third-party valuations are model-driven using observable inputs, including LIBOR, swap rates and the forward yield curve. We also consider both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps. In considering the effect of nonperformance risk, we assess the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements. Prior to fiscal year 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, during fiscal year 2011, we elected to discontinue hedge accounting for our interest rate swaps. Upon discontinuation of hedge accounting, the net deferred loss related to our de-designated interest rate swaps remained in accumulated OCI and was reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap through December 2016. Interest rate swaptions We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our swaption agreements typically provide us the option to enter into a pay-fixed rate interest rate swap ("payer swaptions"). We may also enter into swaption agreements that provide us the option to enter into a receive-fixed interest rate swap ("receiver swaptions"). Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. We estimate the fair value of interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option, adjusted for non-performance risk, if any. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the TBA contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities. U.S. Treasury securities We purchase and sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Contingencies Disclosure [Text Block] | Loss Contingencies We evaluate the existence of any pending or threatened litigation or other potential claims against the Company in accordance with ASC Topic 450, Contingencies, which requires that we assess the likelihood and range of potential outcomes of any such matters. We are the defendant in three stockholder derivative lawsuits alleging that certain of our current and former directors and officers breached fiduciary duties and wasted corporate assets relating to past renewals of the management agreement with our former external Manager and the internalization of our management, which occurred on July 1, 2016. Although the outcomes of these cases cannot be predicted with certainty, we do not believe that these cases have merit or will result in a material liability, and, as of December 31, 2017 , we did not accrue a loss contingency related to these matters. |
Income Tax Disclosure [Text Block] | Income Taxes We elected to be taxed as a REIT under the provisions of the Internal Revenue Code and the corresponding provisions of state law, commencing with our initial tax year ended December 31, 2008. To continue to qualify as a REIT, we must annually distribute, in a timely manner to our stockholders, at least 90% of our taxable ordinary income, amongst other conditions. A REIT is generally not subject to U.S. Federal and state corporate income tax on its earnings to the extent that it distributes all its annual taxable income to its stockholders and so long as certain asset, income and stock ownership tests are met. We operate in a manner to allow us to be taxed as a REIT. During December of 2017, the Tax Cuts and Jobs Act ("TCJA") was signed into law. The TCJA includes sweeping changes to the U.S. tax system starting in fiscal year 2018, including a reduction of the maximum Federal corporate tax rate to 21% from 35% and a lower effective pass-through business income tax rate through the creation of a new deduction for individuals, estates, and trusts of 20 percent of their combined qualified business income amount and REIT ordinary dividend distributions received. Since we typically distribute all our annual taxable income and, as such, do not pay corporate income taxes, we do not expect the TCJA to have a significant impact now or in the future on our consolidated financial statements. We evaluate uncertain income tax positions, if any, in accordance with ASC Topic 740, Income Taxes ("ASC 740"). Income Taxes As of December 31, 2017, we have distributed all of our estimated taxable income for fiscal year 2017. Accordingly, we do not expect to incur an income tax liability on our 2017 taxable income. For fiscal years 2016 and 2015, we distributed all of our taxable income within the time limits prescribed by the Internal Revenue Code. Accordingly, we did not incur an income tax liability on our taxable income for such periods. Based on our analysis of any potential uncertain income tax positions, we concluded that we do not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2017, 2016 and 2015. Our tax returns for tax years 2014 and forward are open to examination by the IRS. If we incur income tax related interest and penalties, our policy is to classify them as a component of provision for income taxes. |
Summary of Significant Accoun23
Summary of Significant Accounting Policies Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2017 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Share-based Compensation, Option and Incentive Plans Policy [Policy Text Block] | Long-Term Incentive Compensation Stock-Based Compensation We measure and recognize compensation expense for all stock-based payment awards made to employees and independent directors based on their fair values. Stock-based awards issued under our equity incentive plan include time-based and performance-based restricted stock unit ("RSU") awards. An RSU award is an agreement to issue an equivalent number of shares of our common stock, plus any equivalent shares for dividends declared on our common stock, at the time the award vests, or later if distribution of such shares has been deferred beyond the vesting date. Time-based RSU awards vest over a specified service period. Performance-based RSU awards vest over a specified service period subject to achieving long-term performance criteria. We value RSU awards based on the fair value of our common stock on the date of grant. Compensation expense is recognized over each award’s respective service period. In the case of performance awards, we estimate the probability that the performance criteria will be achieved, and recognize expense only for those awards expected to vest. We reevaluate our estimates each reporting period and recognize a cumulative effect adjustment to expense if our estimates change from the prior period. We do not estimate forfeiture rates; rather, we adjust for forfeitures in the periods in which they occur. Shares underlying RSUs are issued on the vesting dates, or later if distribution of such shares has been deferred beyond the vesting date, net of any minimum statutory tax withholdings to be paid by us on behalf of our employees. As a result, the actual number of shares issued will be fewer than the actual number of RSUs outstanding. When RSUs vest, we record a liability for withholding amounts to be paid by us as a reduction to additional paid-in capital. Other Long-Term Incentive Compensation Other long-term incentive compensation granted to employees consists of dollar denominated awards granted under our AGNC Mortgage Management, LLC Performance Incentive Plan-MTGE ("MTGE Incentive Plan"), which vest over a specified service period. The awards are cash funded by us and used to purchase shares of MTGE common stock on the open market, or we may alternatively contribute an equivalent number of shares of MTGE common stock from our investment holdings based on the closing price of a share of MTGE common stock on the grant date. The shares acquired or contributed by us are held in a trust during the requisite service period or longer, if distribution of such shares has been deferred beyond the vesting date. Awards granted under the MTGE Incentive Plan are intended to help facilitate the alignment of compensation for our personnel who are involved in the management of MTGE with MTGE’s actual performance. We initially value MTGE Incentive Plan awards based on the dollar denominated value of the awards and subsequently remeasure the value of outstanding awards as of each reporting date based on the fair value of MTGE common stock held in the trust, including accrued dividend reinvestments. Compensation expense is recognized over each award’s requisite service period, with the impact of changes in the fair value of MTGE common stock and dividend reinvestments recognized as a cumulative adjustment to compensation expense, and we record a liability on our accompanying consolidated balance sheets for our obligation to deliver shares of MTGE common stock on the vesting date, or subsequent distribution date if deferred beyond the vesting date. We report the fair value of MTGE common stock held in the trust in other assets on our accompanying consolidated balance sheets. |
Derivatives, Policy [Policy Text Block] | Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market ("TBA") to invest in and finance Agency securities as well as to periodically reduce our exposure to Agency RMBS. We account for derivative instruments in accordance with ASC 815. ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. The use of derivative instruments creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. Our derivative agreements require that we post or receive collateral to mitigate such risk. We also attempt to minimize our risk of loss by limiting our counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on one or three-month LIBOR ("payer swaps") with terms up to 20 years. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market. Swap agreements entered into after May 2013 are centrally cleared through a registered commodities exchange. We value centrally cleared interest rate swaps using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including LIBOR, swap rates and the forward yield curve. Our centrally cleared swaps require that we post an "initial margin" amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange "variation margin" based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, which took effect January 3, 2017, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, beginning 2017, we account for the receipt or payment of variation margin as a direct reduction to the carrying value of the interest rate swap asset or liability. Variation margin pledged / (received) was previously reported in restricted cash and cash equivalents / (other liabilities) in our consolidated balance sheet. We value non-centrally cleared swaps using a combination of third-party valuations obtained from pricing services and the swap counterparty. The third-party valuations are model-driven using observable inputs, including LIBOR, swap rates and the forward yield curve. We also consider both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps. In considering the effect of nonperformance risk, we assess the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements. Prior to fiscal year 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, during fiscal year 2011, we elected to discontinue hedge accounting for our interest rate swaps. Upon discontinuation of hedge accounting, the net deferred loss related to our de-designated interest rate swaps remained in accumulated OCI and was reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap through December 2016. Interest rate swaptions We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our swaption agreements typically provide us the option to enter into a pay-fixed rate interest rate swap ("payer swaptions"). We may also enter into swaption agreements that provide us the option to enter into a receive-fixed interest rate swap ("receiver swaptions"). Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. We estimate the fair value of interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option, adjusted for non-performance risk, if any. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the TBA contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities. U.S. Treasury securities We purchase and sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Investment, Policy [Policy Text Block] | Investment Securities The Agency RMBS in which we invest consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS. Mortgage-related securities may also include investments in the common stock of other publicly traded mortgage REITs, including MTGE, that primarily invest in Agency securities, non-Agency securities, other mortgage related instruments and/or real estate on a leveraged basis. As of December 31, 2017 , our investments in REIT equity securities consisted solely of MTGE common stock. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for such securities pursuant to ASC Topic 825, Financial Instruments . All of our securities are reported at fair value as they have either been designated as available-for-sale or trading or we have elected the fair value option of accounting. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated OCI. Unrealized gains and losses on securities classified as trading or for which we elected the fair value option are reported in net income through other gain (loss) during the period in which they occur. Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities acquired after fiscal year 2016. In our view, this election simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a particular reporting period, as the fair value changes for these assets are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. We are not permitted to change the designation of securities acquired prior to January 1, 2017; accordingly, such securities will continue to be classified as available-for-sale securities until we receive full repayment of principal or we dispose of the security. We estimate the fair value of our investment securities based on a market approach using "Level 2" inputs from third-party pricing services and non-binding dealer quotes derived from common market pricing methods. Such methods incorporate, but are not limited to, reported trades and executable bid and asked prices for similar securities, benchmark interest rate curves, such as the spread to the U.S. Treasury rate and interest rate swap curves, convexity, duration and the underlying characteristics of the security, including coupon, periodic and life caps, rate reset period, issuer, additional credit support and expected life of the security. Refer to Note 7 for further discussion of fair value measurements. We evaluate our investments designated as available-for-sale for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired may involve judgments and assumptions based on subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if any one of the following three conditions exists as of the financial reporting date: (i) we intend to sell the security (that is, a decision has been made to sell the security), (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover the security's amortized cost basis, even if we do not intend to sell the security and it is not more likely than not that we will be required to sell the security. A general allowance for unidentified impairments in a portfolio of securities is not permitted. If either of the first two conditions exists as of the financial reporting date, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. If the third condition exists, the OTTI is separated into (i) the amount relating to credit loss (the "credit component") and (ii) the amount relating to all other factors (the "non-credit components"). Only the credit component is recognized in earnings, with the non-credit components recognized in OCI. We did not recognize OTTI charges on our investment securities for fiscal years 2017, 2016 or 2015. |
Interest Income [Policy Text Block] | Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the third-party estimates and, based on our judgment, we may adjust the estimates. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) actual prepayments to date and our current estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments, based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any. |
Investment Securities (Tables)
Investment Securities (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Securities by Credit Rating [Table Text Block] | As of December 31, 2017 and 2016 , our investments in CRT and non-Agency securities had the following credit ratings: December 31, 2017 December 31, 2016 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS CMBS CRT RMBS CMBS AAA $ — $ 7 $ — $ — $ 99 $ — BBB 20 — 29 — — 23 BB 136 — — — — — B 691 — — 164 2 — Not Rated 29 — — — — — Total $ 876 $ 7 $ 29 $ 164 $ 101 $ 23 ________________________________ 1. Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date. |
Available-for-sale Securities [Table Text Block] | December 31, 2016 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 34,244 $ 10,008 $ 44 $ 101 $ — $ — $ 44,397 Unamortized discount (43 ) (3 ) — — — — (46 ) Unamortized premium 1,518 544 — 1 — — 2,063 Amortized cost 35,719 10,549 44 102 — — 46,414 Gross unrealized gains 176 48 1 — — — 225 Gross unrealized losses (442 ) (179 ) — (1 ) — — (622 ) Total available-for-sale securities, at fair value 35,453 10,418 45 101 — — 46,017 Securities remeasured at fair value through earnings: Par value 171 — — — 24 157 352 Unamortized discount (35 ) — — — (1 ) — (36 ) Unamortized premium 118 14 — — — 4 136 Amortized cost 254 14 — — 23 161 452 Gross unrealized gains 28 3 — — — 3 34 Gross unrealized losses (3 ) (1 ) — — — — (4 ) Total securities remeasured at fair value through earnings 279 16 — — 23 164 482 Total securities, at fair value $ 35,732 $ 10,434 $ 45 $ 101 $ 23 $ 164 $ 46,499 Weighted average coupon as of December 31, 2016 3.59 % 3.67 % 2.75 % 3.42 % 6.55 % 5.25 % 3.61 % Weighted average yield as of December 31, 2016 1 2.77 % 2.72 % 2.00 % 3.27 % 7.54 % 6.28 % 2.77 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2016 . December 31, 2017 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 24,200 $ 8,219 $ 34 $ 7 $ — $ — $ 32,460 Unamortized discount (25 ) (3 ) — — — — (28 ) Unamortized premium 1,119 447 — — — — 1,566 Amortized cost 25,294 8,663 34 7 — — 33,998 Gross unrealized gains 98 22 1 — — — 121 Gross unrealized losses (325 ) (141 ) — — — — (466 ) Total available-for-sale securities, at fair value 25,067 8,544 35 7 — — 33,653 Securities remeasured at fair value through earnings: Par value 13,558 7,956 — — 29 801 22,344 Unamortized discount (34 ) — — — (1 ) — (35 ) Unamortized premium 711 415 — — — 33 1,159 Amortized cost 14,235 8,371 — — 28 834 23,468 Gross unrealized gains 26 2 — — 1 42 71 Gross unrealized losses (70 ) (42 ) — — — — (112 ) Total securities remeasured at fair value through earnings 14,191 8,331 — — 29 876 23,427 Total securities, at fair value $ 39,258 $ 16,875 $ 35 $ 7 $ 29 $ 876 $ 57,080 Weighted average coupon as of December 31, 2017 3.67 % 3.73 % 2.84 % 2.50 % 6.55 % 5.26 % 3.71 % Weighted average yield as of December 31, 2017 1 2.84 % 2.87 % 2.02 % 3.08 % 7.30 % 5.19 % 2.89 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2017 . |
Components of Investment Securities | The following tables summarize our investment securities as of December 31, 2017 and 2016 , excluding TBA securities, (dollars in millions). Details of our TBA securities as of each of the respective dates are included in Note 5 . December 31, 2017 December 31, 2016 Investment Securities Amortized Cost Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 55,477 $ 55,026 $ 45,145 $ 44,736 Adjustable rate 278 283 371 379 CMO 629 631 796 801 Interest-only and principal-only strips 213 228 268 295 Total Agency RMBS 56,597 56,168 46,580 46,211 Non-Agency RMBS 7 7 102 101 CMBS 28 29 23 23 CRT securities 834 876 161 164 Total investment securities $ 57,466 $ 57,080 $ 46,866 $ 46,499 December 31, 2017 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 24,200 $ 8,219 $ 34 $ 7 $ — $ — $ 32,460 Unamortized discount (25 ) (3 ) — — — — (28 ) Unamortized premium 1,119 447 — — — — 1,566 Amortized cost 25,294 8,663 34 7 — — 33,998 Gross unrealized gains 98 22 1 — — — 121 Gross unrealized losses (325 ) (141 ) — — — — (466 ) Total available-for-sale securities, at fair value 25,067 8,544 35 7 — — 33,653 Securities remeasured at fair value through earnings: Par value 13,558 7,956 — — 29 801 22,344 Unamortized discount (34 ) — — — (1 ) — (35 ) Unamortized premium 711 415 — — — 33 1,159 Amortized cost 14,235 8,371 — — 28 834 23,468 Gross unrealized gains 26 2 — — 1 42 71 Gross unrealized losses (70 ) (42 ) — — — — (112 ) Total securities remeasured at fair value through earnings 14,191 8,331 — — 29 876 23,427 Total securities, at fair value $ 39,258 $ 16,875 $ 35 $ 7 $ 29 $ 876 $ 57,080 Weighted average coupon as of December 31, 2017 3.67 % 3.73 % 2.84 % 2.50 % 6.55 % 5.26 % 3.71 % Weighted average yield as of December 31, 2017 1 2.84 % 2.87 % 2.02 % 3.08 % 7.30 % 5.19 % 2.89 % |
Summary Of Agency Securities Estimated Weighted Average Life Classifications | The following table summarizes our investments as of December 31, 2017 and 2016 according to their estimated weighted average life classification (dollars in millions): December 31, 2017 December 31, 2016 Estimated Weighted Average Life of Investment Securities Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield ≥ 1 year and ≤ 3 years $ 2,712 $ 2,693 3.90% 2.67% $ 419 $ 416 4.33% 2.27% > 3 years and ≤ 5 years 7,499 7,518 3.31% 2.39% 13,601 13,509 3.38% 2.44% > 5 years and ≤10 years 45,977 46,398 3.75% 2.95% 30,513 30,979 3.74% 2.89% > 10 years 892 857 4.87% 4.74% 1,966 1,962 3.17% 3.27% Total $ 57,080 $ 57,466 3.71% 2.89% $ 46,499 $ 46,866 3.61% 2.77% |
Summary of Continuous Unrealized Loss Position of Available for Sale Securities | The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2017 and 2016 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss December 31, 2017 $ 3,582 $ (15 ) $ 20,577 $ (451 ) $ 24,159 $ (466 ) December 31, 2016 $ 28,397 $ (554 ) $ 1,719 $ (68 ) $ 30,116 $ (622 ) |
Summary of Net Gain from Sale of Agency Securities | The following table is a summary of our net gain (loss) from the sale of investment securities for fiscal years 2017 and 2016 by investment classification of accounting (in millions). Fiscal Year 2017 Fiscal Year 2016 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ (6,324 ) $ (12,913 ) $ (19,237 ) $ (17,907 ) $ — $ (17,907 ) Proceeds from investment securities sold 1 6,241 12,933 19,174 18,016 — 18,016 Net gain (loss) on sale of investment securities $ (83 ) $ 20 $ (63 ) $ 109 $ — $ 109 Gross gain on sale of investment securities $ 16 $ 48 $ 64 $ 123 $ — $ 123 Gross loss on sale of investment securities (99 ) (28 ) (127 ) (14 ) — (14 ) Net gain (loss) on sale of investment securities $ (83 ) $ 20 $ (63 ) $ 109 $ — $ 109 ________________________________ 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. |
Repurchase Agreements and Oth25
Repurchase Agreements and Other Debt (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Borrowings under Repurchase Agreements and Weighted Average Interest Rates | The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of December 31, 2017 and 2016 (dollars in millions): December 31, 2017 December 31, 2016 Remaining Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Agency repo: ≤ 1 month $ 19,771 1.59 % 11 $ 17,481 0.90 % 11 > 1 to ≤ 3 months 16,150 1.50 % 50 10,011 0.93 % 55 > 3 to ≤ 6 months 7,287 1.50 % 130 2,030 1.02 % 136 > 6 to ≤ 9 months 2,361 1.66 % 225 1,270 0.98 % 214 > 9 to ≤ 12 months 202 1.64 % 297 1,566 1.08 % 299 > 12 to ≤ 24 months 1,700 1.84 % 468 1,203 1.28 % 538 > 24 to ≤ 36 months 2,200 1.80 % 803 1,300 1.36 % 865 > 36 to ≤ 48 months 625 1.90 % 1,141 2,200 1.32 % 1,168 > 48 to < 60 months — — — 625 1.38 % 1,506 Total Agency repo 50,296 1.57 % 116 37,686 0.98 % 187 U.S. Treasury repo: > 1 day to ≤ 1 month — — — 172 (0.30 )% 17 Total $ 50,296 1.57 % 116 $ 37,858 0.98 % 186 |
Schedule of Federal Home Loan Bank Advances and Weighted Average Interest Rates [Table Text Block] | As of December 31, 2016 , we had $3.0 billion of outstanding secured Federal Home Loan Bank ("FHLB") advances, with a weighted average borrowing rate of 0.73% . Our FHLB advances matured in February 2017, coinciding with the termination of our wholly-owned captive insurance subsidiary's FHLB membership in February 2017 pursuant to the Federal Housing Finance Agency's ("FHFA") final rule on FHLB membership released in January 2016. As a result, we had no outstanding secured FHLB advances as of December 31, 2017 . |
Derivative and Other Hedging 26
Derivative and Other Hedging Instruments (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Derivative [Line Items] | |
Schedule of Outstanding Derivatives Not Designated as Hedging Instruments | The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of December 31, 2017 and 2016 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location 2017 2016 Interest rate swaps Derivative assets, at fair value $ 81 $ 321 Swaptions Derivative assets, at fair value 75 22 TBA securities Derivative assets, at fair value 30 4 U.S. Treasury futures - short Derivative assets, at fair value 19 8 Total derivative assets, at fair value $ 205 $ 355 Interest rate swaps Derivative liabilities, at fair value $ (1 ) $ (105 ) TBA securities Derivative liabilities, at fair value (27 ) (151 ) Total derivative liabilities, at fair value $ (28 ) $ (256 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ — $ 182 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (10,467 ) (7,636 ) Total U.S. Treasury securities, net at fair value $ (10,467 ) $ (7,454 ) |
Schedule of Interest Rate Swaption Agreements Outstanding | Swaptions Option Underlying Payer Swap Current Option Expiration Date Cost Basis Fair Value Average Months to Current Option Expiration Date 1 Notional Amount Average Fixed Pay Rate Average Receive Rate (LIBOR) Average Term (Years) December 31, 2017 ≤ 1 year $ 118 $ 46 7 $ 5,100 2.71% 3M 8.8 > 1 year ≤ 2 years 23 16 18 1,050 2.71% 3M 8.7 > 2 year ≤ 3 years 18 13 30 500 2.78% 3M 10.0 Total $ 159 $ 75 10 $ 6,650 2.72% 3M 8.9 December 31, 2016 Total ≤ 1 year $ 52 $ 22 6 $ 1,200 3.06% 3M 8.3 ________________________________ 1. As of December 31, 2017 and 2016 , ≤ 1 year notional amount includes $700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date. U.S. Treasury Securities December 31, 2017 December 31, 2016 Maturity Face Amount Net Long / (Short) Cost Basis Fair Value Face Amount Net Long / (Short) Cost Basis Fair Value 5 years $ (288 ) $ (286 ) $ (283 ) $ (400 ) $ (404 ) $ (392 ) 7 years (6,131 ) (6,106 ) (6,029 ) (3,056 ) (3,041 ) (2,930 ) 10 years (4,280 ) (4,230 ) (4,155 ) (4,416 ) (4,236 ) (4,132 ) Total U.S. Treasury securities, net $ (10,699 ) $ (10,622 ) $ (10,467 ) $ (7,872 ) $ (7,681 ) $ (7,454 ) |
US government securities | U.S. Treasury Securities December 31, 2017 December 31, 2016 Maturity Face Amount Net Long / (Short) Cost Basis Fair Value Face Amount Net Long / (Short) Cost Basis Fair Value 5 years $ (288 ) $ (286 ) $ (283 ) $ (400 ) $ (404 ) $ (392 ) 7 years (6,131 ) (6,106 ) (6,029 ) (3,056 ) (3,041 ) (2,930 ) 10 years (4,280 ) (4,230 ) (4,155 ) (4,416 ) (4,236 ) (4,132 ) Total U.S. Treasury securities, net $ (10,699 ) $ (10,622 ) $ (10,467 ) $ (7,872 ) $ (7,681 ) $ (7,454 ) |
US Government Futures Securities [Table Text Block] | U.S. Treasury Futures December 31, 2017 December 31, 2016 Maturity Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 5 years $ (730 ) $ (852 ) $ (848 ) $ 4 $ (730 ) $ (862 ) $ (859 ) $ 3 10 years (2,180 ) (2,718 ) (2,703 ) 15 (1,080 ) (1,347 ) (1,342 ) 5 Total U.S. Treasury futures $ (2,910 ) $ (3,570 ) $ (3,551 ) $ 19 $ (1,810 ) $ (2,209 ) $ (2,201 ) $ 8 ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. |
Summary of Long and Short Position of Derivative Instruments | December 31, 2017 December 31, 2016 TBA Securities by Coupon Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount - Long (Short) Cost Basis Fair Value Net Carrying Value 1 15-Year TBA securities: 2.5% $ 1,373 $ 1,372 $ 1,370 $ (2 ) $ 1,853 $ 1,870 $ 1,856 $ (14 ) 3.0% 3,161 3,225 3,217 (8 ) 292 302 300 (2 ) 3.5% 414 428 428 — 15 16 16 — Total 15-Year TBA securities 4,948 5,025 5,015 (10 ) 2,160 2,188 2,172 (16 ) 30-Year TBA securities: 3.0% 4,317 4,303 4,312 9 3,027 3,114 3,007 (107 ) 3.5% 3,932 4,027 4,034 7 1,209 1,251 1,236 (15 ) 4.0% 2,338 2,449 2,446 (3 ) 4,530 4,769 4,760 (9 ) 4.5% (61 ) (65 ) (65 ) — (10 ) (10 ) (10 ) — Total 30-Year TBA securities, net 10,526 10,714 10,727 13 8,756 9,124 8,993 (131 ) Total TBA securities, net $ 15,474 $ 15,739 $ 15,742 $ 3 $ 10,916 $ 11,312 $ 11,165 $ (147 ) ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. |
Schedule Of Outstanding Not Designated As Hedging Instruments | The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for fiscal years 2017 , 2016 and 2015 (in millions): Derivative and Other Hedging Instruments Beginning Notional Amount Additions Settlement, Termination, Expiration or Exercise Ending Notional Amount Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Fiscal Year 2017: TBA securities, net $ 10,916 237,601 (233,043 ) $ 15,474 $ 330 Interest rate swaps $ 37,175 14,825 (8,300 ) $ 43,700 67 Payer swaptions $ 1,200 6,450 (1,000 ) $ 6,650 (66 ) U.S. Treasury securities - short position $ (8,061 ) (14,030 ) 11,392 $ (10,699 ) (141 ) U.S. Treasury securities - long position $ 189 404 (593 ) $ — 1 U.S. Treasury futures contracts - short position $ (1,810 ) (11,340 ) 10,240 $ (2,910 ) — $ 191 Fiscal Year 2016: TBA securities, net $ 7,295 116,439 (112,818 ) $ 10,916 $ (59 ) Interest rate swaps $ 40,525 15,650 (19,000 ) $ 37,175 (397 ) Payer swaptions $ 2,150 500 (1,450 ) $ 1,200 (3 ) U.S. Treasury securities - short position $ (1,714 ) (9,884 ) 3,537 $ (8,061 ) 134 U.S. Treasury securities - long position $ 25 961 (797 ) $ 189 7 U.S. Treasury futures contracts - short position $ (1,860 ) (7,840 ) 7,890 $ (1,810 ) (5 ) $ (323 ) Fiscal Year 2015: TBA securities, net $ 14,412 119,922 (127,039 ) $ 7,295 $ 305 Interest rate swaps $ 43,700 4,950 (8,125 ) $ 40,525 (932 ) Payer swaptions $ 6,800 1,500 (6,150 ) $ 2,150 (35 ) Receiver Swaptions $ (4,250 ) — 4,250 $ — 4 U.S. Treasury securities - short position $ (5,392 ) (12,503 ) 16,181 $ (1,714 ) (68 ) U.S. Treasury securities - long position $ 2,411 33,525 (35,911 ) $ 25 (38 ) U.S. Treasury futures contracts - short position $ (730 ) (4,480 ) 3,350 $ (1,860 ) (12 ) $ (776 ) ________________________________ 1. Amounts above exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Not Designated as Hedging Instrument [Member] | |
Derivative [Line Items] | |
Schedule Of Interest Rate Swap Agreement By Remaining Maturity | The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of December 31, 2017 and 2016 (dollars in millions): December 31, 2017 December 31, 2016 Interest Rate Swaps Notional 1 Average Rate 2 Average Average Notional 1 Average Rate 2 Average Average ≤ 3 years $ 21,025 1.40% 1.46% 1.5 $ 19,775 1.16% 0.92% 1.5 > 3 to ≤ 5 years 6,825 1.82% 1.43% 4.1 7,450 1.62% 0.91% 4.0 > 5 to ≤ 7 years 5,775 2.02% 1.44% 5.9 4,725 1.89% 0.91% 5.9 > 7 to ≤ 10 years 6,650 2.10% 1.42% 9.1 3,325 1.90% 0.91% 9.2 > 10 years 3,425 2.49% 1.45% 12.9 1,900 2.64% 0.91% 13.8 Total $ 43,700 1.74% 1.44% 4.5 $ 37,175 1.48% 0.92% 3.9 |
Pledged Assets (Tables)
Pledged Assets (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Pledged Assets [Abstract] | |
Schedule of Securities and Cash Pledged as Collateral from Counterparties [Table Text Block] | As of December 31, 2017 and 2016 , we had assets pledged to us from counterparties as collateral under our reverse repurchase, repurchase and derivative agreements summarized in the tables below (in millions). December 31, 2017 December 31, 2016 Assets Pledged to AGNC Reverse Repurchase Agreements 1 Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency RMBS - fair value $ — $ — $ — $ — $ — $ — $ 14 $ 14 U.S. Treasury securities - fair value 10,853 — — 10,853 7,636 — — 7,636 Cash — 82 — 82 — 107 — 107 Total $ 10,853 $ 82 $ — $ 10,935 $ 7,636 $ 107 $ 14 $ 7,757 |
Schedule of Financial Instruments Owned and Pledged as Collateral | The following tables summarize our assets pledged as collateral under our funding, derivative and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2017 and 2016 (in millions): December 31, 2017 Assets Pledged to Counterparties Repurchase Agreements 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 52,497 $ 662 $ 221 $ 519 $ 53,899 U.S. Treasury securities - fair value 3 113 — 72 — 185 Accrued interest on pledged securities 153 2 1 2 158 Restricted cash and cash equivalents 35 — 281 1 317 Total $ 52,798 $ 664 $ 575 $ 522 $ 54,559 December 31, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLB Advances 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 43,005 $ 818 $ 275 $ 865 $ 44,963 Non-Agency RMBS - fair value 90 — — — 90 U.S. Treasury securities - fair value 173 — — — 173 Accrued interest on pledged securities 122 3 1 2 128 Restricted cash and cash equivalents 60 — 14 — 74 Total $ 43,450 $ 821 $ 290 $ 867 $ 45,428 ________________________________ 1. Includes $182 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2017 and 2016 , respectively. 2. Includes margin for TBAs cleared through prime brokers and other clearing deposits. 3. Includes repledged securities received as collateral from counterparties. |
Schedules Of Securities Pledged As Collateral Under Repurchase Agreement | The following table summarizes our securities pledged as collateral under our repurchase agreements and FHLB advances by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of December 31, 2017 and 2016 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . December 31, 2017 December 31, 2016 Securities Pledged by Remaining Maturity of Repurchase Agreements and FHLB Advances Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities RMBS: 1,2 ≤ 30 days $ 20,162 $ 20,313 $ 59 $ 19,681 $ 19,863 $ 56 > 30 and ≤ 60 days 12,950 13,061 38 8,103 8,158 23 > 60 and ≤ 90 days 4,000 4,013 11 4,034 4,070 11 > 90 days 15,385 15,512 45 11,278 11,380 32 Total RMBS 52,497 52,899 153 43,096 43,471 122 U.S. Treasury securities: > 1 day ≤ 30 days — — — 173 173 — Total $ 52,497 $ 52,899 $ 153 $ 43,269 $ 43,644 $ 122 ________________________________ 1. Includes $182 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2017 and 2016 , respectively. 2. December 31, 2017 amounts exclude $113 million |
Offsetting Assets and Liabilities | The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of December 31, 2017 and 2016 (in millions): Offsetting of Financial and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Received 2 December 31, 2017 Interest rate swap and swaption agreements, at fair value 1 $ 156 $ — $ 156 $ (1 ) $ (82 ) $ 73 TBA securities, at fair value 30 — 30 (22 ) — 8 Receivable under reverse repurchase agreements 10,961 — 10,961 (9,682 ) (1,279 ) — Total $ 11,147 $ — $ 11,147 $ (9,705 ) $ (1,361 ) $ 81 December 31, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 342 $ — $ 342 $ (80 ) $ (49 ) $ 213 TBA securities, at fair value 4 — 4 (4 ) — — Receivable under reverse repurchase agreements 7,716 — 7,716 (6,963 ) (753 ) — Total $ 8,062 $ — $ 8,062 $ (7,047 ) $ (802 ) $ 213 |
Offsetting Liabilities | Offsetting of Financial and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Pledged 2 December 31, 2017 Interest rate swap agreements, at fair value 1 $ 1 $ — $ 1 $ (1 ) $ — $ — TBA securities, at fair value 27 — 27 (22 ) (5 ) — Repurchase agreements 50,296 — 50,296 (9,682 ) (40,614 ) — Total $ 50,324 $ — $ 50,324 $ (9,705 ) $ (40,619 ) $ — December 31, 2016 Interest rate swap agreements, at fair value 1 $ 105 $ — $ 105 $ (80 ) $ (25 ) $ — TBA securities, at fair value 151 — 151 (4 ) (147 ) — Repurchase agreements and FHLB advances 40,895 — 40,895 (6,963 ) (33,932 ) — Total $ 41,151 $ — $ 41,151 $ (7,047 ) $ (34,104 ) $ — ________________________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities pledged / received as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2017 and 2016 (in millions): December 31, 2017 December 31, 2016 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 55,506 $ — $ — $ 45,393 $ — Agency securities transferred to consolidated VIEs — 662 — — 818 — Credit risk transfer securities — 876 — — 164 — Non-Agency securities — 36 — — 124 — U.S. Treasury securities — — — 182 — — REIT equity securities 29 — — — — — Interest rate swaps — 81 — — 321 — Swaptions — 75 — — 22 — TBA securities — 30 — — 4 — U.S. Treasury futures 19 — — 8 — — Total $ 48 $ 57,266 $ — $ 190 $ 46,846 $ — Liabilities: Debt of consolidated VIEs $ — $ 357 $ — $ — $ 460 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 10,467 — — 7,636 — — Interest rate swaps — 1 — — 105 — TBA securities — 27 — — 151 — Total $ 10,467 $ 385 $ — $ 7,636 $ 716 $ — |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes changes to accumulated OCI for fiscal years 2017 , 2016 and 2015 (in millions): Accumulated Other Comprehensive Income (Loss) Net Unrealized Gain (Loss) on Available-for-Sale MBS Net Unrealized Gain (Loss) on Swaps Total Accumulated OCI Balance Balance as of December 31, 2014 $ 570 $ (140 ) $ 430 OCI before reclassifications (620 ) — (620 ) Amounts reclassified from accumulated OCI 23 101 124 Balance as of December 31, 2015 $ (27 ) $ (39 ) $ (66 ) OCI before reclassifications (261 ) — (261 ) Amounts reclassified from accumulated OCI (109 ) 39 (70 ) Balance as of December 31, 2016 $ (397 ) $ — $ (397 ) OCI before reclassifications (31 ) — (31 ) Amounts reclassified from accumulated OCI 83 — 83 Balance as of December 31, 2017 $ (345 ) $ — $ (345 ) The following table summarizes reclassifications out of accumulated OCI for fiscal years 2017 , 2016 and 2015 (in millions): Fiscal Year Line Item in the Consolidated Statements of Comprehensive Income Where Net Income is Presented Amounts Reclassified from Accumulated OCI 2017 2016 2015 (Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS upon realization $ 83 $ (109 ) $ 23 Realized gain (loss) on sale of investment securities, net Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net — 39 101 Interest expense Total reclassifications $ 83 $ (70 ) $ 124 |
Organization (Details)
Organization (Details) | 12 Months Ended |
Dec. 31, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Required distribution of taxable net income on a annual basis | 90.00% |
Intended annual distribution of taxable net income | 100.00% |
Summary of Significant Accoun31
Summary of Significant Accounting Policies (Details) | 12 Months Ended |
Dec. 31, 2017 | |
Derivative [Line Items] | |
Document Period End Date | Dec. 31, 2017 |
Required Annual Distribution of Taxable Net Income | 90.00% |
Summary of Significant Accoun32
Summary of Significant Accounting Policies Goodwill and Intangible Assets (Details) - USD ($) $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Finite-Lived Intangible Assets [Line Items] | ||
Goodwill | $ 526 | |
Intangible Assets, Net (Excluding Goodwill) | $ 25 | $ 28 |
Investment Securities (Narrativ
Investment Securities (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Document Period End Date | Dec. 31, 2017 | |
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 57,080 | $ 46,499 |
Weighted average expected constant prepayment rate | 8.00% | 8.00% |
Agency securities, total fair value | $ 700 | |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | (662) | $ (818) |
Debt, at fair value | (357) | (460) |
Principal amount | 349 | 452 |
Fair value of CMO securities and interest-only and principal-only strips | 900 | 1,100 |
Securitized CMO Securities | 1,200 | 1,500 |
CMO and Interest Only, Principal Only Securities, Maximum Loss Exposure | 124 | 182 |
Agency Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Unamortized premium balance | 2,700 | 2,100 |
TBA securities Fifteen Year and Thirty Year Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Net long TBA position, at fair value | 15,700 | 11,200 |
TBA, net carrying value | $ 3 | $ (147) |
Credit Risk Transfer Securities [Member] | Minimum [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Weighted Average Coupon Rate | 3.90% | 4.60% |
Underlying Collateral Coupon | 3.60% | 4.00% |
Credit Risk Transfer Securities [Member] | Maximum [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Weighted Average Coupon Rate | 8.50% | 7.10% |
Underlying Collateral Coupon | 4.40% | 4.20% |
Investment Securities (Summary
Investment Securities (Summary of Investment in Agency Security) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Document Period End Date | Dec. 31, 2017 | |
Amortized cost | $ 57,466 | $ 46,866 |
Mortgage Backed Securities Amortized Cost | 57,466 | 46,866 |
Fair value | 57,080 | 46,499 |
Total agency MBS, amortized cost | 56,597 | 46,580 |
Total agency MBS, at fair value | 56,168 | 46,211 |
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 57,080 | 46,499 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Amortized cost | 7 | 102 |
Fair value | 7 | 101 |
Commercial Mortgage Backed Securities [Member] | ||
Amortized cost | 28 | 23 |
Fair value | 29 | 23 |
Credit Risk Transfer Securities [Member] | ||
Interest-only and principal-only strips, amortized cost | 834 | 161 |
Interest-only and principal-only strips, fair value | 876 | 164 |
Fixed Income Securities [Member] | Agency Securities [Member] | ||
Amortized cost | 55,477 | 45,145 |
Fair value | 55,026 | 44,736 |
Adjustable-Rate [Member] | Agency Securities [Member] | ||
Amortized cost | 278 | 371 |
Fair value | 283 | 379 |
Collateralized Mortgage Obligations [Member] | Agency Securities [Member] | ||
Amortized cost | 629 | 796 |
Fair value | 631 | 801 |
Interest Only And Principal Only Strip [Member] | Agency Securities [Member] | ||
Interest-only and principal-only strips, amortized cost | 213 | 268 |
Interest-only and principal-only strips, fair value | $ 228 | $ 295 |
Investment Securities (Componen
Investment Securities (Components Of Investment Securities) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Schedule of Investments [Line Items] | ||
Document Period End Date | Dec. 31, 2017 | |
Agency securities transferred to consolidated VIEs | $ 662 | $ 818 |
Amortized cost | 57,466 | 46,866 |
Total agency MBS, at fair value | 56,168 | 46,211 |
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 57,080 | $ 46,499 |
Weighted average coupon | 3.71% | 3.61% |
Weighted average yield | 2.89% | 2.77% |
Future Prepayment Rate Assumption Of Investment Portfolio | 8.00% | 8.00% |
Mortgage Backed Securities Amortized Cost | $ 57,466 | $ 46,866 |
Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | 32,460 | 44,397 |
Unamortized discount | (28) | (46) |
Unamortized premium | 1,566 | 2,063 |
Amortized cost | 33,998 | 46,414 |
Gross unrealized gains | 121 | 225 |
Gross unrealized losses | (466) | (622) |
Total available-for-sale securities, at fair value | 33,653 | 46,017 |
Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 23,468 | 452 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 71 | 34 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | (112) | (4) |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 23,427 | 482 |
Securities remeasured at fair value through earnings, Par Value | 22,344 | 352 |
Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (35) | (36) |
Unamortized premium | 1,159 | 136 |
Fannie Mae [Member] | ||
Schedule of Investments [Line Items] | ||
Total agency MBS, at fair value | $ 39,258 | $ 35,732 |
Weighted average coupon | 3.67% | 3.59% |
Weighted average yield | 2.84% | 2.77% |
Fannie Mae [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 24,200 | $ 34,244 |
Unamortized discount | (25) | (43) |
Unamortized premium | 1,119 | 1,518 |
Amortized cost | 25,294 | 35,719 |
Gross unrealized gains | 98 | 176 |
Gross unrealized losses | (325) | (442) |
Total available-for-sale securities, at fair value | 25,067 | 35,453 |
Fannie Mae [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 14,235 | 254 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 26 | 28 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | (70) | (3) |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 14,191 | 279 |
Securities remeasured at fair value through earnings, Par Value | 13,558 | 171 |
Fannie Mae [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (34) | (35) |
Unamortized premium | 711 | 118 |
Freddie Mac [Member] | ||
Schedule of Investments [Line Items] | ||
Total agency MBS, at fair value | $ 16,875 | $ 10,434 |
Weighted average coupon | 3.73% | 3.67% |
Weighted average yield | 2.87% | 2.72% |
Freddie Mac [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 8,219 | $ 10,008 |
Unamortized discount | (3) | (3) |
Unamortized premium | 447 | 544 |
Amortized cost | 8,663 | 10,549 |
Gross unrealized gains | 22 | 48 |
Gross unrealized losses | (141) | (179) |
Total available-for-sale securities, at fair value | 8,544 | 10,418 |
Freddie Mac [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 8,371 | 14 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 2 | 3 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | (42) | (1) |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 8,331 | 16 |
Securities remeasured at fair value through earnings, Par Value | 7,956 | 0 |
Freddie Mac [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | 0 | 0 |
Unamortized premium | 415 | 14 |
Ginnie Mae [Member] | ||
Schedule of Investments [Line Items] | ||
Total agency MBS, at fair value | $ 35 | $ 45 |
Weighted average coupon | 2.84% | 2.75% |
Weighted average yield | 2.02% | 2.00% |
Ginnie Mae [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 34 | $ 44 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Amortized cost | 34 | 44 |
Gross unrealized gains | 1 | 1 |
Gross unrealized losses | 0 | 0 |
Total available-for-sale securities, at fair value | 35 | 45 |
Ginnie Mae [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 0 | 0 |
Securities remeasured at fair value through earnings, Par Value | 0 | 0 |
Ginnie Mae [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Investments [Line Items] | ||
Amortized cost | 7 | 102 |
Total Securities | $ 7 | $ 101 |
Weighted average coupon | 2.50% | 3.42% |
Weighted average yield | 3.08% | 3.27% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 7 | $ 101 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 1 |
Amortized cost | 7 | 102 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | 0 | (1) |
Total available-for-sale securities, at fair value | 7 | 101 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 0 | 0 |
Securities remeasured at fair value through earnings, Par Value | 0 | 0 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Commercial Mortgage Backed Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Amortized cost | 28 | 23 |
Total Securities | $ 29 | $ 23 |
Weighted average coupon | 6.55% | 6.55% |
Weighted average yield | 7.30% | 7.54% |
Commercial Mortgage Backed Securities [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | $ 0 | $ 0 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Amortized cost | 0 | 0 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | 0 | 0 |
Total available-for-sale securities, at fair value | 0 | 0 |
Commercial Mortgage Backed Securities [Member] | Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Investments [Line Items] | ||
Securities Remeasured at Fair Value through earnings, Amortized Cost | 28 | 23 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 1 | 0 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 29 | 23 |
Securities remeasured at fair value through earnings, Par Value | 29 | 24 |
Commercial Mortgage Backed Securities [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | (1) | (1) |
Unamortized premium | 0 | 0 |
Credit Risk Transfer Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Trading Securities, Cost | $ 834 | $ 161 |
Weighted average coupon | 5.26% | 5.25% |
Weighted average yield | 5.19% | 6.28% |
Trading Securities, Other | $ 876 | $ 164 |
Credit Risk Transfer Securities [Member] | Available-for-sale Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Par value | 0 | 0 |
Unamortized discount | 0 | 0 |
Unamortized premium | 0 | 0 |
Amortized cost | 0 | 0 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | 0 | 0 |
Total available-for-sale securities, at fair value | 0 | 0 |
Credit Risk Transfer Securities [Member] | Securities Remeasured at Fair Value [Member] | ||
Schedule of Investments [Line Items] | ||
Unamortized discount | 0 | 0 |
Unamortized premium | 33 | 4 |
Securities Remeasured at Fair Value through earnings, Amortized Cost | 834 | 161 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Gain | 42 | 3 |
Securities Remeasured at Fair Value Through Earnings, Gross Unrealized Loss | 0 | 0 |
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 876 | 164 |
Securities remeasured at fair value through earnings, Par Value | 801 | 157 |
Total Securities | $ 876 | $ 164 |
Investment Securities (Summar36
Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Document Period End Date | Dec. 31, 2017 | |
Agency securities classified as available for sale, Fair value | $ 57,080 | $ 46,499 |
Agency securities classified as available for sale, Amortized cost | $ 57,466 | $ 46,866 |
Weighted Average Coupon | 3.71% | 3.61% |
Weighted Average Yield | 2.89% | 2.77% |
Greater Than One Year and Less Than or Equal to Three Years [Member] | ||
Fair Value | $ 2,712 | $ 419 |
Amortized Cost | $ 2,693 | $ 416 |
Weighted Average Coupon | 3.90% | 4.33% |
Weighted Average Yield | 2.67% | 2.27% |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | ||
Fair Value | $ 7,499 | $ 13,601 |
Amortized Cost | $ 7,518 | $ 13,509 |
Weighted Average Coupon | 3.31% | 3.38% |
Weighted Average Yield | 2.39% | 2.44% |
Greater Than Five Years [Member] | ||
Fair Value | $ 45,977 | $ 30,513 |
Amortized Cost | $ 46,398 | $ 30,979 |
Weighted Average Coupon | 3.75% | 3.74% |
Weighted Average Yield | 2.95% | 2.89% |
Greater Than Ten Years [Member] | ||
Fair Value | $ 892 | $ 1,966 |
Amortized Cost | $ 857 | $ 1,962 |
Weighted Average Coupon | 4.87% | 3.17% |
Weighted Average Yield | 4.74% | 3.27% |
Investment Securities (Summar37
Investment Securities (Summary Of Changes In Accumulated OCI For Available-For-Sale Security) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Unrealized Gains and (Losses), Net | $ (205) | $ 90 | $ 121 | $ 46 | $ (1,408) | $ (97) | $ 370 | $ 765 | $ 52 | $ (370) | $ (597) |
Agency Securities [Member] | |||||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Beginning OCI Balance | $ (397) | $ (27) | (397) | (27) | 570 | ||||||
Unrealized Gains and (Losses), Net | (31) | (261) | (620) | ||||||||
Reversal of Unrealized (Gains) and Losses, Net on Realization | 83 | (109) | 23 | ||||||||
Ending OCI Balance | $ (345) | $ (397) | $ (345) | $ (397) | $ (27) |
Investment Securities (Summar38
Investment Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Document Period End Date | Dec. 31, 2017 | |
Accumulated Other Comprehensive Income (Loss) [Member] | ||
Unrealized Loss Position For - Estimated Fair Value - Less than 12 Months | $ 3,582 | $ 28,397 |
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months | (15) | (554) |
Unrealized Loss Position For - Estimated Fair Value - 12 Months or More | 20,577 | 1,719 |
Unrealized Loss Position For - Unrealized Loss - 12 Months or More | (451) | (68) |
Unrealized Loss Position For - Estimated Fair Value - Total | 24,159 | 30,116 |
Unrealized Loss Position For - Unrealized Loss - Total | $ (466) | $ (622) |
Investment Securities (Summar39
Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Cost of Sale of Fair Value Option Securities | $ (12,913) | $ 0 | |||||||||
Cost of Sale of Investment Securities | (19,237) | (17,907) | |||||||||
Proceeds from agency MBS sold | 14,557 | 10,393 | $ 48,354 | ||||||||
Net gain (loss) on sale of investment securities | $ (16) | $ 22 | $ 15 | $ (84) | $ (5) | $ 61 | $ 55 | $ (2) | (63) | 109 | $ (23) |
Available-for-sale Securities [Member] | |||||||||||
Agency MBS sold, at cost | (6,324) | (17,907) | |||||||||
Proceeds from agency MBS sold | 6,241 | 18,016 | |||||||||
Net gain (loss) on sale of investment securities | 109 | ||||||||||
Gross gain on sale of investment securities | 16 | 123 | |||||||||
Gross loss on sale of investment securities | (99) | (14) | |||||||||
Securities Remeasured at Fair Value [Member] | |||||||||||
Proceeds from agency MBS sold | 12,933 | 0 | |||||||||
Net gain (loss) on sale of investment securities | 0 | ||||||||||
Gross gain on sale of investment securities | 48 | 0 | |||||||||
Gross loss on sale of investment securities | (28) | 0 | |||||||||
Securities (Assets) [Member] | |||||||||||
Proceeds from agency MBS sold | 19,174 | 18,016 | |||||||||
Net gain (loss) on sale of investment securities | (63) | 109 | |||||||||
Gross gain on sale of investment securities | 64 | 123 | |||||||||
Gross loss on sale of investment securities | (127) | $ (14) | |||||||||
Cost and Proceeds of Investment Securities [Member] | Available-for-sale Securities [Member] | |||||||||||
Net gain (loss) on sale of investment securities | (83) | ||||||||||
Cost and Proceeds of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | |||||||||||
Net gain (loss) on sale of investment securities | 20 | ||||||||||
Gross Gain & Loss of Investment Securities [Member] | Available-for-sale Securities [Member] | |||||||||||
Net gain (loss) on sale of investment securities | (83) | ||||||||||
Gross Gain & Loss of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | |||||||||||
Net gain (loss) on sale of investment securities | $ 20 |
Investment Securities Securitie
Investment Securities Securities by Credit Rating (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Document Period End Date | Dec. 31, 2017 | |
Securities Remeasured at Fair Value [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | $ 876 | $ 164 |
Available-for-sale Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | 33,653 | 46,017 |
Available-for-sale Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | 7 | 101 |
Available-for-sale Securities [Member] | Commercial Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | 0 | 0 |
Available-for-sale Securities [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | 0 | 0 |
Agency securities remeasured at fair value through earnings [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 23,427 | 482 |
Agency securities remeasured at fair value through earnings [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 0 | 0 |
Agency securities remeasured at fair value through earnings [Member] | Commercial Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 29 | 23 |
BBB Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 29 | 23 |
BBB Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 20 | |
BB Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 136 | |
AAA Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 7 | 99 |
B Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 0 | 2 |
B Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | 691 | $ 164 |
Not Rated [Member] | Credit Risk Transfer Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Securities Remeasured at Fair Value Through Earnings, Debt Securities | $ 29 |
Repurchase Agreements And Oth41
Repurchase Agreements And Other Debt (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 50,296 | $ 37,858 |
Debt of consolidated variable interest entities, at fair value | $ (357) | $ (460) |
Description of variable rate basis | LIBOR | |
Basis spread over LIBOR | 37 | 36 |
Principal amount | $ 349 | $ 452 |
Weighted average life of other debt | 5 years 8 months 12 days | 5 years 9 months 18 days |
TBA securities Fifteen Year and Thirty Year Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Fair Value, Net | $ 3 | $ (147) |
TBA and Forward Settling Agency Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Forward Settlement Value | 15,739 | 11,312 |
Derivative, Fair Value, Net | 3 | (147) |
Agency Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 50,296 | $ 37,686 |
Repurchase Agreements And Oth42
Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) $ in Millions | Dec. 31, 2017USD ($)days | Dec. 31, 2016USD ($)days |
Repurchase Agreements | $ 50,296 | $ 37,858 |
Weighted Average Days to Maturity | days | 116 | 186 |
Maturity Overnight [Member] | ||
Repurchase Agreements | $ 5,250 | $ 150 |
30 Days or Less [Member] | ||
Repurchase Agreements | $ 19,771 | $ 17,481 |
Weighted Average Interest Rate | 1.59% | 0.90% |
Weighted Average Days to Maturity | days | 11 | 11 |
1 to 3 Months | ||
Repurchase Agreements | $ 16,150 | $ 10,011 |
Weighted Average Interest Rate | 1.50% | 0.93% |
Weighted Average Days to Maturity | days | 50 | 55 |
3 to 6 Months | ||
Repurchase Agreements | $ 7,287 | $ 2,030 |
Weighted Average Interest Rate | 1.50% | 1.02% |
Weighted Average Days to Maturity | days | 130 | 136 |
6 to 9 Months | ||
Repurchase Agreements | $ 2,361 | $ 1,270 |
Weighted Average Interest Rate | 1.66% | 0.98% |
Weighted Average Days to Maturity | days | 225 | 214 |
9 to 12 Months | ||
Repurchase Agreements | $ 202 | $ 1,566 |
Weighted Average Interest Rate | 1.64% | 1.08% |
Weighted Average Days to Maturity | days | 297 | 299 |
12 to 24 Months | ||
Repurchase Agreements | $ 1,700 | $ 1,203 |
Weighted Average Interest Rate | 1.84% | 1.28% |
Weighted Average Days to Maturity | days | 468 | 538 |
24 to 36 Months | ||
Repurchase Agreements | $ 2,200 | $ 1,300 |
Weighted Average Interest Rate | 1.80% | 1.36% |
Weighted Average Days to Maturity | days | 803 | 865 |
36 to 48 months | ||
Repurchase Agreements | $ 625 | $ 2,200 |
Weighted Average Interest Rate | 1.90% | 1.32% |
Weighted Average Days to Maturity | days | 1,141 | 1,168 |
48 to 60 Months | ||
Repurchase Agreements | $ 0 | $ 625 |
Weighted Average Interest Rate | 0.00% | 1.38% |
Weighted Average Days to Maturity | days | 0 | 1,506 |
2 Days to 1 Month [Member] | ||
Weighted Average Interest Rate | 0.00% | (0.30%) |
Weighted Average Days to Maturity | days | 0 | 17 |
Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 1.57% | 0.98% |
Agency Securities [Member] | ||
Repurchase Agreements | $ 50,296 | $ 37,686 |
Weighted Average Days to Maturity | days | 116 | 187 |
Agency Securities [Member] | Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 1.57% | 0.98% |
US Treasury Securities [Member] | 2 Days to 1 Month [Member] | ||
Repurchase Agreements | $ 0 | $ 172 |
Repurchase Agreements And Oth43
Repurchase Agreements And Other Debt Federal Home Loan Bank Advances and Weighted Average Interest Rates (Details) $ in Billions | Dec. 31, 2016USD ($) |
Short-term Debt [Line Items] | |
Short-term Debt, Percentage Bearing Fixed Interest Rate | 0.73% |
Advances from Federal Home Loan Banks | $ 3 |
Derivative and Other Hedging 44
Derivative and Other Hedging Instruments (Narrative) (Details) $ in Millions | 3 Months Ended | 12 Months Ended | ||||||
Dec. 31, 2016USD ($) | Sep. 30, 2016USD ($) | Jun. 30, 2016USD ($) | Mar. 31, 2016USD ($) | Dec. 31, 2017USD ($)month | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | |
Interest Rate Swaption [Member] | ||||||||
Average Maturity (Years) | 8 years 10 months 24 days | |||||||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 10 | |||||||
Notional Amount | $ 6,650 | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (66) | $ (3) | $ (35) | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 6,450 | 500 | 1,500 | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | $ (1,000) | (1,450) | (6,150) | |||||
Derivative, Average Fixed Interest Rate | 2.72% | |||||||
Interest Rate Derivatives, at Fair Value, Net | $ 75 | |||||||
Options At Cost | 159 | |||||||
TBA and Forward Settling Agency Securities [Member] | ||||||||
Notional Amount | $ 10,916 | 15,474 | 10,916 | 7,295 | $ 14,412 | |||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 330 | (59) | 305 | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 237,601 | 116,439 | 119,922 | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (112,818) | (127,039) | ||||||
US Treasury Securities [Member] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 0 | (5) | (12) | |||||
Unrealized gain on derivative instruments, net | 1 | $ 7 | $ 12 | $ 19 | 0 | 39 | 101 | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 191 | (323) | (776) | |||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | ||||||||
Net Unrealized Gain (Loss) on Swaps | 0 | 0 | 0 | 39 | 140 | |||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||||||
Notional Amount | 6,650 | |||||||
Short [Member] | US Treasury Securities [Member] | ||||||||
Notional Amount | 8,061 | 10,699 | 8,061 | 1,714 | 5,392 | |||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (141) | 134 | (68) | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (14,030) | 9,884 | 12,503 | |||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 11,392 | (3,537) | (16,181) | |||||
Long [Member] | US Treasury Securities [Member] | ||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1 | 7 | (38) | |||||
Trading Securities Added During the Period | 404 | 961 | 33,525 | |||||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (593) | (797) | (35,911) | |||||
Trading Securities | $ 189 | $ 189 | $ 25 | $ 2,411 | ||||
Long [Member] | ||||||||
Trading Securities | $ 0 |
Derivative and Other Hedging 45
Derivative and Other Hedging Instruments (Fair Value Information) (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | ||||
Derivative asset, fair value | $ 205 | $ 355 | ||
Derivative liability, fair value | (28) | (256) | ||
Derivative assets, at fair value | 205 | 355 | ||
Derivative Liability | (28) | (256) | ||
U.S. Treasury securities | 0 | 182 | ||
U.S. Treasury Securities - short | (10,467) | (7,636) | ||
Total - (short)/long, net | (10,467) | (7,454) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 191 | (323) | $ (776) | |
TBA and Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 15,474 | 10,916 | 7,295 | $ 14,412 |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 237,601 | 116,439 | 119,922 | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (112,818) | (127,039) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 330 | (59) | 305 | |
Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 43,700 | 37,175 | ||
Derivative liability, fair value | (1) | (105) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 14,825 | 15,650 | 4,950 | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (8,300) | (19,000) | (8,125) | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 67 | (397) | (932) | |
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative asset, fair value | 81 | 321 | ||
Interest Rate Swaption [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 6,650 | |||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 6,450 | 500 | 1,500 | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (1,000) | (1,450) | (6,150) | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (66) | (3) | (35) | |
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative asset, fair value | 75 | 22 | ||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative liability, fair value | (27) | (151) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (233,043) | |||
US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 0 | (5) | (12) | |
US Treasury Securities [Member] | Fair Value, Measurements, Recurring [Member] | Future [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Derivative [Line Items] | ||||
Derivative assets, at fair value | 19 | 8 | ||
TBA and Forward Settling Agency Securities [Member] | Fair Value, Measurements, Recurring [Member] | Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative assets, at fair value | 30 | 4 | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 43,700 | |||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 6,650 | |||
Short [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 10,699 | 8,061 | 1,714 | 5,392 |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | (14,030) | 9,884 | 12,503 | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 11,392 | (3,537) | (16,181) | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (141) | 134 | (68) | |
Long [Member] | ||||
Derivative [Line Items] | ||||
Trading Securities | 0 | |||
Long [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1 | 7 | (38) | |
Trading Securities | 189 | 25 | $ 2,411 | |
Trading Securities Added During the Period | 404 | 961 | 33,525 | |
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (593) | $ (797) | $ (35,911) |
Derivative and Other Hedging 46
Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2017USD ($)month | Dec. 31, 2016USD ($)month | Dec. 31, 2015USD ($) | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 191 | $ (323) | $ (776) |
Payer Swaption [Member] | |||
Interest Rate Derivative Not Designated As Hedging Instruments Receive Rate | 3M | ||
Interest Rate Swaption [Member] | |||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (66) | (3) | (35) |
Notional Amount | $ 6,650 | ||
Average Fixed Pay Rate | 2.72% | ||
Options At Cost | $ 159 | ||
Interest Rate Derivatives, at Fair Value, Net | $ 75 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 10 | ||
Average Maturity (Years) | 8 years 10 months 24 days | ||
Forward Contracts [Member] | Interest Rate Swap [Member] | |||
Derivative, Notional Amount | $ 4,600 | $ 600 | |
Weighted Average Forward Start Date | 3 months 18 days | 1 year 2 months 12 days | |
Interest Rate Swap [Member] | |||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 67 | $ (397) | $ (932) |
Notional Amount | $ 43,700 | $ 37,175 | |
Average Fixed Pay Rate | 1.74% | 1.48% | |
Average Receive Rate | 1.44% | 0.92% | |
Average Maturity (Years) | 4 years 6 months | 3 years 10 months 24 days | |
Less Than or Equal to One Year [Member] | Payer Swaption [Member] | |||
Interest Rate Derivative Not Designated As Hedging Instruments Receive Rate | 3M | 3M | |
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | |||
Notional Amount | $ 5,100 | $ 1,200 | |
Average Fixed Pay Rate | 2.71% | 3.06% | |
Options At Cost | $ 118 | $ 52 | |
Interest Rate Derivatives, at Fair Value, Net | $ 46 | $ 22 | |
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 7 | 6 | |
Average Maturity (Years) | 8 years 9 months 18 days | 8 years 3 months 18 days | |
Greater Than One Year and Less Than or Equal to Two Years [Member] | Payer Swaption [Member] | |||
Interest Rate Derivative Not Designated As Hedging Instruments Receive Rate | 3M | ||
Greater Than One Year and Less Than or Equal to Two Years [Member] | Interest Rate Swaption [Member] | |||
Notional Amount | $ 1,050 | ||
Average Fixed Pay Rate | 2.71% | ||
Options At Cost | $ 23 | ||
Interest Rate Derivatives, at Fair Value, Net | $ 16 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 18 | ||
Average Maturity (Years) | 8 years 8 months 12 days | ||
Greater Than Two Years and Less Than or Equal to Three Years [Member] | Payer Swaption [Member] | |||
Interest Rate Derivative Not Designated As Hedging Instruments Receive Rate | 3M | ||
Greater Than Two Years and Less Than or Equal to Three Years [Member] | Interest Rate Swaption [Member] | |||
Notional Amount | $ 500 | ||
Average Fixed Pay Rate | 2.78% | ||
Options At Cost | $ 18 | ||
Interest Rate Derivatives, at Fair Value, Net | $ 13 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 30 | ||
Average Maturity (Years) | 10 years | ||
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | |||
Notional Amount | $ 21,025 | $ 19,775 | |
Average Fixed Pay Rate | 1.40% | 1.16% | |
Average Receive Rate | 1.46% | 0.92% | |
Average Maturity (Years) | 1 year 6 months | 1 year 6 months | |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member] | |||
Notional Amount | $ 6,825 | $ 7,450 | |
Average Fixed Pay Rate | 1.82% | 1.62% | |
Average Receive Rate | 1.43% | 0.91% | |
Average Maturity (Years) | 4 years 1 month 6 days | 4 years | |
Greater Than Five Years and Less than or Equal to Seven Years [Member] | Interest Rate Swap [Member] | |||
Notional Amount | $ 5,775 | $ 4,725 | |
Average Fixed Pay Rate | 2.02% | 1.89% | |
Average Receive Rate | 1.44% | 0.91% | |
Average Maturity (Years) | 5 years 10 months 24 days | 5 years 10 months 24 days | |
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member] | |||
Notional Amount | $ 6,650 | $ 3,325 | |
Average Fixed Pay Rate | 2.10% | 1.90% | |
Average Receive Rate | 1.42% | 0.91% | |
Average Maturity (Years) | 9 years 1 month 6 days | 9 years 2 months 12 days | |
Greater Than Ten Years [Member] | Interest Rate Swap [Member] | |||
Notional Amount | $ 3,425 | $ 1,900 | |
Average Fixed Pay Rate | 2.49% | 2.64% | |
Average Receive Rate | 1.45% | 0.91% | |
Average Maturity (Years) | 12 years 10 months 24 days | 13 years 9 months 18 days |
Derivative and Other Hedging 47
Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2017USD ($)month | Dec. 31, 2016USD ($)month | Dec. 31, 2015USD ($) | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 191 | $ (323) | $ (776) |
Interest Rate Swaption [Member] | |||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (66) | (3) | (35) |
Cost | 159 | ||
Fair Value | $ 75 | ||
Average Months to Expiration | month | 10 | ||
Derivative Liability, Notional Amount | $ 6,650 | ||
Average Fixed Pay Rate | 2.72% | ||
Average Maturity (Years) | 8 years 10 months 24 days | ||
Payer Swaption [Member] | |||
Average Receive Rate (LIBOR) | 3M | ||
Interest Rate Swap [Member] | |||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 67 | (397) | $ (932) |
Derivative Liability, Notional Amount | $ 43,700 | $ 37,175 | |
Average Fixed Pay Rate | 1.74% | 1.48% | |
Average Maturity (Years) | 4 years 6 months | 3 years 10 months 24 days | |
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | |||
Cost | $ 118 | $ 52 | |
Fair Value | $ 46 | $ 22 | |
Average Months to Expiration | month | 7 | 6 | |
Derivative Liability, Notional Amount | $ 5,100 | $ 1,200 | |
Average Fixed Pay Rate | 2.71% | 3.06% | |
Average Maturity (Years) | 8 years 9 months 18 days | 8 years 3 months 18 days | |
Less Than or Equal to One Year [Member] | Payer Swaption [Member] | |||
Average Receive Rate (LIBOR) | 3M | 3M | |
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | |||
Derivative Liability, Notional Amount | $ 21,025 | $ 19,775 | |
Average Fixed Pay Rate | 1.40% | 1.16% | |
Average Maturity (Years) | 1 year 6 months | 1 year 6 months | |
Interest Rate Swaps Excluding Forward Starting [Member] | Interest Rate Swap [Member] | |||
Average Fixed Pay Rate | 1.68% | 1.46% |
Derivative and Other Hedging 48
Derivative and Other Hedging Instruments (US Treasury Securities) (Details) - USD ($) $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ (10,467) | $ (7,454) |
7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (6,131) | (3,056) |
At Par Value [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (10,699) | (7,872) |
US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 19 | 8 |
TBA and Forward Settling Agency Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (15,474) | (10,916) |
Derivative, Forward Settlement Value | (15,739) | (11,312) |
Derivative Asset, Fair Value, Gross Asset | (15,742) | (11,165) |
Derivative, Fair Value, Net | 3 | (147) |
5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (288) | (400) |
10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (4,280) | (4,416) |
10 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 15 | 5 |
5 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 4 | 3 |
Short [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (2,910) | (1,810) |
Derivative, Forward Settlement Value | (3,570) | (2,209) |
Derivative Asset, Fair Value, Gross Asset | (3,551) | (2,201) |
Short [Member] | 10 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (2,180) | (1,080) |
Derivative, Forward Settlement Value | (2,718) | (1,347) |
Derivative Asset, Fair Value, Gross Asset | (2,703) | (1,342) |
Short [Member] | 5 Year Maturity [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (730) | (730) |
Derivative, Forward Settlement Value | (852) | (862) |
Derivative Asset, Fair Value, Gross Asset | (848) | (859) |
Fair Value Hedging [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (10,467) | (7,454) |
Fair Value Hedging [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (6,029) | (2,930) |
Fair Value Hedging [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (283) | (392) |
Fair Value Hedging [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (4,155) | (4,132) |
At Cost Basis [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (10,622) | (7,681) |
At Cost Basis [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (6,106) | (3,041) |
At Cost Basis [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | (286) | (404) |
At Cost Basis [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities, net | $ (4,230) | $ (4,236) |
Derivative and Other Hedging 49
Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - TBA and Forward Settling Agency Securities [Member] - USD ($) $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||
Derivative, Notional Amount | $ (15,474) | $ (10,916) |
Cost Basis | (15,739) | (11,312) |
Net long TBA position, at fair value | (15,742) | (11,165) |
TBA, net carrying value | 3 | (147) |
30 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (10,526) | (8,756) |
Cost Basis | (10,714) | (9,124) |
Net long TBA position, at fair value | (10,727) | (8,993) |
TBA, net carrying value | 13 | (131) |
30 Year Maturity [Member] | 3.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (4,317) | (3,027) |
Cost Basis | (4,303) | (3,114) |
Net long TBA position, at fair value | (4,312) | (3,007) |
TBA, net carrying value | 9 | (107) |
30 Year Maturity [Member] | 3.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (3,932) | (1,209) |
Cost Basis | (4,027) | (1,251) |
Net long TBA position, at fair value | (4,034) | (1,236) |
TBA, net carrying value | 7 | (15) |
30 Year Maturity [Member] | 4.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (2,338) | (4,530) |
Cost Basis | (2,449) | (4,769) |
Net long TBA position, at fair value | (2,446) | (4,760) |
TBA, net carrying value | (3) | (9) |
30 Year Maturity [Member] | 4.5% Coupon [Member] | ||
Derivative [Line Items] | ||
TBA, net carrying value | 0 | 0 |
30 Year Maturity [Member] | Short [Member] | 4.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (61) | (10) |
Cost Basis | (65) | (10) |
Net long TBA position, at fair value | (65) | (10) |
15 Year Maturity [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (4,948) | (2,160) |
Cost Basis | (5,025) | (2,188) |
Net long TBA position, at fair value | (5,015) | (2,172) |
TBA, net carrying value | (10) | (16) |
15 Year Maturity [Member] | 2.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,373) | (1,853) |
Cost Basis | (1,372) | (1,870) |
Net long TBA position, at fair value | (1,370) | (1,856) |
TBA, net carrying value | (2) | (14) |
15 Year Maturity [Member] | 3.0% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (3,161) | (292) |
Cost Basis | (3,225) | (302) |
Net long TBA position, at fair value | (3,217) | (300) |
TBA, net carrying value | (8) | (2) |
15 Year Maturity [Member] | 3.5% Coupon [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (414) | (15) |
Cost Basis | (428) | (16) |
Net long TBA position, at fair value | (428) | (16) |
TBA, net carrying value | $ 0 | $ 0 |
Derivative and Other Hedging 50
Derivative and Other Hedging Instruments (Effect Of Derivative Instruments Not Designated As Hedges On Comprehensive Income Statement) (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | $ 191 | $ (323) | $ (776) | |
Interest Rate Swaption [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Additions | (6,450) | (500) | (1,500) | |
Settlement, Expirations or Exercise | 1,000 | 1,450 | 6,150 | |
Notional Amount | (6,650) | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | (66) | (3) | (35) | |
TBA and Forward Settling Agency Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (10,916) | (7,295) | (14,412) | |
Additions | (237,601) | (116,439) | (119,922) | |
Settlement, Expirations or Exercise | 112,818 | 127,039 | ||
Notional Amount | (15,474) | (10,916) | (7,295) | |
Amount Gain/(Loss) Recognized in Income on Derivatives | 330 | (59) | 305 | |
Derivative, Notional Amount | (15,474) | (10,916) | ||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Settlement, Expirations or Exercise | 233,043 | |||
Interest Rate Swap [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (37,175) | |||
Additions | (14,825) | (15,650) | (4,950) | |
Settlement, Expirations or Exercise | 8,300 | 19,000 | 8,125 | |
Notional Amount | (43,700) | (37,175) | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | 67 | (397) | (932) | |
US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 0 | (5) | (12) | |
Receiver Swaption [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 4 | |||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (6,650) | |||
Derivative, Notional Amount | (1,200) | (2,150) | $ (6,800) | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (43,700) | |||
Derivative, Notional Amount | (37,175) | (40,525) | (43,700) | |
Not Designated as Hedging Instrument [Member] | Receiver Swaption [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | 0 | |||
Additions | 0 | |||
Settlement, Expirations or Exercise | (4,250) | |||
Notional Amount | 0 | |||
Derivative, Notional Amount | (4,250) | |||
Short [Member] | US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (8,061) | (1,714) | (5,392) | |
Additions | 14,030 | (9,884) | (12,503) | |
Settlement, Expirations or Exercise | (11,392) | 3,537 | 16,181 | |
Notional Amount | (10,699) | (8,061) | (1,714) | |
Amount Gain/(Loss) Recognized in Income on Derivatives | (141) | 134 | (68) | |
Derivative, Notional Amount | (2,910) | (1,810) | ||
Long [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Trading Securities | 0 | |||
Long [Member] | US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 1 | 7 | (38) | |
Trading Securities | 189 | 25 | $ 2,411 | |
Trading Securities Added During the Period | 404 | 961 | 33,525 | |
Notional Amount Of Trading Securities Settlement Expiration During The Period | (593) | (797) | (35,911) | |
Future [Member] | Short [Member] | US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (1,810) | (1,860) | (730) | |
Additions | 11,340 | (7,840) | (4,480) | |
Settlement, Expirations or Exercise | (10,240) | 7,890 | 3,350 | |
Notional Amount | $ (2,910) | $ (1,810) | $ (1,860) |
Pledged Assets (Narrative) (Det
Pledged Assets (Narrative) (Details) - USD ($) | Dec. 31, 2017 | Dec. 31, 2016 |
Pledged Assets [Abstract] | ||
Federal Home Loan Bank Stock | $ 126,000,000 | |
Risk Of Repurchase Agreement To Stockholders Equity | 5.00% | |
Risk of interest swap and swaption agreements to stockholders' equity | $ 0.01 |
Pledged Assets Repurchase Agree
Pledged Assets Repurchase Agreements with Counterparties Greater than or Equal to 5% of Equity at Risk (Details) $ in Millions | Dec. 31, 2017USD ($)days | Dec. 31, 2016USD ($)days |
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ | $ 50,296 | $ 37,858 |
Risk Of Repurchase Agreement To Stockholders Equity | 5.00% | |
Weighted Average Days to Maturity | days | 116 | 186 |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged as Collateral) (Details) - USD ($) $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Offsetting Assets and Liabilities [Line Items] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repurchase Agreements | $ 182 | $ 181 |
Federal Home Loan Bank Stock | 126 | |
Available-for-sale Securities Pledged as Collateral | 53,055 | 43,943 |
Accrued interest on pledged securities | 158 | 128 |
Restricted cash and cash equivalents | 317 | 74 |
Total Fair Value of Securities Pledged and Accrued Interest | 54,559 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 45,428 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 52,497 | 43,005 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 221 | 275 |
Accrued interest on pledged securities | 1 | |
Restricted cash and cash equivalents | 281 | 14 |
Total Fair Value of Securities Pledged and Accrued Interest | 575 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 290 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 153 | 122 |
Total Fair Value of Securities Pledged and Accrued Interest | 52,798 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 43,450 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 662 | 818 |
Accrued interest on pledged securities | 2 | 3 |
Total Fair Value of Securities Pledged and Accrued Interest | 664 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 821 | |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 519 | 865 |
Accrued interest on pledged securities | 2 | 2 |
Total Fair Value of Securities Pledged and Accrued Interest | 522 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 867 | |
Includes Sold But Not Yet Settled Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 53,899 | 44,963 |
AAA Non-Agency Mortgage-Backed Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 90 | |
AAA Non-Agency Mortgage-Backed Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 90 | |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 185 | 173 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 113 | 173 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 72 | 0 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 1 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | 35 | 60 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | 1 | 0 |
Excluding Cash Received [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash and cash equivalents | $ 317 | $ 74 |
Pledged Assets (Securities Pled
Pledged Assets (Securities Pledged as Collateral) (Details) - USD ($) $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Offsetting Assets and Liabilities [Line Items] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repo | $ 182 | $ 181 |
Security Owned and Pledged as Collateral, Fair Value | 52,497 | 43,269 |
Agency Securities Pledged As Collateral Amortized Cost | 52,899 | 43,644 |
Agency Securities Pledged As Collateral Accrued Interest | 153 | 122 |
Maturity Less than 30 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 20,162 | 19,681 |
Agency Securities Pledged As Collateral Amortized Cost | 20,313 | 19,863 |
Agency Securities Pledged As Collateral Accrued Interest | 59 | 56 |
Maturity 31 To 59 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 12,950 | 8,103 |
Agency Securities Pledged As Collateral Amortized Cost | 13,061 | 8,158 |
Agency Securities Pledged As Collateral Accrued Interest | 38 | 23 |
Maturity 60 To 90 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 4,000 | 4,034 |
Agency Securities Pledged As Collateral Amortized Cost | 4,013 | 4,070 |
Agency Securities Pledged As Collateral Accrued Interest | 11 | 11 |
Maturity over 90 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 15,385 | 11,278 |
Agency Securities Pledged As Collateral Amortized Cost | 15,512 | 11,380 |
Agency Securities Pledged As Collateral Accrued Interest | 45 | 32 |
2 Days to 1 Month [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 173 |
Agency Securities Pledged As Collateral Amortized Cost | 0 | 173 |
Agency Securities Pledged As Collateral Accrued Interest | 0 | 0 |
Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 52,497 | 43,096 |
Agency Securities Pledged As Collateral Amortized Cost | 52,899 | 43,471 |
Agency Securities Pledged As Collateral Accrued Interest | 153 | $ 122 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Securities Received as Collateral, Amount Repledged and Sold | $ 113 |
Pledged Assets (Assets Pledge55
Pledged Assets (Assets Pledged from Counterparties) (Details) - USD ($) $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Offsetting Assets and Liabilities [Line Items] | ||
Federal Home Loan Bank Stock | $ 126 | |
Available-for-sale Securities Pledged as Collateral | $ 53,055 | 43,943 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | 10,467 | 7,636 |
Restricted Cash and Cash Equivalents | 317 | 74 |
Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 14 |
Restricted Cash and Cash Equivalents | 82 | 107 |
Restricted Cash and Securities Pledged | 10,935 | 7,757 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 14 |
Securities Sold under Agreements to Repurchase [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 14 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 0 |
Restricted Cash and Securities Pledged | 82 | 107 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 185 | 173 |
US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 10,853 | 7,636 |
Reverse Repurchase Agreements [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 10,853 | 7,636 |
Reverse Repurchase Agreements [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 10,853 | 7,636 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 221 | 275 |
Restricted Cash and Cash Equivalents | 281 | 14 |
Derivative [Member] | US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 72 | 0 |
Derivative [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 0 | 0 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | $ 82 | $ 107 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Offsetting Assets and Liabilities [Line Items] | ||
Collateral Received | $ (1,361) | |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 11,147 | $ 8,062 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 11,147 | 8,062 |
Financial Instruments | (9,705) | (7,047) |
Collateral Received | (802) | |
Net Amount | 81 | 213 |
Assets [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 156 | 342 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 156 | 342 |
Financial Instruments | (1) | (80) |
Collateral Received | (82) | (49) |
Net Amount | 73 | 213 |
Assets [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 30 | 4 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 30 | 4 |
Financial Instruments | (22) | (4) |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 50,324 | 41,151 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 50,324 | 41,151 |
Financial Instruments | (9,705) | (7,047) |
Collateral Received | (40,619) | (34,104) |
Net Amount | 0 | |
Liability [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Net Amount | 0 | |
Liability [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 1 | 105 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 1 | 105 |
Financial Instruments | (1) | (80) |
Collateral Received | 0 | (25) |
Net Amount | 0 | 0 |
Liability [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 27 | 151 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 27 | 151 |
Financial Instruments | (22) | (4) |
Collateral Received | (5) | (147) |
Net Amount | 0 | 0 |
Reverse Repurchase Agreements [Member] | Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 10,961 | 7,716 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 10,961 | 7,716 |
Financial Instruments | (9,682) | (6,963) |
Collateral Received | (1,279) | (753) |
Repurchase Agreements [Member] | Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 50,296 | 40,895 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 50,296 | 40,895 |
Financial Instruments | (9,682) | (6,963) |
Collateral Received | $ (40,614) | $ (33,932) |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Future [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | US Treasury Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
TBA securities | $ 19 | $ 8 |
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest rate swaps | 75 | 22 |
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest rate swaps | 81 | 321 |
Interest Rate Swap [Member] | Derivative liabilities, at fair value [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest rate swaps | 1 | 105 |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
TBA securities | $ 30 | 4 |
Transfers between hierarchy levels | 0 | |
Agency securities | $ 55,506 | 45,393 |
Agency securities transferred to consolidated VIEs | 662 | 818 |
Non-Agency Securities, at Fair Value | 36 | 124 |
Financial Instruments, Owned, Other, at Fair Value | 876 | 164 |
U.S. Treasury securities | 0 | 182 |
Marketable Securities, Equity Securities | 29 | 0 |
TBA securities | 205 | 355 |
Derivative Liability | 28 | 256 |
Debt of consolidated variable interest entities, at fair value | 357 | 460 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 10,467 | 7,636 |
Interest rate swaps | 205 | 355 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total assets | 48 | 190 |
Total liabilities | 10,467 | 7,636 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total assets | 57,266 | 46,846 |
Total liabilities | 385 | 716 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Sale Of TBA And Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Liability | $ 27 | $ 151 |
Net Income (Loss) Per Common 58
Net Income (Loss) Per Common Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | |||||||||||
Weighted Average Number of Shares Outstanding, Basic | 391.3 | 364.7 | 346.4 | 331 | 358.6 | 331.9 | 348.6 | ||||
Dilutive Securities, Effect on Basic Earnings Per Share, Options and Restrictive Stock Units | $ 0.1 | $ 0 | $ 0 | ||||||||
Weighted Average Number of Shares Outstanding, Diluted | 391.5 | 364.9 | 346.5 | 331.1 | 358.7 | 331.9 | 348.6 | ||||
Net Income (Loss) Available to Common Stockholders, Basic | $ 376 | $ 271 | $ 17 | $ 69 | $ 1,012 | $ 504 | $ (142) | $ (779) | $ 733 | $ 595 | $ 187 |
Earnings Per Share, Basic and Diluted | $ 0.96 | $ 0.74 | $ 0.05 | $ 0.21 | $ 3.06 | $ 1.52 | $ (0.43) | $ (2.33) | $ 2.04 | $ 1.79 | $ 0.54 |
Stockholders' Equity (Preferred
Stockholders' Equity (Preferred Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | Sep. 12, 2017 | Aug. 16, 2017 | May 31, 2014 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2012 | May 05, 2014 | Apr. 30, 2012 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock Authorized, but not Issued | 10,000,000 | ||||||||
Payments for Repurchase of Redeemable Preferred Stock | $ 173 | $ 0 | $ 0 | ||||||
Preferred Stock, Shares Authorized | 10,000,000 | ||||||||
Series A Preferred Stock [Member] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 6,900,000 | ||||||||
Preferred Stock, Dividend Rate, Percentage | 8.00% | ||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||||
Payments for Repurchase of Redeemable Preferred Stock | $ 173 | ||||||||
Series B Preferred Stock [Member] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Percent Interest Per Share | 0.10% | ||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 8,050 | ||||||||
Preferred Stock, Dividend Rate, Percentage | 7.75% | ||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | |||||||
Preferred Stock, Shares Issued | 7,000 | ||||||||
Series C Preferred Stock [Member] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 13,800 | ||||||||
Preferred Stock, Dividend Rate, Percentage | 5.111% | 7.00% | |||||||
Preferred Stock, Shares Issued | 13,000 | ||||||||
Proceeds from Issuance of Redeemable Preferred Stock | $ 315 | ||||||||
Depositary Share [Member] | Series B Preferred Stock [Member] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Shares Issued | 7,000,000 | ||||||||
Depositary Share [Member] | Series C Preferred Stock [Member] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Shares Issued | 13,000,000 |
Stockholders' Equity (Common St
Stockholders' Equity (Common Stock Repurchase Program) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Stock Repurchase Program, Authorized Amount | $ 1,000 | ||
Repurchase of common stock shares | (6.5) | (15.3) | |
Average repurchase price (in dollars per share) | $ 17.89 | $ 18.58 | |
Repurchase of common stock, value | $ 116 | $ 285 | |
Payments for Repurchase of Common Stock | $ 0 | $ 116 | $ 285 |
Common Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Repurchase of common stock shares | (6.5) | (15.3) | |
Repurchase of common stock, value | $ 0 | $ 1 |
Stockholders' Equity (Accumulat
Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||||
Total Accumulated OCI Balance | $ (345) | $ (397) | $ (345) | $ (397) | $ (66) | $ 430 | ||||||
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, Net of Tax | (205) | $ 90 | $ 121 | $ 46 | (1,408) | $ (97) | $ 370 | $ 765 | 52 | (370) | (597) | |
Amounts reclassified from accumulated OCI | 1 | $ 7 | $ 12 | 19 | 0 | 39 | 101 | |||||
Total Accumulated OCI Balance | 83 | (70) | 124 | |||||||||
Agency Securities [Member] | ||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||||
Beginning OCI Balance | $ (397) | $ (27) | (397) | (27) | 570 | |||||||
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, Net of Tax | (31) | (261) | (620) | |||||||||
Amounts reclassified from accumulated OCI | 83 | (109) | 23 | |||||||||
Ending OCI Balance | (345) | (397) | (345) | (397) | (27) | |||||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | ||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||||
Net Unrealized Gain (Loss) on Swaps | $ 0 | $ 0 | 0 | 0 | (39) | $ (140) | ||||||
Interest Rate Swap [Member] | Agency Securities [Member] | ||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||||
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, Net of Tax | $ (31) | $ (261) | $ (620) |
Stockholders' Equity (Follow-On
Stockholders' Equity (Follow-On Equity Offerings) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Sep. 30, 2017 | Sep. 12, 2017 | May 05, 2017 | Dec. 31, 2017 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Document Period End Date | Dec. 31, 2017 | |||
Stock Issued During Period, Shares, New Issues | 7.6 | 28.2 | 24.5 | |
Stock Issued During Period, Value, New Issues | $ 0 | $ 1,000 | $ 1,000 | $ 1,238 |
Sale of Stock, Price Per Share | $ 20.96 | $ 20.47 | $ 20.51 | |
Common Stock [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Stock Issued During Period, Shares, New Issues | 60.3 | |||
Stock Issued During Period, Value, New Issues | $ 1 |
Stockholders' Equity (At-the-Ma
Stockholders' Equity (At-the-Market Offering Program) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Sep. 30, 2017 | Sep. 12, 2017 | May 05, 2017 | Dec. 31, 2017 | Feb. 28, 2017 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Common stock, Value of Shares Approved for Future Issuance | $ 750 | ||||
Common Stock, Shares Authorized | $ 589 | ||||
Stock Issued During Period, Shares, New Issues | 7.6 | 28.2 | 24.5 | ||
Stock Issued During Period, Value, New Issues | $ 0 | $ 1,000 | $ 1,000 | $ 1,238 | |
Sale of Stock, Price Per Share | $ 20.96 | $ 20.47 | $ 20.51 |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 9 | $ 14 | $ 14 |
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 1.333 | $ 2 | $ 2 |
Dividends, Common Stock | $ 777 | $ 763 | $ 863 |
Common Stock, Dividends, Per Share, Cash Paid | $ 2.16 | $ 2.3 | $ 2.48 |
Preferred Class B [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 14 | $ 14 | $ 14 |
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 1.9375 | $ 1.9375 | $ 1.9375 |
Series C Preferred Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 9 | ||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 0.69514 |
Equity Incentive Plan Narrative
Equity Incentive Plan Narrative (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 0 | 0 | 5,000 | 14,000 |
Document Period End Date | Dec. 31, 2017 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ 0 | $ 17.49 | $ 21.44 | $ 25.11 |
Accrued RSU Dividend Equivalents | 1,032 | 3,527 | 3,319 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (5,000) | (9,000) | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ 16.69 | $ 20 | $ 23.17 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Vest Date Fair Value | $ 20.15 | $ 18.99 | $ 21.03 | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized | $ 7,905,000 | |||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition | 1 year 10 months 24 days | |||
2016 Equity Plan [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 10,000,000 | |||
Allocated Share-based Compensation Expense | $ 3,066,000 | $ 28,000 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 9,097,000 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ 17.46 | $ 17.72 | ||
Accrued RSU Dividend Equivalents | 32,498 | 968 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ 16.08 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Vest Date Fair Value | $ 20.42 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeited in Period | (246) | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | $ 18.29 | |||
Director Plan [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Allocated Share-based Compensation Expense | $ 455,000 | $ 731,000 | $ 704,000 | |
Restricted Stock Units (RSUs) [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 0 | 21,435 | 31,431 | 18,239 |
Restricted Stock or Unit Expense | $ 625,000 | $ 625,000 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 33,015 | 28,880 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 18.93 | $ 21.64 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (22,467) | (46,538) | (19,007) | |
Restricted Stock Units (RSUs) [Member] | 2016 Equity Plan [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 335,228 | 102,375 | ||
Restricted Stock or Unit Expense | $ 4,650,000 | $ 1,814,000 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 238,203 | 101,407 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 19.52 | $ 17.89 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (37,602) | |||
Restricted Stock Units (RSUs) [Member] | MTGE Incentive Plan [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted Stock or Unit Expense | $ 2,344,437 | |||
Allocated Share-based Compensation Expense | 782,224 | |||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized | $ 2,077,583 | |||
Performance Shares [Member] | 2016 Equity Plan [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ 17.78 | |||
Accrued RSU Dividend Equivalents | 22,767 | |||
Performance Shares [Member] | Restricted Stock Units (RSUs) [Member] | 2016 Equity Plan [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 273,376 | |||
Restricted Stock or Unit Expense | $ 4,859,000 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 250,609 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 19.39 | |||
Director [Member] | Restricted Stock Units (RSUs) [Member] | 2016 Equity Plan [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted Stock or Unit Expense | $ 500,000 |
Income Taxes (Details)
Income Taxes (Details) | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Owned, Federal Income Tax Note [Line Items] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
Management Agreement and Rela67
Management Agreement and Related Party Transactions (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |||||||||||
Management fees | $ 0 | $ 0 | $ 25 | $ 27 | $ 0 | $ 52 | $ 116 | ||||
Related Party Transaction, Expenses from Transactions with Related Party | 3 | 8 | |||||||||
Labor and Related Expense | $ 12 | $ 10 | $ 10 | $ 10 | 10 | 9 | 0 | 0 | 42 | 19 | 0 |
Management Fees Revenue | $ 3 | $ 3 | $ 4 | $ 3 | $ 4 | $ 4 | $ 0 | $ 0 | $ 13 | $ 8 | $ 0 |
Quarterly Results (Details)
Quarterly Results (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Interest income | $ 386 | $ 318 | $ 293 | $ 296 | $ 393 | $ 315 | $ 318 | $ 295 | $ 1,293 | $ 1,321 | $ 1,466 |
Interest expense | 174 | 140 | 112 | 98 | 98 | 96 | 101 | 99 | 524 | 394 | 330 |
Net interest income | 212 | 178 | 181 | 198 | 295 | 219 | 217 | 196 | 769 | 927 | 1,136 |
Noninterest Income [Abstract] | |||||||||||
Gain (loss) on sale of investment securities, net | (16) | 22 | 15 | (84) | (5) | 61 | 55 | (2) | (63) | 109 | (23) |
Unrealized gain (loss) on investment securities measured at fair value through net income, net | (65) | (31) | 9 | 16 | (11) | (6) | 0 | 11 | (71) | (6) | 5 |
(Loss) gain on derivative instruments and other securities, net | 271 | 131 | (169) | (40) | 753 | 248 | (367) | (944) | 193 | (310) | (764) |
Management Fees Revenue | $ 3 | $ 3 | $ 4 | $ 3 | 4 | 4 | 0 | 0 | $ 13 | $ 8 | $ 0 |
Weighted Average Number of Shares Outstanding, Diluted | 391.5 | 364.9 | 346.5 | 331.1 | 358.7 | 331.9 | 348.6 | ||||
Total other (loss) income, net | $ 193 | $ 125 | $ (141) | $ (105) | 741 | 307 | (312) | (935) | $ 72 | $ (199) | $ (782) |
Management fees | 0 | 0 | 25 | 27 | 0 | 52 | 116 | ||||
Labor and Related Expense | 12 | 10 | 10 | 10 | 10 | 9 | 0 | 0 | 42 | 19 | 0 |
General and administrative expenses | 8 | 7 | 6 | 7 | 7 | 6 | 15 | 6 | 28 | 34 | 23 |
Total expenses | 20 | 17 | 16 | 17 | 17 | 15 | 40 | 33 | 70 | 105 | 139 |
Net income (loss) | 385 | 286 | 24 | 76 | 1,019 | 511 | (135) | (772) | 771 | 623 | 215 |
Dividend on preferred stock | 9 | 9 | 7 | 7 | 7 | 7 | 7 | 7 | 32 | 28 | 28 |
Net income (loss) available (attributable) to common shareholders | 376 | 271 | 17 | 69 | 1,012 | 504 | (142) | (779) | 733 | 595 | 187 |
Unrealized Gains and (Losses), Net | (205) | 90 | 121 | 46 | (1,408) | (97) | 370 | 765 | 52 | (370) | (597) |
Issuance costs of redeemed preferred stock | $ 0 | $ 6 | $ 0 | $ 0 | $ 6 | $ 0 | $ 0 | ||||
Weighted Average Number of Shares Outstanding, Basic | 391.3 | 364.7 | 346.4 | 331 | 358.6 | 331.9 | 348.6 | ||||
Unrealized gain on derivative instruments, net | 1 | 7 | 12 | 19 | $ 0 | $ 39 | $ 101 | ||||
Other comprehensive (loss) income | (1,407) | (90) | 382 | 784 | 52 | (331) | (496) | ||||
Comprehensive (loss) income | $ 180 | $ 376 | $ 145 | $ 122 | (388) | 421 | 247 | 12 | 823 | 292 | (281) |
Comprehensive (loss) income (attributable) available to common shareholders | $ 171 | $ 361 | $ 138 | $ 115 | $ (395) | $ 414 | $ 240 | $ 5 | $ 785 | $ 264 | $ (309) |
Earnings Per Share, Basic and Diluted | $ 0.96 | $ 0.74 | $ 0.05 | $ 0.21 | $ 3.06 | $ 1.52 | $ (0.43) | $ (2.33) | $ 2.04 | $ 1.79 | $ 0.54 |
Other Comprehensive Income (Loss), Net of Tax [Abstract] | |||||||||||
Common Stock, Dividends, Per Share, Declared | 0.54 | 0.54 | 0.54 | 0.54 | $ 0.54 | $ 0.56 | $ 0.60 | $ 0.60 | |||
Weighted Average Number of Shares Outstanding, Basic and Diluted | 331 | 331 | 331 | 334.4 | |||||||
Comprehensive income per share - basic and diluted | $ 0.44 | $ 0.99 | $ 0.40 | $ 0.35 | $ (1.19) | $ 1.25 | $ 0.73 | $ 0.01 |
Subsequent Event (Details)
Subsequent Event (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Feb. 13, 2018 | Sep. 30, 2017 | Sep. 12, 2017 | May 05, 2017 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 |
Subsequent Event [Line Items] | |||||||||||||
Common Stock, Dividends, Per Share, Declared | $ 0.54 | $ 0.54 | $ 0.54 | $ 0.54 | $ 0.54 | $ 0.56 | $ 0.60 | $ 0.60 | |||||
Stock Issued During Period, Shares, New Issues | 7.6 | 28.2 | 24.5 | ||||||||||
Stock Issued During Period, Value, New Issues | $ 0 | $ 1,000 | $ 1,000 | $ 1,238 | |||||||||
Subsequent Event [Member] | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Common Stock, Dividends, Per Share, Declared | $ 0.18 | ||||||||||||
Common Stock [Member] | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Stock Issued During Period, Shares, New Issues | 60.3 | ||||||||||||
Stock Issued During Period, Value, New Issues | $ 1 |