Derivative and Other Hedging Instruments (Tables)
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6 Months Ended |
Jun. 30, 2016 |
Derivative [Line Items] |
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Schedule of Outstanding Derivatives Not Designated as Hedging Instruments |
The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of June 30, 2016 and December 31, 2015 (in millions):
| | | | | | | | | | | | Derivative and Other Hedging Instruments | | Balance Sheet Location | | June 30, 2016 | | December 31, 2015 | Interest rate swaps | | Derivative assets, at fair value | | $ | 1 |
| | $ | 31 |
| Swaptions | | Derivative assets, at fair value | | 7 |
| | 17 |
| TBA securities | | Derivative assets, at fair value | | 103 |
| | 29 |
| U.S. Treasury futures - short | | Derivative assets, at fair value | | — |
| | 4 |
| Total derivative assets, at fair value | | | | $ | 111 |
| | $ | 81 |
| | | | | | | | Interest rate swaps | | Derivative liabilities, at fair value | | $ | (1,455 | ) | | $ | (920 | ) | TBA securities | | Derivative liabilities, at fair value | | (6 | ) | | (15 | ) | U.S. Treasury futures - short | | Derivative liabilities, at fair value | | (58 | ) | | — |
| Total derivative liabilities, at fair value | | | | $ | (1,519 | ) | | $ | (935 | ) | | | | | | | | U.S. Treasury securities - long | | U.S. Treasury securities, at fair value | | $ | 62 |
| | $ | 25 |
| U.S. Treasury securities - short | | Obligation to return securities borrowed under reverse repurchase agreements, at fair value | | (3,017 | ) | | (1,696 | ) | Total U.S. Treasury securities, net at fair value | | | | $ | (2,955 | ) | | $ | (1,671 | ) |
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Schedule of Interest Rate Swaption Agreements Outstanding |
The following table summarizes our interest rate payer swaption agreements outstanding as of June 30, 2016 and December 31, 2015 (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | Payer Swaptions | | Option | | Underlying Payer Swap | Years to Expiration | | Cost | | Fair Value | | Average Months to Expiration | | Notional Amount | | Average Fixed Pay Rate | | Average Receive Rate (LIBOR) | | Average Term (Years) | June 30, 2016 | | | | | | | | | | | | | | | Total ≤ 1 year | | $ | 55 |
| | $ | 7 |
| | 2 | | $ | 1,050 |
| | 3.38% | | 3M | | 6.7 | | | | | | | | | | | | | | | | December 31, 2015 | | | | | | | | | | | | | | | Total ≤ 1 year | | $ | 74 |
| | $ | 17 |
| | 4 | | $ | 2,150 |
| | 3.51% | | 3M | | 7.0 |
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US government securities |
The following table summarizes our U.S. Treasury securities as of June 30, 2016 and December 31, 2015 (in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2016 | | December 31, 2015 | Maturity | | Face Amount Net Long / (Short) | | Cost Basis | | Market Value | | Face Amount Net Long / (Short) | | Cost Basis | | Market Value | 5 years | | $ | (500 | ) | | $ | (501 | ) | | $ | (512 | ) | | $ | (250 | ) | | $ | (249 | ) | | $ | (249 | ) | 7 years | | (1,668 | ) | | (1,662 | ) | | (1,703 | ) | | (354 | ) | | (353 | ) | | (352 | ) | 10 years | | (700 | ) | | (697 | ) | | (740 | ) | | (1,085 | ) | | (1,078 | ) | | (1,070 | ) | Total U.S. Treasury securities, net | | $ | (2,868 | ) | | $ | (2,860 | ) | | $ | (2,955 | ) | | $ | (1,689 | ) | | $ | (1,680 | ) | | $ | (1,671 | ) |
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US Government Futures Securities [Table Text Block] |
The following table summarizes our U.S. Treasury futures as of June 30, 2016 and December 31, 2015 (in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2016 | | December 31, 2015 | Maturity | | Notional Amount - Long (Short) 1 | | Cost Basis 2 | | Market Value 3 | | Net Carrying Value 4 | | Notional Amount - Long (Short) 1 | | Cost Basis 2 | | Market Value 3 | | Net Carrying Value 4 | 5 years | | $ | (730 | ) | | $ | (876 | ) | | $ | (892 | ) | | $ | (16 | ) | | $ | (730 | ) | | $ | (866 | ) | | $ | (864 | ) | | $ | 2 |
| 10 years | | (1,230 | ) | | (1,592 | ) | | (1,634 | ) | | (42 | ) | | (1,130 | ) | | (1,424 | ) | | (1,422 | ) | | 2 |
| Total U.S. Treasury futures | | $ | (1,960 | ) | | $ | (2,468 | ) | | $ | (2,526 | ) | | $ | (58 | ) | | $ | (1,860 | ) | | $ | (2,290 | ) | | $ | (2,286 | ) | | $ | 4 |
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_____________________ | | 1. | Notional amount represents the par value (or principal balance) of the underlying U.S. Treasury security. |
| | 2. | Cost basis represents the forward price to be paid / (received) for the underlying U.S. Treasury security. |
| | 3. | Market value represents the current market value of U.S. Treasury futures as of period-end. |
| | 4. | Net carrying value represents the difference between the market value and the cost basis of U.S. Treasury futures as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets. |
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Summary of Long and Short Position of Derivative Instruments |
The following tables summarize our TBA securities as of June 30, 2016 and December 31, 2015 (in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2016 | | December 31, 2015 | TBA Securities by Coupon | | Notional Amount - Long (Short) 1 | | Cost Basis 2 | | Market Value 3 | | Net Carrying Value 4 | | Notional Amount - Long (Short) 1 | | Cost Basis 2 | | Market Value 3 | | Net Carrying Value 4 | 15-Year TBA securities: | | | | | | | | | | | | | | | | | 2.5% | | $ | 793 |
| | $ | 817 |
| | $ | 820 |
| | $ | 3 |
| | $ | (80 | ) | | $ | (81 | ) | | $ | (80 | ) | | $ | 1 |
| 3.0% | | 292 |
| | 305 |
| | 307 |
| | 2 |
| | 225 |
| | 233 |
| | 232 |
| | (1 | ) | 3.5% | | 189 |
| | 199 |
| | 200 |
| | 1 |
| | 136 |
| | 143 |
| | 142 |
| | (1 | ) | Total 15-Year TBAs | | 1,274 |
| | 1,321 |
| | 1,327 |
| | 6 |
| | 281 |
| | 295 |
| | 294 |
| | (1 | ) | 30-Year TBA securities: | | | | | | | | | | | | | | | | | 3.0% | | 3,361 |
| | 3,438 |
| | 3,492 |
| | 54 |
| | 3,914 |
| | 3,911 |
| | 3,916 |
| | 5 |
| 3.5% | | 1,063 |
| | 1,089 |
| | 1,119 |
| | 30 |
| | 1,497 |
| | 1,536 |
| | 1,539 |
| | 3 |
| 4.0% | | 1,030 |
| | 1,097 |
| | 1,104 |
| | 7 |
| | 1,575 |
| | 1,658 |
| | 1,665 |
| | 7 |
| 4.5% | | 28 |
| | 30 |
| | 30 |
| | — |
| | 28 |
| | 30 |
| | 30 |
| | — |
| Total 30-Year TBAs | | 5,482 |
| | 5,654 |
| | 5,745 |
| | 91 |
| | 7,014 |
| | 7,135 |
| | 7,150 |
| | 15 |
| Total net TBA securities | | $ | 6,756 |
| | $ | 6,975 |
| | $ | 7,072 |
| | $ | 97 |
| | $ | 7,295 |
| | $ | 7,430 |
| | $ | 7,444 |
| | $ | 14 |
| | | | | | | | | | | | | | | | | | | | June 30, 2016 | | December 31, 2015 | TBA Securities by Issuer | | Notional Amount - Long (Short) 1 | | Cost Basis 2 | | Market Value 3 | | Net Carrying Value 4 | | Notional Amount - Long (Short) 1 | | Cost Basis 2 | | Market Value 3 | | Net Carrying Value 4 | Fannie Mae | | $ | 5,256 |
| | $ | 5,424 |
| | $ | 5,502 |
| | $ | 78 |
| | $ | 6,033 |
| | $ | 6,145 |
| | $ | 6,159 |
| | $ | 14 |
| Freddie Mac | | 1,027 |
| | 1,070 |
| | 1,081 |
| | 11 |
| | 689 |
| | 703 |
| | 703 |
| | — |
| Ginnie Mae | | 473 |
| | 481 |
| | 489 |
| | 8 |
| | 573 |
| | 582 |
| | 582 |
| | — |
| TBA securities, net | | $ | 6,756 |
| | $ | 6,975 |
| | $ | 7,072 |
| | $ | 97 |
| | $ | 7,295 |
| | $ | 7,430 |
| | $ | 7,444 |
| | $ | 14 |
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_____________________ | | 1. | Notional amount represents the par value (or principal balance) of the underlying agency security. |
| | 2. | Cost basis represents the forward price to be paid / (received) for the underlying agency security. |
| | 3. | Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end. |
| | 4. | Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets. |
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Schedule Of Outstanding Not Designated As Hedging Instruments |
The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2016 and 2015 (in millions):
| | | | | | | | | | | | | | | | | | | | | | | Three Months Ended June 30, 2016 | Derivative and Other Hedging Instruments | | Notional Amount Long/(Short) March 31, 2016 | | Additions | | Settlement, Termination, Expiration or Exercise | | Notional Amount Long/(Short) June 30, 2016 | | | Amount of Gain/(Loss) Recognized in Income on Derivatives 1 | TBA securities, net | | $ | 5,813 |
| | 20,066 |
| | (19,123 | ) | | $ | 6,756 |
| | | $ | 108 |
| Interest rate swaps | | $ | (38,175 | ) | | (2,550 | ) | | 5,600 |
| | $ | (35,125 | ) | | | (356 | ) | Payer swaptions | | $ | (1,750 | ) | | — |
| | 700 |
| | $ | (1,050 | ) | | | (4 | ) | U.S. Treasury securities - short position | | $ | (3,135 | ) | | (653 | ) | | 858 |
| | $ | (2,930 | ) | | | (73 | ) | U.S. Treasury securities - long position | | $ | — |
| | 225 |
| | (163 | ) | | $ | 62 |
| | | 1 |
| U.S. Treasury futures contracts - short position | | $ | (1,860 | ) | | (2,060 | ) | | 1,960 |
| | $ | (1,960 | ) | | | (44 | ) | | | | | | | | | | | | $ | (368 | ) |
________________________________ | | 1. | Excludes a net loss of $1 million from debt of consolidated VIEs and other miscellaneous net gains of $2 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
| | | | | | | | | | | | | | | | | | | | | | | Three Months Ended June 30, 2015 | Derivative and Other Hedging Instruments | | Notional Amount Long/(Short) March 31, 2015 | | Additions | | Settlement, Termination, Expiration or Exercise | | Notional Amount Long/(Short) June 30, 2015 | | | Amount of Gain/(Loss) Recognized in Income on Derivatives 1 | TBA securities, net | | $ | 4,873 |
| | 18,367 |
| | (16,299 | ) | | $ | 6,941 |
| | | $ | (110 | ) | Interest rate swaps | | $ | (44,925 | ) | | — |
| | — |
| | $ | (44,925 | ) | | | 434 |
| Payer swaptions | | $ | (5,200 | ) | | (500 | ) | | 250 |
| | $ | (5,450 | ) | | | 13 |
| Receiver swaptions | | $ | 750 |
| | — |
| | (750 | ) | | $ | — |
| | | (13 | ) | U.S. Treasury securities - short position | | $ | (3,353 | ) | | (2,224 | ) | | 3,327 |
| | $ | (2,250 | ) | | | 18 |
| U.S. Treasury securities - long position | | $ | 4,261 |
| | 11,649 |
| | (10,718 | ) | | $ | 5,192 |
| | | (116 | ) | U.S. Treasury futures contracts - short position | | $ | (730 | ) | | (730 | ) | | 730 |
| | $ | (730 | ) | | | 15 |
| | | | | | | | | | | | $ | 241 |
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______________________ | | 1. | Excludes a net loss of $6 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidated VIEs and a net loss of $7 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
| | | | | | | | | | | | | | | | | | | | | | | Six Months Ended June 30, 2016 | Derivative and Other Hedging Instruments | | Notional Amount Long/(Short) December 31, 2015 | | Additions | | Settlement, Termination, Expiration or Exercise | | Notional Amount Long/(Short) June 30, 2016 | | | Amount of Gain/(Loss) Recognized in Income on Derivatives 1 | TBA securities, net | | $ | 7,295 |
| | 38,025 |
| | (38,564 | ) | | $ | 6,756 |
| | | $ | 324 |
| Interest rate swaps | | $ | (40,525 | ) | | (3,550 | ) | | 8,950 |
| | $ | (35,125 | ) | | | (1,361 | ) | Payer swaptions | | $ | (2,150 | ) | | — |
| | 1,100 |
| | $ | (1,050 | ) | | | (11 | ) | U.S. Treasury securities - short position | | $ | (1,714 | ) | | (2,633 | ) | | 1,417 |
| | $ | (2,930 | ) | | | (156 | ) | U.S. Treasury securities - long position | | $ | 25 |
| | 405 |
| | (368 | ) | | $ | 62 |
| | | 6 |
| U.S. Treasury futures contracts - short position | | $ | (1,860 | ) | | (3,920 | ) | | 3,820 |
| | $ | (1,960 | ) | | | (121 | ) | | | | | | | | | | | | $ | (1,319 | ) |
________________________________ | | 1. | Excludes a net loss of $6 million from debt of consolidated VIEs, a net gain of $11 million from interest and principal-only securities and other miscellaneous net gains of $14 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
| | | | | | | | | | | | | | | | | | | | | | | Six Months Ended June 30, 2015 | Derivative and Other Hedging Instruments | | Notional Amount Long/(Short) December 31, 2014 | | Additions | | Settlement, Termination, Expiration or Exercise | | Notional Amount Long/(Short) June 30, 2015 | | | Amount of Gain/(Loss) Recognized in Income on Derivatives 1 | TBA securities, net | | $ | 14,412 |
| | 63,867 |
| | (71,338 | ) | | $ | 6,941 |
| | | $ | 124 |
| Interest rate swaps | | $ | (43,700 | ) | | (3,500 | ) | | 2,275 |
| | $ | (44,925 | ) | | | (312 | ) | Payer swaptions | | $ | (6,800 | ) | | (500 | ) | | 1,850 |
| | $ | (5,450 | ) | | | (4 | ) | Receiver swaptions | | $ | 4,250 |
| | — |
| | (4,250 | ) | | $ | — |
| | | 4 |
| U.S. Treasury securities - short position | | $ | (5,392 | ) | | (6,397 | ) | | 9,539 |
| | $ | (2,250 | ) | | | (64 | ) | U.S. Treasury securities - long position | | $ | 2,411 |
| | 27,211 |
| | (24,430 | ) | | $ | 5,192 |
| | | (64 | ) | U.S. Treasury futures contracts - short position | | $ | (730 | ) | | (1,460 | ) | | 1,460 |
| | $ | (730 | ) | | | (5 | ) | | | | | | | | | | | | $ | (321 | ) |
______________________ | | 1. | Excludes a net loss of $4 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidate VIEs and a net gain of $4 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
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Not Designated as Hedging Instrument [Member] |
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Derivative [Line Items] |
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Schedule Of Interest Rate Swap Agreement By Remaining Maturity |
The following tables summarize our interest rate swap agreements outstanding as of June 30, 2016 and December 31, 2015 (dollars in millions): | | | | | | | | | | | | | | | | | | June 30, 2016 | Payer Interest Rate Swaps | | Notional Amount 1 | | Average Fixed Pay Rate 2 | | Average Receive Rate 3 | | Net Estimated Fair Value | | Average Maturity (Years) | ≤ 3 years | | $ | 17,225 |
| | 1.04% | | 0.64% | | $ | (113 | ) | | 1.4 | > 3 to ≤ 5 years | | 5,200 |
| | 1.58% | | 0.64% | | (148 | ) | | 3.6 | > 5 to ≤ 7 years | | 6,975 |
| | 2.22% | | 0.64% | | (448 | ) | | 5.9 | > 7 to ≤ 10 years | | 4,550 |
| | 2.67% | | 0.64% | | (526 | ) | | 8.2 | > 10 years | | 1,175 |
| | 3.20% | | 0.66% | | (219 | ) | | 14.2 | Total payer interest rate swaps | | $ | 35,125 |
| | 1.64% | | 0.64% | | $ | (1,454 | ) | | 4.0 |
________________________ | | 1. | Notional amount includes forward starting swaps of $2.7 billion with an average forward start date of 0.7 years and an average maturity of 7.1 years from June 30, 2016. |
| | 2. | Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.51% as of June 30, 2016. |
| | 3. | Average receive rate excludes forward starting swaps. |
| | | | | | | | | | | | | | | | | | December 31, 2015 | Payer Interest Rate Swaps | | Notional Amount 1 | | Average Fixed Pay Rate 2 | | Average Receive Rate 3 | | Net Estimated Fair Value | | Average Maturity (Years) | ≤ 3 years | | $ | 14,775 |
| | 1.06% | | 0.40% | | $ | (23 | ) | | 1.6 | > 3 to ≤ 5 years | | 9,950 |
| | 2.03% | | 0.40% | | (203 | ) | | 4.0 | > 5 to ≤ 7 years | | 7,175 |
| | 2.47% | | 0.44% | | (230 | ) | | 6.1 | > 7 to ≤ 10 years | | 7,450 |
| | 2.57% | | 0.39% | | (342 | ) | | 8.3 | > 10 years | | 1,175 |
| | 3.20% | | 0.39% | | (91 | ) | | 14.7 | Total payer interest rate swaps | | $ | 40,525 |
| | 1.89% | | 0.40% | | $ | (889 | ) | | 4.6 |
________________________ | | 1. | Notional amount includes forward starting swaps of $4.5 billion with an average forward start date of 0.7 years and an average maturity of 5.5 years from December 31, 2015. |
| | 2. | Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.75% as of December 31, 2015. |
| | 3. | Average receive rate excludes forward starting swaps. |
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