Document and Entity Information
Document and Entity Information - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2020 | Jan. 31, 2021 | Jun. 30, 2020 | |
Entity Information [Line Items] | |||
Entity Incorporation, State or Country Code | DE | ||
Document Transition Report | false | ||
Document Quarterly Report | true | ||
Entity Tax Identification Number | 26-1701984 | ||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2020 | ||
Entity File Number | 001-34057 | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | AGNC INVESTMENT CORP. | ||
Entity Address, Address Line One | 2 Bethesda Metro Center, 12th Floor | ||
Entity Address, City or Town | Bethesda | ||
Entity Address, State or Province | MD | ||
Entity Address, Postal Zip Code | 20814 | ||
City Area Code | 301 | ||
Local Phone Number | 968-9315 | ||
Entity Central Index Key | 0001423689 | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Common Stock, Shares Outstanding | 537,899,803 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Shell Company | false | ||
Entity Public Float | $ 5.7 | ||
ICFR Auditor Attestation Flag | true | ||
Common Stock [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Common Stock, par value $0.01 per share | ||
Trading Symbol | AGNC | ||
Security Exchange Name | NASDAQ | ||
Depository shares each representing a 1/1,000th interest in a share of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | AGNCN | ||
Security Exchange Name | NASDAQ | ||
Depository shares each representing a 1/1,000th interest in a share of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | AGNCM | ||
Security Exchange Name | NASDAQ | ||
Depository shares each representing a 1/1000th interest in a share of 6.500% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | AGNCO | ||
Security Exchange Name | NASDAQ | ||
Depositary shares each representing a 1/1000th interest in a share of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | AGNCP | ||
Security Exchange Name | NASDAQ |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Assets: | ||
Agency securities, at fair value (including pledged securities of $53,698 and $92,608, respectively) | $ 64,836 | $ 98,516 |
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 295 | 371 |
Credit risk transfer securities, at fair value (including pledged securities of $455 and $309, respectively) | 737 | 976 |
Non-Agency securities, at fair value (including pledged securities of $458 and $0, respectively) | 546 | 579 |
U.S. Treasury securities, at fair value (including pledged securities of $0 and $97, respectively) | 0 | 97 |
Cash and cash equivalents | 1,017 | 831 |
Restricted cash | 1,307 | 451 |
Derivative assets, at fair value | 391 | 190 |
Receivable for investment securities sold (including pledged securities of $207 and $0, respectively) | 210 | 0 |
Receivable under reverse repurchase agreements | 11,748 | 10,181 |
Goodwill and other intangible assets, net | 526 | 526 |
Other assets | 204 | 364 |
Total assets | 81,817 | 113,082 |
Liabilities: | ||
Repurchase Agreements | 52,366 | 89,182 |
Debt of consolidated variable interest entities, at fair value | 177 | 228 |
Payable for investment securities purchased | 6,157 | 2,554 |
Derivative liabilities, at fair value | 2 | 6 |
Dividends payable | 90 | 104 |
Accounts payable and other liabilities | 219 | 424 |
Total liabilities | 70,738 | 102,041 |
Stockholders' equity: | ||
Preferred Stock - aggregate liquidation preference of $1,538 and $963, respectively | 1,489 | 932 |
Common stock - $0.01 par value; 1,500 and 900 shares authorized, respectively; 539.5 and 540.9 shares issued and outstanding, respectively | 5 | 5 |
Additional paid-in capital | 13,972 | 13,893 |
Retained deficit | (5,106) | (3,886) |
Accumulated other comprehensive income | 719 | 97 |
Total stockholders' equity | 11,079 | 11,041 |
Total liabilities and stockholders' equity | 81,817 | 113,082 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 11,727 | $ 9,543 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 54,314,000 | $ 92,547,000 |
Preferred Stock, Liquidation Preference, Value | 1,538,000 | $ 963,000 |
Preferred Stock C, Liquidation Preference, Value | 325,000 | |
Preferred Stock D, Liquidation Preference, Value | $ 235,000 | |
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 1,500,000 | 900,000 |
Common Stock, Shares, Issued | 539,500 | 540,900 |
Common Stock, Shares, Outstanding | 539,500 | 540,900 |
Common Stock [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Depository shares each representing a 1/1,000th interest in a share of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Depository shares each representing a 1/1,000th interest in a share of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Depository shares each representing a 1/1000th interest in a share of 6.500% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Depositary shares each representing a 1/1000th interest in a share of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Title of 12(b) Security | Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Agency Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 53,698,000 | $ 92,608,000 |
Credit Risk Transfer Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 455,000 | 309,000 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 458,000 | 0 |
US Treasury Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 481,000 |
Receivable for securities sold [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 207,000 | |
Asset Pledged as Collateral [Member] | Credit Risk Transfer Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 455,000 | 309,000 |
Asset Pledged as Collateral [Member] | US Treasury Securities [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 0 | $ 97,000 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) shares in Millions, $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Issuance costs of redeemed preferred stock | $ 0 | $ 6 | $ 0 |
Dividends declared per common share | $ 1.560000 | $ 2 | $ 2.160000 |
Net gain (loss) on sale of investment securities | $ 1,126 | $ 388 | $ (137) |
Unrealized gain (loss) on investment securities measured at fair value through net income, net | 319 | 2,014 | (297) |
(Loss) gain on derivative instruments and other securities, net | (2,463) | (2,324) | (167) |
Management Fee Income | 0 | 0 | 54 |
Nonoperating Income (Expense) | (1,018) | 78 | (547) |
Interest income | 1,519 | 2,842 | 1,949 |
Interest expense | 674 | 2,149 | 1,173 |
Net interest income | 845 | 693 | 776 |
Labor and Related Expense | 56 | 47 | 45 |
General and administrative expenses | 37 | 36 | 55 |
Total expenses | 93 | 83 | 100 |
Net income (loss) | (266) | 688 | 129 |
Dividend on preferred stock | 96 | 54 | 36 |
Net income (loss) available (attributable) to common shareholders | (362) | 628 | 93 |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax | 622 | 1,040 | (598) |
Comprehensive (loss) income | 356 | 1,728 | (469) |
Comprehensive (loss) income (attributable) available to common shareholders | $ 260 | $ 1,668 | $ (505) |
Weighted average number of common shares outstanding - basic | 551.6 | 540.6 | 441.1 |
Weighted average number of common shares outstanding - diluted | 551.6 | 541.4 | 441.4 |
Earnings Per Share, Basic | $ (0.66) | $ 1.16 | $ 0.21 |
Net income (loss) per common share - diluted | $ (0.66) | $ 1.16 | $ 0.21 |
Interest income: | |||
Interest income | $ 1,519 | $ 2,842 | $ 1,949 |
Interest expense | 674 | 2,149 | 1,173 |
Net interest income | 845 | 693 | 776 |
Other gain (loss), net: | |||
Gain (loss) on sale of investment securities, net | 1,126 | 388 | (137) |
Unrealized gain (loss) on investment securities measured at fair value through net income, net | 319 | 2,014 | (297) |
Loss on derivative instruments and other securities, net | (2,463) | (2,324) | (167) |
Expenses: | |||
Compensation and benefits | 56 | 47 | 45 |
Other operating expense | 37 | 36 | 55 |
Total operating expense | 93 | 83 | 100 |
Net income (loss) | (266) | 688 | 129 |
Dividend on preferred stock | 96 | 54 | 36 |
Net income (loss) available (attributable) to common stockholders | (362) | 628 | 93 |
Other comprehensive income (loss): | |||
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net | (622) | (1,040) | 598 |
Comprehensive income (loss) | 356 | 1,728 | (469) |
Comprehensive income (loss) available (attributable) to common stockholders | $ 260 | $ 1,668 | $ (505) |
Weighted average number of common shares outstanding - basic | 551.6 | 540.6 | 441.1 |
Weighted average number of common shares outstanding - diluted | 551.6 | 541.4 | 441.4 |
Net income (loss) per common share - basic | $ (0.66) | $ 1.16 | $ 0.21 |
Net income (loss) per common share - diluted | $ (0.66) | $ 1.16 | $ 0.21 |
Consolidated Statement of Stock
Consolidated Statement of Stockholders' Equity - USD ($) shares in Thousands, $ in Thousands | Total | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] | Accumulated Other Comprehensive Income (Loss) [Member] |
Balance, value at Dec. 31, 2018 | $ 9,906,000 | $ 484,000 | $ 5,000 | $ 13,793,000 | $ (3,433,000) | $ (943,000) |
Balance, Common Stock, shares at Dec. 31, 2018 | 536,300 | |||||
Net income (loss) | 688,000 | 688,000 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | $ 1,040,000 | 1,040,000 | ||||
Shares Issued, Shares, Share-based Payment Arrangement, before Forfeiture | 100 | |||||
APIC, Share-based Payment Arrangement, Recognition and Exercise | $ 13,000 | 13,000 | ||||
Stock Repurchased During Period, Shares | (6,900) | (6,900) | ||||
Proceeds from Issuance of Preferred Stock and Preference Stock | $ 617,000 | |||||
Stock Redeemed or Called During Period, Shares | (169,000) | |||||
Issuance costs of redeemed preferred stock | $ (6,000) | |||||
Stock Issued During Period, Shares, New Issues | 11,400 | 11,400 | ||||
Stock Issued During Period, Value, New Issues | $ 190,000 | 190,000 | ||||
Stock Repurchased During Period, Value | 103,000 | 103,000 | ||||
Payments for Repurchase of Common Stock | 103,000 | |||||
Preferred dividends declared | (54,000) | (54,000) | ||||
Common dividends declared | (1,081,000) | (1,081,000) | ||||
Balance, value at Dec. 31, 2019 | $ 11,041,000 | 932,000 | $ 5,000 | 13,893,000 | (3,886,000) | 97,000 |
Balance, Common Stock, shares at Dec. 31, 2019 | 540,900 | 540,900 | ||||
Net income (loss) | $ (266,000) | (266,000) | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | $ 622,000 | 622,000 | ||||
Shares Issued, Shares, Share-based Payment Arrangement, before Forfeiture | 100 | |||||
APIC, Share-based Payment Arrangement, Recognition and Exercise | $ 18,000 | 18,000 | ||||
Stock Repurchased During Period, Shares | (28,200) | |||||
Proceeds from Issuance of Preferred Stock and Preference Stock | $ 557,000 | |||||
Issuance costs of redeemed preferred stock | $ 0 | |||||
Stock Issued During Period, Shares, New Issues | 26,700 | 26,700 | ||||
Stock Issued During Period, Value, New Issues | $ 439,000 | $ 1,000 | 438,000 | |||
Stock Repurchased During Period, Value | 378,000 | 1,000 | 377,000 | |||
Payments for Repurchase of Common Stock | 378,000 | |||||
Preferred dividends declared | (96,000) | (96,000) | ||||
Common dividends declared | (858,000) | (858,000) | ||||
Balance, value at Dec. 31, 2020 | $ 11,079,000 | 1,489,000 | $ 5,000 | 13,972,000 | (5,106,000) | 719,000 |
Balance, Common Stock, shares at Dec. 31, 2020 | 539,500 | 539,500 | ||||
Balance, value at Sep. 30, 2020 | $ 8,754,000 | 484,000 | $ 4,000 | 11,173,000 | (2,562,000) | (345,000) |
Balance, Common Stock, shares at Sep. 30, 2020 | 391,300 | |||||
Net income (loss) | 129,000 | 129,000 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | (598,000) | (598,000) | ||||
APIC, Share-based Payment Arrangement, Recognition and Exercise | 10,000 | 10,000 | ||||
Stock Repurchased During Period, Value | 2,611,000 | |||||
Preferred dividends declared | (36,000) | (36,000) | ||||
Common dividends declared | (964,000) | (964,000) | ||||
Balance, value at Dec. 31, 2020 | $ 11,079,000 | $ 1,489,000 | $ 5,000 | $ 13,972,000 | $ (5,106,000) | $ 719,000 |
Balance, Common Stock, shares at Dec. 31, 2020 | 539,500 | 539,500 |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement of Cash Flows [Abstract] | |||
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | $ 2,324,000 | $ 1,282,000 | $ 1,520,000 |
Interest Paid, Including Capitalized Interest, Operating and Investing Activities | 866,000 | 2,097,000 | 1,090,000 |
Operating activities: | |||
Net income (loss) | (266,000) | 688,000 | 129,000 |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Amortization of premiums and discounts on mortgage-backed securities, net | 1,082,000 | 601,000 | 331,000 |
Amortization of intangible assets | 0 | 0 | 25,000 |
Stock based compensation | 18,000 | 13,000 | 6,000 |
(Gain) loss on sale of investment securities, net | (1,126,000) | (388,000) | 137,000 |
Unrealized (gain) loss on investment securities measured at fair value through net income, net | (319,000) | (2,014,000) | 297,000 |
Loss on derivative instruments and other securities, net | 2,463,000 | 2,324,000 | 167,000 |
(Increase) decrease in other assets | 119,000 | (35,000) | (100,000) |
Increase (decrease) in accounts payable and other accrued liabilities | (224,000) | (9,000) | 121,000 |
Net cash provided by operating activities | 1,747,000 | 1,180,000 | 1,113,000 |
Investing activities: | |||
Purchases of Agency mortgage-backed securities | (56,521,000) | (47,548,000) | (42,586,000) |
Purchases of credit risk transfer and non-Agency securities | (765,000) | (1,406,000) | (1,572,000) |
Proceeds from sale of Agency mortgage-backed securities | 77,294,000 | 23,212,000 | 8,132,000 |
Proceeds from sale of credit risk transfer and non-Agency securities | 896,000 | 1,437,000 | 891,000 |
Principal collections on Agency mortgage-backed securities | 17,373,000 | 12,810,000 | 7,170,000 |
Principal collections on credit risk transfer and non-Agency securities | 131,000 | 20,000 | 15,000 |
Payments on U.S. Treasury securities | (24,497,000) | (26,823,000) | (10,829,000) |
Proceeds from U.S. Treasury securities | 25,978,000 | 13,555,000 | 21,308,000 |
Net proceeds from (payments on) reverse repurchase agreements | (1,530,000) | 11,962,000 | (10,571,000) |
Net proceeds from (payments on) derivative instruments | (1,834,000) | (1,437,000) | 76,000 |
Net cash provided by (used in) investing activities | 36,525,000 | (14,218,000) | (27,936,000) |
Financing activities: | |||
Proceeds from repurchase arrangements | 3,133,008,000 | 4,234,972,000 | 2,031,463,000 |
Payments on repurchase agreements | (3,169,824,000) | (4,221,507,000) | (2,006,042,000) |
Payments on debt of consolidated variable interest entities | (62,000) | (55,000) | (78,000) |
Net proceeds from preferred stock issuance | (557,000) | (617,000) | 0 |
Payments for preferred stock redemptions | 0 | (175,000) | 0 |
Net proceeds from common stock issuance | 439,000 | 190,000 | 2,611,000 |
Payments for common stock repurchases | (378,000) | (103,000) | 0 |
Cash dividends paid | (970,000) | (1,139,000) | (974,000) |
Net cash provided by (used in) financing activities | (37,230,000) | 12,800,000 | 26,980,000 |
Net change in cash and cash equivalents | 1,042,000 | (238,000) | 157,000 |
Cash and cash equivalents at end of period | 1,017,000 | 831,000 | |
Supplemental disclosure to cash flow information: | |||
Payments for (Proceeds from) Other Investing Activities | $ 0 | $ 0 | $ 30,000 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2020 | |
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 invest primarily in Agency residential mortgage-backed securities ("Agency RMBS") for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise ("GSE") or a U.S. Government agency. We also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency, and other assets related to the housing, mortgage or real estate markets. We fund our investments primarily through collateralized borrowings structured as repurchase agreements. We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code"). As a REIT, we are required to distribute annually 90% of our taxable income, and we will generally not be subject to U.S. federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100% of our taxable income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year. We are internally managed with the principal objective of providing our stockholders with attractive risk-adjusted returns through a combination of monthly dividends and tangible net book value accretion. We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2020 | |
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. Investment Securities Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS. All of our securities are reported at fair value on our consolidated balance sheet. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for securities pursuant to ASC Topic 825, Financial Instruments . Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"), whereas unrealized gains and losses on securities for which we elected the fair value option, or are classified as trading, are reported in net income through other gain (loss). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments. We generally recognize gains or losses through net income on available-for-sale securities only if the security is sold; however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair in net income as a component of other gain (loss). Since all of our available-for-sale designated securities consist of Agency RMBS, we do not have an allowance for credit losses. We have not recognized impairment losses on our available-for-sale securities through net income for the periods presented in our consolidated financial statements. Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments, using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, primary to secondary mortgage rate spreads, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service for reasonableness with consideration given to both historical prepayment speeds and current market conditions. If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape, such as during periods of elevated market uncertainty or unique market conditions, we may make adjustments to the models. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date through the reporting date. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment adjusted for credit impairments, if any. Repurchase Agreements We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with financial institutions. Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date. We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments. Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase agreements as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year but may extend up to five years or more. Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less. Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS. We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. 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. Interest rate swap agreements We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the Secured Overnight Financing Rate ("SOFR"), Overnight Index Swap Rate ("OIS") or three-month London Interbank Offered Rate ("LIBOR"). Our interest rate swaps typically have terms from one to 10 years but may extend up to 20 years or more. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability. Interest rate swaptions We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our interest rate swaption agreements are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent of interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. U.S. Treasury securities We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying U.S. Treasury security as of the reporting date. Gains and losses associated with U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Fair Value Measurements We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date. We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: • Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date. • Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated. The majority of our financial instruments are classified as Level 2 inputs. The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. We typically obtain price estimates from multiple third-party pricing sources, such as pricing services and dealers, or, if applicable, the registered clearing exchange. We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity. We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities and for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation procedures and our market knowledge and expertise that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price. The following is a description of the valuation methodologies used for instruments measured at fair value on a recurring basis classified as Level 2 inputs. These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of these markets and the similarity of our securities and derivative instruments to those actively traded enable our pricing sources and us to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Investment securities - are valued based on prices obtained from multiple third-party pricing sources. The pricing sources utilize various valuation approaches, including market and income approaches. For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, which may include maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities. TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity. Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve. Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any. U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs. Consolidated 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. As of December 31, 2020 and 2019, our consolidated financial statements reflect the consolidation of certain VIEs for which we have determined we are the primary beneficiary. The consolidated VIEs consist of CMO trusts 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 the 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. Cash and Cash Equivalents Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. Restricted Cash Restricted cash includes cash pledged as collateral for clearing and executing trades, repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. Goodwill 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. As of December 31, 2020 and 2019, we had $526 million of goodwill related to our acquisition of AGNC Management, LLC, our former manager, on July 1, 2016. Goodwill is not subject to amortization but must be tested for impairment at least annually 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 the reporting unit's fair value. If the reporting units' carrying value 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. During fiscal years 2020, 2019, and 2018, we did not recognize a goodwill impairment charge. Stock-Based Compensation Under our 2016 AGNC Investment Corp. Equity and Incentive Compensation Plan (the "2016 Equity Plan" or "the Plan"), we may grant equity-based compensation to our officers and other employees and non-employee directors for the purpose of providing incentives and rewards for service or performance. Stock-based awards issued under the Plan include time-based and performance-based restricted stock unit awards ("RSU" and "PSU" awards, respectively), but may include other forms of equity-based compensation. RSU and PSU awards are 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. RSU awards vest over a specified service period. PSU awards vest over a specified service period subject to achieving long-term performance criteria. We measure and recognize compensation expense for all stock-based payment awards made to employees and non-employee directors based on their fair values. We value RSU and PSU 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 PSU 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 RSU and PSU awards are issued on the vesting dates, or later if distribution of such shares has been deferred beyond the vesting date, net of shares withheld for 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 awards outstanding. When shares are withheld for statutory tax withholdings, we record a liability for tax withholding amounts to be paid by us as a reduction to additional paid-in capital. Recent Accounting Pronouncements We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption. |
Basis of Accounting | Basis of Presentation and ConsolidationOur 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. |
Investment Securities
Investment Securities | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | 3 years and ≤ 5 years 47,740 45,578 3.54% 2.42% 10,822 10,563 3.85% 3.20% > 5 years and ≤10 years 15,019 14,541 2.87% 2.08% 86,492 85,002 3.67% 3.07% > 10 years 13 13 5.56% 3.59% 457 451 3.31% 3.06% Total $ 66,414 $ 63,701 3.39% 2.33% $ 100,442 $ 98,670 3.68% 3.07% 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, 2020 and 2019 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Unrealized Unrealized Fair Unrealized December 31, 2020 $ — $ — $ — $ — $ — $ — December 31, 2019 $ 1,653 $ (12) $ 6,984 $ (63) $ 8,637 $ (75) 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 2020, 2019 and 2018 by investment classification of accounting (in millions): Fiscal Year 2020 Fiscal Year 2019 Fiscal Year 2018 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total 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 $ (2,310) $ (74,964) $ (77,274) $ (732) $ (23,040) $ (23,772) $ (4,306) $ (5,344) $ (9,650) Proceeds from investment securities sold 1 2,391 76,009 78,400 723 23,437 24,160 4,227 5,286 9,513 Net gain (loss) on sale of investment securities $ 81 $ 1,045 $ 1,126 $ (9) $ 397 $ 388 $ (79) $ (58) $ (137) Gross gain on sale of investment securities $ 81 $ 1,149 $ 1,230 $ — $ 401 $ 401 $ 6 $ 16 $ 22 Gross loss on sale of investment securities — (104) (104) (9) (4) (13) (85) (74) (159) Net gain (loss) on sale of investment securities $ 81 $ 1,045 $ 1,126 $ (9) $ 397 $ 388 $ (79) $ (58) $ (137) ________________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end." id="sjs-B4">Investment Securities As of December 31, 2020 and 2019, our investment portfolio consisted of $66.4 billion and $100.4 billion of investment securities, at fair value, respectively, and $31.5 billion and $7.4 billion of net TBA securities, at fair value, respectively. Our net TBA position is reported at its net carrying value of $275 million and $25 million as of December 31, 2020 and 2019, 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, 2020 and 2019, our investment securities had a net unamortized premium balance of $2.4 billion and $3.1 billion, respectively. The following tables summarize our investment securities as of December 31, 2020 and 2019, 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, 2020 December 31, 2019 Investment Securities Amortized Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 61,977 $ 64,615 $ 96,375 $ 98,074 Adjustable rate 69 70 160 163 CMO 289 301 441 447 Interest-only and principal-only strips 105 126 146 164 Multifamily 17 19 37 39 Total Agency RMBS 62,457 65,131 97,159 98,887 Non-Agency RMBS 178 188 198 209 CMBS 333 358 352 370 CRT securities 733 737 961 976 Total investment securities $ 63,701 $ 66,414 $ 98,670 $ 100,442 December 31, 2020 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie RMBS CMBS CRT Total Available-for-sale securities: Par value $ 9,325 $ 3,416 $ 2 $ — $ — $ — $ 12,743 Unamortized discount (4) (1) — — — — (5) Unamortized premium 389 152 — — — — 541 Amortized cost 9,710 3,567 2 — — — 13,279 Gross unrealized gains 539 180 — — — — 719 Gross unrealized losses — — — — — — — Total available-for-sale securities, at fair value 10,249 3,747 2 — — — 13,998 Securities remeasured at fair value through earnings: Par value 32,824 14,447 3 187 331 735 48,527 Unamortized discount (18) (1) — (12) (3) (12) (46) Unamortized premium 1,314 607 — 4 6 10 1,941 Amortized cost 34,120 15,053 3 179 334 733 50,422 Gross unrealized gains 1,280 683 — 11 28 12 2,014 Gross unrealized losses (5) (1) — (2) (4) (8) (20) Total securities remeasured at fair value through earnings 35,395 15,735 3 188 358 737 52,416 Total securities, at fair value $ 45,644 $ 19,482 $ 5 $ 188 $ 358 $ 737 $ 66,414 Weighted average coupon as of December 31, 2020 3.30 % 3.56 % 4.73 % 4.28 % 4.13 % 3.43 % 3.39 % Weighted average yield as of December 31, 2020 1 2.25 % 2.39 % 2.46 % 4.33 % 4.29 % 3.71 % 2.33 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 17.6% based on forward rates as of December 31, 2020. December 31, 2019 Agency RMBS Non-Agency Investment Securities Fannie Freddie Mac Ginnie RMBS CMBS CRT Total Available-for-sale securities: Par value $ 14,301 $ 4,762 $ 18 $ — $ — $ — $ 19,081 Unamortized discount (10) (2) — — — — (12) Unamortized premium 711 276 — — — — 987 Amortized cost 15,002 5,036 18 — — — 20,056 Gross unrealized gains 142 29 1 — — — 172 Gross unrealized losses (50) (25) — — — — (75) Total available-for-sale securities, at fair value 15,094 5,040 19 — — — 20,153 Securities remeasured at fair value through earnings: Par value 45,106 29,881 — 208 348 937 76,480 Unamortized discount (68) (2) — (10) (3) (2) (85) Unamortized premium 1,218 967 — 1 7 26 2,219 Amortized cost 46,256 30,846 — 199 352 961 78,614 Gross unrealized gains 991 691 — 10 19 18 1,729 Gross unrealized losses (32) (18) — — (1) (3) (54) Total securities remeasured at fair value through earnings 47,215 31,519 — 209 370 976 80,289 Total securities, at fair value $ 62,309 $ 36,559 $ 19 $ 209 $ 370 $ 976 $ 100,442 Weighted average coupon as of December 31, 2019 3.62 % 3.75 % 3.77 % 4.05 % 4.49 % 5.07 % 3.68 % Weighted average yield as of December 31, 2019 1 3.03 % 3.09 % 2.08 % 4.39 % 4.38 % 4.05 % 3.07 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 10.8% based on forward rates as of December 31, 2019. As of December 31, 2020 and 2019, our investments in CRT and non-Agency securities had the following credit ratings: December 31, 2020 December 31, 2019 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS CMBS CRT RMBS CMBS AAA $ — $ — $ 35 $ — $ — $ 43 AA — 20 190 — 81 214 A — 32 28 13 25 34 BBB 28 83 55 67 71 69 BB 167 36 43 471 21 10 B 304 6 7 308 4 — Not Rated 238 11 — 117 7 — Total $ 737 $ 188 $ 358 $ 976 $ 209 $ 370 ________________________________ 1. Represents the lowest of Standard and Poor's ("S&P"), Moody's, Fitch, DBRS, Kroll Bond Rating Agency ("KBRA") and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date. Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards. The actual maturities of our investment securities are generally shorter than their stated contractual maturities. The actual maturities of our Agency and high credit quality non-Agency RMBS are primarily affected by principal prepayments and to a lesser degree the contractual lives of the underlying mortgages and periodic contractual principal repayments. The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates. As of December 31, 2020 and 2019, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 17.6% and 10.8%, 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, 2020 and 2019 according to their estimated weighted average life classification (dollars in millions): December 31, 2020 December 31, 2019 Estimated Weighted Average Life of Investment Securities Fair Value Amortized Weighted Weighted Fair Value Amortized Weighted Weighted ≤ 3 years $ 3,642 $ 3,569 3.56% 2.15% $ 2,671 $ 2,654 3.54% 2.61% > 3 years and ≤ 5 years 47,740 45,578 3.54% 2.42% 10,822 10,563 3.85% 3.20% > 5 years and ≤10 years 15,019 14,541 2.87% 2.08% 86,492 85,002 3.67% 3.07% > 10 years 13 13 5.56% 3.59% 457 451 3.31% 3.06% Total $ 66,414 $ 63,701 3.39% 2.33% $ 100,442 $ 98,670 3.68% 3.07% 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, 2020 and 2019 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Unrealized Unrealized Fair Unrealized December 31, 2020 $ — $ — $ — $ — $ — $ — December 31, 2019 $ 1,653 $ (12) $ 6,984 $ (63) $ 8,637 $ (75) 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 2020, 2019 and 2018 by investment classification of accounting (in millions): Fiscal Year 2020 Fiscal Year 2019 Fiscal Year 2018 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total 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 $ (2,310) $ (74,964) $ (77,274) $ (732) $ (23,040) $ (23,772) $ (4,306) $ (5,344) $ (9,650) Proceeds from investment securities sold 1 2,391 76,009 78,400 723 23,437 24,160 4,227 5,286 9,513 Net gain (loss) on sale of investment securities $ 81 $ 1,045 $ 1,126 $ (9) $ 397 $ 388 $ (79) $ (58) $ (137) Gross gain on sale of investment securities $ 81 $ 1,149 $ 1,230 $ — $ 401 $ 401 $ 6 $ 16 $ 22 Gross loss on sale of investment securities — (104) (104) (9) (4) (13) (85) (74) (159) Net gain (loss) on sale of investment securities $ 81 $ 1,045 $ 1,126 $ (9) $ 397 $ 388 $ (79) $ (58) $ (137) ________________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. |
Repurchase Agreements And Rever
Repurchase Agreements And Reverse Repurchase Agreements | 12 Months Ended |
Dec. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements And Other Debt | 1 to ≤ 3 months 13,434 0.27 % 57 20,761 2.01 % 53 > 3 to ≤ 6 months 7,317 0.28 % 142 5,683 2.19 % 100 > 6 to ≤ 9 months 660 0.24 % 208 1,500 2.66 % 182 > 9 to ≤ 12 months 1,450 0.15 % 354 2,152 2.41 % 351 > 12 to ≤ 24 months — — % — 625 2.38 % 411 > 24 to ≤ 36 months — — % — 1,700 2.45 % 833 Total Agency repo 52,366 0.24 % 54 89,085 2.17 % 55 U.S. Treasury repo: > 1 day to ≤ 1 month — — % — 97 1.63 % 2 Total $ 52,366 0.24 % 54 $ 89,182 2.17 % 55 As of December 31, 2020 and 2019, $11.2 billion and $17.0 billion, respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand. As of December 31, 2020, we had $2.9 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 4 days and a weighted average interest rate of 0.12%. As of 2019, we had $4.5 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 12 days and a weighted average interest rate of 1.60%. As of December 31, 2020 and 2019, 47% and 40%, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 46% and 38% of our repurchase agreement funding outstanding as of December 31, 2020 and 2019, respectively. During fiscal year 2020, we terminated $3.7 billion of repurchase agreements with a weighted average interest rate of 2.11% and a weighted average remaining maturity of 2.2 years. The terminated agreements were replaced with shorter duration repurchase agreements at lower prevailing market rates. We recognized losses on debt extinguishment of $146 million in other gain (loss), net for fiscal year 2020 associated with the terminated repurchase agreements. We did not terminate any repurchase agreements during the prior two year period. Reverse Repurchase Agreements" id="sjs-B4">Repurchase Agreements and Reverse Repurchase Agreements Repurchase Agreements We pledge our securities as collateral under our borrowings structured as repurchase agreements with financial institutions. Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of December 31, 2020, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6. As of December 31, 2020 and 2019, we had $52.4 billion and $89.2 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S. Treasury securities. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis. Our repurchase agreements with original maturities greater than one year may have floating interest rates based on an index plus or minus a fixed spread. The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of December 31, 2020 and 2019 (dollars in millions): December 31, 2020 December 31, 2019 Remaining Maturity Repurchase Agreements Weighted Weighted Repurchase Agreements Weighted Weighted Agency repo: ≤ 1 month $ 29,505 0.22 % 12 $ 56,664 2.19 % 10 > 1 to ≤ 3 months 13,434 0.27 % 57 20,761 2.01 % 53 > 3 to ≤ 6 months 7,317 0.28 % 142 5,683 2.19 % 100 > 6 to ≤ 9 months 660 0.24 % 208 1,500 2.66 % 182 > 9 to ≤ 12 months 1,450 0.15 % 354 2,152 2.41 % 351 > 12 to ≤ 24 months — — % — 625 2.38 % 411 > 24 to ≤ 36 months — — % — 1,700 2.45 % 833 Total Agency repo 52,366 0.24 % 54 89,085 2.17 % 55 U.S. Treasury repo: > 1 day to ≤ 1 month — — % — 97 1.63 % 2 Total $ 52,366 0.24 % 54 $ 89,182 2.17 % 55 As of December 31, 2020 and 2019, $11.2 billion and $17.0 billion, respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand. As of December 31, 2020, we had $2.9 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 4 days and a weighted average interest rate of 0.12%. As of 2019, we had $4.5 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 12 days and a weighted average interest rate of 1.60%. As of December 31, 2020 and 2019, 47% and 40%, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 46% and 38% of our repurchase agreement funding outstanding as of December 31, 2020 and 2019, respectively. During fiscal year 2020, we terminated $3.7 billion of repurchase agreements with a weighted average interest rate of 2.11% and a weighted average remaining maturity of 2.2 years. The terminated agreements were replaced with shorter duration repurchase agreements at lower prevailing market rates. We recognized losses on debt extinguishment of $146 million in other gain (loss), net for fiscal year 2020 associated with the terminated repurchase agreements. We did not terminate any repurchase agreements during the prior two year period. Reverse Repurchase Agreements |
Derivative and Other Hedging In
Derivative and Other Hedging Instruments | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
US Government Futures Securities [Table Text Block] | U.S. Treasury Futures December 31, 2020 December 31, 2019 Maturity Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 10 years $ (1,000) $ (1,379) $ (1,381) $ (2) $ (1,000) $ (1,298) $ (1,284) $ 14 ________________________________ |
Derivative and Other Hedging Instruments | Derivative and Other Hedging InstrumentsWe hedge a portion of our interest rate risk primarily utilizing interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We utilize TBA securities primarily as a means of investing in the Agency securities market. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 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, 2020 and 2019 (in millions): December 31, Derivative and Other Hedging Instruments Balance Sheet Location 2020 2019 Interest rate swaps Derivative assets, at fair value $ — $ 21 Swaptions Derivative assets, at fair value 116 126 TBA securities Derivative assets, at fair value 275 29 U.S. Treasury futures - short Derivative assets, at fair value — 14 Total derivative assets, at fair value $ 391 $ 190 Interest rate swaps Derivative liabilities, at fair value $ — $ (2) TBA securities Derivative liabilities, at fair value — (4) U.S. Treasury futures - short Derivative liabilities, at fair value (2) — Total derivative liabilities, at fair value $ (2) $ (6) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ — $ 97 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (11,727) (9,543) Total U.S. Treasury securities, net at fair value $ (11,727) $ (9,446) The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of December 31, 2020 and 2019 (dollars in millions): December 31, 2020 December 31, 2019 Pay Fixed / Receive Variable Interest Rate Swaps Notional Average Average Average Notional Average Average Average ≤ 3 years $ 8,750 0.04% 0.08% 2.4 $ 59,700 1.30% 1.58% 1.6 > 3 to ≤ 5 years 17,000 0.10% 0.08% 4.1 9,850 1.17% 1.55% 3.8 > 5 to ≤ 7 years 9,800 0.21% 0.08% 5.8 5,650 1.34% 1.70% 6.4 > 7 to ≤ 10 years 6,200 0.28% 0.07% 8.5 2,850 1.36% 1.58% 8.9 > 10 years 1,475 0.47% 0.07% 14.2 1,025 1.64% 1.78% 15.4 Total $ 43,225 0.15% 0.08% 5.1 $ 79,075 1.29% 1.59% 2.7 Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount) December 31, 2020 December 31, 2019 SOFR 71 % 3 % OIS 29 % 86 % 3M LIBOR — % 11 % Total 100 % 100 % Swaptions Option Underlying Payer Swap Current Option Expiration Date Cost Basis Fair Value Average Months to Current Option Expiration Date 1 Notional Average Fixed Pay Rate 2 Average December 31, 2020 ≤ 1 year $ 123 $ 15 5 $ 5,900 2.17% 9.2 > 1 year ≤ 2 years 41 33 20 2,000 1.38% 10.0 > 2 year ≤ 3 years 65 60 33 2,250 1.40% 10.0 > 3 year ≤ 4 years 8 8 40 250 1.43% 10.0 Total $ 237 $ 116 15 $ 10,400 1.84% 9.5 December 31, 2019 ≤ 1 year $ 123 $ 80 8 $ 5,650 2.26% 9.3 > 1 year ≤ 2 years 53 46 16 3,200 2.50% 10.0 Total $ 176 $ 126 11 $ 8,850 2.34% 9.5 ________________________________ 1. As of December 31, 2020 and 2019, ≤ 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. 2. As of December 31, 2020, 33% and 67% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively, and, as of 2019, 100% of the underlying payer swap receive rates were tied to 3-Month LIBOR. U.S. Treasury Securities December 31, 2020 December 31, 2019 Maturity Face Amount Long/(Short) Cost Basis 1 Fair Value Face Amount Long/(Short) Cost Basis 1 Fair Value 5 years $ (425) $ (425) $ (425) $ 95 $ 95 $ 97 7 years (1,083) (1,081) (1,089) — — — 10 years (9,780) (9,862) (10,213) (9,224) (9,329) (9,543) Total U.S. Treasury securities $ (11,288) $ (11,368) $ (11,727) $ (9,129) $ (9,234) $ (9,446) ________________________________ 1. As of December 31, 2020 and 2019, short U.S. Treasury securities had a weighted average yield of 1.20% and 2.19%, respectively, and, as of 2019, long U.S. Treasury securities had a weighted average yield of 2.21%. U.S. Treasury Futures December 31, 2020 December 31, 2019 Maturity Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 10 years $ (1,000) $ (1,379) $ (1,381) $ (2) $ (1,000) $ (1,298) $ (1,284) $ 14 ________________________________ 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, 2020 December 31, 2019 TBA Securities by Coupon Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 15-Year TBA securities: ≤ 2.0% $ 6,540 $ 6,708 $ 6,771 63 $ — $ — $ — $ — 2.5% 200 208 209 1 805 811 812 1 3.0% — — — — 1,059 1,083 1,086 3 3.5% — — — — 241 250 250 — 4.0% — — — — 75 78 78 — Total 15-Year TBA securities 6,740 6,916 6,980 64 2,180 2,222 2,226 4 30-Year TBA securities: ≤ 2.0% 19,805 20,314 20,480 166 — — — — 2.5% 3,167 3,291 3,335 44 — — — — 3.0% 528 552 553 1 5,008 5,052 5,073 21 3.5% 124 131 131 — 1,226 1,259 1,261 2 4.0% — — — — (1,507) (1,565) (1,568) (3) ≥ 4.5% — — — — 415 436 437 1 Total 30-Year TBA securities, net 23,624 24,288 24,499 211 5,142 5,182 5,203 21 Total TBA securities, net $ 30,364 $ 31,204 $ 31,479 $ 275 $ 7,322 $ 7,404 $ 7,429 $ 25 ________________________________ 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 2020, 2019 and 2018 (in millions): Derivative and Other Hedging Instruments Beginning Additions Settlement, Termination, Ending Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Fiscal Year 2020: TBA securities, net $ 7,322 286,586 (263,544) $ 30,364 $ 1,497 Interest rate swaps - payer $ 79,075 101,950 (137,800) $ 43,225 (2,766) Payer swaptions $ 8,850 7,000 (5,450) $ 10,400 (156) U.S. Treasury securities - short position $ (9,224) (18,912) 16,849 $ (11,287) (905) U.S. Treasury securities - long position $ 95 7,011 (7,106) $ — 102 U.S. Treasury futures contracts - short position $ (1,000) (4,000) 4,000 $ (1,000) (106) $ (2,334) Fiscal Year 2019: TBA securities, net $ 7,152 95,169 (94,999) $ 7,322 $ 411 Interest rate swaps - payer $ 51,625 166,975 (139,525) $ 79,075 (1,645) Interest rate swaps - receiver $ — (175) 175 $ — — Payer swaptions $ 3,500 7,650 (2,300) $ 8,850 (26) U.S. Treasury securities - short position $ (21,345) (12,601) 24,722 $ (9,224) (967) U.S. Treasury securities - long position $ 45 1,776 (1,726) $ 95 11 U.S. Treasury futures contracts - short position $ (1,650) (5,300) 5,950 $ (1,000) (109) $ (2,325) Fiscal Year 2018: TBA securities, net $ 15,474 194,534 (202,856) $ 7,152 $ (299) Interest rate swaps - payer $ 43,700 14,350 (6,425) $ 51,625 140 Payer swaptions $ 6,650 1,250 (4,400) $ 3,500 90 U.S. Treasury securities - short position $ (10,699) (19,278) 8,632 $ (21,345) (161) U.S. Treasury securities - long position $ — 1,949 (1,904) $ 45 1 U.S. Treasury futures contracts - short position $ (2,910) (7,859) 9,119 $ (1,650) 48 $ (181) ________________________________ |
Pledged Assets
Pledged Assets | 12 Months Ended |
Dec. 31, 2020 | |
Pledged Assets [Abstract] | |
Pledged Assets | 30 and ≤ 60 days 8,438 8,013 23 14,410 14,114 42 > 60 and ≤ 90 days 5,782 5,495 16 7,637 7,536 20 > 90 days 10,420 10,068 26 13,510 13,286 38 Total $ 54,314 $ 51,784 $ 147 $ 92,547 $ 90,887 $ 267 ________________________________ 1. Includes $119 million and $144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2020 and 2019, respectively. 2. Excludes $357 million of repledged U.S. Treasury securities received as collateral from counterparties as of December 31, 2019. Assets Pledged from Counterparties As of December 31, 2020 and 2019, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). December 31, 2020 December 31, 2019 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total U.S. Treasury securities - fair value 1 $ 11,727 $ — $ 13 $ 11,740 $ 10,099 $ — $ 1 $ 10,100 Cash — 107 3 110 — 116 — 116 Total $ 11,727 $ 107 $ 16 $ 11,850 $ 10,099 $ 116 $ 1 $ 10,216 ________________________________ 1. As of December 31, 2019, $357 million of U.S. Treasury securities received from counterparties were repledged as collateral and, as of December 31, 2020 and 2019, $11.7 billion and $9.5 billion, respectively, were used to cover short sales of U.S. Treasury securities. 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, 2020 and 2019 (in millions): Offsetting of Financial and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset Net Amount Financial Instruments Collateral Received 2 December 31, 2020 Interest rate swap and swaption agreements, at fair value 1 $ 116 $ — $ 116 $ — $ (105) $ 11 TBA securities, at fair value 275 — 275 — — 275 Receivable under reverse repurchase agreements 11,748 — 11,748 (6,522) (5,223) 3 Total $ 12,139 $ — $ 12,139 $ (6,522) $ (5,328) $ 289 December 31, 2019 Interest rate swap and swaption agreements, at fair value 1 $ 147 $ — $ 147 $ (2) $ (116) $ 29 TBA securities, at fair value 29 — 29 (4) — 25 Receivable under reverse repurchase agreements 10,181 — 10,181 (9,852) (329) — Total $ 10,357 $ — $ 10,357 $ (9,858) $ (445) $ 54 Offsetting of Financial and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset Net Amount Financial Instruments Collateral Pledged 2 December 31, 2020 Interest rate swap agreements, at fair value 1 $ — $ — $ — $ — $ — $ — TBA securities, at fair value — — — — — — Repurchase agreements 52,366 — 52,366 (6,522) (45,844) — Total $ 52,366 $ — $ 52,366 $ (6,522) $ (45,844) $ — December 31, 2019 Interest rate swap agreements, at fair value 1 $ 2 $ — $ 2 $ (2) $ — $ — TBA securities, at fair value 4 — 4 (4) — — Repurchase agreements 89,182 — 89,182 (9,852) (79,330) — Total $ 89,188 $ — $ 89,188 $ (9,858) $ (79,330) $ — ________________________________ 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." id="sjs-B4">Pledged Assets Our funding agreements require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract. We are typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value. Our brokerage and custody agreements and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits. If we breach our collateral requirements, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral. Our counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value. Our agreements do not specify the haircut; rather, haircuts are determined on an individual transaction basis. Consequently, our funding agreements and derivative contracts expose us to credit risk relating to potential losses that could be recognized if our counterparties fail to perform their obligations under such agreements. We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses and U.S. government agencies, and we monitor our positions with individual counterparties. In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments as and when due to us under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark-to-market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default. As of December 31, 2020, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 2% of our tangible stockholders' equity (measured as the excess of the value of collateral pledged over the amount of our repurchase liabilities). As of December 31, 2020, approximately 9% of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation. Assets Pledged to Counterparties The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2020 and 2019 (in millions): December 31, 2020 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3 Total Agency RMBS - fair value $ 53,401 $ 295 $ 365 $ 258 $ 54,319 CRT - fair value 455 — — — 455 Non-Agency - fair value 458 — — — 458 U.S. Treasury securities - fair value — — — — — Accrued interest on pledged securities 147 1 1 1 150 Restricted cash 417 — 890 — 1,307 Total $ 54,878 $ 296 $ 1,256 $ 259 $ 56,689 December 31, 2019 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3 Total Agency RMBS - fair value $ 92,142 $ 371 $ 404 $ 206 $ 93,123 CRT - fair value 309 — — — 309 U.S. Treasury securities - fair value 453 — — 28 481 Accrued interest on pledged securities 267 1 1 1 270 Restricted cash 111 — 340 — 451 Total $ 93,282 $ 372 $ 745 $ 235 $ 94,634 ________________________________ 1. Includes repledged assets received as collateral from counterparties and securities sold but not yet settled. 2. Includes $119 million and $144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2020 and 2019, respectively. 3. Includes margin for TBAs cleared through prime brokers and other clearing deposits. The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of December 31, 2020 and 2019 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . December 31, 2020 December 31, 2019 Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2 Fair Value of Pledged Securities Amortized Accrued Fair Value of Pledged Securities Amortized Accrued ≤ 30 days $ 29,674 $ 28,208 $ 82 $ 56,990 $ 55,951 $ 167 > 30 and ≤ 60 days 8,438 8,013 23 14,410 14,114 42 > 60 and ≤ 90 days 5,782 5,495 16 7,637 7,536 20 > 90 days 10,420 10,068 26 13,510 13,286 38 Total $ 54,314 $ 51,784 $ 147 $ 92,547 $ 90,887 $ 267 ________________________________ 1. Includes $119 million and $144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2020 and 2019, respectively. 2. Excludes $357 million of repledged U.S. Treasury securities received as collateral from counterparties as of December 31, 2019. Assets Pledged from Counterparties As of December 31, 2020 and 2019, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). December 31, 2020 December 31, 2019 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total U.S. Treasury securities - fair value 1 $ 11,727 $ — $ 13 $ 11,740 $ 10,099 $ — $ 1 $ 10,100 Cash — 107 3 110 — 116 — 116 Total $ 11,727 $ 107 $ 16 $ 11,850 $ 10,099 $ 116 $ 1 $ 10,216 ________________________________ 1. As of December 31, 2019, $357 million of U.S. Treasury securities received from counterparties were repledged as collateral and, as of December 31, 2020 and 2019, $11.7 billion and $9.5 billion, respectively, were used to cover short sales of U.S. Treasury securities. 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, 2020 and 2019 (in millions): Offsetting of Financial and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset Net Amount Financial Instruments Collateral Received 2 December 31, 2020 Interest rate swap and swaption agreements, at fair value 1 $ 116 $ — $ 116 $ — $ (105) $ 11 TBA securities, at fair value 275 — 275 — — 275 Receivable under reverse repurchase agreements 11,748 — 11,748 (6,522) (5,223) 3 Total $ 12,139 $ — $ 12,139 $ (6,522) $ (5,328) $ 289 December 31, 2019 Interest rate swap and swaption agreements, at fair value 1 $ 147 $ — $ 147 $ (2) $ (116) $ 29 TBA securities, at fair value 29 — 29 (4) — 25 Receivable under reverse repurchase agreements 10,181 — 10,181 (9,852) (329) — Total $ 10,357 $ — $ 10,357 $ (9,858) $ (445) $ 54 Offsetting of Financial and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset Net Amount Financial Instruments Collateral Pledged 2 December 31, 2020 Interest rate swap agreements, at fair value 1 $ — $ — $ — $ — $ — $ — TBA securities, at fair value — — — — — — Repurchase agreements 52,366 — 52,366 (6,522) (45,844) — Total $ 52,366 $ — $ 52,366 $ (6,522) $ (45,844) $ — December 31, 2019 Interest rate swap agreements, at fair value 1 $ 2 $ — $ 2 $ (2) $ — $ — TBA securities, at fair value 4 — 4 (4) — — Repurchase agreements 89,182 — 89,182 (9,852) (79,330) — Total $ 89,188 $ — $ 89,188 $ (9,858) $ (79,330) $ — ________________________________ 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. |
Fair Value Measurements
Fair Value Measurements | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of December 31, 2020 and 2019, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during fiscal years 2020 and 2019. December 31, 2020 December 31, 2019 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 64,836 $ — $ — $ 98,516 $ — Agency securities transferred to consolidated VIEs — 295 — — 371 — Credit risk transfer securities — 737 — — 976 — Non-Agency securities — 546 — — 579 — U.S. Treasury securities — — — 97 — — Interest rate swaps — — — — 21 — Swaptions — 116 — — 126 — TBA securities — 275 — — 29 — U.S. Treasury futures — — — 14 — — Total $ — $ 66,805 $ — $ 111 $ 100,618 $ — Liabilities: Debt of consolidated VIEs $ — $ 177 $ — $ — $ 228 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 11,727 — — 9,543 — — Interest rate swaps — — — — 2 — TBA securities — — — — 4 — U.S. Treasury futures 2 — — — — — Total $ 11,729 $ 177 $ — $ 9,543 $ 234 $ — Excluded from the table above are financial instruments presented in our consolidated financial statements at cost. The fair value of our repurchase agreements approximated cost as of December 31, 2020 and 2019, as the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market. The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of December 31, 2020 and 2019 due to their short duration. We estimate the fair value of these instruments carried at cost 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, 2020 | |
Net Income (Loss) Per Common Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | Fiscal Year 2020 2019 2018 Weighted average number of common shares issued and outstanding 550.6 540.2 440.9 Weighted average number of fully vested restricted stock units outstanding 1.0 0.4 0.2 Weighted average number of common shares outstanding - basic 551.6 540.6 441.1 Weighted average number of dilutive unvested restricted stock units outstanding — 0.8 0.3 Weighted average number of common shares outstanding - diluted 551.6 541.4 441.4 Net income (loss) available (attributable) to common stockholders $ (362) $ 628 $ 93 Net income (loss) per common share - basic $ (0.66) $ 1.16 $ 0.21 Net income (loss) per common share - diluted $ (0.66) $ 1.16 $ 0.21 |
Earnings Per Share [Text Block] | Net Income (Loss) Per Common Share Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time and performance-based restricted stock units ("RSUs") outstanding for the period granted under our long-term incentive program to employees and non-employee Board of Directors. Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per common share. Our potential common stock equivalents consist of unvested time and performance-based RSUs. The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated (shares and dollars in millions): Fiscal Year 2020 2019 2018 Weighted average number of common shares issued and outstanding 550.6 540.2 440.9 Weighted average number of fully vested restricted stock units outstanding 1.0 0.4 0.2 Weighted average number of common shares outstanding - basic 551.6 540.6 441.1 Weighted average number of dilutive unvested restricted stock units outstanding — 0.8 0.3 Weighted average number of common shares outstanding - diluted 551.6 541.4 441.4 Net income (loss) available (attributable) to common stockholders $ (362) $ 628 $ 93 Net income (loss) per common share - basic $ (0.66) $ 1.16 $ 0.21 Net income (loss) per common share - diluted $ (0.66) $ 1.16 $ 0.21 For fiscal year 2020, 1.1 million of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2020 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders' Equity Preferred Stock We are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. As of December 31, 2019, 13,800, 10,350, and 16,100 shares of preferred stock were designated as 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, and 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, and E Preferred Stock", respectively). As of December 31, 2020, an additional 23,000 shares were designated as 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (referred to as "Series F Preferred Stock"). As of December 31, 2019, 13,000, 9,400, and 16,100 shares of Series C, D, and E Preferred Stock, respectively, were issued and outstanding. As of December 31, 2020, an additional 23,000 shares of Series F Preferred Stock were issued and outstanding. Each share of preferred stock is represented by 1,000 depositary shares. Each share of preferred stock has a liquidation preference of $25,000 per share (or $25 per depositary share). Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Our preferred stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and each series of preferred stock ranks on parity with one another. Under certain circumstances upon a change of control, our preferred stock is convertible to shares of our common stock. Holders of our preferred stock and depositary shares underlying our preferred stock have no voting rights, except under limited conditions. Beginning on each series' optional redemption date, we may redeem shares at $25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared), exclusively at our option. The following table includes a summary of preferred stock depositary shares issued and outstanding as of December 31, 2020 (dollars and shares in millions): Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1 Issuance Depositary Carrying Aggregate Fixed Optional Redemption Date 2 Fixed-to-Floating Floating Series C August 22, 2017 13.0 315 325 7.000% October 15, 2022 October 15, 2022 3M LIBOR + 5.111% Series D March 6, 2019 9.4 227 235 6.875% April 15, 2024 April 15, 2024 3M LIBOR + 4.332% Series E October 3, 2019 16.1 390 403 6.500% October 15, 2024 October 15, 2024 3M LIBOR + 4.993% Series F February 11, 2020 23.0 557 575 6.125% April 15, 2025 April 15, 2025 3M LIBOR + 4.697% Total 61.5 $ 1,489 $ 1,538 ________________________________ 1. Fixed-to-floating rate redeemable preferred stock accrue dividends at an annual fixed rate of the $25.00 liquidation preference per depositary share from the issuance date up to, but not including, the fixed-to-floating rate conversion date; thereafter, dividends will accrue on a floating rate basis equal to 3-month LIBOR plus a fixed spread. 2. Shares may be redeemed prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for U.S federal income tax purposes. In November 2019, we redeemed all of the outstanding shares (and corresponding depositary shares) of our Series B Preferred Stock for $175 million (or $25.00 per depositary share), plus accrued and unpaid dividends to, but not including, the redemption date. In December, 2019, we filed a Certificate of Elimination of our Series B Preferred Stock with the Secretary of State of the State of Delaware, which eliminated the designation of Series B Preferred Stock from our amended and restated certificate of incorporation. Prior to the redemption date, holders of Series B Preferred Stock were entitled to receive cumulative cash dividends at a fixed rate of 7.750% per annum of their $25.00 per depositary share liquidation preference. Common Stock Offerings During fiscal years 2020 and 2019, we did not complete a follow-on public offering of our common stock. During fiscal year 2018, we completed three follow-on public offerings of our common stock summarized in the table below (in millions, except for per share data). Follow-On Public Offerings Price Received Per Share, Net Shares Net Proceeds Fiscal Year 2018: May 2018 $18.35 34.5 $ 633 August 2018 $18.68 43.7 817 November 2018 $17.09 46.0 786 Total fiscal year 2018 124.2 $ 2,236 At-the-Market Offering Program We are authorized by our Board of Directors to enter into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to a maximum aggregate offering price of our common stock. The following table includes a summary of shares of our common stock sold under sales the agreements during fiscal years 2020, 2019 and 2018. As of December 31, 2020, shares of our common stock with an aggregate offering price of $26 million remained authorized for issuance under this program through June 14, 2021. ATM Offerings Average Price Received Per Share, Net Shares Net Proceeds Fiscal Year 2020 $16.46 26.7 $ 439 Fiscal Year 2019 $16.67 11.4 $ 190 Fiscal Year 2018 $18.03 20.8 $ 375 Common Stock Repurchase Program We are authorized by our Board of Directors to repurchase shares of our common stock under certain conditions. In October 2020, our Board of Directors terminated its existing stock repurchase authorization that was due to expire on December 31, 2020 and replaced it with a new authorization to repurchase up to $1 billion of common stock through December 31, 2021. The following table includes a summary of shares of our common stock repurchased during fiscal years 2020 and 2019. We did not repurchase shares of our common stock during fiscal year 2018. As of December 31, 2020, we had $0.9 billion of common stock remaining available for repurchase. Common Stock Repurchases Average Price Paid Per Share 1 Shares Net Cost Fiscal Year 2020 2 $13.33 28.2 $ 378 Fiscal Year 2019 $14.90 6.9 $ 103 ________________________________ 1. Average price paid per share includes transaction costs. 2. Excludes December 2020 share repurchases settling in January 2021 totaling $24 million, or 1.6 million shares. Distributions to Stockholders The following table summarizes dividends declared during fiscal years 2020, 2019 and 2018 (in millions, except per share amounts): Dividends Declared Dividends Declared Per Share 1 Series B Preferred Stock Fiscal year 2019 $ 12 $ 1.673785 Fiscal year 2018 $ 14 $ 1.937500 Series C Preferred Stock Fiscal year 2020 $ 23 $ 1.750000 Fiscal year 2019 $ 23 $ 1.750000 Fiscal year 2018 $ 23 $ 1.750000 Series D Preferred Stock Fiscal year 2020 $ 16 $ 1.718750 Fiscal year 2019 $ 14 $ 1.475263 Series E Preferred Stock Fiscal year 2020 $ 26 $ 1.625000 Fiscal year 2019 $ 7 $ 0.460420 Series F Preferred Stock Fiscal year 2020 $ 33 $ 1.420658 Common Stock Fiscal year 2020 $ 858 $ 1.560000 Fiscal year 2019 $ 1,081 $ 2.000000 Fiscal year 2018 $ 964 $ 2.160000 ________________________________ 1. Preferred stock per share amounts are per depositary share. The following table summarizes our tax characterization of distributions to stockholders for fiscal years 2020, 2019 and 2018. Distributions included in the table below are based on the fiscal tax year for which the distribution is attributed to for stockholders in accordance with rules promulgated under the Internal Revenue Code: Tax Characterization 1 Fiscal Tax Year Distribution Rate 1 Ordinary Dividend Per Share Qualified Dividends Capital Gain Dividend Per Share Non-Dividend Distributions Section 199A Dividend Series B Preferred Stock Fiscal year 2019 $ 2.158160 $ 2.158160 $ — $ — $ — $ 2.158160 Fiscal year 2018 $ 1.937500 $ 1.937500 $ — $ — $ — $ 1.937500 Series C Preferred Stock Fiscal year 2020 $ 1.750000 $ 0.570268 $ — $ 1.179732 $ — $ 0.570268 Fiscal year 2019 $ 1.750000 $ 1.750000 $ — $ — $ — $ 1.750000 Fiscal year 2018 $ 1.750000 $ 1.750000 $ — $ — $ — $ 1.750000 Series D Preferred Stock Fiscal year 2020 $ 1.718750 $ 0.560086 $ — $ 1.158664 $ — $ 0.560086 Fiscal year 2019 $ 1.045575 $ 1.045575 $ — $ — $ — $ 1.045575 Series E Preferred Stock Fiscal year 2020 $ 1.679170 $ 0.547188 $ — $ 1.131982 $ — $ 0.547188 Series F Preferred Stock Fiscal year 2020 $ 1.037845 $ 0.338201 $ — $ 0.699644 $ — $ 0.338201 Common Stock Fiscal year 2020 $ 1.720000 $ 0.560492 $ — $ 1.159508 $ — $ 0.560492 Fiscal year 2019 $ 2.020000 $ 1.159504 $ — $ — $ 0.860496 $ 1.159504 Fiscal year 2018 $ 2.160000 $ 1.127208 $ — $ — $ 1.032792 $ 1.127208 ________________________________ 1. Preferred stock per share amounts are per depositary share. Accumulated Other Comprehensive Income (Loss) The following table summarizes changes to accumulated OCI for fiscal years 2020, 2019 and 2018 (in millions): Fiscal Year Accumulated Other Comprehensive Income (Loss) 2020 2019 2018 Beginning Balance $ 97 $ (943) $ (345) OCI before reclassifications 703 1,031 (677) Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net (81) 9 79 Ending Balance $ 719 $ 97 $ (943) |
Equity Incentive Plan (Notes)
Equity Incentive Plan (Notes) | 12 Months Ended |
Dec. 31, 2020 | |
Director Plan [Abstract] | |
Share-based Payment Arrangement [Text Block] | Long-Term Incentive Compensation Stock-Based Incentive Plans The 2016 Equity Plan authorizes a total of 10 million shares of our common stock that may be used to satisfy awards under the Plan, subject to the share counting rules set forth within the Plan. During fiscal years 2020, 2019 and 2018, we granted RSU awards to employees with a grant date fair value of $7 million, $7 million and $4 million, respectively, which vest annually over a three-year period. Additionally, during fiscal year 2018, we granted fully vested RSU awards to employees with a grant date fair value of $4 million in exchange for satisfaction and conversion of AGNC's obligations of an equivalent value under outstanding long-term incentive compensation awards granted to employees under the MTGE Incentive Plan ("RSU Exchange Awards") (see Other Long-Term Incentive Compensation below). During fiscal years 2020, 2019 and 2018, we granted RSU awards to independent directors of $0.8 million, $0.5 million and $0.5 million, respectively, which vest at the end of a one-year period from grant date. The following table summarizes RSU awards under our 2016 Equity Plan for fiscal years 2020, 2019 and 2018: 2016 Equity Incentive Plan RSU Awards Weighted Average Grant Date Fair Value 1 Weighted Average Vest Date Fair Value Unvested balance as of December 31, 2017 335,228 $ 17.46 $ — Granted 2 261,036 $ 18.05 $ — Accrued RSU dividend equivalents 56,618 $ — $ — Vested 2 (150,423) $ 16.52 $ 18.60 Forfeitures (546) $ 16.98 $ — Unvested balance as of December 31, 2018 501,913 $ 16.08 $ — Granted 432,149 $ 17.59 $ — Accrued RSU dividend equivalents 83,355 $ — $ — Vested (252,375) $ 15.30 $ 17.91 Forfeitures (6,812) $ 16.00 $ — Unvested balance as of December 31, 2019 758,230 $ 15.44 $ — Granted 433,414 $ 18.60 $ — Accrued RSU dividend equivalents 95,809 $ — $ — Vested (377,244) $ 14.82 $ 11.82 Forfeitures (1,225) $ 17.87 $ — Unvested balance as of December 31, 2020 908,984 $ 15.57 $ — ________________________________ 1. Accrued RSU award dividend equivalents have a weighted average grant date fair value of $0. 2. Excludes 185,285 of RSU Exchange Awards. During fiscal years 2020, 2019 and 2018, we granted PSU 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 PSU awards granted during fiscal years 2020, 2019 and 2018 as of the grant date was $10 million, $9 million and $5 million, respectively, assuming the target levels of performance are achieved. The actual value of the awards will vary within a range of 0% to 200% of the target based on the actual performance achieved relative to the targets. The following table summarizes PSU awards under our 2016 Equity Plan for fiscal years 2020, 2019 and 2018. 2016 Equity Incentive Plan PSUs Weighted Average Grant Date Fair Value 1 Weighted Average Vest Date Fair Value 1 Unvested balance as of December 31, 2017 273,376 $ 17.78 $ — Granted 272,228 $ 17.98 $ — Accrued PSU dividend equivalents 61,171 $ — $ — Vested — $ — $ — Unvested balance as of December 31, 2018 606,775 $ 16.08 $ — Granted 494,016 $ 17.56 $ — Accrued PSU dividend equivalents 123,594 $ — $ — Performance adjustment - Granted 95,427 $ 19.39 $ — Performance adjustment - Accrued PSU dividend equivalents 35,825 $ — $ — Vested — $ — $ — Forfeitures (4,224) $ 15.84 $ — Unvested balance as of December 31, 2019 1,351,413 $ 14.96 $ — Granted 508,757 $ 19.62 $ — Accrued PSU dividend equivalents 160,442 $ — $ — Performance adjustment - Granted 62,796 $ 17.98 $ — Performance adjustment - Accrued PSU dividend equivalents 26,183 $ — $ — Vested (482,806) $ 13.84 $ 11.81 Forfeitures — $ — $ — Unvested balance as of December 31, 2020 1,626,785 $ 15.15 $ — _______________________ 1. Accrued PSU award dividend equivalents have a weighted average grant date fair value of $0. As of December 31, 2020, 4.8 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 ("deferred awards"), and (iv) accrued dividend equivalent units on outstanding awards through December 31, 2012. Unvested performance-based awards assume the maximum potential payout under the terms of the award. As of December 31, 2020, 1.2 million of deferred awards, including accrued DEUs, were outstanding. During fiscal years 2020, 2019 and 2018, we recognized compensation expense of $20.6 million, $13.7 million and $6.1 million, respectively, for stock-based awards to employees and we recognized other operating expense of $0.7 million, $0.5 million and $0.5 million, respectively, for stock-based awards to independent directors. As of December 31, 2020, we had unrecognized expense related to stock-based awards of approximately $13 million, which is expected to be recognized over a weighted average period of 1.4 years. Other Long-Term Incentive Compensation During fiscal year 2018, we granted long-term incentive compensation awards to employees under our MTGE Incentive Plan (the "Incentive Plan"), with original grant date fair values of $2 million. During 2018, all outstanding awards under the Incentive Plan became fully vested and the Incentive Plan was terminated. Awards for which distribution of vested amounts had been deferred beyond the vesting date were exchanged for RSU awards granted under the 2016 Equity Plan of equal value. During fiscal year 2018, we recognized long-term incentive compensation expense associated with awards under the Incentive Plan of $5 million. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2020 | |
Narrative [Abstract] | |
Income Tax Disclosure [Text Block] | Income Taxes  As of December 31, 2020, we have distributed all of our estimated taxable income for fiscal year 2020. Accordingly, we do not expect to incur an income tax liability on our 2020 taxable income. For fiscal years 2019 and 2018, 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, 2020 or prior periods. Our tax returns for tax years 2017 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 Accoun_2
Summary of Significant Accounting Policies (Policy) | 12 Months Ended |
Dec. 31, 2020 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Reverse Repurchase Agreements Policy [Policy Text Block] | Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less. |
New Accounting Pronouncements, Policy [Policy Text Block] | Recent Accounting Pronouncements We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption. |
Share-based Payment Arrangement [Policy Text Block] | Stock-Based Compensation Under our 2016 AGNC Investment Corp. Equity and Incentive Compensation Plan (the "2016 Equity Plan" or "the Plan"), we may grant equity-based compensation to our officers and other employees and non-employee directors for the purpose of providing incentives and rewards for service or performance. Stock-based awards issued under the Plan include time-based and performance-based restricted stock unit awards ("RSU" and "PSU" awards, respectively), but may include other forms of equity-based compensation. RSU and PSU awards are 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. RSU awards vest over a specified service period. PSU awards vest over a specified service period subject to achieving long-term performance criteria. We measure and recognize compensation expense for all stock-based payment awards made to employees and non-employee directors based on their fair values. We value RSU and PSU 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 PSU 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 RSU and PSU awards are issued on the vesting dates, or later if distribution of such shares has been deferred beyond the vesting date, net of shares withheld for 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 awards outstanding. When shares are withheld for statutory tax withholdings, we record a liability for tax withholding amounts to be paid by us as a reduction to additional paid-in capital. |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. |
Cash and Cash Equivalents, Restricted Cash and Cash Equivalents, Policy [Policy Text Block] | Restricted CashRestricted cash includes cash pledged as collateral for clearing and executing trades, repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. |
Investment Securities | Investment Securities Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS. All of our securities are reported at fair value on our consolidated balance sheet. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for securities pursuant to ASC Topic 825, Financial Instruments . Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"), whereas unrealized gains and losses on securities for which we elected the fair value option, or are classified as trading, are reported in net income through other gain (loss). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments. |
Interest Income | Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments, using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, primary to secondary mortgage rate spreads, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service for reasonableness with consideration given to both historical prepayment speeds and current market conditions. If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape, such as during periods of elevated market uncertainty or unique market conditions, we may make adjustments to the models. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date through the reporting date. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment adjusted for credit impairments, if any. |
Repurchase and Resale Agreements Policy [Policy Text Block] | Repurchase Agreements We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with financial institutions. Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date. We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments. Pursuant to ASC Topic 860, Transfers and Servicing , |
Derivative Instruments | Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS. We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. Interest rate swap agreements We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the Secured Overnight Financing Rate ("SOFR"), Overnight Index Swap Rate ("OIS") or three-month London Interbank Offered Rate ("LIBOR"). Our interest rate swaps typically have terms from one to 10 years but may extend up to 20 years or more. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability. Interest rate swaptions We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our interest rate swaption agreements are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent of interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. U.S. Treasury securities We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying U.S. Treasury security as of the reporting date. Gains and losses associated with U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Income Tax Disclosure [Text Block] | Income Taxes  As of December 31, 2020, we have distributed all of our estimated taxable income for fiscal year 2020. Accordingly, we do not expect to incur an income tax liability on our 2020 taxable income. For fiscal years 2019 and 2018, 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, 2020 or prior periods. Our tax returns for tax years 2017 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. |
Goodwill and Intangible Assets, Goodwill, Policy | Goodwill 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. As of December 31, 2020 and 2019, we had $526 million of goodwill related to our acquisition of AGNC Management, LLC, our former manager, on July 1, 2016. Goodwill is not subject to amortization but must be tested for impairment at least annually 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 |
Fair Value Measurement, Policy | Fair Value Measurements We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date. We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: • Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date. • Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated. The majority of our financial instruments are classified as Level 2 inputs. The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. We typically obtain price estimates from multiple third-party pricing sources, such as pricing services and dealers, or, if applicable, the registered clearing exchange. We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity. We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities and for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation procedures and our market knowledge and expertise that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price. The following is a description of the valuation methodologies used for instruments measured at fair value on a recurring basis classified as Level 2 inputs. These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of these markets and the similarity of our securities and derivative instruments to those actively traded enable our pricing sources and us to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Investment securities - are valued based on prices obtained from multiple third-party pricing sources. The pricing sources utilize various valuation approaches, including market and income approaches. For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, which may include maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities. TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity. Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve. Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any. |
Consolidation, Variable Interest Entity, Policy | Consolidated 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. As of December 31, 2020 and 2019, our consolidated financial statements reflect the consolidation of certain VIEs for which we have determined we are the primary beneficiary. The consolidated VIEs consist of CMO trusts 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 the 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. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Share-based Payment Arrangement [Policy Text Block] | Stock-Based Compensation Under our 2016 AGNC Investment Corp. Equity and Incentive Compensation Plan (the "2016 Equity Plan" or "the Plan"), we may grant equity-based compensation to our officers and other employees and non-employee directors for the purpose of providing incentives and rewards for service or performance. Stock-based awards issued under the Plan include time-based and performance-based restricted stock unit awards ("RSU" and "PSU" awards, respectively), but may include other forms of equity-based compensation. RSU and PSU awards are 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. RSU awards vest over a specified service period. PSU awards vest over a specified service period subject to achieving long-term performance criteria. We measure and recognize compensation expense for all stock-based payment awards made to employees and non-employee directors based on their fair values. We value RSU and PSU 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 PSU 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 RSU and PSU awards are issued on the vesting dates, or later if distribution of such shares has been deferred beyond the vesting date, net of shares withheld for 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 awards outstanding. When shares are withheld for statutory tax withholdings, we record a liability for tax withholding amounts to be paid by us as a reduction to additional paid-in capital. |
Derivatives, Policy [Policy Text Block] | Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS. We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. Interest rate swap agreements We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the Secured Overnight Financing Rate ("SOFR"), Overnight Index Swap Rate ("OIS") or three-month London Interbank Offered Rate ("LIBOR"). Our interest rate swaps typically have terms from one to 10 years but may extend up to 20 years or more. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability. Interest rate swaptions We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our interest rate swaption agreements are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent of interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. U.S. Treasury securities We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying U.S. Treasury security as of the reporting date. Gains and losses associated with U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Investment, Policy [Policy Text Block] | Investment Securities Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS. All of our securities are reported at fair value on our consolidated balance sheet. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for securities pursuant to ASC Topic 825, Financial Instruments . Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"), whereas unrealized gains and losses on securities for which we elected the fair value option, or are classified as trading, are reported in net income through other gain (loss). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments. |
Interest Income [Policy Text Block] | Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments, using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, primary to secondary mortgage rate spreads, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service for reasonableness with consideration given to both historical prepayment speeds and current market conditions. If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape, such as during periods of elevated market uncertainty or unique market conditions, we may make adjustments to the models. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date through the reporting date. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment adjusted for credit impairments, if any. |
Investment Securities (Tables)
Investment Securities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Securities by Credit Rating [Table Text Block] | As of December 31, 2020 and 2019, our investments in CRT and non-Agency securities had the following credit ratings: December 31, 2020 December 31, 2019 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS CMBS CRT RMBS CMBS AAA $ — $ — $ 35 $ — $ — $ 43 AA — 20 190 — 81 214 A — 32 28 13 25 34 BBB 28 83 55 67 71 69 BB 167 36 43 471 21 10 B 304 6 7 308 4 — Not Rated 238 11 — 117 7 — Total $ 737 $ 188 $ 358 $ 976 $ 209 $ 370 ________________________________ 1. Represents the lowest of Standard and Poor's ("S&P"), Moody's, Fitch, DBRS, Kroll Bond Rating Agency ("KBRA") and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date. |
Available-for-sale Securities [Table Text Block] | December 31, 2020 Agency RMBS Non-Agency Investment Securities Fannie Mae Freddie Mac Ginnie RMBS CMBS CRT Total Available-for-sale securities: Par value $ 9,325 $ 3,416 $ 2 $ — $ — $ — $ 12,743 Unamortized discount (4) (1) — — — — (5) Unamortized premium 389 152 — — — — 541 Amortized cost 9,710 3,567 2 — — — 13,279 Gross unrealized gains 539 180 — — — — 719 Gross unrealized losses — — — — — — — Total available-for-sale securities, at fair value 10,249 3,747 2 — — — 13,998 Securities remeasured at fair value through earnings: Par value 32,824 14,447 3 187 331 735 48,527 Unamortized discount (18) (1) — (12) (3) (12) (46) Unamortized premium 1,314 607 — 4 6 10 1,941 Amortized cost 34,120 15,053 3 179 334 733 50,422 Gross unrealized gains 1,280 683 — 11 28 12 2,014 Gross unrealized losses (5) (1) — (2) (4) (8) (20) Total securities remeasured at fair value through earnings 35,395 15,735 3 188 358 737 52,416 Total securities, at fair value $ 45,644 $ 19,482 $ 5 $ 188 $ 358 $ 737 $ 66,414 Weighted average coupon as of December 31, 2020 3.30 % 3.56 % 4.73 % 4.28 % 4.13 % 3.43 % 3.39 % Weighted average yield as of December 31, 2020 1 2.25 % 2.39 % 2.46 % 4.33 % 4.29 % 3.71 % 2.33 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 17.6% based on forward rates as of December 31, 2020. December 31, 2019 Agency RMBS Non-Agency Investment Securities Fannie Freddie Mac Ginnie RMBS CMBS CRT Total Available-for-sale securities: Par value $ 14,301 $ 4,762 $ 18 $ — $ — $ — $ 19,081 Unamortized discount (10) (2) — — — — (12) Unamortized premium 711 276 — — — — 987 Amortized cost 15,002 5,036 18 — — — 20,056 Gross unrealized gains 142 29 1 — — — 172 Gross unrealized losses (50) (25) — — — — (75) Total available-for-sale securities, at fair value 15,094 5,040 19 — — — 20,153 Securities remeasured at fair value through earnings: Par value 45,106 29,881 — 208 348 937 76,480 Unamortized discount (68) (2) — (10) (3) (2) (85) Unamortized premium 1,218 967 — 1 7 26 2,219 Amortized cost 46,256 30,846 — 199 352 961 78,614 Gross unrealized gains 991 691 — 10 19 18 1,729 Gross unrealized losses (32) (18) — — (1) (3) (54) Total securities remeasured at fair value through earnings 47,215 31,519 — 209 370 976 80,289 Total securities, at fair value $ 62,309 $ 36,559 $ 19 $ 209 $ 370 $ 976 $ 100,442 Weighted average coupon as of December 31, 2019 3.62 % 3.75 % 3.77 % 4.05 % 4.49 % 5.07 % 3.68 % Weighted average yield as of December 31, 2019 1 3.03 % 3.09 % 2.08 % 4.39 % 4.38 % 4.05 % 3.07 % ________________________________ 1. Incorporates a weighted average future constant prepayment rate assumption of 10.8% based on forward rates as of December 31, 2019. |
Components of Investment Securities | The following tables summarize our investment securities as of December 31, 2020 and 2019, 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, 2020 December 31, 2019 Investment Securities Amortized Fair Value Amortized Fair Value Agency RMBS: Fixed rate $ 61,977 $ 64,615 $ 96,375 $ 98,074 Adjustable rate 69 70 160 163 CMO 289 301 441 447 Interest-only and principal-only strips 105 126 146 164 Multifamily 17 19 37 39 Total Agency RMBS 62,457 65,131 97,159 98,887 Non-Agency RMBS 178 188 198 209 CMBS 333 358 352 370 CRT securities 733 737 961 976 Total investment securities $ 63,701 $ 66,414 $ 98,670 $ 100,442 |
Summary Of Agency Securities Estimated Weighted Average Life Classifications | The following table summarizes our investments as of December 31, 2020 and 2019 according to their estimated weighted average life classification (dollars in millions): December 31, 2020 December 31, 2019 Estimated Weighted Average Life of Investment Securities Fair Value Amortized Weighted Weighted Fair Value Amortized Weighted Weighted ≤ 3 years $ 3,642 $ 3,569 3.56% 2.15% $ 2,671 $ 2,654 3.54% 2.61% > 3 years and ≤ 5 years 47,740 45,578 3.54% 2.42% 10,822 10,563 3.85% 3.20% > 5 years and ≤10 years 15,019 14,541 2.87% 2.08% 86,492 85,002 3.67% 3.07% > 10 years 13 13 5.56% 3.59% 457 451 3.31% 3.06% Total $ 66,414 $ 63,701 3.39% 2.33% $ 100,442 $ 98,670 3.68% 3.07% |
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, 2020 and 2019 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Unrealized Unrealized Fair Unrealized December 31, 2020 $ — $ — $ — $ — $ — $ — December 31, 2019 $ 1,653 $ (12) $ 6,984 $ (63) $ 8,637 $ (75) |
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 2020, 2019 and 2018 by investment classification of accounting (in millions): Fiscal Year 2020 Fiscal Year 2019 Fiscal Year 2018 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total 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 $ (2,310) $ (74,964) $ (77,274) $ (732) $ (23,040) $ (23,772) $ (4,306) $ (5,344) $ (9,650) Proceeds from investment securities sold 1 2,391 76,009 78,400 723 23,437 24,160 4,227 5,286 9,513 Net gain (loss) on sale of investment securities $ 81 $ 1,045 $ 1,126 $ (9) $ 397 $ 388 $ (79) $ (58) $ (137) Gross gain on sale of investment securities $ 81 $ 1,149 $ 1,230 $ — $ 401 $ 401 $ 6 $ 16 $ 22 Gross loss on sale of investment securities — (104) (104) (9) (4) (13) (85) (74) (159) Net gain (loss) on sale of investment securities $ 81 $ 1,045 $ 1,126 $ (9) $ 397 $ 388 $ (79) $ (58) $ (137) ________________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. |
Repurchase Agreements and Rev_2
Repurchase Agreements and Reverse Repurchase Agreements (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and 2019 (dollars in millions): December 31, 2020 December 31, 2019 Remaining Maturity Repurchase Agreements Weighted Weighted Repurchase Agreements Weighted Weighted Agency repo: ≤ 1 month $ 29,505 0.22 % 12 $ 56,664 2.19 % 10 > 1 to ≤ 3 months 13,434 0.27 % 57 20,761 2.01 % 53 > 3 to ≤ 6 months 7,317 0.28 % 142 5,683 2.19 % 100 > 6 to ≤ 9 months 660 0.24 % 208 1,500 2.66 % 182 > 9 to ≤ 12 months 1,450 0.15 % 354 2,152 2.41 % 351 > 12 to ≤ 24 months — — % — 625 2.38 % 411 > 24 to ≤ 36 months — — % — 1,700 2.45 % 833 Total Agency repo 52,366 0.24 % 54 89,085 2.17 % 55 U.S. Treasury repo: > 1 day to ≤ 1 month — — % — 97 1.63 % 2 Total $ 52,366 0.24 % 54 $ 89,182 2.17 % 55 |
Derivative and Other Hedging _2
Derivative and Other Hedging Instruments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative [Line Items] | |
Schedule of Interest Rate Swap Agreement by Receive Index (as a percentage of Notional Amount) [Table Text Block] | Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount) December 31, 2020 December 31, 2019 SOFR 71 % 3 % OIS 29 % 86 % 3M LIBOR — % 11 % Total 100 % 100 % |
Schedule of Outstanding Derivatives Not Designated as Hedging Instruments | The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of December 31, 2020 and 2019 (in millions): December 31, Derivative and Other Hedging Instruments Balance Sheet Location 2020 2019 Interest rate swaps Derivative assets, at fair value $ — $ 21 Swaptions Derivative assets, at fair value 116 126 TBA securities Derivative assets, at fair value 275 29 U.S. Treasury futures - short Derivative assets, at fair value — 14 Total derivative assets, at fair value $ 391 $ 190 Interest rate swaps Derivative liabilities, at fair value $ — $ (2) TBA securities Derivative liabilities, at fair value — (4) U.S. Treasury futures - short Derivative liabilities, at fair value (2) — Total derivative liabilities, at fair value $ (2) $ (6) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ — $ 97 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value (11,727) (9,543) Total U.S. Treasury securities, net at fair value $ (11,727) $ (9,446) |
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 Average Fixed Pay Rate 2 Average December 31, 2020 ≤ 1 year $ 123 $ 15 5 $ 5,900 2.17% 9.2 > 1 year ≤ 2 years 41 33 20 2,000 1.38% 10.0 > 2 year ≤ 3 years 65 60 33 2,250 1.40% 10.0 > 3 year ≤ 4 years 8 8 40 250 1.43% 10.0 Total $ 237 $ 116 15 $ 10,400 1.84% 9.5 December 31, 2019 ≤ 1 year $ 123 $ 80 8 $ 5,650 2.26% 9.3 > 1 year ≤ 2 years 53 46 16 3,200 2.50% 10.0 Total $ 176 $ 126 11 $ 8,850 2.34% 9.5 ________________________________ 1. As of December 31, 2020 and 2019, ≤ 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. 2. As of December 31, 2020, 33% and 67% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively, and, as of 2019, 100% of the underlying payer swap receive rates were tied to 3-Month LIBOR. |
US government securities | U.S. Treasury Securities December 31, 2020 December 31, 2019 Maturity Face Amount Long/(Short) Cost Basis 1 Fair Value Face Amount Long/(Short) Cost Basis 1 Fair Value 5 years $ (425) $ (425) $ (425) $ 95 $ 95 $ 97 7 years (1,083) (1,081) (1,089) — — — 10 years (9,780) (9,862) (10,213) (9,224) (9,329) (9,543) Total U.S. Treasury securities $ (11,288) $ (11,368) $ (11,727) $ (9,129) $ (9,234) $ (9,446) ________________________________ 1. As of December 31, 2020 and 2019, short U.S. Treasury securities had a weighted average yield of 1.20% and 2.19%, respectively, and, as of 2019, long U.S. Treasury securities had a weighted average yield of 2.21%. |
US Government Futures Securities [Table Text Block] | U.S. Treasury Futures December 31, 2020 December 31, 2019 Maturity Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 10 years $ (1,000) $ (1,379) $ (1,381) $ (2) $ (1,000) $ (1,298) $ (1,284) $ 14 ________________________________ |
Summary of Long and Short Position of Derivative Instruments | December 31, 2020 December 31, 2019 TBA Securities by Coupon Notional Cost Fair Net Carrying Value 1 Notional Cost Fair Net Carrying Value 1 15-Year TBA securities: ≤ 2.0% $ 6,540 $ 6,708 $ 6,771 63 $ — $ — $ — $ — 2.5% 200 208 209 1 805 811 812 1 3.0% — — — — 1,059 1,083 1,086 3 3.5% — — — — 241 250 250 — 4.0% — — — — 75 78 78 — Total 15-Year TBA securities 6,740 6,916 6,980 64 2,180 2,222 2,226 4 30-Year TBA securities: ≤ 2.0% 19,805 20,314 20,480 166 — — — — 2.5% 3,167 3,291 3,335 44 — — — — 3.0% 528 552 553 1 5,008 5,052 5,073 21 3.5% 124 131 131 — 1,226 1,259 1,261 2 4.0% — — — — (1,507) (1,565) (1,568) (3) ≥ 4.5% — — — — 415 436 437 1 Total 30-Year TBA securities, net 23,624 24,288 24,499 211 5,142 5,182 5,203 21 Total TBA securities, net $ 30,364 $ 31,204 $ 31,479 $ 275 $ 7,322 $ 7,404 $ 7,429 $ 25 ________________________________ |
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 2020, 2019 and 2018 (in millions): Derivative and Other Hedging Instruments Beginning Additions Settlement, Termination, Ending Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Fiscal Year 2020: TBA securities, net $ 7,322 286,586 (263,544) $ 30,364 $ 1,497 Interest rate swaps - payer $ 79,075 101,950 (137,800) $ 43,225 (2,766) Payer swaptions $ 8,850 7,000 (5,450) $ 10,400 (156) U.S. Treasury securities - short position $ (9,224) (18,912) 16,849 $ (11,287) (905) U.S. Treasury securities - long position $ 95 7,011 (7,106) $ — 102 U.S. Treasury futures contracts - short position $ (1,000) (4,000) 4,000 $ (1,000) (106) $ (2,334) Fiscal Year 2019: TBA securities, net $ 7,152 95,169 (94,999) $ 7,322 $ 411 Interest rate swaps - payer $ 51,625 166,975 (139,525) $ 79,075 (1,645) Interest rate swaps - receiver $ — (175) 175 $ — — Payer swaptions $ 3,500 7,650 (2,300) $ 8,850 (26) U.S. Treasury securities - short position $ (21,345) (12,601) 24,722 $ (9,224) (967) U.S. Treasury securities - long position $ 45 1,776 (1,726) $ 95 11 U.S. Treasury futures contracts - short position $ (1,650) (5,300) 5,950 $ (1,000) (109) $ (2,325) Fiscal Year 2018: TBA securities, net $ 15,474 194,534 (202,856) $ 7,152 $ (299) Interest rate swaps - payer $ 43,700 14,350 (6,425) $ 51,625 140 Payer swaptions $ 6,650 1,250 (4,400) $ 3,500 90 U.S. Treasury securities - short position $ (10,699) (19,278) 8,632 $ (21,345) (161) U.S. Treasury securities - long position $ — 1,949 (1,904) $ 45 1 U.S. Treasury futures contracts - short position $ (2,910) (7,859) 9,119 $ (1,650) 48 $ (181) ________________________________ |
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, 2020 and 2019 (dollars in millions): December 31, 2020 December 31, 2019 Pay Fixed / Receive Variable Interest Rate Swaps Notional Average Average Average Notional Average Average Average ≤ 3 years $ 8,750 0.04% 0.08% 2.4 $ 59,700 1.30% 1.58% 1.6 > 3 to ≤ 5 years 17,000 0.10% 0.08% 4.1 9,850 1.17% 1.55% 3.8 > 5 to ≤ 7 years 9,800 0.21% 0.08% 5.8 5,650 1.34% 1.70% 6.4 > 7 to ≤ 10 years 6,200 0.28% 0.07% 8.5 2,850 1.36% 1.58% 8.9 > 10 years 1,475 0.47% 0.07% 14.2 1,025 1.64% 1.78% 15.4 Total $ 43,225 0.15% 0.08% 5.1 $ 79,075 1.29% 1.59% 2.7 |
Pledged Assets (Tables)
Pledged Assets (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Pledged Assets [Abstract] | |
Schedule of Securities and Cash Pledged as Collateral from Counterparties [Table Text Block] | As of December 31, 2020 and 2019, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). December 31, 2020 December 31, 2019 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total U.S. Treasury securities - fair value 1 $ 11,727 $ — $ 13 $ 11,740 $ 10,099 $ — $ 1 $ 10,100 Cash — 107 3 110 — 116 — 116 Total $ 11,727 $ 107 $ 16 $ 11,850 $ 10,099 $ 116 $ 1 $ 10,216 ________________________________ |
Schedule of Financial Instruments Owned and Pledged as Collateral | The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2020 and 2019 (in millions): December 31, 2020 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3 Total Agency RMBS - fair value $ 53,401 $ 295 $ 365 $ 258 $ 54,319 CRT - fair value 455 — — — 455 Non-Agency - fair value 458 — — — 458 U.S. Treasury securities - fair value — — — — — Accrued interest on pledged securities 147 1 1 1 150 Restricted cash 417 — 890 — 1,307 Total $ 54,878 $ 296 $ 1,256 $ 259 $ 56,689 December 31, 2019 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3 Total Agency RMBS - fair value $ 92,142 $ 371 $ 404 $ 206 $ 93,123 CRT - fair value 309 — — — 309 U.S. Treasury securities - fair value 453 — — 28 481 Accrued interest on pledged securities 267 1 1 1 270 Restricted cash 111 — 340 — 451 Total $ 93,282 $ 372 $ 745 $ 235 $ 94,634 ________________________________ 1. Includes repledged assets received as collateral from counterparties and securities sold but not yet settled. 2. Includes $119 million and $144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2020 and 2019, respectively. 3. Includes margin for TBAs cleared through prime brokers and other clearing deposits. |
Schedules Of Securities Pledged As Collateral Under Repurchase Agreement | The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of December 31, 2020 and 2019 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . December 31, 2020 December 31, 2019 Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2 Fair Value of Pledged Securities Amortized Accrued Fair Value of Pledged Securities Amortized Accrued ≤ 30 days $ 29,674 $ 28,208 $ 82 $ 56,990 $ 55,951 $ 167 > 30 and ≤ 60 days 8,438 8,013 23 14,410 14,114 42 > 60 and ≤ 90 days 5,782 5,495 16 7,637 7,536 20 > 90 days 10,420 10,068 26 13,510 13,286 38 Total $ 54,314 $ 51,784 $ 147 $ 92,547 $ 90,887 $ 267 ________________________________ 1. Includes $119 million and $144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2020 and 2019, respectively. 2. Excludes $357 million of repledged U.S. Treasury securities received as collateral from counterparties as of December 31, 2019. |
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, 2020 and 2019 (in millions): Offsetting of Financial and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset Net Amount Financial Instruments Collateral Received 2 December 31, 2020 Interest rate swap and swaption agreements, at fair value 1 $ 116 $ — $ 116 $ — $ (105) $ 11 TBA securities, at fair value 275 — 275 — — 275 Receivable under reverse repurchase agreements 11,748 — 11,748 (6,522) (5,223) 3 Total $ 12,139 $ — $ 12,139 $ (6,522) $ (5,328) $ 289 December 31, 2019 Interest rate swap and swaption agreements, at fair value 1 $ 147 $ — $ 147 $ (2) $ (116) $ 29 TBA securities, at fair value 29 — 29 (4) — 25 Receivable under reverse repurchase agreements 10,181 — 10,181 (9,852) (329) — Total $ 10,357 $ — $ 10,357 $ (9,858) $ (445) $ 54 |
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 Net Amount Financial Instruments Collateral Pledged 2 December 31, 2020 Interest rate swap agreements, at fair value 1 $ — $ — $ — $ — $ — $ — TBA securities, at fair value — — — — — — Repurchase agreements 52,366 — 52,366 (6,522) (45,844) — Total $ 52,366 $ — $ 52,366 $ (6,522) $ (45,844) $ — December 31, 2019 Interest rate swap agreements, at fair value 1 $ 2 $ — $ 2 $ (2) $ — $ — TBA securities, at fair value 4 — 4 (4) — — Repurchase agreements 89,182 — 89,182 (9,852) (79,330) — Total $ 89,188 $ — $ 89,188 $ (9,858) $ (79,330) $ — ________________________________ 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. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and 2019, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during fiscal years 2020 and 2019. December 31, 2020 December 31, 2019 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 64,836 $ — $ — $ 98,516 $ — Agency securities transferred to consolidated VIEs — 295 — — 371 — Credit risk transfer securities — 737 — — 976 — Non-Agency securities — 546 — — 579 — U.S. Treasury securities — — — 97 — — Interest rate swaps — — — — 21 — Swaptions — 116 — — 126 — TBA securities — 275 — — 29 — U.S. Treasury futures — — — 14 — — Total $ — $ 66,805 $ — $ 111 $ 100,618 $ — Liabilities: Debt of consolidated VIEs $ — $ 177 $ — $ — $ 228 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 11,727 — — 9,543 — — Interest rate swaps — — — — 2 — TBA securities — — — — 4 — U.S. Treasury futures 2 — — — — — Total $ 11,729 $ 177 $ — $ 9,543 $ 234 $ — |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended | |
Dec. 31, 2020 | ||
Equity [Abstract] | ||
Preferred Stock [Table Text Block] | Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1 Issuance Depositary Carrying Aggregate Fixed Optional Redemption Date 2 Fixed-to-Floating Floating Series C August 22, 2017 13.0 315 325 7.000% October 15, 2022 October 15, 2022 3M LIBOR + 5.111% Series D March 6, 2019 9.4 227 235 6.875% April 15, 2024 April 15, 2024 3M LIBOR + 4.332% Series E October 3, 2019 16.1 390 403 6.500% October 15, 2024 October 15, 2024 3M LIBOR + 4.993% Series F February 11, 2020 23.0 557 575 6.125% April 15, 2025 April 15, 2025 3M LIBOR + 4.697% Total 61.5 $ 1,489 $ 1,538 ________________________________ | |
Schedule of Stock by Class [Table Text Block] | Follow-On Public Offerings Price Received Per Share, Net Shares Net Proceeds Fiscal Year 2018: May 2018 $18.35 34.5 $ 633 August 2018 $18.68 43.7 817 November 2018 $17.09 46.0 786 Total fiscal year 2018 124.2 $ 2,236 ATM Offerings Average Price Received Per Share, Net Shares Net Proceeds Fiscal Year 2020 $16.46 26.7 $ 439 Fiscal Year 2019 $16.67 11.4 $ 190 Fiscal Year 2018 $18.03 20.8 $ 375 Common Stock Repurchases Average Price Paid Per Share 1 Shares Net Cost Fiscal Year 2020 2 $13.33 28.2 $ 378 Fiscal Year 2019 $14.90 6.9 $ 103 ________________________________ 1. Average price paid per share includes transaction costs. 2. Excludes December 2020 share repurchases settling in January 2021 totaling $24 million, or 1.6 million shares. | |
Dividends Declared [Table Text Block] | Dividends Declared Dividends Declared Per Share 1 Series B Preferred Stock Fiscal year 2019 $ 12 $ 1.673785 Fiscal year 2018 $ 14 $ 1.937500 Series C Preferred Stock Fiscal year 2020 $ 23 $ 1.750000 Fiscal year 2019 $ 23 $ 1.750000 Fiscal year 2018 $ 23 $ 1.750000 Series D Preferred Stock Fiscal year 2020 $ 16 $ 1.718750 Fiscal year 2019 $ 14 $ 1.475263 Series E Preferred Stock Fiscal year 2020 $ 26 $ 1.625000 Fiscal year 2019 $ 7 $ 0.460420 Series F Preferred Stock Fiscal year 2020 $ 33 $ 1.420658 Common Stock Fiscal year 2020 $ 858 $ 1.560000 Fiscal year 2019 $ 1,081 $ 2.000000 Fiscal year 2018 $ 964 $ 2.160000 ________________________________ 1. Preferred stock per share amounts are per depositary share. | |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes changes to accumulated OCI for fiscal years 2020, 2019 and 2018 (in millions): Fiscal Year Accumulated Other Comprehensive Income (Loss) 2020 2019 2018 Beginning Balance $ 97 $ (943) $ (345) OCI before reclassifications 703 1,031 (677) Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net (81) 9 79 Ending Balance $ 719 $ 97 $ (943) | |
Schedule of Tax Treatment of Distributions Per Share | The following table summarizes our tax characterization of distributions to stockholders for fiscal years 2020, 2019 and 2018. Distributions included in the table below are based on the fiscal tax year for which the distribution is attributed to for stockholders in accordance with rules promulgated under the Internal Revenue Code: Tax Characterization 1 Fiscal Tax Year Distribution Rate 1 Ordinary Dividend Per Share Qualified Dividends Capital Gain Dividend Per Share Non-Dividend Distributions Section 199A Dividend Series B Preferred Stock Fiscal year 2019 $ 2.158160 $ 2.158160 $ — $ — $ — $ 2.158160 Fiscal year 2018 $ 1.937500 $ 1.937500 $ — $ — $ — $ 1.937500 Series C Preferred Stock Fiscal year 2020 $ 1.750000 $ 0.570268 $ — $ 1.179732 $ — $ 0.570268 Fiscal year 2019 $ 1.750000 $ 1.750000 $ — $ — $ — $ 1.750000 Fiscal year 2018 $ 1.750000 $ 1.750000 $ — $ — $ — $ 1.750000 Series D Preferred Stock Fiscal year 2020 $ 1.718750 $ 0.560086 $ — $ 1.158664 $ — $ 0.560086 Fiscal year 2019 $ 1.045575 $ 1.045575 $ — $ — $ — $ 1.045575 Series E Preferred Stock Fiscal year 2020 $ 1.679170 $ 0.547188 $ — $ 1.131982 $ — $ 0.547188 Series F Preferred Stock Fiscal year 2020 $ 1.037845 $ 0.338201 $ — $ 0.699644 $ — $ 0.338201 Common Stock Fiscal year 2020 $ 1.720000 $ 0.560492 $ — $ 1.159508 $ — $ 0.560492 Fiscal year 2019 $ 2.020000 $ 1.159504 $ — $ — $ 0.860496 $ 1.159504 Fiscal year 2018 $ 2.160000 $ 1.127208 $ — $ — $ 1.032792 $ 1.127208 ________________________________ 1. Preferred stock per share amounts are per depositary share. | [1] |
[1] | Preferred stock per share amounts are per depositary share. |
Organization (Details)
Organization (Details) | 12 Months Ended |
Dec. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
Intended annual distribution of taxable net income | 100.00% |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies (Details) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative [Line Items] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
Summary of Significant Accoun_5
Summary of Significant Accounting Policies Goodwill and Intangible Assets (Details) $ in Millions | Dec. 31, 2020USD ($) |
Finite-Lived Intangible Assets [Line Items] | |
Goodwill | $ 526 |
Summary of Significant Accoun_6
Summary of Significant Accounting Policies Variable Interest Entities (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Variable Interest Entity [Line Items] | ||
Other Long-term Debt | $ 177 | $ 228 |
Investment Securities (Narrativ
Investment Securities (Narrative) (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | $ 66,400 | $ 100,400 | |
Weighted average expected constant prepayment rate | 10.80% | 17.60% | |
Debt, at fair value | $ (177) | (228) | |
Agency Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Unamortized premium balance | 2,400 | 3,100 | |
TBA securities Fifteen Year and Thirty Year Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Net long TBA position, at fair value | 31,500 | 7,400 | |
TBA, net carrying value | $ 275 | $ 25 |
Investment Securities Investmen
Investment Securities Investment Securities (Summary of Investment in Agency Security) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | $ 63,701 | $ 98,670 |
Debt Securities, Trading and Available-for-sale | 66,414 | 100,442 |
Total agency MBS, at fair value | 65,131 | 98,887 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 178 | 198 |
Debt Securities, Trading and Available-for-sale | 188 | 209 |
Commercial Mortgage Backed Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 333 | 352 |
Debt Securities, Trading and Available-for-sale | 358 | 370 |
Credit Risk Transfer Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 733 | 961 |
Debt Securities, Trading and Available-for-sale | 737 | 976 |
Fixed Income Securities [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 61,977 | 96,375 |
Debt Securities, Trading and Available-for-sale | 64,615 | 98,074 |
Adjustable-Rate [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 69 | 160 |
Debt Securities, Trading and Available-for-sale | 70 | 163 |
Collateralized Mortgage Obligations [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 289 | 441 |
Debt Securities, Trading and Available-for-sale | 301 | 447 |
Multifamily [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 17 | 37 |
Debt Securities, Trading and Available-for-sale | 19 | 39 |
Interest Only And Principal Only Strip [Member] | Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | 105 | 146 |
Debt Securities, Trading and Available-for-sale | 126 | 164 |
Agency Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis | $ 62,457 | $ 97,159 |
Investment Securities (Componen
Investment Securities (Components Of Investment Securities) (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | $ 52,416 | $ 80,289 | |
Debt Securities, Trading and Available-for-sale | 66,414 | 100,442 | |
Amortized cost | $ 63,701 | $ 98,670 | |
Weighted average coupon | 3.39% | 3.68% | |
Weighted average yield | 2.33% | 3.07% | |
Future Prepayment Rate Assumption Of Investment Portfolio | 10.80% | 17.60% | |
Available-for-sale Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | $ 12,743 | $ 19,081 | |
Unamortized discount | (5) | (12) | |
Unamortized premium | 541 | 987 | |
Amortized cost | 13,279 | 20,056 | |
Gross unrealized gains | $ 172 | 719 | |
Gross unrealized losses | (75) | 0 | |
Total available-for-sale securities, at fair value | 13,998 | 20,153 | |
Trading Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Unamortized discount | (46) | (85) | |
Unamortized premium | 1,941 | 2,219 | |
Debt Securities, Trading, Unrealized Gain | 1,729 | 2,014 | |
Debt Securities, Trading, Unrealized Loss | (54) | (20) | |
Trading Securities, Cost | 50,422 | 78,614 | |
Trading Securities Par | 48,527 | 76,480 | |
Fannie Mae [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | 35,395 | 47,215 | |
Debt Securities, Trading and Available-for-sale | $ 45,644 | $ 62,309 | |
Weighted average coupon | 3.30% | 3.62% | |
Weighted average yield | 2.25% | 3.03% | |
Fannie Mae [Member] | Available-for-sale Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | $ 9,325 | $ 14,301 | |
Unamortized discount | (4) | (10) | |
Unamortized premium | 389 | 711 | |
Amortized cost | 9,710 | 15,002 | |
Gross unrealized gains | 142 | 539 | |
Gross unrealized losses | (50) | 0 | |
Total available-for-sale securities, at fair value | 10,249 | 15,094 | |
Fannie Mae [Member] | Trading Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Unamortized discount | (18) | (68) | |
Unamortized premium | 1,314 | 1,218 | |
Debt Securities, Trading, Unrealized Gain | 991 | 1,280 | |
Debt Securities, Trading, Unrealized Loss | (32) | (5) | |
Trading Securities, Cost | 34,120 | 46,256 | |
Trading Securities Par | 32,824 | 45,106 | |
Freddie Mac [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | 15,735 | 31,519 | |
Debt Securities, Trading and Available-for-sale | $ 19,482 | $ 36,559 | |
Weighted average coupon | 3.56% | 3.75% | |
Weighted average yield | 2.39% | 3.09% | |
Freddie Mac [Member] | Available-for-sale Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | $ 3,416 | $ 4,762 | |
Unamortized discount | (1) | (2) | |
Unamortized premium | 152 | 276 | |
Amortized cost | 3,567 | 5,036 | |
Gross unrealized gains | 29 | 180 | |
Gross unrealized losses | (25) | 0 | |
Total available-for-sale securities, at fair value | 3,747 | 5,040 | |
Freddie Mac [Member] | Trading Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Unamortized discount | (1) | (2) | |
Unamortized premium | 607 | 967 | |
Debt Securities, Trading, Unrealized Gain | 691 | 683 | |
Debt Securities, Trading, Unrealized Loss | (18) | (1) | |
Trading Securities, Cost | 15,053 | 30,846 | |
Trading Securities Par | 14,447 | 29,881 | |
Ginnie Mae [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | 3 | 0 | |
Debt Securities, Trading and Available-for-sale | $ 5 | $ 19 | |
Weighted average coupon | 4.73% | 3.77% | |
Weighted average yield | 2.46% | 2.08% | |
Ginnie Mae [Member] | Available-for-sale Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | $ 2 | $ 18 | |
Unamortized discount | 0 | 0 | |
Unamortized premium | 0 | 0 | |
Amortized cost | 2 | 18 | |
Gross unrealized gains | 1 | 0 | |
Gross unrealized losses | 0 | 0 | |
Total available-for-sale securities, at fair value | 2 | 19 | |
Ginnie Mae [Member] | Trading Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Unamortized discount | 0 | 0 | |
Unamortized premium | 0 | 0 | |
Debt Securities, Trading, Unrealized Gain | 0 | 0 | |
Debt Securities, Trading, Unrealized Loss | 0 | 0 | |
Trading Securities, Cost | 3 | 0 | |
Trading Securities Par | 3 | 0 | |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | 188 | 209 | |
Debt Securities, Trading and Available-for-sale | $ 188 | $ 209 | |
Weighted average coupon | 4.28% | 4.05% | |
Weighted average yield | 4.33% | 4.39% | |
Mortgage-backed Securities, Issued by Private Enterprises [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 | |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Trading Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Unamortized discount | (12) | (10) | |
Unamortized premium | 4 | 1 | |
Debt Securities, Trading, Unrealized Gain | 10 | 11 | |
Debt Securities, Trading, Unrealized Loss | 0 | (2) | |
Trading Securities, Cost | 179 | 199 | |
Trading Securities Par | 187 | 208 | |
Commercial Mortgage Backed Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | 358 | 370 | |
Debt Securities, Trading and Available-for-sale | $ 358 | $ 370 | |
Weighted average coupon | 4.13% | 4.49% | |
Weighted average yield | 4.29% | 4.38% | |
Commercial Mortgage Backed Securities [Member] | Available-for-sale Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | $ 0 | $ 0 | |
Unamortized discount | 0 | 0 | |
Unamortized premium | 0 | 0 | |
Amortized cost | 0 | 0 | |
Gross unrealized gains | 0 | 0 | |
Gross unrealized losses | 0 | 0 | |
Total available-for-sale securities, at fair value | 0 | 0 | |
Commercial Mortgage Backed Securities [Member] | Trading Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Unamortized discount | (3) | (3) | |
Unamortized premium | 6 | 7 | |
Debt Securities, Trading, Unrealized Gain | 19 | 28 | |
Debt Securities, Trading, Unrealized Loss | (1) | (4) | |
Trading Securities, Cost | 334 | 352 | |
Trading Securities Par | 331 | 348 | |
Credit Risk Transfer Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading | 737 | 976 | |
Debt Securities, Trading and Available-for-sale | $ 737 | $ 976 | |
Weighted average coupon | 3.43% | 5.07% | |
Weighted average yield | 3.71% | 4.05% | |
Credit Risk Transfer Securities [Member] | Available-for-sale Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Par value | $ 0 | $ 0 | |
Unamortized discount | 0 | 0 | |
Unamortized premium | 0 | 0 | |
Amortized cost | 0 | 0 | |
Gross unrealized gains | 0 | 0 | |
Gross unrealized losses | 0 | 0 | |
Total available-for-sale securities, at fair value | 0 | 0 | |
Credit Risk Transfer Securities [Member] | Trading Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Unamortized discount | (12) | (2) | |
Unamortized premium | 10 | 26 | |
Debt Securities, Trading, Unrealized Gain | 18 | 12 | |
Debt Securities, Trading, Unrealized Loss | $ (3) | (8) | |
Trading Securities, Cost | 733 | 961 | |
Trading Securities Par | 735 | 937 | |
Credit Risk Transfer Securities [Member] | Securities Remeasured at Fair Value [Member] | |||
Schedule of Investments [Line Items] | |||
Debt Securities, Trading and Available-for-sale | $ 737 | $ 976 |
Investment Securities (Summary
Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Agency securities classified as available for sale, Fair value | $ 66,414 | $ 100,442 |
Agency securities classified as available for sale, Amortized cost | $ 63,701 | $ 98,670 |
Weighted Average Coupon | 3.39% | 3.68% |
Weighted Average Yield | 2.33% | 3.07% |
Less Than or Equal to Three Years [Member] | ||
Fair Value | $ 3,642 | $ 2,671 |
Amortized Cost | $ 3,569 | $ 2,654 |
Weighted Average Coupon | 3.56% | 3.54% |
Weighted Average Yield | 2.15% | 2.61% |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | ||
Fair Value | $ 47,740 | $ 10,822 |
Amortized Cost | $ 45,578 | $ 10,563 |
Weighted Average Coupon | 3.54% | 3.85% |
Weighted Average Yield | 2.42% | 3.20% |
Greater Than Five Years [Member] | ||
Fair Value | $ 15,019 | $ 86,492 |
Amortized Cost | $ 14,541 | $ 85,002 |
Weighted Average Coupon | 2.87% | 3.67% |
Weighted Average Yield | 2.08% | 3.07% |
Greater Than Ten Years [Member] | ||
Fair Value | $ 13 | $ 457 |
Amortized Cost | $ 13 | $ 451 |
Weighted Average Coupon | 5.56% | 3.31% |
Weighted Average Yield | 3.59% | 3.06% |
Investment Securities (Summar_2
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, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Unrealized Gains and (Losses), Net | $ (598) | $ 622 | $ 1,040 | $ (598) |
Agency Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning OCI Balance | 97 | (943) | (345) | |
Unrealized Gains and (Losses), Net | 703 | 1,031 | (677) | |
Reversal of Unrealized (Gains) and Losses, Net on Realization | (81) | 9 | 79 | |
Ending OCI Balance | $ 719 | $ 719 | $ 97 | $ (943) |
Investment Securities (Summar_3
Investment Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) - Accumulated Other Comprehensive Income (Loss) [Member] - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Unrealized Loss Position For - Estimated Fair Value - Less than 12 Months | $ 0 | $ 1,653 |
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months | 0 | (12) |
Unrealized Loss Position For - Estimated Fair Value - 12 Months or More | 0 | 6,984 |
Unrealized Loss Position For - Unrealized Loss - 12 Months or More | 0 | (63) |
Unrealized Loss Position For - Estimated Fair Value - Total | 0 | 8,637 |
Unrealized Loss Position For - Unrealized Loss - Total | $ 0 | $ (75) |
Investment Securities (Summar_4
Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Cost of Sale of Fair Value Option Securities | $ (74,964) | $ (23,040) | $ (5,344) |
Cost of Sale of Investment Securities | (77,274) | (23,772) | (9,650) |
Proceeds from agency MBS sold | 25,978 | 13,555 | 21,308 |
Net gain (loss) on sale of investment securities | 1,126 | 388 | (137) |
Available-for-sale Securities [Member] | |||
Agency MBS sold, at cost | (2,310) | (732) | (4,306) |
Proceeds from agency MBS sold | 2,391 | 723 | 4,227 |
Net gain (loss) on sale of investment securities | (9) | (79) | |
Gross gain on sale of investment securities | 81 | 0 | 6 |
Gross loss on sale of investment securities | 0 | (9) | (85) |
Securities Remeasured at Fair Value [Member] | |||
Proceeds from agency MBS sold | 76,009 | 23,437 | 5,286 |
Net gain (loss) on sale of investment securities | 397 | (58) | |
Gross gain on sale of investment securities | 1,149 | 401 | 16 |
Gross loss on sale of investment securities | (104) | (4) | (74) |
Securities (Assets) [Member] | |||
Proceeds from agency MBS sold | 78,400 | 24,160 | 9,513 |
Net gain (loss) on sale of investment securities | 1,126 | 388 | (137) |
Gross gain on sale of investment securities | 1,230 | 401 | 22 |
Gross loss on sale of investment securities | (104) | $ (13) | $ (159) |
Cost and Proceeds of Investment Securities [Member] | Available-for-sale Securities [Member] | |||
Net gain (loss) on sale of investment securities | 81 | ||
Cost and Proceeds of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | |||
Net gain (loss) on sale of investment securities | 1,045 | ||
Gross Gain & Loss of Investment Securities [Member] | Available-for-sale Securities [Member] | |||
Net gain (loss) on sale of investment securities | 81 | ||
Gross Gain & Loss of Investment Securities [Member] | Securities Remeasured at Fair Value [Member] | |||
Net gain (loss) on sale of investment securities | $ 1,045 |
Investment Securities Securitie
Investment Securities Securities by Credit Rating (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | $ 52,416 | $ 80,289 |
Debt Securities, Trading and Available-for-sale | 66,414 | 100,442 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 188 | 209 |
Debt Securities, Trading and Available-for-sale | 188 | 209 |
Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 358 | 370 |
Debt Securities, Trading and Available-for-sale | 358 | 370 |
Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 737 | 976 |
Debt Securities, Trading and Available-for-sale | 737 | 976 |
Securities Remeasured at Fair Value [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading and Available-for-sale | 737 | 976 |
BBB Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 83 | 71 |
BBB Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 55 | 69 |
BBB Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 28 | 67 |
BB Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 36 | 21 |
BB Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 43 | 10 |
BB Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 167 | 471 |
AAA Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
AAA Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 35 | 43 |
AAA Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
AA Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 20 | 81 |
AA Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 190 | 214 |
AA Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
A Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 32 | 25 |
A Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 28 | 34 |
A Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 13 |
B Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 6 | 4 |
B Rating [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 7 | 0 |
B Rating [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 304 | 308 |
Not Rated [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 11 | 7 |
Not Rated [Member] | Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | 0 | 0 |
Not Rated [Member] | Credit Risk Transfer Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Trading | $ 238 | $ 117 |
Repurchase Agreements And Rev_3
Repurchase Agreements And Reverse Repurchase Agreements (Narrative) (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)days | Dec. 31, 2019USD ($)days | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Receivable Under Reverse Repurchase Agreements | $ 11,748,000 | $ 10,181,000 |
Securities Sold under Agreements to Repurchase | 52,366,000 | 89,182,000 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 11,727,000 | $ 9,543,000 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 0.24% | 2.17% |
Debt of consolidated variable interest entities, at fair value | $ (177,000) | $ (228,000) |
Repurchase Agreements Extinguished - Extinguishment of Debt | $ 3,700,000 | |
Weighted Average Remaining Maturity of Repurchase Agreements Extinguished - Extinguished Debt | 2 years 2 months 12 days | |
Gain (Loss) on Extinguishment of Debt | $ (146,000) | |
Weighted Average Interest Rate of Repurchase Agreements Extinguished - Extinguished Debt | 2.11% | |
Short-term Debt, Weighted Average Interest Rate, over Time | 2.11% | |
TBA securities Fifteen Year and Thirty Year Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Fair Value, Net | $ 275,000 | 25,000 |
TBA and Forward Settling Agency Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Derivative, Forward Settlement Value | 31,204,000 | 7,404,000 |
Derivative, Fair Value, Net | 275,000 | 25,000 |
Maturity Overnight [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | 11,200,000 | 17,000,000 |
Forward Contracts [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ 2,900,000 | $ 4,500,000 |
Weighted Average Forward Start Days | days | 4 | 12 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 0.12% | 1.60% |
Bethesda Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Percentage of Repurchase Agreement Funding | 47.00% | 40.00% |
FICC [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Percentage of Repurchase Agreement Funding | 46.00% | 38.00% |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 3,600,000 | $ 5,400,000 |
Repurchase Agreements And Other
Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) $ in Millions | Dec. 31, 2020USD ($)days | Dec. 31, 2019USD ($)days |
Receivable Under Reverse Repurchase Agreements | $ 11,748 | $ 10,181 |
Repurchase Agreements | $ 52,366 | $ 89,182 |
Weighted Average Interest Rate | 0.24% | 2.17% |
Weighted Average Days to Maturity | days | 54 | 55 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 11,727 | $ 9,543 |
Maturity Overnight [Member] | ||
Repurchase Agreements | 11,200 | 17,000 |
30 Days or Less [Member] | ||
Repurchase Agreements | $ 29,505 | $ 56,664 |
Weighted Average Interest Rate | 0.22% | 2.19% |
Weighted Average Days to Maturity | days | 12 | 10 |
1 to 3 Months | ||
Repurchase Agreements | $ 13,434 | $ 20,761 |
Weighted Average Interest Rate | 0.27% | 2.01% |
Weighted Average Days to Maturity | days | 57 | 53 |
3 to 6 Months | ||
Repurchase Agreements | $ 7,317 | $ 5,683 |
Weighted Average Interest Rate | 0.28% | 2.19% |
Weighted Average Days to Maturity | days | 142 | 100 |
6 to 9 Months | ||
Repurchase Agreements | $ 660 | $ 1,500 |
Weighted Average Interest Rate | 0.24% | 2.66% |
Weighted Average Days to Maturity | days | 208 | 182 |
9 to 12 Months | ||
Repurchase Agreements | $ 1,450 | $ 2,152 |
Weighted Average Interest Rate | 0.15% | 2.41% |
Weighted Average Days to Maturity | days | 354 | 351 |
12 to 24 Months | ||
Repurchase Agreements | $ 0 | $ 625 |
Weighted Average Interest Rate | 0.00% | 2.38% |
Weighted Average Days to Maturity | days | 0 | 411 |
24 to 36 Months | ||
Repurchase Agreements | $ 0 | $ 1,700 |
Weighted Average Interest Rate | 0.00% | 2.45% |
Weighted Average Days to Maturity | days | 0 | 833 |
US Treasury Securities [Member] | 2 Days to 1 Month [Member] | ||
Repurchase Agreements | $ 0 | $ 97 |
Weighted Average Interest Rate | 0.00% | 1.63% |
Weighted Average Days to Maturity | days | 0 | 2 |
FICC [Member] | ||
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 3,600 | $ 5,400 |
US Government Agencies Debt Securities [Member] | ||
Repurchase Agreements | $ 52,366 | $ 89,085 |
Weighted Average Interest Rate | 0.24% | 2.17% |
Weighted Average Days to Maturity | days | 54 | 55 |
Derivative and Other Hedging _3
Derivative and Other Hedging Instruments (Narrative) (Details) $ in Millions | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2020USD ($)month | Dec. 31, 2020USD ($)month | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
Interest Rate Swaption [Member] | |||||
Average Maturity (Years) | 9 years 6 months | 9 years 6 months | |||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 11 | 15 | |||
Notional Amount | $ 10,400 | $ 8,850 | |||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (156) | (26) | $ 90 | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 7,000 | 7,650 | 1,250 | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | $ (5,450) | $ (2,300) | (4,400) | ||
Derivative, Average Fixed Interest Rate | 1.84% | 2.34% | |||
Interest Rate Derivatives, at Fair Value, Net | $ 116 | $ 126 | |||
Options At Cost | $ 176 | 237 | |||
TBA and Forward Settling Agency Securities [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1,497 | 411 | (299) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 286,586 | 95,169 | 194,534 | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (94,999) | ||||
US Treasury Securities [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (106) | (109) | 48 | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (2,334) | (2,325) | (181) | ||
Short [Member] | US Treasury Securities [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (905) | (967) | (161) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 18,912 | 12,601 | 19,278 | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 16,849 | (24,722) | 8,632 | ||
Long [Member] | US Treasury Securities [Member] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 102 | 11 | 1 | ||
Trading Securities Added During the Period | 7,011 | 1,776 | 1,949 | ||
Notional Amount Of Trading Securities Settlement Expiration During The Period | (7,106) | (1,726) | (1,904) | ||
Debt Securities, Trading, and Equity Securities, FV-NI | $ 0 | $ 95 | $ 45 | $ 0 |
Derivative and Other Hedging _4
Derivative and Other Hedging Instruments (Fair Value Information) (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | ||||
Derivative asset, fair value | $ 391 | $ 190 | ||
Derivative liability, fair value | (2) | (6) | ||
Derivative assets, at fair value | (391) | (190) | ||
Derivative Liability | (2) | (6) | ||
U.S. Treasury securities | 0 | 97 | ||
U.S. Treasury Securities - short | (11,727) | (9,543) | ||
Total - (short)/long, net | (11,727) | (9,446) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (2,334) | (2,325) | $ (181) | |
TBA and Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 286,586 | 95,169 | 194,534 | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (94,999) | |||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1,497 | 411 | (299) | |
Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 43,225 | 79,075 | ||
Derivative liability, fair value | 0 | (2) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 101,950 | 166,975 | 14,350 | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (137,800) | (139,525) | (6,425) | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (2,766) | (1,645) | 140 | |
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative asset, fair value | 0 | 21 | ||
Interest Rate Swaption [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Notional Amount | 10,400 | 8,850 | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 7,000 | 7,650 | 1,250 | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (5,450) | (2,300) | (4,400) | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (156) | (26) | 90 | |
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative asset, fair value | 116 | 126 | ||
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative liability, fair value | 0 | (4) | ||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | (263,544) | (202,856) | ||
US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (106) | (109) | 48 | |
US Treasury Securities [Member] | Fair Value, Recurring [Member] | Future [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Derivative [Line Items] | ||||
Derivative assets, at fair value | 0 | 14 | ||
Derivative Liability | (2) | 0 | ||
TBA and Forward Settling Agency Securities [Member] | Fair Value, Recurring [Member] | Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Derivative [Line Items] | ||||
Derivative assets, at fair value | (275) | (29) | ||
Short [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period | 18,912 | 12,601 | 19,278 | |
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period | 16,849 | (24,722) | 8,632 | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (905) | (967) | (161) | |
Long [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 102 | 11 | 1 | |
Debt Securities, Trading, and Equity Securities, FV-NI | 0 | 95 | 45 | $ 0 |
Trading Securities Added During the Period | 7,011 | 1,776 | 1,949 | |
Notional Amount Of Trading Securities Settlement Expiration During The Period | $ (7,106) | $ (1,726) | $ (1,904) |
Derivative and Other Hedging _5
Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) $ in Millions | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020USD ($)month | Dec. 31, 2020USD ($)month | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Interest Rate Swaps Linked to Overnight Index Swap Rate | 29.00% | 86.00% | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (2,334) | $ (2,325) | $ (181) | |
Interest Rate Swaps Linked to 3-Month LIBOR | 0.00% | 11.00% | ||
Interest Rate Swaps Linked to Secured Overnight Financing Rate | 71.00% | 3.00% | ||
Interest Rate Swaption [Member] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (156) | $ (26) | 90 | |
Notional Amount | $ 10,400 | $ 8,850 | ||
Average Fixed Pay Rate | 1.84% | 2.34% | ||
Options At Cost | $ 176 | $ 237 | ||
Interest Rate Derivatives, at Fair Value, Net | $ 116 | $ 126 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 11 | 15 | ||
Average Maturity (Years) | 9 years 6 months | 9 years 6 months | ||
Interest Rate Swap [Member] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (2,766) | (1,645) | $ 140 | |
Notional Amount | $ 43,225 | $ 79,075 | ||
Average Fixed Pay Rate | 0.15% | 1.29% | ||
Average Receive Rate | 0.08% | 1.59% | ||
Average Maturity (Years) | 2 years 8 months 12 days | 5 years 1 month 6 days | ||
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | ||||
Notional Amount | $ 5,900 | $ 5,650 | ||
Average Fixed Pay Rate | 2.17% | 2.26% | ||
Options At Cost | $ 123 | $ 123 | ||
Interest Rate Derivatives, at Fair Value, Net | $ 15 | $ 80 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 8 | 5 | ||
Average Maturity (Years) | 9 years 3 months 18 days | 9 years 2 months 12 days | ||
Greater Than One Year and Less Than or Equal to Two Years [Member] | Interest Rate Swaption [Member] | ||||
Notional Amount | $ 2,000 | $ 3,200 | ||
Average Fixed Pay Rate | 1.38% | 2.50% | ||
Options At Cost | $ 53 | $ 41 | ||
Interest Rate Derivatives, at Fair Value, Net | $ 33 | $ 46 | ||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 16 | 20 | ||
Average Maturity (Years) | 10 years | 10 years | ||
Greater Than Two Years and Less Than or Equal to Three Years [Member] | Interest Rate Swaption [Member] | ||||
Notional Amount | $ 2,250 | |||
Average Fixed Pay Rate | 1.40% | |||
Options At Cost | $ 65 | |||
Interest Rate Derivatives, at Fair Value, Net | $ 60 | |||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 33 | |||
Average Maturity (Years) | 10 years | |||
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | ||||
Notional Amount | $ 8,750 | $ 59,700 | ||
Average Fixed Pay Rate | 0.04% | 1.30% | ||
Average Receive Rate | 0.08% | 1.58% | ||
Average Maturity (Years) | 1 year 7 months 6 days | 2 years 4 months 24 days | ||
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member] | ||||
Notional Amount | $ 17,000 | $ 9,850 | ||
Average Fixed Pay Rate | 0.10% | 1.17% | ||
Average Receive Rate | 0.08% | 1.55% | ||
Average Maturity (Years) | 3 years 9 months 18 days | 4 years 1 month 6 days | ||
Greater Than Five Years and Less than or Equal to Seven Years [Member] | Interest Rate Swap [Member] | ||||
Notional Amount | $ 9,800 | $ 5,650 | ||
Average Fixed Pay Rate | 0.21% | 1.34% | ||
Average Receive Rate | 0.08% | 1.70% | ||
Average Maturity (Years) | 6 years 4 months 24 days | 5 years 9 months 18 days | ||
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member] | ||||
Notional Amount | $ 6,200 | $ 2,850 | ||
Average Fixed Pay Rate | 0.28% | 1.36% | ||
Average Receive Rate | 0.07% | 1.58% | ||
Average Maturity (Years) | 8 years 10 months 24 days | 8 years 6 months | ||
Greater Than Ten Years [Member] | Interest Rate Swap [Member] | ||||
Notional Amount | $ 1,475 | $ 1,025 | ||
Average Fixed Pay Rate | 0.47% | 1.64% | ||
Average Receive Rate | 0.07% | 1.78% | ||
Average Maturity (Years) | 15 years 4 months 24 days | 14 years 2 months 12 days | ||
Greater Than Three Years and Less Than or Equal to Four Years | Interest Rate Swaption [Member] | ||||
Notional Amount | $ 250 | |||
Average Fixed Pay Rate | 1.43% | |||
Options At Cost | $ 8 | |||
Interest Rate Derivatives, at Fair Value, Net | $ 8 | |||
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month | 40 | |||
Average Maturity (Years) | 10 years |
Derivative and Other Hedging _6
Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) $ in Millions | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020USD ($)month | Dec. 31, 2020USD ($)month | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Interest Rate Swaps Linked to 3-Month LIBOR | 0.00% | 11.00% | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (2,334) | $ (2,325) | $ (181) | |
Interest Rate Swaps Linked to Overnight Index Swap Rate | 29.00% | 86.00% | ||
Interest Rate Swaption [Member] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (156) | $ (26) | 90 | |
Cost | $ 176 | 237 | ||
Fair Value | $ 116 | 126 | ||
Average Months to Expiration | month | 11 | 15 | ||
Derivative Liability, Notional Amount | $ 10,400 | $ 8,850 | ||
Average Fixed Pay Rate | 1.84% | 2.34% | ||
Average Maturity (Years) | 9 years 6 months | 9 years 6 months | ||
Interest Rate Swap [Member] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (2,766) | $ (1,645) | $ 140 | |
Derivative Liability, Notional Amount | $ 43,225 | $ 79,075 | ||
Average Fixed Pay Rate | 0.15% | 1.29% | ||
Average Maturity (Years) | 2 years 8 months 12 days | 5 years 1 month 6 days | ||
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | ||||
Cost | $ 123 | $ 123 | ||
Fair Value | $ 15 | $ 80 | ||
Average Months to Expiration | month | 8 | 5 | ||
Derivative Liability, Notional Amount | $ 5,900 | $ 5,650 | ||
Average Fixed Pay Rate | 2.17% | 2.26% | ||
Average Maturity (Years) | 9 years 3 months 18 days | 9 years 2 months 12 days | ||
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | ||||
Derivative Liability, Notional Amount | $ 8,750 | $ 59,700 | ||
Average Fixed Pay Rate | 0.04% | 1.30% | ||
Average Maturity (Years) | 1 year 7 months 6 days | 2 years 4 months 24 days | ||
Bermudan [Member] | Interest Rate Swaption [Member] | ||||
Derivative Liability, Notional Amount | $ 700 |
Derivative and Other Hedging _7
Derivative and Other Hedging Instruments (US Treasury Securities) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||||
U.S. Treasury securities, net | $ (11,727) | $ (9,446) | ||
Weighted Average Yield Percentage | 2.33% | 3.07% | ||
7 Years Maturity [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | $ (1,083) | $ 0 | ||
At Par Value [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (11,288) | (9,129) | ||
TBA and Forward Settling Agency Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (30,364) | (7,322) | $ (7,152) | $ (15,474) |
Derivative, Forward Settlement Value | (31,204) | (7,404) | ||
Derivative Asset, Fair Value, Gross Asset | (31,479) | (7,429) | ||
Derivative, Fair Value, Net | 275 | 25 | ||
5 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (425) | 95 | ||
10 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (9,780) | (9,224) | ||
10 Year Maturity [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Fair Value, Net | (2) | 14 | ||
Short [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (11,287) | (9,224) | $ (21,345) | $ (10,699) |
Short [Member] | 10 Year Maturity [Member] | US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (1,000) | (1,000) | ||
Derivative, Forward Settlement Value | (1,379) | (1,298) | ||
Derivative Asset, Fair Value, Gross Asset | (1,381) | (1,284) | ||
Fair Value Hedging [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (11,727) | (9,446) | ||
Fair Value Hedging [Member] | 7 Years Maturity [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (1,089) | 0 | ||
Fair Value Hedging [Member] | 5 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (425) | 97 | ||
Fair Value Hedging [Member] | 10 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (10,213) | (9,543) | ||
At Cost Basis [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (11,368) | (9,234) | ||
At Cost Basis [Member] | 7 Years Maturity [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (1,081) | 0 | ||
At Cost Basis [Member] | 5 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | (425) | 95 | ||
At Cost Basis [Member] | 10 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
U.S. Treasury securities, net | $ (9,862) | $ (9,329) | ||
US Treasury Securities [Member] | Short [Member] | ||||
Derivative [Line Items] | ||||
Weighted Average Yield Percentage | 1.20% | 2.19% | ||
US Treasury Securities [Member] | Long [Member] | ||||
Derivative [Line Items] | ||||
Weighted Average Yield Percentage | 2.21% |
Derivative and Other Hedging _8
Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - TBA and Forward Settling Agency Securities [Member] - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ 30,364 | $ 7,322 | $ 7,152 | $ 15,474 |
Cost Basis | 31,204 | 7,404 | ||
Net long TBA position, at fair value | (31,479) | (7,429) | ||
TBA, net carrying value | 275 | 25 | ||
30 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 23,624 | 5,142 | ||
Cost Basis | 24,288 | 5,182 | ||
Net long TBA position, at fair value | (24,499) | (5,203) | ||
TBA, net carrying value | 211 | 21 | ||
30 Year Maturity [Member] | 2.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 19,805 | 0 | ||
Cost Basis | 20,314 | 0 | ||
Net long TBA position, at fair value | (20,480) | 0 | ||
TBA, net carrying value | 166 | 0 | ||
30 Year Maturity [Member] | 2.5% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 3,167 | 0 | ||
Cost Basis | 3,291 | 0 | ||
Net long TBA position, at fair value | (3,335) | 0 | ||
TBA, net carrying value | 44 | 0 | ||
30 Year Maturity [Member] | 3.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 528 | 5,008 | ||
Cost Basis | 552 | 5,052 | ||
Net long TBA position, at fair value | (553) | (5,073) | ||
TBA, net carrying value | 1 | 21 | ||
30 Year Maturity [Member] | 3.5% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 124 | 1,226 | ||
Cost Basis | 131 | 1,259 | ||
Net long TBA position, at fair value | (131) | (1,261) | ||
TBA, net carrying value | 0 | 2 | ||
30 Year Maturity [Member] | 4.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 0 | |||
Cost Basis | 0 | 1,565 | ||
Net long TBA position, at fair value | 0 | (1,568) | ||
TBA, net carrying value | 0 | (3) | ||
30 Year Maturity [Member] | 4.5% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 0 | 415 | ||
Cost Basis | 0 | 436 | ||
Net long TBA position, at fair value | 0 | (437) | ||
TBA, net carrying value | 0 | 1 | ||
30 Year Maturity [Member] | Short [Member] | 4.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 1,507 | |||
15 Year Maturity [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 6,740 | 2,180 | ||
Cost Basis | 6,916 | 2,222 | ||
Net long TBA position, at fair value | (6,980) | (2,226) | ||
TBA, net carrying value | 64 | 4 | ||
15 Year Maturity [Member] | 2.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 6,540 | 0 | ||
Cost Basis | 6,708 | 0 | ||
Net long TBA position, at fair value | (6,771) | 0 | ||
TBA, net carrying value | 63 | 0 | ||
15 Year Maturity [Member] | 2.5% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 200 | 805 | ||
Cost Basis | 208 | 811 | ||
Net long TBA position, at fair value | (209) | (812) | ||
TBA, net carrying value | 1 | 1 | ||
15 Year Maturity [Member] | 3.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 0 | 1,059 | ||
Cost Basis | 0 | 1,083 | ||
Net long TBA position, at fair value | 0 | (1,086) | ||
TBA, net carrying value | 0 | 3 | ||
15 Year Maturity [Member] | 3.5% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 0 | 241 | ||
Cost Basis | 0 | 250 | ||
Net long TBA position, at fair value | 0 | (250) | ||
TBA, net carrying value | 0 | 0 | ||
15 Year Maturity [Member] | 4.0% Coupon [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 0 | 75 | ||
Cost Basis | 0 | 78 | ||
Net long TBA position, at fair value | 0 | (78) | ||
TBA, net carrying value | $ 0 | $ 0 |
Derivative and Other Hedging _9
Derivative and Other Hedging Instruments (Effect Of Derivative Instruments Not Designated As Hedges On Comprehensive Income Statement) (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | $ (2,334) | $ (2,325) | $ (181) | |
Interest rate swap - receiver [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Additions | 175 | |||
Settlement, Expirations or Exercise | (175) | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | 0 | |||
Interest Rate Swaption [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (10,400) | (8,850) | (3,500) | $ (6,650) |
Additions | (7,000) | (7,650) | (1,250) | |
Settlement, Expirations or Exercise | 5,450 | 2,300 | 4,400 | |
Notional Amount | (10,400) | (8,850) | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | (156) | (26) | 90 | |
TBA and Forward Settling Agency Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (30,364) | (7,322) | (7,152) | (15,474) |
Additions | (286,586) | (95,169) | (194,534) | |
Settlement, Expirations or Exercise | 94,999 | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | 1,497 | 411 | (299) | |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Settlement, Expirations or Exercise | 263,544 | 202,856 | ||
Interest Rate Swap [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Additions | (101,950) | (166,975) | (14,350) | |
Settlement, Expirations or Exercise | 137,800 | 139,525 | 6,425 | |
Notional Amount | (43,225) | (79,075) | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | (2,766) | (1,645) | 140 | |
US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | (106) | (109) | 48 | |
Not Designated as Hedging Instrument [Member] | Interest rate swap - receiver [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | 0 | 0 | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (3,500) | |||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (43,225) | (79,075) | (51,625) | (43,700) |
Short [Member] | US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (11,287) | (9,224) | (21,345) | (10,699) |
Additions | (18,912) | (12,601) | (19,278) | |
Settlement, Expirations or Exercise | (16,849) | 24,722 | (8,632) | |
Amount Gain/(Loss) Recognized in Income on Derivatives | (905) | (967) | (161) | |
Long [Member] | US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 102 | 11 | 1 | |
Debt Securities, Trading, and Equity Securities, FV-NI | 0 | 95 | 45 | 0 |
Trading Securities Added During the Period | 7,011 | 1,776 | 1,949 | |
Notional Amount Of Trading Securities Settlement Expiration During The Period | (7,106) | (1,726) | (1,904) | |
Future [Member] | Short [Member] | US Treasury Securities [Member] | ||||
Changes in Derivative and Other Hedge Portfolio [Roll Forward] | ||||
Notional Amount | (1,000) | (1,000) | (1,650) | $ (2,910) |
Additions | 4,000 | (5,300) | 7,859 | |
Settlement, Expirations or Exercise | $ (4,000) | $ 5,950 | $ (9,119) |
Pledged Assets (Narrative) (Det
Pledged Assets (Narrative) (Details) | Dec. 31, 2020 |
Pledged Assets [Abstract] | |
Risk Of Repurchase Agreement To Stockholders Equity | 2.00% |
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, 2020USD ($)days | Dec. 31, 2019USD ($)days |
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Securities Sold under Agreements to Repurchase | $ | $ 52,366 | $ 89,182 |
Risk Of Repurchase Agreement To Stockholders Equity | 2.00% | |
Weighted Average Days to Maturity | days | 54 | 55 |
FICC [Member] | ||
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items] | ||
Risk Of Repurchase Agreement To Stockholders Equity | 9.00% |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged as Collateral) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | $ 54,314 | $ 92,547 |
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repurchase Agreements | 119 | 144 |
Accrued interest on pledged securities | 150 | 270 |
Restricted cash | 1,307 | 451 |
Total Fair Value of Securities Pledged and Accrued Interest | 56,689 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 94,634 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 53,401 | 92,142 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 365 | 404 |
Accrued interest on pledged securities | 1 | |
Restricted cash | 890 | 340 |
Total Fair Value of Securities Pledged and Accrued Interest | 1,256 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 745 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 147 | 267 |
Total Fair Value of Securities Pledged and Accrued Interest | 54,878 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 93,282 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 295 | 371 |
Accrued interest on pledged securities | 1 | 1 |
Total Fair Value of Securities Pledged and Accrued Interest | 296 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 372 | |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 258 | 206 |
Accrued interest on pledged securities | 1 | 1 |
Total Fair Value of Securities Pledged and Accrued Interest | 259 | |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 235 | |
Includes Sold But Not Yet Settled Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 54,319 | 93,123 |
Credit Risk Transfer Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 455 | 309 |
Credit Risk Transfer Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 455 | 309 |
Credit Risk Transfer Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 0 |
Non-Agency [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 458 | |
Non-Agency [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 458 | |
Non-Agency [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 481 |
US Treasury Securities [Member] | Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 28 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 453 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 0 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 1 | |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash | 417 | 111 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash | 0 | 0 |
Excluding Cash Received [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash | $ 1,307 | $ 451 |
Pledged Assets (Securities Pled
Pledged Assets (Securities Pledged as Collateral) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting Assets and Liabilities [Line Items] | ||
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repo | $ 119 | $ 144 |
Security Owned and Pledged as Collateral, Fair Value | 54,314 | 92,547 |
Agency Securities Pledged As Collateral Amortized Cost | 51,784 | 90,887 |
Agency Securities Pledged As Collateral Accrued Interest | 147 | 267 |
Maturity Less than 30 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 29,674 | 56,990 |
Agency Securities Pledged As Collateral Amortized Cost | 28,208 | 55,951 |
Agency Securities Pledged As Collateral Accrued Interest | 82 | 167 |
Maturity 31 To 59 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 8,438 | 14,410 |
Agency Securities Pledged As Collateral Amortized Cost | 8,013 | 14,114 |
Agency Securities Pledged As Collateral Accrued Interest | 23 | 42 |
Maturity 60 To 90 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 5,782 | 7,637 |
Agency Securities Pledged As Collateral Amortized Cost | 5,495 | 7,536 |
Agency Securities Pledged As Collateral Accrued Interest | 16 | 20 |
Maturity over 90 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 10,420 | 13,510 |
Agency Securities Pledged As Collateral Amortized Cost | 10,068 | 13,286 |
Agency Securities Pledged As Collateral Accrued Interest | 26 | 38 |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 53,401 | 92,142 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 365 | 404 |
Credit Risk Transfer Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 455 | 309 |
Credit Risk Transfer Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 455 | 309 |
Credit Risk Transfer Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 0 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 481 |
Securities Received as Collateral, Amount Repledged and Sold | 357 | |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | 453 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 0 | $ 0 |
Non-Agency [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 458 | |
Non-Agency [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 458 | |
Non-Agency [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $ 0 |
Pledged Assets (Assets Pledge_2
Pledged Assets (Assets Pledged from Counterparties) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting Assets and Liabilities [Line Items] | ||
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | $ 11,727 | $ 9,543 |
Restricted Cash and Cash Equivalents | 1,307 | 451 |
Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | 110 | 116 |
Restricted Cash and Securities Pledged | 11,850 | 10,216 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | (13) | (1) |
Restricted Cash and Cash Equivalents | 3 | |
Securities Sold under Agreements to Repurchase [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | (16) | (1) |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Securities Pledged | 107 | 116 |
US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | (11,740) | (10,100) |
Reverse Repurchase Agreements [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | (11,727) | (10,099) |
Reverse Repurchase Agreements [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | (11,727) | (10,099) |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | 890 | 340 |
Derivative [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 0 | 0 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | $ 107 | $ 116 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting Assets and Liabilities [Line Items] | ||
Collateral Received | $ (5,328) | |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 12,139 | $ 10,357 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 12,139 | 10,357 |
Financial Instruments | (6,522) | (9,858) |
Collateral Received | (445) | |
Net Amount | 289 | 54 |
Assets [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 116 | 147 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 116 | 147 |
Financial Instruments | 0 | (2) |
Collateral Received | (105) | (116) |
Net Amount | 11 | 29 |
Assets [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 275 | 29 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 275 | 29 |
Financial Instruments | 0 | (4) |
Net Amount | 275 | 25 |
Assets [Member] | Reverse Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Net Amount | 3 | 0 |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 52,366 | 89,188 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 52,366 | 89,188 |
Financial Instruments | (6,522) | (9,858) |
Collateral Received | (45,844) | (79,330) |
Net Amount | 0 | |
Liability [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Net Amount | 0 | 0 |
Liability [Member] | ERROR in label resolution. | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 0 | 2 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 0 | 2 |
Financial Instruments | 0 | (2) |
Collateral Received | 0 | 0 |
Net Amount | 0 | 0 |
Liability [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 0 | 4 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 0 | 4 |
Financial Instruments | 0 | (4) |
Collateral Received | 0 | 0 |
Net Amount | 0 | 0 |
Reverse Repurchase Agreements [Member] | Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 11,748 | 10,181 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 11,748 | 10,181 |
Financial Instruments | (6,522) | (9,852) |
Collateral Received | (5,223) | (329) |
Repurchase Agreements [Member] | Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 52,366 | 89,182 |
Gross Amount Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 52,366 | 89,182 |
Financial Instruments | (6,522) | (9,852) |
Collateral Received | $ (45,844) | $ (79,330) |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Future [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | US Treasury Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
TBA securities | $ 0 | $ 14 |
Derivative Liability | 2 | 0 |
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 | 116 | 126 |
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 | 0 | 21 |
Interest Rate Swap [Member] | Derivative liabilities, at fair value [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest rate swaps | 0 | 2 |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
TBA securities | (275) | (29) |
Securities Sold under Agreements to Repurchase | $ 52,366 | 89,182 |
Transfers between hierarchy levels | no | |
Agency securities | $ 64,836 | 98,516 |
Non-Agency Securities, at Fair Value | 546 | 579 |
Financial Instruments, Owned, Other, at Fair Value | 737 | 976 |
U.S. Treasury securities | 0 | 97 |
TBA securities | (391) | (190) |
Derivative Liability | 2 | 6 |
Debt of consolidated variable interest entities, at fair value | 177 | 228 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 11,727 | 9,543 |
Interest rate swaps | 391 | 190 |
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total assets | 0 | 111 |
Total liabilities | 11,729 | 9,543 |
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total assets | 66,805 | 100,618 |
Total liabilities | 177 | 234 |
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Sale Of TBA And Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Liability | $ 0 | $ 4 |
Net Income (Loss) Per Common _2
Net Income (Loss) Per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | |||
Weighted Average Number of Shares Outstanding | 550,600 | 540,200 | 440,900 |
Weighted Average Number of Fully Vested Restricted Stock Units and Performance Share Units Outstanding | 1,000 | 400 | 200 |
Weighted Average Number of Shares Outstanding, Basic | 551,600 | 540,600 | 441,100 |
Incremental Common Shares Attributable to Dilutive Effect of Share-based Payment Arrangements | 0 | 800 | 300 |
Weighted Average Number of Shares Outstanding, Diluted | 551,600 | 541,400 | 441,400 |
Net Income (Loss) Available to Common Stockholders, Basic | $ (362) | $ 628 | $ 93 |
Earnings Per Share, Basic | $ (0.66) | $ 1.16 | $ 0.21 |
Earnings Per Share, Diluted | $ (0.66) | $ 1.16 | $ 0.21 |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 1,100 |
Stockholders' Equity (Preferred
Stockholders' Equity (Preferred Stock) (Details) - USD ($) $ / shares in Units, $ in Thousands | Feb. 11, 2020 | Oct. 03, 2019 | May 31, 2014 | Dec. 31, 2020 | Dec. 31, 2019 | Nov. 26, 2019 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock E, Value, Issued | $ 390,000 | |||||
Preferred Stock E, Liquidation Preference, Value | $ 403,000 | |||||
Preferred Stock F, Value, Issued | $ 557,000 | |||||
Preferred Stock D, Value, Issued | $ 227,000 | |||||
Preferred Stock D, Liquidation Preference, Value | 235,000 | |||||
Preferred Stock C, Value, Issued | 315,000 | |||||
Preferred Stock C, Liquidation Preference, Value | 325,000 | |||||
Preferred Stock, Value, Issued | 1,489,000 | $ 932,000 | ||||
Preferred Stock, Liquidation Preference, Value | $ 1,538,000 | $ 963,000 | ||||
Preferred Stock, Shares Authorized | 10,000,000 | |||||
Series B Preferred Stock [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Percent Interest Per Share | 0.10% | |||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | |||||
Series C Preferred Stock [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 13,800 | |||||
Preferred Stock, Dividend Rate, Percentage | 7.00% | |||||
Preferred Stock Dividend Payment Rate Variable Rate Spread | 5.111% | |||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | |||||
Preferred Stock, Shares Issued | 13,000 | |||||
Series D Preferred Stock [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 10,350 | |||||
Preferred Stock, Dividend Rate, Percentage | 6.875% | |||||
Preferred Stock Dividend Payment Rate Variable Rate Spread | 4.332% | |||||
Preferred Stock, Shares Issued | 9,400 | |||||
Series E Preferred Stock [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 16,100 | |||||
Preferred Stock, Dividend Rate, Percentage | 6.50% | |||||
Preferred Stock, Shares Issued | 16,100 | |||||
Series F Preferred Stock [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 23,000 | |||||
Preferred Stock, Dividend Rate, Percentage | 6.125% | |||||
Preferred Stock, Shares Issued | 23,000 | |||||
Preferred Stock, Liquidation Preference, Value | $ 575,000 | |||||
Depositary Share [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Shares Issued | 61,500,000 | |||||
Depositary Share [Member] | Series C Preferred Stock [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Shares Issued | 13,000,000 | |||||
Depositary Share [Member] | Series D Preferred Stock [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Shares Issued | 9,400,000 | |||||
Depositary Share [Member] | Series E Preferred Stock [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Shares Issued | 16,100,000 | |||||
Depositary Share [Member] | Series F Preferred Stock [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Preferred Stock, Shares Issued | 23,000,000 |
Stockholders' Equity (Common St
Stockholders' Equity (Common Stock Repurchase Program) (Details) - USD ($) shares in Thousands | 3 Months Ended | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Jul. 31, 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Stock Repurchase Program, Authorized Amount | $ 1,000,000,000 | ||||
Repurchase of common stock shares | 28,200 | 6,900 | |||
Repurchase of common stock, value | $ 2,611,000,000 | $ 378,000,000 | $ 103,000,000 | ||
Payments for Repurchase of Common Stock | 378,000,000 | 103,000,000 | $ 0 | ||
Stock Repurchased During Period, Average Repurchase Price (in dollars per share) | 13.33 | $ 14.90 | |||
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $ 900,000,000 | 900,000,000 | |||
Stock Repurchased During Period Settled After Period - Value | $ (24,000,000) | ||||
Stock Repurchased During Period Settled After - Shares | (1,600) | ||||
Common Stock [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Repurchase of common stock shares | 6,900 | ||||
Repurchase of common stock, value | $ 1,000,000 |
Stockholders' Equity (Accumulat
Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax | $ (598) | $ 622 | $ 1,040 | $ (598) |
Agency Securities [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Beginning OCI Balance | 97 | (943) | (345) | |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax | 703 | 1,031 | (677) | |
Amounts reclassified from accumulated OCI | (81) | 9 | 79 | |
Ending OCI Balance | $ 719 | $ 719 | $ 97 | $ (943) |
Stockholders' Equity (Follow-On
Stockholders' Equity (Follow-On Equity Offerings) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Nov. 19, 2018 | Aug. 03, 2018 | May 29, 2018 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Class of Stock [Line Items] | ||||||
Sale of Stock, Price Per Share | $ 17.09 | $ 18.68 | $ 18.35 | $ 16.46 | $ 16.67 | $ 18.03 |
Stock Issued During Period, Shares, New Issues | 46 | 43.7 | 34.5 | 26.7 | 11.4 | 20.8 |
Stock Issued During Period, Value, New Issues | $ 786 | $ 817 | $ 633 | $ 439 | $ 190 | |
Follow-On Public Offering [Member] | ||||||
Class of Stock [Line Items] | ||||||
Stock Issued During Period, Shares, New Issues | 124.2 | |||||
Stock Issued During Period, Value, New Issues | $ 2,236 |
Stockholders' Equity (At-the-Ma
Stockholders' Equity (At-the-Market Offering Program) (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | Nov. 19, 2018 | Aug. 03, 2018 | May 29, 2018 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Common Stock, Shares Authorized | $ 26 | |||||
Stock Issued During Period, Shares, New Issues | 46 | 43.7 | 34.5 | 26.7 | 11.4 | 20.8 |
Stock Issued During Period, Value, New Issues | $ 786 | $ 817 | $ 633 | $ 439 | $ 190 | |
Sale of Stock, Price Per Share | $ 17.09 | $ 18.68 | $ 18.35 | $ 16.46 | $ 16.67 | $ 18.03 |
Common Stock At The Market Sale Agreement [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Stock Issued During Period, Value, New Issues | $ 439 | $ 190 | $ 375 |
Stockholders' Equity (Dividend
Stockholders' Equity (Dividend Reinvestment and Direct Stock Purchase Plan) (Details) - USD ($) $ / shares in Units, $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Common Stock | $ 858 | $ 1,081 | $ 964 |
Common Stock, Dividends, Per Share, Cash Paid | $ 1.720000 | $ 2.020000 | $ 2.160000 |
Preferred Class B [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 12 | $ 14 | |
Series C Preferred Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 23 | 23 | $ 23 |
Series D Preferred Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | 16 | 14 | |
Series E Preferred Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 26 | $ 7 |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Common Stock | $ 858 | $ 1,081 | $ 964 |
Dividends declared per common share | $ 1.560000 | $ 2 | $ 2.160000 |
Common Stock, Dividends, Per Share, Cash Paid | $ 1.720000 | $ 2.020000 | $ 2.160000 |
Preferred Class B [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 12 | $ 14 | |
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 1.673785 | $ 1.937500 | |
Preferred Stock, Dividends, Per Share, Cash Paid | 2.158160 | 1.937500 | |
Ordinary Dividends Per Share | 2.158160 | 1.937500 | |
Section 199A Dividends Per Share | $ 2.158160 | $ 1.937500 | |
Series C Preferred Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 23 | $ 23 | $ 23 |
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 1.750000 | $ 1.750000 | $ 1.750000 |
Preferred Stock, Dividends, Per Share, Cash Paid | 1.750000 | 1.750000 | 1.750000 |
Ordinary Dividends Per Share | 0.570268 | 1.750000 | 1.750000 |
Long-Term Capital Gain Dividend Per Share | 1.179732 | ||
Section 199A Dividends Per Share | $ 0.570268 | $ 1.750000 | 1.750000 |
Series D Preferred Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 16 | $ 14 | |
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 1.718750 | $ 1.475263 | |
Preferred Stock, Dividends, Per Share, Cash Paid | 1.718750 | 1.045575 | |
Ordinary Dividends Per Share | 0.560086 | 1.045575 | |
Long-Term Capital Gain Dividend Per Share | 1.158664 | ||
Section 199A Dividends Per Share | $ 0.560086 | $ 1.045575 | |
Series E Preferred Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 26 | $ 7 | |
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 1.625000 | $ 0.460420 | |
Preferred Stock, Dividends, Per Share, Cash Paid | 1.679170 | ||
Ordinary Dividends Per Share | 0.547188 | ||
Long-Term Capital Gain Dividend Per Share | 1.131982 | ||
Section 199A Dividends Per Share | $ 0.547188 | ||
Series F Preferred Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Dividends, Preferred Stock | $ 33 | ||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $ 1.420658 | ||
Preferred Stock, Dividends, Per Share, Cash Paid | 1.037845 | ||
Ordinary Dividends Per Share | 0.338201 | ||
Long-Term Capital Gain Dividend Per Share | 0.699644 | ||
Section 199A Dividends Per Share | 0.338201 | ||
Common Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Ordinary Dividends Per Share | 0.560492 | 1.159504 | 1.127208 |
Long-Term Capital Gain Dividend Per Share | 1.159508 | ||
Non-Dividend Distributions Per Share | 0.860496 | 1.032792 | |
Section 199A Dividends Per Share | $ 0.560492 | $ 1.159504 | $ 1.127208 |
Equity Incentive Plan (Details)
Equity Incentive Plan (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted Stock Award, Forfeitures | (4,224) | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Forfeitures and Expirations in Period, Weighted Average Exercise Price | $ 15.84 | |||
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 | $ 15.57 | $ 15.44 | $ 16.08 | $ 17.46 |
Accrued RSU Dividend Equivalents | 95,809 | 83,355 | 56,618 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ 14.82 | $ 15.30 | $ 16.52 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Vest Date Fair Value | $ 11.82 | $ 17.91 | $ 18.60 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeited in Period | (1,225) | (6,812) | (546) | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | $ 17.87 | $ 16 | $ 16.98 | |
Restricted Stock or Unit Expense | $ 185,285 | |||
2016 Equity Plan [Member] | Performance Shares [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 | $ 15.15 | $ 14.96 | $ 16.08 | $ 17.78 |
Accrued RSU Dividend Equivalents | 160,442 | 123,594 | 61,171 | |
Performance Adjustment - Accrued PSU Dividend Equivalents | 26,183 | 35,825 | ||
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 | 908,984 | 758,230 | 501,913 | 335,228 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 433,414 | 432,149 | 261,036 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 18.60 | $ 17.59 | $ 18.05 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (377,244) | (252,375) | (150,423) | |
Restricted Stock or Unit Expense | $ 7,000,000 | $ 7,000,000 | $ 4,000,000 | |
Restricted Stock Units (RSUs) [Member] | 2016 Equity Plan [Member] | Performance Shares [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 | 1,626,785 | 1,351,413 | 606,775 | 273,376 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 508,757 | 494,016 | 272,228 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 19.62 | $ 17.56 | $ 17.98 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (482,806) | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ 13.84 | |||
Restricted Stock or Unit Expense | $ 10,000,000 | $ 9,000,000 | $ 5,000,000 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Intrinsic Value, Amount Per Share | $ 11.81 | |||
Restricted Stock Units (RSUs) [Member] | 2016 Equity Plan [Member] | Performance Shares [Member] | Performance adjustment [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, Grants in Period | 62,796 | 95,427 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 17.98 | $ 19.39 |
Equity Incentive Plan Narrative
Equity Incentive Plan Narrative (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted Stock Award, Forfeitures | (4,224) | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Forfeitures and Expirations in Period, Weighted Average Exercise Price | $ 15.84 | |||
Share-based Payment Arrangement, Nonvested Award, Cost Not yet Recognized, Amount | $ 13,000,000 | |||
Share-based Payment Arrangement, Nonvested Award, Cost Not yet Recognized, Period for Recognition | 1 year 4 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 | |||
Restricted Stock or Unit Expense | $ 185,285 | |||
Deferred Compensation Share-based Arrangements, Liability, Current and Noncurrent | 1,200,000 | |||
Share-based Payment Arrangement, Expense | $ 20,600,000 | $ 13,700,000 | $ 6,100,000 | |
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 4,800,000 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ 15.57 | $ 15.44 | $ 16.08 | $ 17.46 |
Accrued RSU Dividend Equivalents | 95,809 | 83,355 | 56,618 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ 14.82 | $ 15.30 | $ 16.52 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Vest Date Fair Value | $ 11.82 | $ 17.91 | $ 18.60 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeited in Period | (1,225) | (6,812) | (546) | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | $ 17.87 | $ 16 | $ 16.98 | |
Director Plan [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Payment Arrangement, Expense | $ 700,000 | $ 500,000 | $ 500,000 | |
MTGE Incentive Plan [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Payment Arrangement, Expense | $ 5,000,000 | |||
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 | 908,984 | 758,230 | 501,913 | 335,228 |
Restricted Stock or Unit Expense | $ 7,000,000 | $ 7,000,000 | $ 4,000,000 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 433,414 | 432,149 | 261,036 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 18.60 | $ 17.59 | $ 18.05 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (377,244) | (252,375) | (150,423) | |
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 | $ 2,000,000 | |||
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 | $ 15.15 | $ 14.96 | $ 16.08 | $ 17.78 |
Performance Adjustment - Accrued PSU Dividend Equivalents | 26,183 | 35,825 | ||
Accrued RSU Dividend Equivalents | 160,442 | 123,594 | 61,171 | |
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 | 1,626,785 | 1,351,413 | 606,775 | 273,376 |
Restricted Stock or Unit Expense | $ 10,000,000 | $ 9,000,000 | $ 5,000,000 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 508,757 | 494,016 | 272,228 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 19.62 | $ 17.56 | $ 17.98 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (482,806) | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ 13.84 | |||
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 | $ 800,000 | $ 500,000 | $ 500,000 | |
Performance adjustment [Member] | 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, Grants in Period | 62,796 | 95,427 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 17.98 | $ 19.39 | ||
Share Distribution [Member] | 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 | $ 4,000,000 |
Income Taxes (Details)
Income Taxes (Details) | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Owned, Federal Income Tax Note [Line Items] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
Uncategorized Items - agnc-2020
Label | Element | Value |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | us-gaap_CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents | $ 1,363,000,000 |
Common Stock [Member] | ||
Stock Issued During Period, Value, New Issues | us-gaap_StockIssuedDuringPeriodValueNewIssues | $ 1,000,000 |
Stock Issued During Period, Shares, New Issues | us-gaap_StockIssuedDuringPeriodSharesNewIssues | 145,000,000 |
Additional Paid-in Capital [Member] | ||
Stock Issued During Period, Value, New Issues | us-gaap_StockIssuedDuringPeriodValueNewIssues | $ 2,610,000,000 |