10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2021

OR

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission file number 001-34057

AGNC INVESTMENT CORP.

(Exact name of registrant as specified in its charter)

__________________________________________________

Delaware	26-1701984
(State or Other Jurisdiction of Incorporation or Organization)	(I.R.S. Employer Identification No.)

2 Bethesda Metro Center, 12th Floor

Bethesda, Maryland 20814

(Address of principal executive offices)

(301) 968-9315

(Registrant’s telephone number, including area code)

 __________________________________________________

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class	Trading Symbol(s)	Name of Exchange on Which Registered
Common Stock, par value $0.01 per share	AGNC	The Nasdaq Global Select Market
Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock	AGNCN	The Nasdaq Global Select Market
Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock	AGNCM	The Nasdaq Global Select Market
Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock	AGNCO	The Nasdaq Global Select Market
Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock	AGNCP	The Nasdaq Global Select Market

Securities Registered Pursuant to Section 12(g) of the Act: None

Indicate by check mark whether the registrant (1) has filed all reports to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).   Yes  x    No  ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☒	Accelerated filer	☐
Non-accelerated filer	☐	Smaller Reporting Company	☐
Emerging growth company	☐

If an emerging growth company, indicate by check mark if registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ☐    No  x

The number of shares of the issuer's common stock, $0.01 par value, outstanding as of July 31, 2021 was 524,908,382.

AGNC INVESTMENT CORP.

TABLE OF CONTENTS

PART I.	FINANCIAL INFORMATION
Item 1.	Financial Statements	2
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	23
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	43
Item 4.	Controls and Procedures	46
PART II.	OTHER INFORMATION
Item 1.	Legal Proceedings	47
Item 1A.	Risk Factors	47
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	47
Item 3.	Defaults upon Senior Securities	47
Item 4.	Mine Safety Disclosures	47
Item 5.	Other Information	47
Item 6.	Exhibits	47
Signatures		50

1

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

AGNC INVESTMENT CORP.

CONSOLIDATED BALANCE SHEETS

(in millions, except per share data)

	June 30, 2021		December 31, 2020
	(Unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $49,686 and $53,698, respectively)	$	57,896	$	64,836
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)	245		295
Credit risk transfer securities, at fair value (including pledged securities of $502 and $455, respectively)	1,105		737
Non-Agency securities, at fair value (including pledged securities of $377 and $458, respectively)	553		546
U.S. Treasury securities, at fair value (including pledged securities of $397 and $0, respectively)	397		—
Cash and cash equivalents	947		1,017
Restricted cash	623		1,307
Derivative assets, at fair value	381		391
Receivable for investment securities sold (including pledged securities of $147 and $207, respectively)	147		210
Receivable under reverse repurchase agreements	11,979		11,748
Goodwill	526		526
Other assets	256		204
Total assets	$	75,055	$	81,817
Liabilities:
Repurchase agreements	$	48,737	$	52,366
Debt of consolidated variable interest entities, at fair value	148		177
Payable for investment securities purchased	3,697		6,157
Derivative liabilities, at fair value	14		2
Dividends payable	88		90
Obligation to return securities borrowed under reverse repurchase agreements, at fair value	10,920		11,727
Accounts payable and other liabilities	783		219
Total liabilities	64,387		70,738
Stockholders' equity:
Preferred Stock - aggregate liquidation preference of $1,538	1,489		1,489
Common stock - $0.01 par value; 1,500 shares authorized; 524.9 and 539.5 shares issued and outstanding, respectively	5		5
Additional paid-in capital	13,741		13,972
Retained deficit	(4,972)		(5,106)
Accumulated other comprehensive income	405		719
Total stockholders' equity	10,668		11,079
Total liabilities and stockholders' equity	$	75,055	$	81,817

See accompanying notes to consolidated financial statements.

2

AGNC INVESTMENT CORP.

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

(Unaudited)

(in millions, except per share data)

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Interest income:
Interest income	$	249	$	429	$	806	$	920
Interest expense	17		134		46		560
Net interest income	232		295		760		360
Other gain (loss), net:
Gain on sale of investment securities, net	25		153		12		647
Unrealized gain (loss) on investment securities measured at fair value through net income, net	(28)		679		(983)		876
Gain (loss) on derivative instruments and other securities, net	(618)		(385)		821		(3,539)
Total other gain (loss), net:	(621)		447		(150)		(2,016)
Expenses:
Compensation and benefits	12		13		28		26
Other operating expense	10		11		18		21
Total operating expense	22		24		46		47
Net income (loss)	(411)		718		564		(1,703)
Dividends on preferred stock	25		25		50		46
Net income (loss) available (attributable) to common stockholders	$	(436)	$	693	$	514	$	(1,749)
Net income (loss)	$	(411)	$	718	$	564	$	(1,703)
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net	(77)		203		(314)		667
Comprehensive income (loss)	(488)		921		250		(1,036)
Dividends on preferred stock	25		25		50		46
Comprehensive income (loss) available (attributable) to common stockholders	$	(513)	$	896	$	200	$	(1,082)
Weighted average number of common shares outstanding - basic	526.6		560.3		530.1		554.2
Weighted average number of common shares outstanding - diluted	526.6		560.8		531.9		554.2
Net income (loss) per common share - basic	$	(0.83)	$	1.24	$	0.97	$	(3.16)
Net income (loss) per common share - diluted	$	(0.83)	$	1.24	$	0.97	$	(3.16)
Dividends declared per common share	$	0.36	$	0.36	$	0.72	$	0.84

See accompanying notes to consolidated financial statements.

3

AGNC INVESTMENT CORP.

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

(Unaudited)

(in millions)

	Preferred Stock		Common Stock			Additional Paid-in Capital		Retained Deficit		Accumulated Other Comprehensive Income (Loss)		Total
			Shares	Amount
Balance, March 31, 2020	$	1,489	567.7	$	6	$	14,334	$	(6,592)	$	561	$	9,798
Net income	—		—	—		—		718		—		718
Other comprehensive income:
Unrealized gain on available-for-sale securities, net	—		—	—		—		—		203		203
Stock-based compensation, net	—		—	—		4		—		—		4
Repurchase of common stock	—		(12.2)	—		(147)		—		—		(147)
Preferred dividends declared	—		—	—		—		(25)		—		(25)
Common dividends declared	—		—	—		—		(201)		—		(201)
Balance, June 30, 2020	$	1,489	555.5	$	6	$	14,191	$	(6,100)	$	764	$	10,350
Balance, March 31, 2021	$	1,489	524.9	$	5	$	13,736	$	(4,348)	$	482	$	11,364
Net loss	—		—	—		—		(411)		—		(411)
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net	—		—	—		—		—		(77)		(77)
Stock-based compensation, net	—		—	—		5		—		—		5
Preferred dividends declared	—		—	—		—		(25)		—		(25)
Common dividends declared	—		—	—		—		(188)		—		(188)
Balance, June 30, 2021	$	1,489	524.9	$	5	$	13,741	$	(4,972)	$	405	$	10,668
Balance, December 31, 2019	$	932	540.9	$	5	$	13,893	$	(3,886)	$	97	$	11,041
Net loss	—		—	—		—		(1,703)		—		(1,703)
Other comprehensive income:
Unrealized gain on available-for-sale securities, net	—		—	—		—		—		667		667
Stock-based compensation, net	—		0.1	—		7		—		—		7
Issuance of preferred stock, net of offering cost	557		—	—		—		—		—		557
Issuance of common stock, net of offering cost	—		26.7	1		438		—		—		439
Repurchase of common stock	—		(12.2)	—		(147)		—		—		(147)
Preferred dividends declared	—		—	—		—		(46)		—		(46)
Common dividends declared	—		—	—		—		(465)		—		(465)
Balance, June 30, 2020	$	1,489	555.5	$	6	$	14,191	$	(6,100)	$	764	$	10,350
Balance, December 31, 2020	$	1,489	539.5	$	5	$	13,972	$	(5,106)	$	719	$	11,079
Net income	—		—	—		—		564		—		564
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net	—		—	—		—		—		(314)		(314)
Stock-based compensation, net	—		0.4	—		8		—		—		8
Repurchase of common stock	—		(15.0)	—		(239)		—		—		(239)
Preferred dividends declared	—		—	—		—		(50)		—		(50)
Common dividends declared	—		—	—		—		(380)		—		(380)
Balance, June 30, 2021	$	1,489	524.9	$	5	$	13,741	$	(4,972)	$	405	$	10,668

See accompanying notes to consolidated financial statements.

4

AGNC INVESTMENT CORP.

CONSOLIDATED STATEMENTS OF CASH FLOWS

(Unaudited)

(in millions) 

	Six Months Ended June 30,
	2021		2020
Operating activities:
Net income (loss)	$	564	$	(1,703)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net	128		607
Stock-based compensation, net	8		7
Gain on sale of investment securities, net	(12)		(647)
Unrealized (gain) loss on investment securities measured at fair value through net income, net	983		(876)
(Gain) loss on derivative instruments and other securities, net	(821)		3,539
(Increase) decrease in other assets	(52)		59
Decrease in accounts payable and other accrued liabilities	(27)		(210)
Net cash provided by operating activities	771		776
Investing activities:
Purchases of Agency mortgage-backed securities	(23,954)		(39,715)
Purchases of credit risk transfer and non-Agency securities	(1,310)		(396)
Proceeds from sale of Agency mortgage-backed securities	18,311		54,967
Proceeds from sale of credit risk transfer and non-Agency securities	931		536
Principal collections on Agency mortgage-backed securities	8,791		7,867
Principal collections on credit risk transfer and non-Agency securities	36		49
Payments on U.S. Treasury securities	(10,536)		(19,793)
Proceeds from U.S. Treasury securities	10,172		16,206
Net proceeds from (payments on) reverse repurchase agreements	(233)		2,270
Net proceeds from (payments on) derivative instruments	593		(2,682)
Net cash provided by investing activities	2,801		19,309
Financing activities:
Proceeds from repurchase arrangements	1,163,175		2,166,205
Payments on repurchase agreements	(1,166,804)		(2,185,702)
Payments on debt of consolidated variable interest entities	(26)		(29)
Net proceeds from preferred stock issuances	—		557
Net proceeds from common stock issuances	—		439
Payments for common stock repurchases	(239)		(147)
Cash dividends paid	(432)		(525)
Net cash provided used in financing activities	(4,326)		(19,202)
Net change in cash, cash equivalents and restricted cash	(754)		883
Cash, cash equivalents and restricted cash at beginning of period	2,324		1,282
Cash, cash equivalents and restricted cash at end of period	$	1,570	$	2,165

See accompanying notes to consolidated financial statements.

5

AGNC INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

Note 1. Organization

AGNC Investment Corp. (referred throughout this report as the "Company," "we," "us" and "our") was organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC."

We 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.

Note 2. Summary of Significant Accounting Policies

Basis of Presentation

Our accompanying consolidated financial statements and related notes have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2020.

The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of consolidated financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.

Investment Securities

Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").

CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool

6

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 value 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.

7

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.

8

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-

9

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, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.

TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.

Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.

Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any.

U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs.

Recent Accounting Pronouncements

We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption.

Note 3. Investment Securities

As of June 30, 2021 and December 31, 2020, our investment portfolio consisted of: $59.8 billion and $66.4 billion investment securities, at fair value, respectively; $27.4 billion and $31.5 billion net TBA securities, at fair value, respectively; and $0.3 billion and zero forward settling non-Agency securities, at fair value, respectively. Our net TBA position and forward settling non-Agency securities are reported at their net carrying value totaling $79 million and $275 million as of June 30, 2021 and December 31, 2020, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position and forward settling non-Agency securities represents the difference between the fair value of the underlying security and the cost basis or the forward price to be paid or received for the underlying security.

As of June 30, 2021 and December 31, 2020, our investment securities had a net unamortized premium balance of $2.1 billion and $2.4 billion, respectively.

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The following tables summarize our investment securities as of June 30, 2021 and December 31, 2020, excluding TBA and forward settling securities, (dollars in millions). Details of our TBA and forward settling securities as of each of the respective dates are included in Note 5.

	June 30, 2021				December 31, 2020
Investment Securities	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Agency RMBS:
Fixed rate	$	56,418	$	57,757	$	61,977	$	64,615
Adjustable rate	54		56		69		70
CMO	219		228		289		301
Interest-only and principal-only strips	84		100		105		126
Multifamily	—		—		17		19
Total Agency RMBS	56,775		58,141		62,457		65,131
Non-Agency RMBS	187		200		178		188
CMBS	336		353		333		358
CRT securities	1,081		1,105		733		737
Total investment securities	$	58,379	$	59,799	$	63,701	$	66,414

	June 30, 2021
	Agency RMBS									Non-Agency
Investment Securities	Fannie Mae			Freddie Mac			Ginnie Mae			RMBS			CMBS			CRT			Total
Available-for-sale securities:
Par value	$	7,615		$	2,538		$	2		$	—		$	—		$	—		$	10,155
Unamortized discount	(3)			(1)			—			—			—			—			(4)
Unamortized premium	367			127			—			—			—			—			494
Amortized cost	7,979			2,664			2			—			—			—			10,645
Gross unrealized gains	310			95			—			—			—			—			405
Gross unrealized losses	—			—			—			—			—			—			—
Total available-for-sale securities, at fair value	8,289			2,759			2			—			—			—			11,050
Securities remeasured at fair value through earnings:
Par value	30,548			13,992			3			196			338			1,077			46,154
Unamortized discount	(15)			(3)			—			(12)			(6)			(9)			(45)
Unamortized premium	1,070			535			—			3			4			13			1,625
Amortized cost	31,603			14,524			3			187			336			1,081			47,734
Gross unrealized gains	759			362			—			13			18			26			1,178
Gross unrealized losses	(109)			(51)			—			—			(1)			(2)			(163)
Total securities remeasured at fair value through earnings	32,253			14,835			3			200			353			1,105			48,749
Total securities, at fair value	$	40,542		$	17,594		$	5		$	200		$	353		$	1,105		$	59,799
Weighted average coupon as of June 30, 2021	3.15		%	3.23		%	4.73		%	4.23		%	3.69		%	3.58		%	3.19		%
Weighted average yield as of June 30, 2021 1	2.37		%	2.38		%	2.56		%	4.38		%	4.01		%	4.09		%	2.42		%

 ________________________________

1.Incorporates a weighted average future constant prepayment rate assumption of 11.6% based on forward rates as of June 30, 2021.

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	December 31, 2020
	Agency RMBS									Non-Agency
Investment Securities	Fannie  Mae			Freddie Mac			Ginnie  Mae			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.

As of June 30, 2021 and December 31, 2020, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

	June 30, 2021						December 31, 2020
CRT and Non-Agency Security Credit Ratings 1	CRT		RMBS		CMBS		CRT		RMBS		CMBS
AAA	$	—	$	—	$	21	$	—	$	—	$	35
AA	—		20		118		—		20		190
A	—		36		39		—		32		28
BBB	72		77		50		28		83		55
BB	222		42		89		167		36		43
B	386		10		36		304		6		7
Not Rated	425		15		—		238		11		—
Total	$	1,105	$	200	$	353	$	737	$	188	$	358

 ________________________________

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 June 30, 2021 and December 31, 2020, 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 11.6% and 17.6%, 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 June 30, 2021 and December 31, 2020 according to their estimated weighted average life classification (dollars in millions):

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	June 30, 2021						December 31, 2020
Estimated Weighted Average Life of Investment Securities	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield
≤ 3 years	$	1,407	$	1,370	3.59%	2.69%	$	3,642	$	3,569	3.56%	2.15%
> 3 years and ≤ 5 years	15,366		14,905		3.62%	2.49%	47,740		45,578		3.54%	2.42%
> 5 years and ≤10 years	40,176		39,276		3.07%	2.41%	15,019		14,541		2.87%	2.08%
> 10 years	2,850		2,828		2.32%	2.09%	13		13		5.56%	3.59%
Total	$	59,799	$	58,379	3.19%	2.42%	$	66,414	$	63,701	3.39%	2.33%

Gains and Losses on Sale of Investment Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2021 and 2020 by investment classification of accounting (in millions):

	Three Months Ended June 30,
	2021						2020
Investment Securities	Available-for-Sale Securities 2		Fair Value Option Securities		Total		Available-for-Sale Securities 2		Fair Value Option Securities		Total
Investment securities sold, at cost	$	(4,151)	$	(8,659)	$	(12,810)	$	(1,278)	$	(4,472)	$	(5,750)
Proceeds from investment securities sold 1	4,165		8,670		12,835		1,317		4,586		5,903
Net gain (loss) on sale of investment securities	$	14	$	11	$	25	$	39	$	114	$	153
Gross gain on sale of investment securities	$	14	$	48	$	62	$	39	$	129	$	168
Gross loss on sale of investment securities	—		(37)		(37)		—		(15)		(15)
Net gain (loss) on sale of investment securities	$	14	$	11	$	25	$	39	$	114	$	153

	Six Months Ended June 30,
	2021						2020
Investment Securities	Available-for-Sale Securities 2		Fair Value Option Securities		Total		Available-for-Sale Securities 2		Fair Value Option Securities		Total
Investment securities sold, at cost	$	(4,644)	$	(14,523)	$	(19,167)	$	(1,433)	$	(53,912)	$	(55,345)
Proceeds from investment securities sold 1	4,676		14,503		19,179		1,473		54,519		55,992
Net gain (loss) on sale of investment securities	$	32	$	(20)	$	12	$	40	$	607	$	647
Gross gain on sale of investment securities	$	32	$	97	$	129	$	40	$	696	$	736
Gross loss on sale of investment securities	—		(117)		(117)		—		(89)		(89)
Net gain (loss) on sale of investment securities	$	32	$	(20)	$	12	$	40	$	607	$	647

  ________________________________

1.Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.

2.See Note 9 for a summary of changes in accumulated OCI. 

Note 4. 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 June 30, 2021, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6.

As of June 30, 2021 and December 31, 2020, we had $48.7 billion and $52.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S. Treasury securities. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis. Our repurchase agreements with original maturities greater than one year may have floating interest rates based on an index plus or minus a

13

fixed spread. The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2021 and December 31, 2020 (dollars in millions):

	June 30, 2021					December 31, 2020
Remaining Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity
Agency repo:
≤ 1 month	$	31,093	0.10	%	11	$	29,505	0.22	%	12
> 1 to ≤ 3 months	8,794		0.15	%	67	13,434		0.27	%	57
> 3 to ≤ 6 months	1,662		0.12	%	148	7,317		0.28	%	142
> 6 to ≤ 9 months	5,916		0.15	%	199	660		0.24	%	208
> 9 to ≤ 12 months	875		0.18	%	303	1,450		0.15	%	354
Total Agency repo	48,340		0.11	%	54	52,366		0.24	%	54
U.S. Treasury repo:
> 1 day to ≤ 1 month	397		0.02	%	1	—		—	%	—
Total	$	48,737	0.11	%	54	$	52,366	0.24	%	54

As of June 30, 2021 and December 31, 2020, $7.4 billion and $11.2 billion, respectively, of our repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand. As of June 30, 2021, we had $8.3 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 2 days and a weighted average interest rate of 0.06%. 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 June 30, 2021 and December 31, 2020, 44% and 47%, 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 43% and 46% of our repurchase agreement funding outstanding as of June 30, 2021 and December 31, 2020, respectively.

During the three and six months ended June 30, 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 the three and six months ended June 30, 2020 associated with the terminated repurchase agreements. We did not terminate any repurchase agreements during the prior year periods.

Reverse Repurchase Agreements

As of June 30, 2021 and December 31, 2020, we had $12.0 billion and $11.7 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S. Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $10.9 billion and $11.7 billion, respectively. As of June 30, 2021 and December 31, 2020, $2.7 billion and $3.6 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Note 5. Derivative and Other Hedging Instruments

We hedge a portion of our interest rate risk primarily utilizing interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We utilize TBA securities primarily as a means of investing in the Agency securities market. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 2.

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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 June 30, 2021 and December 31, 2020 (in millions):

Derivative and Other Hedging Instruments	Balance Sheet Location	June 30, 2021		December 31, 2020
Swaptions	Derivative assets, at fair value	$	294	$	116
TBA securities	Derivative assets, at fair value	87		275
Total derivative assets, at fair value		$	381	$	391
TBA securities	Derivative liabilities, at fair value	(8)		—
U.S. Treasury futures - short	Derivative liabilities, at fair value	(6)		(2)
Total derivative liabilities, at fair value		$	(14)	$	(2)
U.S. Treasury securities - long	U.S. Treasury securities, at fair value	$	397	$	—
U.S. Treasury securities - short	Obligation to return securities borrowed under reverse repurchase agreements, at fair value	(10,920)		(11,727)
Total U.S. Treasury securities, net at fair value		$	(10,523)	$	(11,727)

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2021 and December 31, 2020 (dollars in millions):

	June 30, 2021					December 31, 2020
Pay Fixed / Receive Variable Interest Rate Swaps	Notional Amount		Average Fixed Pay  Rate	Average Receive Rate	Average Maturity (Years)	Notional Amount		Average Fixed Pay  Rate	Average Receive Rate	Average Maturity (Years)
≤ 3 years	$	16,000	0.11%	0.06%	2.3	$	8,750	0.04%	0.08%	2.4
> 3 to ≤ 5 years	18,500		0.13%	0.06%	3.9	17,000		0.10%	0.08%	4.1
> 5 to ≤ 7 years	7,050		0.21%	0.05%	5.5	9,800		0.21%	0.08%	5.8
> 7 to ≤ 10 years	6,700		0.36%	0.05%	8.1	6,200		0.28%	0.07%	8.5
> 10 years	1,475		0.47%	0.06%	13.7	1,475		0.47%	0.07%	14.2
Total	$	49,725	0.18%	0.06%	4.4	$	43,225	0.15%	0.08%	5.1

Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount)	June 30, 2021		December 31, 2020
SOFR	74	%	71	%
OIS	26	%	29	%
Total	100	%	100	%

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Swaptions	Option					Underlying Payer Swap
Current Option Expiration Date	Cost Basis		Fair Value		Average Months to Current Option Expiration Date 1	Notional Amount		Average Fixed Pay Rate 2	Average Term (Years)
June 30, 2021
≤ 1 year	$	101	$	55	5	$	4,200	1.77%	8.8
> 1 year ≤ 2 years	80		117		20	3,250		1.41%	10.0
> 2 year ≤ 3 years	110		122		32	4,000		2.07%	10.0
Total	$	291	$	294	19	$	11,450	1.77%	9.5
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

________________________________

1.As of June 30, 2021 and December 31, 2020, ≤ 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 June 30, 2021, 8% and 92% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively. As of December 31, 2020, 33% and 67% of the underlying payer swap receive rates were tied to 3-Month LIBOR and SOFR, respectively.

U.S. Treasury Securities	June 30, 2021						December 31, 2020
Maturity	Face Amount Long/(Short)		Cost Basis 1		Fair Value		Face Amount Long/(Short)		Cost Basis 1		Fair Value
5 years	$	(1,665)	$	(1,648)	$	(1,631)	$	(425)	$	(425)	$	(425)
7 years	(1,083)		(1,072)		(1,049)		(1,083)		(1,081)		(1,089)
10 years	(7,748)		(7,740)		(7,843)		(9,780)		(9,862)		(10,213)
Total U.S. Treasury securities	$	(10,496)	$	(10,460)	$	(10,523)	$	(11,288)	$	(11,368)	$	(11,727)

________________________________

1.As of June 30, 2021 and December 31, 2020, short U.S. Treasury securities had a weighted average yield of 1.30% and 1.20%, respectively, and long U.S. Treasury securities totaling $397 million, at fair value, had a weighted average yield of 0.98% as of June 30, 2021.

U.S. Treasury Futures	June 30, 2021								December 31, 2020
Maturity	Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1		Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1
10 years	$	(1,500)	$	(1,982)	$	(1,988)	$	(6)	$	(1,000)	$	(1,379)	$	(1,381)	$	(2)

________________________________

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.

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	June 30, 2021								December 31, 2020
TBA Securities by Coupon	Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1		Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1
15-Year TBA securities:
≤ 2.0%	$	418	$	422	$	423	1		$	6,540	$	6,708	$	6,771	$	63
2.5%	328		342		342		—		200		208		209		1
Total 15-Year TBA securities	746		764		765		1		6,740		6,916		6,980		64
30-Year TBA securities:
≤ 2.0%	2,551		2,552		2,572		20		19,805		20,314		20,480		166
2.5%	20,627		21,227		21,289		62		3,167		3,291		3,335		44
3.0%	2,104		2,195		2,193		(2)		528		552		553		1
3.5%	539		569		567		(2)		124		131		131		—
Total 30-Year TBA securities, net	25,821		26,543		26,621		78		23,624		24,288		24,499		211
Total TBA securities, net	$	26,567	$	27,307	$	27,386	$	79	$	30,364	$	31,204	$	31,479	$	275

________________________________

1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

Gain (Loss) From Derivative Instruments and Other Securities, Net

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2021 and 2020 (in millions):

Derivative and Other Hedging Instruments	Beginning Notional Amount		Additions	Settlement, Termination, Expiration or Exercise	Ending Notional Amount		Gain/(Loss) on Derivative Instruments and Other Securities, Net 1
Three months ended June 30, 2021:
TBA securities, net	$	24,518	94,248	(92,199)	$	26,567	$	396
Forward settling non-Agency securities	$	—	300	—	$	300	—
Interest rate swaps - payer	$	49,725	—	—	$	49,725	(400)
Payer swaptions	$	13,150	—	(1,700)	$	11,450	(313)
U.S. Treasury securities - short position	$	(15,527)	(585)	5,219	$	(10,893)	(333)
U.S. Treasury securities - long position	$	—	1,336	(939)	$	397	(1)
U.S. Treasury futures contracts - short position	$	(1,000)	(2,000)	1,500	$	(1,500)	(29)
							$	(680)
Three months ended June 30, 2020:
TBA securities, net	$	20,279	75,186	(75,705)	$	19,760	$	220
Interest rate swaps - payer	$	46,475	25,750	(30,150)	$	42,075	(379)
Payer swaptions	$	9,550	—	(200)	$	9,350	(14)
U.S. Treasury securities - short position	$	(4,245)	(4,187)	1,185	$	(7,247)	(60)
U.S. Treasury securities - long position	$	3,569	550	(2,987)	$	1,132	4
U.S. Treasury futures contracts - short position	$	(1,000)	(1,000)	1,000	$	(1,000)	(8)
							$	(237)

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Six months ended June 30, 2021:
TBA securities, net	$	30,364	187,584	(191,381)	$	26,567	$	(530)
Forward settling non-Agency securities	$	—	300	—	$	300	—
Interest rate swaps - payer	$	43,225	7,000	(500)	$	49,725	724
Payer swaptions	$	10,400	4,250	(3,200)	$	11,450	74
U.S. Treasury securities - short position	$	(11,287)	(7,846)	8,240	$	(10,893)	474
U.S. Treasury securities - long position	$	—	2,651	(2,254)	$	397	(11)
U.S. Treasury futures contracts - short position	$	(1,000)	(3,000)	2,500	$	(1,500)	32
							$	763
Six months ended June 30, 2020:
TBA securities, net	$	7,322	112,936	(100,498)	$	19,760	$	913
Interest rate swaps - payer	$	79,075	75,725	(112,725)	$	42,075	(3,174)
Payer swaptions	$	8,850	2,000	(1,500)	$	9,350	(148)
U.S. Treasury securities - short position	$	(9,224)	(10,232)	12,209	$	(7,247)	(997)
U.S. Treasury securities - long position	$	95	7,011	(5,974)	$	1,132	101
U.S. Treasury futures contracts - short position	$	(1,000)	(2,000)	2,000	$	(1,000)	(112)
							$	(3,417)

________________________________

1.Amounts exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Amounts for the three and six months ended June 30, 2020 exclude $146 million of losses on debt extinguishment (see Note 4).

Note 6. 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 June 30, 2021, 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 (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables). As of June 30, 2021, approximately 8% of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

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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 June 30, 2021 and December 31, 2020 (in millions):

	June 30, 2021
Assets Pledged to Counterparties 1	Repurchase Agreements 2		Debt of Consolidated VIEs		Derivative Agreements		Brokerage and Clearing Agreements 3		Total
Agency RMBS - fair value	$	49,044	$	245	$	483	$	404	$	50,176
CRT - fair value	502		—		—		—		502
Non-Agency - fair value	377		—		—		—		377
U.S. Treasury securities - fair value	733		—		—		272		1,005
Accrued interest on pledged securities	128		1		1		1		131
Restricted cash	19		—		604		—		623
Total	$	50,803	$	246	$	1,088	$	677	$	52,814

	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
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

________________________________

1.Includes repledged assets received as collateral from counterparties and securities sold but not yet settled.

2.Includes $98 million and $119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4.

	June 30, 2021						December 31, 2020
Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2	Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities		Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities
≤ 30 days	$	31,779	$	30,818	$	84	$	29,674	$	28,208	$	82
> 30 and ≤ 60 days	3,124		3,002		8		8,438		8,013		23
> 60 and ≤ 90 days	5,788		5,641		15		5,782		5,495		16
> 90 days	9,628		9,542		21		10,420		10,068		26
Total	$	50,319	$	49,003	$	128	$	54,314	$	51,784	$	147

________________________________

1.Includes $98 million and $119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2021 and December 31, 2020, respectively.

2.Excludes $0.6 billion of repledged U.S. Treasury securities received as collateral from counterparties as of June 30, 2021.

Assets Pledged from Counterparties

As of June 30, 2021 and December 31, 2020, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

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	June 30, 2021								December 31, 2020
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	$	13,023	$	—	$	13	$	13,036	$	11,727	$	—	$	13	$	11,740
Cash	—		314		1		315		—		107		3		110
Total	$	13,023	$	314	$	14	$	13,351	$	11,727	$	107	$	16	$	11,850

________________________________

1.As of June 30, 2021, $0.6 billion of U.S. Treasury securities received from counterparties were repledged as collateral. As of June 30, 2021 and December 31, 2020, $10.9 billion and $11.7 billion, respectively, of U.S. Treasury securities received from counterparties 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 June 30, 2021 and December 31, 2020 (in millions):

	Offsetting of Financial and Derivative Assets
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset  in the Consolidated Balance Sheets				Net Amount
							Financial Instruments		Collateral Received 2
June 30, 2021
Interest rate swap and swaption agreements, at fair value 1	$	294	$	—	$	294	$	—	$	(293)	$	1
TBA securities, at fair value	87		—		87		(8)		—		79
Receivable under reverse repurchase agreements	11,979		—		11,979		(7,216)		(4,763)		—
Total	$	12,360	$	—	$	12,360	$	(7,224)	$	(5,056)	$	80
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

	Offsetting of Financial and Derivative Liabilities
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Liabilities Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset  in the Consolidated Balance Sheets				Net Amount
							Financial Instruments		Collateral Pledged 2
June 30, 2021
TBA securities, at fair value	$	8	$	—	$	8	$	(8)	$	—	$	—
Repurchase agreements	48,737		—		48,737		(7,216)		(41,520)		1
Total	$	48,745	$	—	$	48,745	$	(7,224)	$	(41,520)	$	1
December 31, 2020
Repurchase agreements	$	52,366	$	—	$	52,366	$	(6,522)	$	(45,844)	$	—
Total	$	52,366	$	—	$	52,366	$	(6,522)	$	(45,844)	$	—

________________________________

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.

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2.Includes cash and securities pledged / received as collateral, at fair value. Amounts include repledged collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

Note 7. 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 June 30, 2021 and December 31, 2020, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.

	June 30, 2021						December 31, 2020
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets:
Agency securities	$	—	$	57,896	$	—	$	—	$	64,836	$	—
Agency securities transferred to consolidated VIEs	—		245		—		—		295		—
Credit risk transfer securities	—		1,105		—		—		737		—
Non-Agency securities	—		553		—		—		546		—
U.S. Treasury securities	397		—		—		—		—		—
Interest rate swaps	—		—		—		—		—		—
Swaptions	—		294		—		—		116		—
TBA securities	—		87		—		—		275		—
Total	$	397	$	60,180	$	—	$	—	$	66,805	$	—
Liabilities:
Debt of consolidated VIEs	$	—	$	148	$	—	$	—	$	177	$	—
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements	10,920		—		—		11,727		—		—
Interest rate swaps	—		—		—		—		—		—
TBA securities	—		8		—		—		—		—
U.S. Treasury futures	6		—		—		2		—		—
Total	$	10,926	$	156	$	—	$	11,729	$	177	$	—

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 June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020 due to their short duration. We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs.

Note 8. 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):

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	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Weighted average number of common shares issued and outstanding	524.9		559.1		528.7		553.3
Weighted average number of fully vested restricted stock units outstanding	1.7		1.2		1.4		0.9
Weighted average number of common shares outstanding - basic	526.6		560.3		530.1		554.2
Weighted average number of dilutive unvested restricted stock units outstanding	—		0.5		1.8		—
Weighted average number of common shares outstanding - diluted	526.6		560.8		531.9		554.2
Net income (loss) available (attributable) to common stockholders	$	(436)	$	693	$	514	$	(1,749)
Net income (loss) per common share - basic	$	(0.83)	$	1.24	$	0.97	$	(3.16)
Net income (loss) per common share - diluted	$	(0.83)	$	1.24	$	0.97	$	(3.16)

For the three months ended June 30, 2021 and six months ended June 30, 2020, 1.7 million and 0.8 million, respectively, 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.

Note 9. 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 June 30, 2021 and December 31, 2020, 13,800, 10,350, 16,100 and 23,000 shares of preferred stock were designated as 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively). As of June 30, 2021 and December 31, 2020, 13,000, 9,400, 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding. Each share of preferred stock is represented by 1,000 depositary shares. Each share of preferred stock has a liquidation preference of $25,000 per share (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 June 30, 2021 (dollars and shares in millions):

Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1	Issuance Date	Depositary Shares Issued and Outstanding	Carrying Value		Aggregate Liquidation Preference		Fixed Rate	Optional Redemption Date 2	Fixed-to-Floating Rate Conversion Date	Floating Annual Rate
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.

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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. As of June 30, 2021, shares of our common stock with an aggregate offering price of $1.25 billion remained authorized for issuance under this program through June 11, 2024. We did not issue shares under the program during the six months ended June 30, 2021.

Common Stock Repurchase Program

We are authorized by our Board of Directors to repurchase shares of our common stock in open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"). During the three months ended March 31, 2021, we repurchased 15.0 million shares, or $239 million, of our common stock for an average repurchase price of $16.00 per common share, inclusive of transaction costs and including amounts repurchased in December 2020 that settled in January 2021. During the three months ended June 30, 2021, we did not repurchase shares of our common stock. As of June 30, 2021, shares of our common stock with an aggregate repurchase price of $684 million remained authorized for repurchase through December 31, 2021.

Accumulated Other Comprehensive Income (Loss)

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2021 and 2020 (in millions):

	Three Months Ended June 30,				Six Months Ended June 30,
Accumulated Other Comprehensive Income (Loss)	2021		2020		2021		2020
Beginning Balance	$	482	$	561	$	719	$	97
OCI before reclassifications	(63)		242		(282)		707
Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net	(14)		(39)		(32)		(40)
Ending Balance	$	405	$	764	$	405	$	764

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

Management's Discussion and Analysis of Financial Condition and Results of Operations ("MD&A") is designed to provide a reader of AGNC Investment Corp.'s consolidated financial statements with a narrative from the perspective of management and should be read in conjunction with the consolidated financial statements and accompanying notes included in this Quarterly Report on Form 10-Q for quarterly period ended June 30, 2021. Our MD&A is presented in six sections:

•Executive Overview

•Financial Condition

•Results of Operations

•Liquidity and Capital Resources

•Off-Balance Sheet Arrangements

•Forward-Looking Statements

EXECUTIVE OVERVIEW

We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency residential mortgage-backed securities ("Agency RMBS") on a leveraged basis. These investments consist of residential mortgage pass-through securities and collateralized mortgage obligations for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise, such as Federal National Mortgage Association ("Fannie Mae") and Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs"), or by a U.S. Government agency, such as Government National Mortgage Association ("Ginnie Mae"). We may also invest in other assets related to the housing, mortgage or real estate markets that are not guaranteed by a GSE or U.S. Government agency.

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

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earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities. We fund our investments primarily through collateralized borrowings structured as repurchase agreements. We operate in a manner to qualify to be taxed as a REIT under the Internal Revenue Code.

The size and composition of our investment portfolio depends on the investment strategies we implement, availability of attractively priced investments, suitable financing to appropriately leverage our investment portfolio and overall market conditions. Market conditions are influenced by a variety of factors, including interest rates, prepayment expectations, liquidity, housing prices, unemployment rates, general economic conditions, government participation in the mortgage market, regulations and relative returns on other assets.

Trends and Recent Market Impacts

The positive trends that drove the strong performance of Agency RMBS in the first quarter of 2021 largely reversed in the second quarter. Agency RMBS spreads to swap and U.S. Treasury interest rate hedges, particularly longer-term hedges, widened in the second quarter as interest rates declined and the yield curve flattened. This spread widening coincided with stronger domestic economic data and higher inflation together with greater expectations that the Federal Reserve (the “Fed”) will communicate its plan to commence reducing its Agency RMBS asset purchases later this year. In addition, despite the increase in mortgage rates during the first quarter, prepayment speeds did not slow as expected in the second quarter. Faster prepayment speeds in the second quarter pressured higher coupon Agency RMBS valuations and largely reversed the significant outperformance of these coupons in the first quarter. As a result, AGNC’s economic return for the second quarter was negative 5.5%.

On a year-to-date basis, lower coupon RMBS modestly outperformed interest rate hedges, while very attractive implied TBA financing levels further benefited the earnings profile of these assets. Conversely, higher coupon RMBS modestly underperformed hedges due to elevated prepayment rates. Taken together, AGNC’s economic return for the first two quarters was 2.4% despite the significant quarter-to-quarter volatility.

During the second quarter, we continued to gradually reduce the size of our investment portfolio and operate at lower average leverage levels in anticipation of wider spreads as the Fed’s eventual announcement about its plans to taper its Agency RMBS purchases approaches. We reduced our investment portfolio by $2.8 billion during the second quarter, or by a total of $10.4 billion year-to-date. As of June 30, 2021, our investment portfolio totaled $87.5 billion, consisting of $58.1 billion Agency RMBS, $27.4 billion TBA securities, and $2.0 billion CRT and non-Agency securities, including forward starting non-Agency securities. Our average "at risk" leverage for the second quarter declined to 7.6x tangible net book value, compared to 8.0x for the first quarter. We ended the second quarter moderately higher at 7.9x, due to the decline in our tangible net book value.

Additionally, during the second quarter, we shifted the composition of our investment portfolio. Most notably, given the relative outperformance of our 15-year fix-rate Agency RMBS, we reduced our 15-year holdings by $6.8 billion and modestly increased our holdings of current coupon production 30-year Agency securities. As of June 30, 2021, our 30-year and 15-year fixed-rate Agency securities represented 87% and 7%, respectively, of our investment portfolio, compared to 80% and 15%, respectively, as of March 31, 2021. In addition, as of June 30, 2021, approximately 40% of our fixed-rate Agency securities were in higher coupon specified pools, with the balance primarily in lower coupon generic securities, largely unchanged from approximately 42% and 58%, respectively, as of the end of the first quarter. We believe our investment portfolio, which is well balanced between lower coupon TBA securities and higher coupon specified pools, positions AGNC well over a wide range of market scenarios.

Residential credit continued to benefit from strong fundamentals, materially outperforming Agency RMBS during the second quarter. Meanwhile, our credit holdings were largely unchanged during the quarter, as we found limited opportunities to make attractive investments given historically tight credit spreads to benchmark interest rates.

Our unencumbered cash and Agency RMBS during the second quarter, excluding both unencumbered credit assets and assets held at our broker-dealer subsidiary, remained very strong at $4.7 billion as of June 30, 2021, or 47% of our tangible equity, compared to $5.2 billion, or 48% of tangible equity, as of March 31, 2021.

Our investment portfolio had a weighted average CPR of 25.7% for the second quarter, compared to 24.6% for the prior quarter. The weighted average projected CPR for the remaining life of our Agency securities held as of June 30, 2021 increased to 11.6% from 11.3% as of March 31, 2021, as lower rates and moderately faster prepayment assumptions were largely offset by changes in portfolio composition.

During the second quarter, we rebalanced a portion of our hedge portfolio in response to lower rates and our somewhat smaller investment portfolio by reducing our longer-term U.S. Treasury hedge positions. As a result, our hedge portfolio totaled

24

$74 billion at June 30, 2021, down $5 billion from the first quarter, while our interest rate hedge ratio remained largely unchanged at 97% of our funding liabilities. Our duration gap, which is a measure of the difference between the interest rate sensitivity of our assets and liabilities, inclusive of our interest rate hedges, remained slightly positive at 0.3 years as of June 30, 2021, compared to 0.6 years as of March 31, 2021.

Net spread and dollar roll income (a non-GAAP measure) was $0.76 per diluted common share for the second quarter, unchanged from the first quarter, as favorable short-term funding, attractive TBA dollar roll opportunities, and stable hedging cost offset our smaller asset base. Our net spread and dollar roll income excludes “catch-up” premium amortization (cost)/benefit of $(0.13) and $0.40 per diluted common share for the second and first quarters, respectively, due to changes in CPR projections for securities acquired in prior quarters. (Please refer to Results of Operations below for further information regarding non-GAAP measures.)

At current valuation levels, we believe that the Agency investment risk-return backdrop is more balanced and that Agency RMBS remain attractive, particularly when compared on a relative value basis to other asset classes. Looking ahead, as the Fed moves closer to asset tapering, we believe some further spread widening and volatility are possible. In our view, this repricing is healthy for the Agency RMBS market over the longer-term. Although AGNC’s book value may be pressured in the short run, our lower leverage and strong liquidity position should provide us capacity to add investments opportunistically when expected return levels are more favorable and further improve our longer-term earnings potential. We thus expect that wider spreads will generally improve expected returns on new investments and enhance our value proposition over the long run.

25

Market Information

The following table summarizes interest rates and prices of generic fixed rate Agency RMBS as of each date presented below:

Interest Rate/Security Price 1	June 30, 2020	Sept. 30, 2020	Dec. 31, 2020	Mar. 31, 2021	June 30, 2021	June 30, 2021 vs Mar. 31, 2021		June 30, 2021 vs Dec. 31, 2020
Target Federal Funds Rate:
Target Federal Funds Rate - Upper Band	0.25%	0.25%	0.25%	0.25%	0.25%	—	bps	—	bps
SOFR:
SOFR Rate	0.10%	0.08%	0.07%	0.01%	0.05%	+4	bps	-2	bps
SOFR Interest Rate Swap Rate:
2-Year Swap	0.00%	0.03%	0.06%	0.12%	0.19%	+7	bps	+13	bps
5-Year Swap	0.08%	0.13%	0.24%	0.82%	0.75%	-7	bps	+51	bps
10-Year Swap	0.38%	0.47%	0.71%	1.52%	1.19%	-33	bps	+48	bps
30-Year Swap	0.63%	0.86%	1.15%	1.92%	1.50%	-42	bps	+35	bps
U.S. Treasury Security Rate:
2-Year U.S. Treasury	0.15%	0.13%	0.12%	0.16%	0.25%	+9	bps	+13	bps
5-Year U.S. Treasury	0.29%	0.28%	0.36%	0.94%	0.89%	-5	bps	+53	bps
10-Year U.S. Treasury	0.66%	0.69%	0.92%	1.74%	1.47%	-27	bps	+55	bps
30-Year U.S. Treasury	1.41%	1.46%	1.65%	2.41%	2.09%	-32	bps	+44	bps
30-Year Fixed Rate Agency Price:
2.0%	$102.33	$103.39	$103.88	$99.70	$101.09	+$1.39		-$2.79
2.5%	$104.26	$104.90	$105.41	$102.55	$103.48	+$0.93		-$1.93
3.0%	$105.33	$104.75	$104.77	$104.13	$104.27	+$0.14		-$0.50
3.5%	$105.18	$105.40	$105.66	$105.63	$105.28	-$0.35		-$0.38
4.0%	$105.98	$106.64	$106.78	$107.31	$106.53	-$0.78		-$0.25
4.5%	$107.46	$108.16	$108.39	$108.91	$107.66	-$1.25		-$0.73
15-Year Fixed Rate Agency Price:
1.5%	N/A	$102.31	$102.89	$100.40	$101.23	+$0.83		-$1.66
2.0%	$103.46	$103.95	$104.55	$102.61	$103.19	+$0.58		-$1.36
2.5%	$104.70	$104.44	$104.30	$104.06	$104.29	+$0.23		-$0.01
3.0%	$105.09	$104.94	$104.97	$105.59	$105.05	-$0.54		+$0.08
3.5%	$105.06	$105.81	$106.03	$106.69	$106.83	+$0.14		+$0.80
4.0%	$105.75	$106.15	$106.28	$106.34	$106.19	-$0.15		-$0.09

________________________________

1.Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Prices in the table above were obtained from Barclays. Interest and LIBOR rates were obtained from Bloomberg.

26

The following table summarizes mortgage rates and credit spreads as of each date presented below:

Mortgage Rate/Credit Spread	June 30, 2020	Sept. 30, 2020	Dec. 31, 2020	Mar. 31, 2021	June 30, 2021	June 30, 2021 vs Mar. 31, 2021		June 30, 2021 vs Dec. 31, 2020
Mortgage Rate: 1
30 Yr PMMS	3.13%	2.90%	2.67%	3.17%	3.02%	-15	bps	+35	bps
30 Yr CC	1.62%	1.42%	1.34%	1.97%	1.87%	-10	bps	+53	bps
30 Yr P/S Spread	1.51%	1.48%	1.33%	1.20%	1.15%	-5	bps	-18	bps
Credit Spread (in bps): 2
CRT M2	520	302	216	235	179	-56		-37
CMBS AAA	113	86	66	69	65	-4		-1
CDX IG	76	59	50	54	48	-6		-2

________________________________

1.30 Yr PMMS rates are sourced from Freddie Mac's weekly Primary Mortgage Market Survey of mortgage lenders; 30 Yr CC rates represent current coupon rates for new production Agency RMBS sourced from Bloomberg; and the 30 Yr P/S spreads represent the 30 Yr PMMS and CC primary to secondary market spread differential as of each date.

2.CRT and CMBS spreads are averages of JP Morgan, Bank of America and Wells Fargo. CRT spreads are discount margins. CMBS spreads are spreads to the swap curve. CDX spreads are sourced from JP Morgan.

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FINANCIAL CONDITION

As of June 30, 2021 and December 31, 2020, our investment portfolio totaled $87.5 billion and $97.9 billion, respectively, consisting of: $59.8 billion and $66.4 billion investment securities, at fair value, respectively; $27.4 billion and $31.5 billion net TBA securities, at fair value, respectively; and $0.3 billion and zero forward settling non-Agency securities, at fair value, respectively. The following table is a summary of our investment portfolio as of June 30, 2021 and December 31, 2020 (dollars in millions):

	June 30, 2021								December 31, 2020
Investment Portfolio (Includes TBAs)	Amortized Cost		Fair Value		Average Coupon		%		Amortized Cost		Fair Value		Average Coupon		%
Fixed rate Agency RMBS and TBA securities:
≤ 15-year:
≤ 15-year RMBS	$	5,433	$	5,550	2.64	%	6	%	$	9,256	$	9,482	2.48	%	10	%
15-year TBA securities, net 1	764		765		1.96	%	1	%	6,916		6,980		1.74	%	7	%
Total ≤ 15-year	6,197		6,315		2.55	%	7	%	16,172		16,462		2.16	%	17	%
20-year RMBS	2,537		2,549		2.47	%	3	%	2,409		2,470		2.58	%	3	%
30-year:
30-year RMBS	48,448		49,658		3.24	%	57	%	50,312		52,663		3.55	%	54	%
30-year TBA securities, net 1	26,543		26,621		2.51	%	30	%	24,288		24,499		2.05	%	25	%
Total 30-year	74,991		76,279		2.98	%	87	%	74,600		77,162		3.06	%	79	%
Total fixed rate Agency RMBS and TBA securities	83,725		85,143		2.93	%	97	%	93,181		96,094		2.89	%	98	%
Adjustable rate Agency RMBS	54		56		2.28	%	—	%	69		70		2.35	%	—	%
Multifamily	—		—		—	%	—	%	17		19		3.31	%	—	%
CMO Agency RMBS:
CMO	219		228		3.17	%	—	%	289		301		3.30	%	1	%
Interest-only strips	37		48		5.61	%	—	%	45		59		5.57	%	—	%
Principal-only strips	47		52		—	%	—	%	60		67		—	%	—	%
Total CMO Agency RMBS	303		328		4.10	%	—	%	394		427		4.10	%	1	%
Total Agency RMBS and TBA securities	84,082		85,527		2.94	%	98	%	93,661		96,610		2.90	%	99	%
Non-Agency RMBS 2	490		503		3.18	%	1	%	178		188		4.28	%	—	%
CMBS	336		353		3.69	%	—	%	333		358		4.13	%	—	%
CRT	1,081		1,105		3.58	%	1	%	733		737		3.43	%	1	%
Total investment portfolio	$	85,989	$	87,488	2.95	%	100	%	$	94,905	$	97,893	2.91	%	100	%

________________________________

1.TBA securities are presented net of long and short positions. For further details of our TBA securities refer to Note 5 of our Consolidated Financial Statements in this Form 10-Q.

2.Includes $0.3 billion of forward settling non-Agency securities.

TBA and forward settling securities are recorded as derivative instruments in our accompanying consolidated financial statements, and our TBA dollar roll transactions represent a form of off-balance sheet financing. As of June 30, 2021 and December 31, 2020, our TBA position and forward settling securities had a net carrying value of $79 million and $275 million, respectively, reported in derivative assets /(liabilities) on our accompanying consolidated balance sheets. The net carrying value represents the difference between the fair value of the underlying security in the TBA contract or forward purchase agreement and the price to be paid or received for the underlying security.

As of June 30, 2021 and December 31, 2020, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 2.42% and 2.33%, respectively.

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The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of June 30, 2021 and December 31, 2020 (dollars in millions):

	June 30, 2021
	Includes Net TBA Position							Excludes Net TBA Position
Fixed Rate Agency RMBS and TBA Securities	Par Value		Amortized Cost		Fair Value		Specified Pool % 1	Amortized Cost Basis	Weighted Average			Projected CPR 3
									WAC 2	Yield 3	Age (Months)
Fixed rate
≤ 15-year:
1.5%	$	1,377	$	1,403	$	1,394	—%	102.3%	2.29%	0.94%	7	12%
2.0%	1,378		1,428		1,423		5%	103.6%	2.60%	1.12%	7	12%
2.5%	676		709		709		52%	105.5%	3.03%	1.23%	21	12%
3.0%	995		1,011		1,055		94%	101.6%	3.55%	2.46%	50	15%
3.5%	1,041		1,062		1,122		100%	102.1%	4.03%	2.74%	46	17%
≥ 4.0%	567		584		612		92%	102.9%	4.61%	2.90%	45	18%
Total ≤ 15-year	6,034		6,197		6,315		49%	102.7%	3.25%	1.85%	28	14%
20-year:
2.0%	1,461		1,505		1,492		—%	103.0%	2.86%	1.46%	8	9%
2.5%	513		535		533		—%	104.2%	3.28%	1.58%	12	13%
3.0%	41		42		43		98%	103.3%	3.78%	2.18%	23	15%
3.5%	194		197		208		81%	101.8%	4.05%	2.95%	95	14%
≥ 4.0%	248		258		273		96%	104.0%	4.74%	3.08%	55	16%
Total 20-year:	2,457		2,537		2,549		19%	103.3%	3.25%	1.78%	20	11%
30-year:
2.0%	14,579		14,682		14,736		3%	100.8%	2.85%	1.88%	3	6%
2.5%	26,042		26,926		26,916		5%	105.2%	3.35%	1.76%	8	8%
3.0%	3,915		4,059		4,104		13%	102.9%	3.70%	2.41%	46	12%
3.5%	10,238		10,704		11,074		87%	104.5%	4.06%	2.60%	74	12%
4.0%	11,088		11,653		12,141		92%	105.1%	4.51%	2.85%	59	14%
≥ 4.5%	6,583		6,967		7,308		98%	105.8%	5.01%	3.11%	45	16%
Total 30-year	72,445		74,991		76,279		40%	103.9%	3.90%	2.45%	40	11%
Total fixed rate	$	80,936	$	83,725	$	85,143	40%	103.8%	3.81%	2.36%	38	12%

________________________________

1.Specified pools include pools backed by lower balance loans with original loan balances of up to $200K, HARP pools (defined as pools that were issued between May 2009 and December 2018 and backed by 100% refinance loans with original LTVs ≥ 80%), and pools backed by loans 100% originated in New York and Puerto Rico. As of June 30, 2021, lower balance specified pools had a weighted average original loan balance of $119,000 and $116,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 127% and 138% for 15-year and 30-year securities, respectively.

2.WAC represents the weighted average coupon of the underlying collateral.

3.Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of June 30, 2021.

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	December 31, 2020
	Includes Net TBA Position							Excludes Net TBA Position
Fixed Rate Agency RMBS and TBA Securities	Par Value		Amortized Cost		Fair Value		Specified Pool % 1	Amortized Cost Basis	Weighted Average			Projected CPR 3
									WAC 2	Yield 3	Age (Months)
Fixed rate
≤ 15-year:
1.5%	$	5,001	$	5,107	$	5,144	—%	102.4%	2.28%	0.91%	1	13%
2.0%	6,718		6,958		7,023		—%	103.8%	2.62%	1.01%	2	15%
2.5%	795		836		840		59%	105.5%	3.07%	1.10%	13	15%
3.0%	1,168		1,186		1,248		94%	101.5%	3.55%	2.46%	44	16%
3.5%	1,249		1,275		1,356		100%	102.1%	4.03%	2.75%	40	18%
≥ 4.0%	788		810		851		92%	102.8%	4.63%	2.92%	47	19%
Total ≤ 15-year	15,719		16,172		16,462		23%	103.1%	3.09%	1.59%	17	16%
20-year:
≤ 2.0%	1,168		1,202		1,215		—%	103.0%	2.87%	1.29%	3	15%
2.5%	597		620		630		—%	103.9%	3.28%	1.33%	6	20%
3.0%	48		50		52		98%	103.0%	3.78%	2.10%	17	19%
3.5%	226		230		246		81%	101.6%	4.05%	2.93%	89	18%
≥ 4.0%	296		307		327		96%	103.6%	4.73%	3.05%	48	20%
Total 20-year:	2,335		2,409		2,470		23%	103.2%	3.34%	1.70%	18	17%
30-year:
≤ 2.0%	23,805		24,445		24,628		—%	103.2%	2.89%	1.51%	—	11%
2.5%	8,995		9,423		9,506		4%	105.2%	3.43%	1.35%	4	16%
3.0%	3,507		3,619		3,709		17%	102.9%	3.74%	2.03%	33	22%
3.5%	12,913		13,428		14,151		88%	104.0%	4.07%	2.48%	66	17%
4.0%	14,245		14,847		15,734		92%	104.2%	4.51%	2.81%	52	19%
≥ 4.5%	8,417		8,838		9,434		98%	105.0%	5.01%	3.04%	38	21%
Total 30-year	71,882		74,600		77,162		48%	104.3%	4.17%	2.43%	42	18%
Total fixed rate	$	89,936	$	93,181	$	96,094	43%	104.0%	3.98%	2.28%	37	18%

________________________________

1.See Note 1 of preceding table for specified pool composition. As of December 31, 2020, lower balance specified pools had a weighted average original loan balance of $117,000 and $117,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 126% and 137% for 15-year and 30-year securities, respectively.

2.WAC represents the weighted average coupon of the underlying collateral.

3.Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2020.

For additional details regarding our CRT and non-Agency securities, including credit ratings, as of June 30, 2021 and December 31, 2020, please refer to Note 3 of our Consolidated Financial Statements in this Form 10-Q.

RESULTS OF OPERATIONS

Non-GAAP Financial Measures

In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "economic interest income," "economic interest expense," "net spread and dollar roll income," "net spread and dollar roll income, excluding 'catch-up' premium amortization," "estimated taxable income" and the related per common share measures and certain financial metrics derived from such non-GAAP information, such as "cost of funds" and "net interest spread."

"Economic interest income" is measured as interest income (GAAP measure), adjusted (i) to exclude "catch-up" premium amortization associated with changes in CPR estimates and (ii) to include TBA dollar roll implied interest income. "Economic interest expense" is measured as interest expense (GAAP measure) adjusted to include TBA dollar roll implied interest expense/(benefit) and interest rate swap periodic cost/(income). "Net spread and dollar roll income, excluding "catch-up" premium amortization" includes (i) the components of economic interest income and economic interest expense and other interest and dividend income (referred to as "adjusted net interest and dollar roll income"), less (ii) total operating expenses (GAAP measure).

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By providing such measures, in addition to the related GAAP measures, we believe we give greater transparency into the information used by our management in its financial and operational decision-making. We also believe it is important for users of our financial information to consider information related to our current financial performance without the effects of certain measures and one-time events that are not necessarily indicative of our current investment portfolio performance and operations.

Specifically, in the case of "adjusted net interest and dollar roll income," we believe the inclusion of TBA dollar roll income is meaningful as TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements. Similarly, we believe that the inclusion of periodic interest rate swap settlements in "economic interest expense" is meaningful as interest rate swaps are the primary instrument we use to economically hedge against fluctuations in our borrowing costs and it is more indicative of our total cost of funds than interest expense alone. In the case of "economic interest income" and "net spread and dollar roll income, excluding 'catch-up' premium amortization," we believe the exclusion of "catch-up" adjustments to premium amortization cost or benefit is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such cost or benefit is more indicative of the current earnings potential of our investment portfolio. In the case of estimated taxable income, we believe it is meaningful information because it directly relates to the amount of dividends that we are required to distribute to maintain our REIT qualification status.

However, because such measures are incomplete measures of our financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP. In addition, because not all companies use identical calculations, our presentation of such non-GAAP measures may not be comparable to other similarly-titled measures of other companies. Furthermore, estimated taxable income can include certain information that is subject to potential adjustments up to the time of filing our income tax returns, which occurs after the end of our fiscal year.

Selected Financial Data

The following selected financial data is derived from our interim consolidated financial statements and the notes thereto. The tables below present our condensed consolidated balance sheets as of June 30, 2021 and December 31, 2020 and condensed consolidated statements of comprehensive income and key statistics for the three and six months ended June 30, 2021 and 2020 (in millions, except per share amounts):

	June 30,		December 31,
Balance Sheet Data	2021		2020
	(Unaudited)
Investment securities, at fair value	$	59,799	$	66,414
Total assets	$	75,055	$	81,817
Repurchase agreements and other debt	$	48,885	$	52,543
Total liabilities	$	64,387	$	70,738
Total stockholders' equity	$	10,668	$	11,079
Net book value per common share 1	$	17.39	$	17.68
Tangible net book value per common share 2	$	16.39	$	16.71

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	Three Months Ended June 30,				Six Months Ended June 30,
Statement of Comprehensive Income Data (Unaudited)	2021		2020		2021		2020
Interest income	$	249	$	429	$	806	$	920
Interest expense	17		134		46		560
Net interest income	232		295		760		360
Other gain (loss), net	(621)		447		(150)		(2,016)
Operating expenses	22		24		46		47
Net income (loss)	(411)		718		564		(1,703)
Dividends on preferred stock	25		25		50		46
Net income (loss) available (attributable) to common stockholders	$	(436)	$	693	$	514	$	(1,749)
Net income (loss)	$	(411)	$	718	$	564	$	(1,703)
Other comprehensive income (loss), net	(77)		203		(314)		667
Comprehensive income (loss)	(488)		921		250		(1,036)
Dividends on preferred stock	25		25		50		46
Comprehensive income (loss) available (attributable) to common stockholders	$	(513)	$	896	$	200	$	(1,082)
Weighted average number of common shares outstanding - basic	526.6		560.3		530.1		554.2
Weighted average number of common shares outstanding - diluted	526.6		560.8		531.9		554.2
Net income (loss) per common share - basic	$	(0.83)	$	1.24	$	0.97	$	(3.16)
Net income (loss) per common share - diluted	$	(0.83)	$	1.24	$	0.97	$	(3.16)
Comprehensive income (loss) per common share - basic	$	(0.97)	$	1.60	$	0.38	$	(1.95)
Comprehensive income (loss) per common share - diluted	$	(0.97)	$	1.60	$	0.38	$	(1.95)
Dividends declared per common share	$	0.36	$	0.36	$	0.72	$	0.84

	Three Months Ended June 30,						Six Months Ended June 30,
Other Data (Unaudited) *	2021			2020			2021			2020
Average investment securities - at par	$	55,246		$	68,994		$	55,944		$	81,964
Average investment securities - at cost	$	57,420		$	71,787		$	58,073		$	84,840
Average net TBA portfolio - at cost	$	28,082		$	15,662		$	30,041		$	11,575
Average total assets - at fair value	$	77,502		$	86,851		$	78,345		$	100,392
Average repurchase agreements and other debt outstanding 3	$	52,374		$	69,552		$	53,482		$	81,545
Average stockholders' equity 4	$	11,103		$	10,262		$	11,185		$	10,598
Average tangible net book value "at risk" leverage 5	7.6:1			8.8:1			7.8:1			9.2:1
Tangible net book value "at risk" leverage (as of period end) 6	7.9:1			9.2:1			7.9:1			9.2:1
Economic return on tangible common equity - unannualized 7	(5.5)		%	12.2		%	2.4		%	(10.8)		%
Expenses % of average total assets - annualized	0.11		%	0.11		%	0.12		%	0.09		%
Expenses % of average assets, including average net TBA position - annualized	0.08		%	0.09		%	0.08		%	0.08		%
Expenses % of average stockholders' equity - annualized	0.79		%	0.94		%	0.82		%	0.89		%

________________________________

* Except as noted below, average numbers for each period are weighted based on days on our books and records.

1.Net book value per common share is calculated as total stockholders' equity, less preferred stock liquidation preference, divided by number of common shares outstanding as of period end.

2.Tangible net book value per common share excludes goodwill.

3.Amount excludes U.S. Treasury repurchase agreements and TBA contracts. Other debt includes debt of consolidated VIEs.

4.Average stockholders' equity calculated as average month-ended stockholders' equity during the period.

5.Average tangible net book value "at risk" leverage is calculated by dividing the sum of daily weighted average repurchase agreements used to fund our investment securities, other debt, and TBA and forward settling securities (at cost) (together "mortgage borrowings") outstanding for the period by the sum of average stockholders' equity adjusted to exclude goodwill for the period. Leverage excludes U.S. Treasury repurchase agreements.

6.Tangible net book value "At risk" leverage as of period end is calculated by dividing the sum of mortgage borrowings outstanding and receivable/payable for unsettled investment securities as of period end (at cost) by the sum of total stockholders' equity adjusted to exclude goodwill as of period end. Leverage excludes U.S. Treasury repurchase agreements.

7.Economic return on tangible common equity represents the sum of the change in tangible net book value per common share and dividends declared per share of common stock during the period over beginning tangible net book value per common share.

32

Economic Interest Income and Asset Yields

The following table summarizes our economic interest income (a non-GAAP measure) for the three and six months ended June 30, 2021 and 2020, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" premium amortization adjustments for the cumulative effect from prior reporting periods of changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions):

	Three Months Ended June 30,										Six Months Ended June 30,
	2021					2020					2021					2020
	Amount			Yield		Amount			Yield		Amount			Yield		Amount			Yield
Interest income:
Cash/coupon interest income	$	453		3.28	%	$	652		3.77	%	$	934		3.34	%	$	1,527		3.72	%
Net premium amortization benefit (cost)	(204)			(1.55)	%	(223)			(1.38)	%	(128)			(0.56)	%	(607)			(1.55)	%
Interest income (GAAP measure)	249			1.73	%	429			2.39	%	806			2.78	%	920			2.17	%
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast	71			0.50	%	57			0.32	%	(142)			(0.49)	%	300			0.71	%
Interest income, excluding "catch-up" premium amortization	320			2.23	%	486			2.71	%	664			2.29	%	1,220			2.88	%
TBA dollar roll income - implied interest income 1,2	139			1.98	%	74			1.90	%	255			1.69	%	122			2.11	%
Economic interest income, excluding "catch-up" amortization (non-GAAP measure) 3	$	459		2.15	%	$	560		2.56	%	$	919		2.08	%	$	1,342		2.78	%
Weighted average actual portfolio CPR for investment securities held during the period	25.7		%			19.9		%			25.2		%			15.4		%
Weighted average projected CPR for the remaining life of investment securities held as of period end	11.6		%			16.6		%			11.6		%			16.6		%
Average 30-year fixed rate mortgage rate as of period end 4	3.02		%			3.13		%			3.02		%			3.13		%
10-year U.S. Treasury rate as of period end	1.47		%			0.66		%			1.47		%			0.66		%

  ________________________________

1.Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.

2.Implied interest income from TBA dollar roll transactions is computed as the sum of (i) TBA dollar roll income and (ii) estimated TBA implied funding cost (see Economic Interest Expense and Aggregate Cost of Funds below). TBA dollar roll income represents the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement and is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period. Amount is net of TBAs used for hedging purposes. Amount excludes TBA mark-to-market adjustments.

3.The combined asset yield is calculated on a weighted average basis based on our average investment and TBA balances outstanding during the period and their respective yields.

4.Source: Freddie Mac Primary Fixed Mortgage Rate Mortgage Market Survey

The principal elements impacting our economic interest income are the size of our average investment portfolio and the yield (actual and implied) on our securities. The following table includes a summary of the estimated impact of each of these elements on our economic interest income for the three and six months ended June 30, 2021 compared to the prior year period (in millions):

33

Impact of Changes in the Principal Elements Impacting Economic Interest Income
Periods ended June 30, 2021 vs. June 30, 2020
			Due to Change in Average
	Total Increase / (Decrease)		Portfolio Size		Asset Yield
Three months ended:
Interest Income (GAAP measure)	$	(180)	$	(86)	$	(94)
Estimated "catch-up" premium amortization due to change in CPR forecast	14		—		14
Interest income, excluding "catch-up" premium amortization	(166)		(86)		(80)
TBA dollar roll income - implied interest income	65		59		6
Economic interest income, excluding "catch-up" amortization (non-GAAP measure)	$	(101)	$	(27)	$	(74)
			Due to Change in Average
Six months ended:	Total Increase / (Decrease)		Portfolio Size		Asset Yield
Interest Income (GAAP measure)	$	(114)	$	(290)	$	176
Estimated "catch-up" premium amortization due to change in CPR forecast	(442)		—		(442)
Interest income, excluding "catch-up" premium amortization	(556)		(290)		(266)
TBA dollar roll income - implied interest income	133		194		(61)
Economic interest income, excluding "catch-up" amortization (non-GAAP measure)	$	(423)	$	(96)	$	(327)

Our average investment portfolio, inclusive of TBAs (at cost), decreased 2% and 9% for the three and six months ended June 30, 2021, respectively, compared to the prior year period, primarily due to lower operating leverage and a decline in our average stockholders' equity. The decrease in the average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization on our investment securities, of 41 basis points and 64 basis points for the three and six months ended June 30, 2021, respectively, compared to the prior year period, was largely due to changes in asset composition and lower prevailing yields on new asset purchases.

Leverage  

Our primary measure of leverage is our tangible net book value "at risk" leverage ratio, which is measured as the sum of our repurchase agreements and other debt used to fund our investment securities and net TBA and forward settling securities position (at cost) (together referred to as "mortgage borrowings") and our net receivable/payable for unsettled investment securities, divided by our total stockholders' equity adjusted to exclude goodwill.

We include our net TBA position in our measure of leverage because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. Similarly, a TBA contract for the forward sale of Agency securities has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. (Refer to Liquidity and Capital Resources for further discussion of TBA securities and dollar roll transactions). Repurchase agreements used to fund short-term investments in U.S. Treasury securities ("U.S. Treasury repo") are excluded from our measure of leverage due to the temporary and highly liquid nature of these investments. The following table presents a summary of our leverage ratios for the periods listed (dollars in millions):

	Repurchase Agreements and Other Debt 1						Net TBA Position Long/(Short) 2				Average Tangible Net Book Value "At Risk" Leverage during the Period 3	Tangible Net Book Value "At Risk" Leverage as of Period End 4
Quarter Ended	Average Daily Amount		Maximum Daily Amount		Ending Amount		Average Daily Amount		Ending Amount
June 30, 2021	$	52,374	$	60,186	$	48,488	$	28,082	$	27,611	7.6:1	7.9:1
March 31, 2021	$	54,602	$	57,153	$	55,221	$	32,022	$	25,355	8.0:1	7.7:1
December 31, 2020	$	53,645	$	55,249	$	52,543	$	33,753	$	31,204	8.4:1	8.5:1
September 30, 2020	$	61,008	$	69,628	$	54,558	$	27,785	$	29,460	8.9:1	8.8:1
June 30, 2020	$	69,552	$	72,399	$	69,370	$	15,662	$	20,413	8.8:1	9.2:1
March 31, 2020	$	93,538	$	104,773	$	63,241	$	7,487	$	20,648	9.9:1	9.4:1

________________________________

1.Other debt includes debt of consolidated VIEs. Amounts exclude U.S. Treasury repo agreements.

2.Daily average and ending net TBA position outstanding measured at cost.

3.Average tangible net book value "at risk" leverage during the period represents the sum of our daily weighted average repurchase agreements and other debt used to fund acquisitions of investment securities and net TBA and forward settling securities position outstanding, divided by the sum of our average month-ended stockholders' equity, adjusted to exclude goodwill.

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4.Tangible net book value "at risk" leverage as of period end represents the sum of our repurchase agreements and other debt used to fund acquisitions of investments securities, net TBA and forward settling securities position (at cost), and net receivable/payable for unsettled investment securities outstanding as of period end, divided by total stockholders' equity, adjusted to exclude goodwill as of period end.

Economic Interest Expense and Aggregate Cost of Funds 

The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for the three and six months ended June 30, 2021 and 2020 (dollars in millions), which includes the combination of interest expense on Agency repurchase agreements and other debt (GAAP measure), implied financing cost (benefit) of our TBA securities and interest rate swap periodic interest cost (income):

	Three Months Ended June 30,								Six Months Ended June 30,
	2021				2020				2021				2020
Economic Interest Expense and Aggregate Cost of Funds 1	Amount		Cost of Funds		Amount		Cost of Funds		Amount		Cost of Funds		Amount		Cost of Funds
Repurchase agreement and other debt - interest expense (GAAP measure)	$	17	0.13	%	$	134	0.76	%	$	46	0.17	%	$	560	1.36	%
TBA dollar roll income - implied interest expense (benefit) 2,3	(23)		(0.33)	%	(4)		(0.09)	%	(61)		(0.41)	%	28		0.48	%
Economic interest expense - before interest rate swap periodic cost (income), net 4	(6)		(0.03)	%	130		0.61	%	(15)		(0.04)	%	588		1.25	%
Interest rate swap periodic interest expense 2,5	19		0.09	%	59		0.27	%	31		0.07	%	28		0.06	%
Total economic interest expense (non-GAAP measure)	$	13	0.06	%	$	189	0.88	%	$	16	0.03	%	$	616	1.31	%

 ________________________________

1.Amounts exclude interest rate swap termination fees and variation margin settlements paid or received, forward starting swaps and the impact of other supplemental hedges, such as swaptions and U.S. Treasury positions.

2.Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

3.The implied funding cost (benefit) of TBA dollar roll transactions is determined using the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement and market based assumptions regarding the "cheapest-to-deliver" collateral that can be delivered to satisfy the TBA contract, such as the anticipated collateral’s weighted average coupon, weighted average maturity and projected 1-month CPR. The average implied funding cost (benefit) for all TBA transactions is weighted based on our daily average TBA balance outstanding for the period.

4.The combined cost of funds for total mortgage borrowings outstanding, before interest rate swap costs, is calculated on a weighted average basis based on average repo, other debt and TBA balances outstanding during the period and their respective cost of funds.

5.Interest rate swap periodic interest expense is measured as a percent of average mortgage borrowings outstanding for the period.

The principal elements impacting our economic interest expense are (i) the size of our average mortgage borrowings and interest rate swap portfolio outstanding during the period, (ii) the average interest rate (actual and implied) on our mortgage borrowings and (iii) the average net interest rate paid/received on our interest rate swaps. The following table includes a summary of the estimated impact of these elements on our economic interest expense for the three and six months ended June 30, 2021 compared to the prior year period (in millions):

Impact of Changes in the Principal Elements of Economic Interest Expense
Periods ended June 30, 2021 vs. June 30, 2020
			Due to Change in Average
	Total Increase / (Decrease)		Borrowing / Swap Balance		Borrowing / Swap Rate
Three months ended:
Repurchase agreements and other debt interest expense	$	(117)	$	(33)	$	(84)
TBA dollar roll income - implied interest benefit/expense	(19)		(3)		(16)
Interest rate swap periodic interest expense	(40)		7		(47)
Total change in economic interest expense	$	(176)	$	(29)	$	(147)
			Due to Change in Average
Six months ended:	Total Increase / (Decrease)		Borrowing / Swap Balance		Borrowing / Swap Rate
Repurchase agreements and other debt interest expense	$	(514)	$	(193)	$	(321)
TBA dollar roll income - implied interest expense	(89)		44		(133)
Interest rate swap periodic interest expense	3		(5)		8
Total change in economic interest expense	$	(600)	$	(154)	$	(446)

Our average mortgage borrowings, inclusive of TBAs, decreased 6% and 10% for the three and six months ended June 30, 2021, respectively, compared to the prior year period, consistent with the decline in our average investment portfolio. The decline in the average interest rate (actual and implied) on our mortgage borrowings for the three and six months ended June 30,

35

2021 of 82 basis points and 128 basis points, respectively, was due to the combination of lower short-term interest rates and favorable technical supply and demand factors in the repo and TBA dollar roll markets.

The change in our interest rate swap periodic cost for the three and six months ended June 30, 2021 was due to the combination of the change in our average swap balance outstanding and the change in the average fixed rate paid and floating rate received on our interest rate swaps as compared to the prior year periods. The following is a summary of each of these factors for the three and six months ended June 30, 2021 as compared to the prior year periods (dollars in millions):

	Three Months Ended June 30,						Six Months Ended June 30,
Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding	2021			2020			2021			2020
Average Agency repo and other debt outstanding	$	52,374		$	69,552		$	53,482		$	81,545
Average net TBA portfolio outstanding - at cost	$	28,082		$	15,662		$	30,041		$	11,575
Average mortgage borrowings outstanding	$	80,456		$	85,214		$	83,523		$	93,120
Average notional amount of interest rate swaps outstanding (excluding forward starting swaps)	$	49,725		$	44,173		$	47,480		$	57,916
Ratio of average interest rate swaps to mortgage borrowings outstanding	62		%	52		%	57		%	62		%
Average interest rate swap pay-fixed rate (excluding forward starting swaps)	0.18		%	0.65		%	0.17		%	1.00		%
Average interest rate swap receive-floating rate	(0.03)		%	(0.11)		%	(0.04)		%	(0.90)		%
Average interest rate swap net pay/(receive) rate	0.15		%	0.54		%	0.13		%	0.10		%

For the three and six months ended June 30, 2021, we had a forward starting swap average balance of zero and $0.1 billion, respectively, and, for the three and six months ended June 30, 2020, an average balance of $0.9 billion and $1.2 billion, respectively. Forward starting interest rate swaps do not impact our economic interest expense and aggregate cost of funds until they commence accruing net interest settlements on their forward start dates. Including forward starting swaps, our average ratio of interest rate swaps outstanding to our average mortgage borrowings for the three and six months ended June 30, 2021 was 62% and 57%, respectively, and 53% and 63% for the three and six months ended June 30, 2020, respectively.

Net Interest Spread

The following table presents a summary of our net interest spread (including the impact of TBA dollar roll income, interest rate swaps and excluding "catch-up" premium amortization) for the three and six months ended June 30, 2021 and 2020:

	Three Months Ended June 30,				Six Months Ended June 30,
Investment and TBA Securities - Net Interest Spread	2021		2020		2021		2020
Average asset yield, excluding "catch-up" premium amortization	2.15	%	2.56	%	2.08	%	2.78	%
Average aggregate cost of funds	(0.06)	%	(0.88)	%	(0.03)	%	(1.31)	%
Average net interest spread, excluding "catch-up" premium amortization	2.09	%	1.68	%	2.05	%	1.47	%

36

Net Spread and Dollar Roll Income

The following table presents a summary of our net spread and dollar roll income, excluding estimated "catch-up" premium amortization, per diluted common share (a non-GAAP financial measure) and a reconciliation to our net interest income (the most comparable GAAP financial measure) for the three and six months ended June 30, 2021 and 2020 (dollars in millions):

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Net interest income (GAAP measure)	$	232	$	295	$	760	$	360
TBA dollar roll income, net 1	162		78		316		94
Interest rate swap periodic cost, net 1	(19)		(59)		(31)		(28)
Other interest and dividend income 1	—		1		—		3
Adjusted net interest and dollar roll income	375		315		1,045		429
Operating expense	(22)		(24)		(46)		(47)
Net spread and dollar roll income	353		291		999		382
Dividend on preferred stock	25		25		50		46
Net spread and dollar roll income available to common stockholders (non-GAAP measure)	328		266		949		336
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast	71		57		(142)		300
Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders (non-GAAP measure)	$	399	$	323	$	807	$	636
Weighted average number of common shares outstanding - basic	526.6		560.3		530.1		554.2
Weighted average number of common shares outstanding - diluted	528.3		560.8		531.9		555.0
Net spread and dollar roll income per common share - basic	$	0.62	$	0.47	$	1.79	$	0.61
Net spread and dollar roll income per common share - diluted	$	0.62	$	0.47	$	1.78	$	0.61
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic	$	0.76	$	0.58	$	1.52	$	1.15
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - diluted	$	0.76	$	0.58	$	1.52	$	1.15

________________________________

1.Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income

Gain (Loss) on Investment Securities, Net

The following table is a summary of our net gain (loss) on investment securities for the three and six months ended June 30, 2021 and 2020 (in millions): 

	Three Months Ended June 30,				Six Months Ended June 30,
Gain (Loss) on Investment Securities, Net 1	2021		2020		2021		2020
Gain on sale of investment securities, net	$	25	$	153	$	12	$	647
Unrealized gain (loss) on investment securities measured at fair value through net income, net 2	(28)		679		(983)		876
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income, net	(77)		203		(314)		667
Total gain (loss) on investment securities, net	$	(80)	$	1,035	$	(1,285)	$	2,190

________________________________

1.Amounts exclude gain (loss) on TBA securities, which are reported in gain (loss) on derivative instruments and other securities, net in our Consolidated Statements of Comprehensive Income.

2.Investment securities acquired after fiscal year 2016 are measured at fair value through net income (see Note 2 of our Consolidated Financial Statements in this Form 10-Q).

37

Gain (Loss) on Derivative Instruments and Other Securities, Net  

The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three and six months ended June 30, 2021 and 2020 (in millions):

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
TBA securities, dollar roll income	$	162	$	78	$	316	$	94
TBA securities, mark-to-market gain/(loss)	234		142		(846)		819
Interest rate swaps, periodic cost	(19)		(59)		(31)		(28)
Interest rate swaps, mark-to-market gain/(loss)	(381)		(320)		755		(3,146)
Payer swaptions	(313)		(14)		74		(148)
U.S. Treasury securities - short position	(333)		(60)		474		(997)
U.S. Treasury securities - long position	(1)		4		(11)		101
U.S. Treasury futures contracts - short position	(29)		(8)		32		(112)
Other	62		(148)		58		(122)
Total gain (loss) on derivative instruments and other securities, net	$	(618)	$	(385)	$	821	$	(3,539)

For further details regarding our use of derivative instruments and related activity refer to Notes 2 and 5 of our Consolidated Financial Statements in this Form 10-Q.

Estimated Taxable Income (Loss)

For the three months ended June 30, 2021 and 2020, we had estimated taxable loss attributable to common stockholders of $(158) million and $(4) million, respectively, or $(0.30) and $(0.01) per diluted common share, respectively. For the six months ended June 30, 2021 and 2020, we had estimated taxable income (loss) available (attributable) to common stockholders of $(322) million and $107 million, respectively, or $(0.61) and $0.19 per diluted common share, respectively. Income determined under GAAP differs from income determined under U.S. federal income tax rules because of both temporary and permanent differences in income and expense recognition. The primary differences are (i) unrealized gains and losses on investment securities and derivative instruments marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized, settled or amortized over the instrument's original term, (ii) timing differences, both temporary and potentially permanent, in the recognition of certain realized gains and losses and (iii) temporary differences related to the amortization of premiums and discounts on investments. Furthermore, our estimated taxable income is subject to potential adjustments up to the time of filing our appropriate tax returns, which occurs after the end of our fiscal year. The following is a reconciliation of our GAAP net income to our estimated taxable income for the three and six months ended June 30, 2021 and 2020 (dollars in millions, except per share amounts):

38

	Three Months Ended June 30,				Six Months EndedJune 30,
	2021		2020		2021		2020
Net income/(loss)	$	(411)	$	718	$	564	$	(1,703)
Book to tax differences:
Premium amortization, net	1		22		(268)		259
Realized gain/loss, net	43		—		(1,451)		2,555
Net capital loss/(utilization of net capital loss carryforward)	52		(426)		141		(394)
Unrealized (gain)/loss, net	152		(291)		697		(554)
Other	5		(2)		(5)		(10)
Total book to tax differences	253		(697)		(886)		1,856
REIT taxable income (loss)	(158)		21		(322)		153
REIT taxable income attributed to preferred stock	—		25		—		46
REIT taxable income (loss), attributed to common stock	$	(158)	$	(4)	$	(322)	$	107
Weighted average common shares outstanding - basic	526.6		560.3		530.1		554.2
Weighted average common shares outstanding - diluted	526.6		560.3		530.1		555.0
REIT taxable income (loss) per common share - basic	$	(0.30)	$	(0.01)	$	(0.61)	$	0.19
REIT taxable income (loss) per common share - diluted	$	(0.30)	$	(0.01)	$	(0.61)	$	0.19
Beginning net capital loss carryforward	$	89	$	426	$	—	$	394
Increase (decrease) in net capital loss carryforward	52		(426)		141		(394)
Ending net capital loss carryforward	$	141	$	—	$	141	$	—
Ending net capital loss carryforward per common share	$	0.27	$	—	$	0.27	$	—

39

LIQUIDITY AND CAPITAL RESOURCES

Our business is dependent on our ability to maintain adequate levels of liquidity and capital resources to fund day-to-day operations, fulfill collateral requirements under our funding and derivative agreements, and to satisfy our dividend distribution requirement of at least 90% of our taxable income to maintain our qualification as a REIT. Our primary sources of liquidity are unencumbered cash and securities, borrowings available under repurchase agreements, TBA dollar roll financing and monthly receipts of principal and interest payments. We may also conduct asset sales, change our asset or funding mix, issue equity or undertake other capital enhancing actions to maintain adequate levels of liquidity and capital resources.

We believe that we have sufficient liquidity and capital resources available to meet our obligations and execute our business strategy. In assessing our liquidity, we consider a number of factors, including our current leverage, collateral levels, access to capital markets, overall market conditions, and the sensitivity of our tangible net book value over a range of scenarios. However, these and other factors impacting our liquidity are subject to numerous risks and uncertainties, including as described in the Quantitative and Qualitative Disclosures of Market Risks and Risk Factors sections of this Form 10-Q.

Leverage and Financing Sources

Our leverage will vary depending on market conditions and our assessment of relative risks and returns, but we generally expect our leverage to be between six and twelve times the amount of our tangible stockholders' equity, measured as the sum of our total mortgage borrowings and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders' equity adjusted to exclude goodwill. Our tangible net book value "at risk" leverage ratio was 7.9x and 8.5x as of June 30, 2021 and December 31, 2020, respectively. The following table includes a summary of our mortgage borrowings outstanding as of June 30, 2021 and December 31, 2020 (dollars in millions). For additional details of our mortgage borrowings refer to Notes 2, 4 and 5 to our Consolidated Financial Statements in this Form 10-Q.

	June 30, 2021				December 31, 2020
Mortgage Borrowings	Amount		%		Amount		%
Repurchase agreements 1	$	48,340	64	%	$	52,366	63	%
Debt of consolidated variable interest entities, at fair value	148		—	%	177		—	%
Total debt	48,488		64	%	52,543		63	%
Net TBA position, at cost	27,307		36	%	31,204		37	%
Total mortgage borrowings	$	75,795	100	%	$	83,747	100	%

________________________________

1.As of June 30, 2021 and December 31, 2020, 43% and 46%, respectively, of our repurchase agreements were funded through the Fixed Income Clearing Corporation's GCF Repo service.

Our primary financing sources are collateralized borrowings structured as repurchase agreements. We enter into repurchase agreements, or "repo," through bi-lateral arrangements with financial institutions and independent dealers. We also enter into third-party repurchase agreements through our wholly-owned registered broker-dealer subsidiary, Bethesda Securities, LLC, such as tri-party repo offered through the FICC's GCF Repo service. We manage our repurchase agreement funding position through a variety of methods, including diversification of counterparties, maintaining a staggered maturity profile and utilization of interest rate hedging strategies. We also use TBA dollar roll transactions as a means of synthetically financing Agency RMBS.

The terms and conditions of our repurchase agreements are determined on a transaction-by-transaction basis when each such borrowing is initiated or renewed and, in the case of GCF Repo, by the variable margin requirements calculated by the FICC, which acts as the central counterparty. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a "haircut," which reflects the underlying risk of the specific collateral and protects the counterparty against a change in its value. Interest rates are generally fixed based on prevailing rates corresponding to the term of the borrowing. None of our repo counterparties are obligated to renew or otherwise enter into new borrowings at the conclusion of our existing borrowings.

The use of TBA dollar roll transactions increases our funding diversification, expands our available pool of assets, and increases our overall liquidity position, as TBA contracts typically have lower implied haircuts relative to Agency RMBS pools funded with repo financing. However, if it were to become uneconomical to roll our TBA contracts into future months it may be necessary to take physical delivery of the underlying securities and fund those assets with cash or other financing sources, which could reduce our liquidity position.

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Collateral Requirements and Unencumbered Assets

Amounts available to be borrowed under our repurchase agreements are dependent upon prevailing interest rates, the lender’s "haircut" requirements and collateral value. Each of these elements may fluctuate with changes in interest rates, credit quality and liquidity conditions within the financial markets. To help manage the adverse impact of interest rate changes on our borrowings, we utilize an interest rate risk management strategy involving the use of derivative financial instruments. In particular, we attempt to mitigate the risk of the cost of our short-term funding liabilities increasing at a faster rate than the earnings of our long-term fixed rate assets during a period of rising interest rates.

The collateral requirements, or haircut levels, under our repo agreements are typically determined on an individual transaction basis or by the prevailing requirements established by the FICC for GCF tri-party repo. Consequently, haircut levels and minimum margin requirements can change over time and may increase during periods of elevated market volatility. If the fair value of our collateral declines, our counterparties will typically require that we post additional collateral to re-establish the agreed-upon collateral levels, referred to as "margin calls." Similarly, if the estimated fair value of our investment securities increases, we may request that counterparties release collateral back to us. Our counterparties typically have the sole discretion to determine the value of pledged collateral but are required to act in good faith in making determinations of value. Our agreements generally provide that in the event of a margin call, collateral must be posted on the same business day, subject to notice requirements. As of June 30, 2021, we had met all our margin requirements.

The value of Agency RMBS collateral is impacted by market factors and is reduced by monthly principal pay-downs on the underlying mortgage pools. Fannie Mae and Freddie Mac publish monthly security pay-down factors for their mortgage pools on the fifth day after month-end, but do not remit payment to security holders until generally the 25th day after month-end. Bi-lateral repo counterparties assess margin to account for the reduction in value of Agency collateral when factors are released. The FICC assesses margin on the last day of each month, prior to the factor release date, based on its internally projected pay-down rates (referred to as the "blackout period exposure adjustment" or "blackout margin"). On the factor release date, the blackout margin is released and collateralization requirements are adjusted to actual factor data. Due to the timing difference between associated margin calls and our receipt of principal pay-downs, our liquidity is temporarily reduced each month for principal repayments. We attempt to manage the liquidity risk associated with principal pay-downs by monitoring conditions impacting prepayment rates and through asset selection. As of June 30, 2021, our portfolio largely consisted of lower coupon 30 and 15-year TBA securities, which are not subject to monthly principal pay-downs, and higher coupon holdings concentrated in high quality, specified Agency RMBS pools, which have a lower risk of prepayment than similar coupon generic Agency RMBS.

Collateral requirements under our derivative agreements are subject to our counterparties' assessment of their maximum risk of loss associated with the derivative instrument measured over a certain period of time, referred to as the initial or minimum margin requirement. We are also subject to daily variation margin requirements based on changes in the value of the derivative instrument and/or collateral pledged. Daily variation margin requirements also entitle us to receive collateral if the value of amounts owed to us under the derivative agreement exceeds the minimum margin requirement. The collateral requirements under our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC and, if applicable, by our third-party brokerage agreements, which may establish margin levels in excess of the MBSD. Collateral levels for interest rate derivative agreements are typically governed by the central clearing exchange and the associated futures commission merchants ("FCMs"), which may establish margin levels in excess of the clearing exchange. Collateral levels for interest rate derivative agreements not subject to central clearing are established by the counterparty financial institution.

Haircut levels and minimum margin requirements imposed by our counterparties reduce the amount of our unencumbered assets and limit the amount we can borrow against our investment securities. During the six months ended June 30, 2021, haircuts remained stable, and, as of June 30, 2021, the weighted average haircut on our repurchase agreements was approximately 4.1% of the value of our collateral, compared to 4.6% as of December 31, 2020.

To mitigate the risk of future margins calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or sold for cash. As of June 30, 2021, our unencumbered assets totaled 62% of our tangible net equity, compared to 60% as of December 31, 2020. The majority of our liquidity is held at AGNC, but we also maintain capital and excess liquidity at Bethesda Securities to meet regulatory standards, satisfy counterparty and clearing organization expectations, and for risk management purposes. As of June 30, 2021, we had cash and unencumbered Agency RMBS and U.S. Treasury securities totaling $4.7 billion, or 47% of our tangible equity, which excludes unencumbered CRT securities, non-Agency securities and assets held at Bethesda Securities, compared to $5.4 billion and 51%, respectively, as of December 31, 2020.

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Counterparty Risk

Collateral requirements imposed by counterparties subject us to the risk that the counterparty does not return pledged assets to us as and when required. We attempt to manage this risk by monitoring our collateral positions and limiting our counterparties to registered clearinghouses and major financial institutions with acceptable credit ratings. We also diversify our funding across multiple counterparties and by region.

As of June 30, 2021, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was less than 2% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing less than 5% of our tangible stockholders' equity. As of June 30, 2021, approximately 8% of our tangible stockholder's equity was at risk with the FICC. Excluding central clearing exchanges, as of June 30, 2021, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders' equity.

Asset Sales

Agency RMBS securities are among the most liquid fixed income securities, and the TBA market is the second most liquid market (after the U.S. Treasury market). The vitality of these markets enables us to sell assets under most market conditions to generate liquidity through direct sales or delivery into TBA contracts, subject to "good delivery" provisions promulgated by the Securities Industry and Financial Markets Association ("SIFMA"). Under certain market conditions, however, we may be unable to realize the full "pay-up" value of our specified pool securities, or premium relative to generic Agency RMBS. We attempt to manage this risk by maintaining a minimum level of securities that trade at or near TBA values that in our estimation enhances our portfolio liquidity across a wide range of market conditions.

Capital Markets

The equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs of our business. The availability of equity capital is dependent on market conditions and investor demand for our common and preferred stock. We will typically not issue common stock when the price of our common stock trades below our tangible net book value or issue preferred equity when its cost exceeds acceptable hurdle rates of return on our equity. There can be no assurance that we will be able to raise additional equity capital at any particular time or on any particular terms. Furthermore, when the trading price of our common stock is less than our estimate of our current tangible net book value per common share, among other conditions, we may repurchase shares of our common stock. Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-Q for further details regarding our recent equity capital transactions and our stock repurchase plan.

OFF-BALANCE SHEET ARRANGEMENTS

As of June 30, 2021, we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes. Additionally, as of June 30, 2021, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.

FORWARD-LOOKING STATEMENTS

The statements contained in this Quarterly Report that are not historical facts, including estimates, projections, beliefs, expectations concerning conditions, events, or the outlook for our business, strategy, performance, operations or the markets or industries in which we operate, are forward-looking statements within the meaning of the Private Securities Litigation Reform Act. Forward-looking statements are typically identified by words such as “believe,” “plan,” “expect,” “anticipate,” “see,” “intend,” “outlook,” “potential,” “forecast,” “estimate,” “will,” “could,” “should,” “likely” and other similar, correlative or comparable words and expressions.

Forward looking statements are based on management’s assumptions, projections and beliefs as of the date of this Quarterly Report, but they involve a number of risks and uncertainties. Actual results may differ materially from those anticipated in forward-looking statements, as well as from historical performance. Factors that could cause actual results to vary from our forward-looking statements include, but are not limited to, the following:

•the impact of the COVID-19 pandemic and of measures taken in response to the COVID-19 pandemic by various governmental authorities, businesses and other third parties;

•actions by the federal, state, or local governments to stabilize the economy, the housing sector or financial markets;

•changes in U.S. monetary policy or interest rates, including Fed purchases of Agency RMBS;

•fluctuations in the yield curve;

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•fluctuations in mortgage prepayment rates on the loans underlying our Agency RMBS;

•the availability and terms of financing;

•changes in the market value of our assets, including from changes in net interest spreads, and changes in market liquidity or depth;

•the effectiveness of our risk mitigation strategies;

•conditions in the market for Agency RMBS and other mortgage securities;

•legislative or regulatory changes that affect our status as a REIT, our exemption from the Investment Company Act of 1940 or the mortgage markets in which we participate; and

•other risks discussed under the heading “Risk Factors” herein and in our Annual Report on Form 10-K.

Forward-looking statements speak only as of the date made, and we do not assume any duty and do not undertake to update forward-looking statements. A further discussion of risks and uncertainties that could cause actual results to differ from any of our forward-looking statements is included in our most recent Annual Report on Form 10-K and this document under Item 1A. Risk Factors. We caution readers not to place undue reliance on our forward-looking statements.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Market risk is the exposure to loss resulting from changes in market factors such as interest rates, foreign currency exchange rates, commodity prices and equity prices. The primary market risks that we are exposed to are interest rate, prepayment, spread, liquidity, extension and credit risk.

Interest Rate Risk

We are subject to interest rate risk in connection with the fixed income nature of our assets and the short-term, variable rate nature of our financing obligations. Our operating results depend in large part on differences between the income earned on our assets and our cost of borrowing and hedging activities. The costs associated with our borrowings are generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase while the yields earned on our existing portfolio of leveraged fixed-rate assets will largely remain static. This can result in a decline in our net interest spread. Changes in the level of interest rates can also affect the rate of mortgage prepayments and the value of our assets.

Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political considerations, as well as other factors beyond our control. Subject to maintaining our qualification as a REIT, we engage in a variety of interest rate management techniques to mitigate the influence of interest rate changes on our net interest income and fluctuations of our tangible net book value. The principal instruments that we use to hedge our interest rate risk are interest rate swaps, swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. Our hedging techniques are highly complex and are partly based on assumed levels of prepayments of our assets. If prepayments are slower or faster than assumed, the maturity of our investments will also differ from our expectations, which could reduce the effectiveness of our hedging strategies and may cause losses on such transactions and adversely affect our cash flow.

The severity of potential declines in our tangible net book value due to fluctuations in interest rates would depend on our asset, liability, and hedge composition at the time, as well as the magnitude and duration of the interest rate change. Primary measures of an instrument's price sensitivity to interest rate fluctuations are its duration and convexity. Duration measures the estimated percentage change in market value of an instrument that would be caused by a parallel change in short and long-term interest rates. The duration of our assets will vary with changes in interest rates and tends to increase when interest rates rise and decrease when interest rates fall. This "negative convexity" generally increases the interest rate exposure of our investment portfolio in excess of what is measured by duration alone.

We estimate the duration and convexity of our assets using a third-party risk management system and market data. We review the duration estimates from the third-party model and may make adjustments based on our judgment to better reflect any unique characteristics and market trading conventions associated with certain types of securities.

The table below quantifies the estimated changes in the fair value of our investment portfolio (including derivatives and other securities used for hedging purposes) and in our tangible net book value per common share as of June 30, 2021 and December 31, 2020 should interest rates go up or down by 25, 50 and 75 basis points, assuming instantaneous parallel shifts in the yield curve and including the impact of both duration and convexity. All values in the table below are measured as percentage changes from the base interest rate scenario. The base interest rate scenario assumes interest rates and prepayment projections as of June 30, 2021 and December 31, 2020.

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To the extent that these estimates or other assumptions do not hold true, which is likely in a period of high volatility, actual results could differ materially from our projections. Moreover, if different models were employed in the analysis, materially different projections could result. Lastly, while the table below reflects the estimated impact of interest rate changes on a static portfolio, we actively manage our portfolio and we continuously adjust the size and composition of our asset and hedge portfolio. 

Interest Rate Sensitivity 1,2
	June 30, 2021		December 31, 2020
Change in Interest Rate	Estimated Change in Portfolio Market Value	Estimated Change in Tangible Net Book Value Per Common Share	Estimated Change in Portfolio Market Value	Estimated Change in Tangible Net Book Value Per Common Share
-75 Basis Points	-0.7%	-6.8%	-0.9%	-9.7%
-50 Basis Points	-0.3%	-2.8%	-0.5%	-5.8%
-25 Basis Points	—%	-0.4%	-0.2%	-2.1%
+25 Basis Points	-0.2%	-1.7%	—%	0.4%
+50 Basis Points	-0.5%	-4.9%	-0.1%	-1.1%
+75 Basis Points	-0.9%	-9.2%	-0.4%	-4.0%

________________________________

1.Derived from models that are dependent on inputs and assumptions provided by third parties, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.

2.Includes the effect of derivatives and other securities used for hedging purposes. Interest rates are assumed to be floored at 0% in down rate scenarios.

Prepayment Risk

Prepayment risk is the risk that our assets will be repaid at a faster rate than anticipated. Interest rates and numerous other factors affect the rate of prepayments, such as housing prices, general economic conditions, loan age, size and loan-to-value ratios, and GSE buyouts of delinquent loans underlying our securities. Generally, prepayments increase during periods of falling mortgage interest rates and decrease during periods of rising mortgage interest rates. However, this may not always be the case.

If our assets prepay at a faster rate than anticipated, we may be unable to reinvest the repayments at acceptable yields. If the proceeds are reinvested at lower yields than our existing assets, our net interest income would be negatively impacted. We also amortize or accrete premiums and discounts we pay or receive at purchase relative to the stated principal of our assets into interest income over their projected lives using the effective interest method. If the actual and estimated future prepayment experience differs from our prior estimates, we are required to record an adjustment to interest income for the impact of the cumulative difference in the effective yield.

Extension Risk

Extension risk is the risk that our assets will be repaid at a slower rate than anticipated and generally increases when interest rates rise. In a rising or higher interest rate environment, we may be required to finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities as a result of borrowers prepaying their mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.

As of June 30, 2021 and December 31, 2020, our investment securities (excluding TBAs) had a weighted average projected CPR of 11.6% and 17.6%, respectively, and a weighted average yield of 2.42% and 2.33%, respectively. The table below presents estimated weighted average projected CPRs and yields for our investment securities should interest rates go up or down instantaneously by 25, 50 and 75 basis points. Estimated yields exclude the impact of retroactive "catch-up" premium amortization adjustments for prior periods due to changes in the projected CPR assumption.

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Interest Rate Sensitivity 1
	June 30, 2021		December 31, 2020
Change in Interest Rate	Weighted Average Projected CPR	Weighted Average Asset Yield 2	Weighted Average Projected CPR	Weighted Average Asset Yield 2
-75 Basis Points	18.3%	2.11%	23.9%	1.99%
-50 Basis Points	15.4%	2.22%	21.9%	2.09%
-25 Basis Points	13.2%	2.32%	19.7%	2.20%
Actual as of Period End	11.6%	2.42%	17.6%	2.33%
+25 Basis Points	10.3%	2.46%	15.9%	2.38%
+50 Basis Points	9.4%	2.51%	14.3%	2.45%
+75 Basis Points	8.7%	2.55%	13.0%	2.51%

________________________________

1.Derived from models that are dependent on inputs and assumptions provided by third parties and assumes a static portfolio. Actual results could differ materially from these estimates. Table excludes TBA securities.

2.Asset yield based on historical cost basis and does not include the impact of retroactive "catch-up" premium amortization adjustments due to changes in projected CPR.

Spread Risk

Spread risk is the risk that the market spread between the yield on our assets and the yield on benchmark interest rates linked to our interest rate hedges, such as U.S. Treasury rates and interest rate swap rates, may vary. As a levered investor in mortgage-backed securities, spread risk is an inherent component of our investment strategy. Consequently, although we use hedging instruments to attempt to protect against moves in interest rates, our hedges are generally not designed to protect against spread risk, and our tangible net book value could decline if spreads widen.

Fluctuations in mortgage spreads can occur due to a variety of factors, including changes in interest rates, prepayment expectations, actual or anticipated monetary policy actions by the U.S. and foreign central banks, liquidity conditions, required rates of returns on different assets and other market supply and demand factors. The table below quantifies the estimated changes in the fair value of our assets, net of hedges, and our tangible net book value per common share as of June 30, 2021 and December 31, 2020 should spreads widen or tighten by 10, 25 and 50 basis points. The estimated impact of changes in spreads is in addition to our interest rate shock sensitivity included in the interest rate shock table above. The table below assumes a spread duration of 5.4 and 4.4 years as of June 30, 2021 and December 31, 2020, respectively, based on interest rates and prices as of such dates; however, our portfolio's sensitivity to mortgage spread changes will vary with changes in interest rates and in the size and composition of our portfolio. Therefore, actual results could differ materially from our estimates.

Spread Sensitivity 1,2
	June 30, 2021		December 31, 2020
Change in MBS Spread	Estimated Change in Portfolio Market Value	Estimated Change in Tangible Net Book Value Per Common Share	Estimated Change in Portfolio Market Value	Estimated Change in Tangible Net Book Value Per Common Share
-50 Basis Points	+2.7%	+27.3%	+2.2%	+23.9%
-25 Basis Points	+1.3%	+13.7%	+1.1%	+11.9%
-10 Basis Points	+0.5%	+5.5%	+0.4%	+4.8%
+10 Basis Points	-0.5%	-5.5%	-0.4%	-4.8%
+25 Basis Points	-1.3%	-13.7%	-1.1%	-11.9%
+50 Basis Points	-2.7%	-27.3%	-2.2%	-23.9%

________________________________

1.Spread sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties, assumes there are no changes in interest rates and assumes a static portfolio. Actual results could differ materially from these estimates.

2.Includes the effect of derivatives and other securities used for hedging purposes.

Liquidity Risk

Our liquidity risk principally arises from financing long-term fixed rate assets with shorter-term variable rate borrowings. Future borrowings are dependent upon the willingness of lenders to finance our investments, lender collateral

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requirements and the lenders’ determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates and liquidity conditions within the commercial banking and mortgage finance industries. 

As of June 30, 2021, we believe that we have sufficient liquidity and capital resources available to execute our business strategy (see Liquidity and Capital Resources in this Form 10-Q for additional details). However, should the value of our collateral or the value of our derivative instruments suddenly decrease, margin calls relating to our funding liabilities and derivative agreements could increase, causing an adverse change in our liquidity position. Furthermore, there is no assurance that we will always be able to renew (or roll) our short-term funding liabilities. In addition, our counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, thereby reducing the amount that can be borrowed against an asset even if they agree to renew or roll our funding liabilities. Significantly higher haircuts can reduce our ability to leverage our portfolio or may even force us to sell assets, especially if correlated with asset price declines or faster prepayment rates on our assets.

Credit Risk

Our credit sensitive investments, such as CRT and non-Agency securities, expose us to the risk of nonpayment of principal, interest or other remuneration we are contractually entitled to. We are also exposed to credit risk in the event our repurchase agreement counterparties default on their obligations to resell the underlying collateral back to us at the end of the repo term or in the event our derivative counterparties do not perform under the terms of our derivative agreements.

We accept credit exposure related to our credit sensitive assets at levels we deem prudent within the context of our overall investment strategy. We attempt to manage this risk through careful asset selection, pre-acquisition due diligence, post-acquisition performance monitoring, and the sale of assets where we identify negative credit trends. We may also manage credit risk with credit default swaps or other financial derivatives that we believe are appropriate. Additionally, we may vary the mix of our interest rate and credit sensitive assets or our duration gap to adjust our credit exposure and/or improve the return profile of our assets, such as when we believe credit performance is inversely correlated with changes in interest rates. Our credit risk related to derivative and repurchase agreement transactions is largely mitigated by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered central clearinghouses and monitoring concentration levels with any one counterparty. We also continuously monitor and adjust the amount of collateral pledged based on changes in market value.

There is no guarantee that our efforts to manage credit risk will be successful and we could suffer losses if credit performance is worse than our expectations or our counterparties default on their obligations. Excluding central clearing exchanges, as of June 30, 2021, our maximum amount at risk with any counterparty related to our repurchase agreements was less than 2% of tangible stockholders' equity and related to our derivative agreements was less than 1% of tangible stockholders' equity.

Item 4. Controls and Procedures

We maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in our Exchange Act reports is recorded, processed, summarized and reported within the time periods specified in the SEC's rules and forms, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure based on the definition of "disclosure controls and procedures" as promulgated under the Exchange Act and the rules and regulations thereunder. In designing and evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures.

We, including our Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures as of June 30, 2021. Based on the foregoing, our Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective.

Changes in Internal Control over Financial Reporting

There have been no changes in our "internal control over financial reporting" (as defined in Rule 13a-15(f) of the Exchange Act) that occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings

Neither we, nor any of our consolidated subsidiaries, are currently subject to any material litigation nor, to our knowledge, is any material litigation threatened against us or any consolidated subsidiary, other than routine litigation and administrative proceedings arising in the ordinary course of business. Such proceedings are not expected to have a material adverse effect on the business, financial conditions, or results of our operations.

Item 1A. Risk Factors

There have been no material changes to the risk factors previously disclosed in our Annual Report on Form 10-K for the year ended December 31, 2020.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

None.

Item 3. Defaults upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6.    Exhibits and Financial Statement Schedules

(a) Exhibit Index

Exhibit No.    Description

*3.1    AGNC Investment Corp. Amended and Restated Certificate of Incorporation, as amended, incorporated by reference from Exhibit 3.1 of Form 10-Q for the quarter ended March 31, 2020 (File No. 001-34057), filed May 11, 2020.

*3.2    AGNC Investment Corp. Fourth Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No. 001-34057), filed March 11, 2021.

*3.3    Certificate of Designations of 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.5 of Form 8-A (File No. 001-34057), filed August 18, 2017.

*3.4    Certificate of Elimination of 8.000% Series A Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No 001-34057), filed October 26, 2017.

*3.5    Certificate of Designations of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.5 of Form 8-A (File No 001-34057), filed March 6, 2019.

*3.6    Certificate of Designations of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.6 of Form 8-A (File No 001-34057), filed October 3, 2019.

*3.7    Certificate of Elimination of 7.750% Series B Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No 001-34057), filed December 13, 2019.

*3.8    Certificate of Designations of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.6 of Form 8-A (File No 001-34057), filed February 11, 2020.

*4.1    Instruments defining the rights of holders of securities: See Article IV of our Amended and Restated Certificate of Incorporation, as amended, incorporated herein by reference to Exhibit 3.1 of Form 10-Q for the quarter ended March 31, 2020 (File No. 001-34057) filed May 11, 2020.

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*4.2    Instruments defining the rights of holders of securities: See Article VI of our Fourth Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No. 001-34057) filed March 11, 2021.

*4.3    Form of Certificate for Common Stock, incorporated herein by reference to Exhibit 4.3 of Form 10-Q for the quarter ended September 30, 2016 (File No. 001-34057), filed November 7, 2016.

*4.4    Specimen 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed August 18, 2017.

*4.5    Specimen 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed March 6, 2019.

*4.6    Specimen 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed October 3, 2019.

*4.7    Specimen 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No 001-34057), filed February 11, 2020.

*4.8    Deposit Agreement relating to 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated August 22, 2017, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed August 22, 2017.

*4.9    Form of Depositary Receipt representing 1/1,000th of a share of 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.8), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed August 22, 2017.

*4.10    Deposit Agreement relating to 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated March 6, 2019, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed March 6, 2019.

*4.11    Form of Depositary Receipt representing 1/1,000th of a share of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.10), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed March 6, 2019.

*4.12    Deposit Agreement relating to 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated October 3, 2019, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed October 3, 2019.

*4.13    Form of Depositary Receipt representing 1/1,000th of a share of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.12), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed October 3, 2019.

*4.14    Deposit Agreement relating to 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated February 11, 2020, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.1 of Form 8-K (File No. 001-34057) filed February 11, 2020.

*4.15    Form of Depositary Receipt representing 1/1,000th of a share of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.14), incorporated herein by reference to Exhibit A of Exhibit 4.1 of Form 8-K (File No. 001-34057) filed February 11, 2020.

*10    Form of Indemnification Agreement, incorporated herein by reference to Exhibit 10.1 of Form 8-K (File No. 001-34057) filed July 1, 2021.

31.1    Certification of CEO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.

31.2    Certification of CFO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.

32    Certification of CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

48

101.INS**    The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document

101.SCH**    XBRL Taxonomy Extension Schema Document

101.CAL**    XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB**    XBRL Taxonomy Extension Labels Linkbase Document

101.PRE**    XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF**    XBRL Taxonomy Extension Definition Linkbase Document

________________________________

*    Previously filed

**    This exhibit is being furnished rather than filed, and shall not be deemed incorporated by reference into any filing, in accordance with Item 601 of Regulation S-K

(b)    Exhibits

        See the exhibits filed herewith.

(c)    Additional financial statement schedules

     None.

49

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Company has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

		AGNC INVESTMENT CORP.
		By:	/s/    PETER J. FEDERICO
			Peter J. Federico President and Chief Executive Officer (Principal Executive Officer)
Date:	August 5, 2021
		By:	/s/    BERNICE E. BELL
			Bernice E. Bell Senior Vice President and Chief Financial Officer (Principal Financial Officer and Principal Accounting Officer)
Date:	August 5, 2021

50

EX-31.1

Exhibit 31.1

AGNC Investment Corp.

Certification Pursuant to Section 302(a)

of the Sarbanes-Oxley Act of 2002

I, Peter J. Federico, certify that:

1.    I have reviewed this Quarterly Report on Form 10-Q of AGNC Investment Corp.;

2.    Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.    Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.    The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)    Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)    Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)    Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)    Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5.    The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors:

(a)    All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

(b)    Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:	August 5, 2021
	/s/    PETER J. FEDERICO
	Peter J. Federico
	President and Chief Executive Officer (Principal Executive Officer)

EX-31.2

Exhibit 31.2

AGNC Investment Corp.

Certification Pursuant to Section 302(a)

of the Sarbanes-Oxley Act of 2002

I, Bernice E. Bell, certify that:

1.    I have reviewed this Quarterly Report on Form 10-Q of AGNC Investment Corp;

2.    Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.    Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.    The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)    Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entitles, particularly during the period in which this report is being prepared;

(b)    Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)    Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)    Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5.    The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors:

(a)    All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

(b)    Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:	August 5, 2021
	/s/    BERNICE E. BELL
	Bernice E. Bell
	Senior Vice President and Chief Financial Officer (Principal Financial Officer)

EX-32

Exhibit 32

AGNC Investment Corp.

Certification of CEO and CFO Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

We, Peter J. Federico, President and Chief Executive Officer, and Bernice E. Bell, Senior Vice President and Chief Financial Officer of AGNC Investment Corp. (the “Company”), certify pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350 that:

1.The Quarterly Report on Form 10-Q of the Company for the quarter ended June 30, 2021 (the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934 (15 U.S.C. 78m); and

2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

	/s/    PETER J. FEDERICO
Name:	Peter J. Federico
Title:	President and Chief Executive Officer (Principal Executive Officer)
Date:	August 5, 2021
	/s/    BERNICE E. BELL
Name:	Bernice E. Bell
Title:	Senior Vice President and Chief Financial Officer (Principal Financial Officer)
Date:	August 5, 2021

A signed original of this written statement required by Section 906 has been provided to the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.

XML

Document and Entity Information - shares	6 Months Ended
	Jun. 30, 2021	Jul. 31, 2021
Entity Information [Line Items]
Entity Incorporation, State or Country Code	DE
Document Transition Report	false
Document Quarterly Report	true
Entity Tax Identification Number	26-1701984
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Jun. 30, 2021
Entity File Number	001-34057
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	Q2
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		524,908,382
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Shell Company	false
Common Stock [Member]
Entity Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	AGNC
Security Exchange Name	NASDAQ
Depository shares each representing a 1/1,000th interest in a share of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member]
Entity Information [Line Items]
Title of 12(b) Security	Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	AGNCN
Security Exchange Name	NASDAQ
Depository shares each representing a 1/1,000th interest in a share of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member]
Entity Information [Line Items]
Title of 12(b) Security	Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	AGNCM
Security Exchange Name	NASDAQ
Depository shares each representing a 1/1000th interest in a share of 6.500% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member]
Entity Information [Line Items]
Title of 12(b) Security	Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	AGNCO
Security Exchange Name	NASDAQ
Depositary shares each representing a 1/1000th interest in a share of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock [Member]
Entity Information [Line Items]
Title of 12(b) Security	Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	AGNCP
Security Exchange Name	NASDAQ

XML

Consolidated Balance Sheets - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Assets:
Agency securities, at fair value (including pledged securities of $49,686 and $53,698, respectively)	$ 57,896	$ 64,836
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)	245	295
Credit risk transfer securities, at fair value (including pledged securities of $502 and $455, respectively)	1,105	737
Non-Agency securities, at fair value (including pledged securities of $377 and $458, respectively)	553	546
U.S. Treasury securities, at fair value (including pledged securities of $397 and $0, respectively)	397	0
Cash and cash equivalents	947	1,017
Restricted cash	623	1,307
Derivative assets, at fair value	381	391
Receivable for investment securities sold (including pledged securities of $147 and $207, respectively)	147	210
Receivable under reverse repurchase agreements	11,979	11,748
Goodwill and other intangible assets, net	526	526
Other assets	256	204
Total assets	75,055	81,817
Liabilities:
Repurchase Agreements	48,737	52,366
Debt of consolidated variable interest entities, at fair value	148	177
Payable for investment securities purchased	3,697	6,157
Derivative liabilities, at fair value	14	2
Dividends payable	88	90
Accounts payable and other liabilities	783	219
Total liabilities	64,387	70,738
Stockholders' equity:
Preferred Stock - aggregate liquidation preference of $1,538	1,489	1,489
Common stock - $0.01 par value; 1,500 shares authorized; 524.9 and 539.5 shares issued and outstanding, respectively	5	5
Additional paid-in capital	13,741	13,972
Retained deficit	(4,972)	(5,106)
Accumulated other comprehensive income	405	719
Total stockholders' equity	10,668	11,079
Total liabilities and stockholders' equity	75,055	81,817
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value	$ 10,920	$ 11,727

XML

Consolidated Balance Sheets (Parenthetical) - USD ($) shares in Thousands, $ in Thousands	6 Months Ended
	Jun. 30, 2021	Dec. 31, 2020
Financial Instruments Owned and Pledged as Collateral [Line Items]
Security Owned and Pledged as Collateral, Fair Value	$ 50,319,000	$ 54,314,000
Preferred Stock, Liquidation Preference, Value	1,538,000	$ 1,538,000
Preferred Stock C, Liquidation Preference, Value	325,000
Preferred Stock D, Liquidation Preference, Value	$ 235,000
Common Stock, Par or Stated Value Per Share	$ 0.01	$ 0.01
Common Stock, Shares Authorized	1,500,000	1,500,000
Common Stock, Shares, Issued	524,900	539,500
Common Stock, Shares, Outstanding	524,900	539,500
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	$ 49,686,000	$ 53,698,000
Credit Risk Transfer Securities [Member]
Financial Instruments Owned and Pledged as Collateral [Line Items]
Security Owned and Pledged as Collateral, Fair Value	502,000	455,000
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	377,000	458,000
US Treasury Securities [Member]
Financial Instruments Owned and Pledged as Collateral [Line Items]
Security Owned and Pledged as Collateral, Fair Value	1,005,000
Receivable for securities sold [Member]
Financial Instruments Owned and Pledged as Collateral [Line Items]
Security Owned and Pledged as Collateral, Fair Value	147,000	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	502,000	455,000
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	$ 397,000	$ 0

XML

Consolidated Statements Of Comprehensive Income - USD ($) shares in Millions, $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Dividends declared per common share	$ 0.36	$ 0.36	$ 0.72	$ 0.84
Net gain (loss) on sale of investment securities	$ 25	$ 153	$ 12	$ 647
Unrealized gain (loss) on investment securities measured at fair value through net income, net	(28)	679	(983)	876
(Loss) gain on derivative instruments and other securities, net	(618)	(385)	821	(3,539)
Nonoperating Income (Expense)	(621)	447	(150)	(2,016)
Interest income	249	429	806	920
Interest expense	17	134	46	560
Net interest income	232	295	760	360
Labor and Related Expense	12	13	28	26
General and administrative expenses	10	11	18	21
Total expenses	22	24	46	47
Net income (loss)	(411)	718	564	(1,703)
Dividend on preferred stock	25	25	50	46
Net income (loss) available (attributable) to common shareholders	(436)	693	514	(1,749)
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax	(77)	203	(314)	667
Comprehensive (loss) income	(488)	921	250	(1,036)
Comprehensive (loss) income (attributable) available to common shareholders	$ (513)	$ 896	$ 200	$ (1,082)
Weighted average number of common shares outstanding - basic	526.6	560.3	530.1	554.2
Weighted average number of common shares outstanding - diluted	526.6	560.8	531.9	554.2
Earnings Per Share, Basic	$ (0.83)	$ 1.24	$ 0.97	$ (3.16)
Net income (loss) per common share - diluted	$ (0.83)	$ 1.24	$ 0.97	$ (3.16)
Interest income:
Interest income	$ 249	$ 429	$ 806	$ 920
Interest expense	17	134	46	560
Net interest income	232	295	760	360
Other gain (loss), net:
Gain on sale of investment securities, net	25	153	12	647
Unrealized gain (loss) on investment securities measured at fair value through net income, net	(28)	679	(983)	876
Gain (loss) on derivative instruments and other securities, net	(618)	(385)	821	(3,539)
Expenses:
Compensation and benefits	12	13	28	26
Other operating expense	10	11	18	21
Total operating expense	22	24	46	47
Net income (loss)	(411)	718	564	(1,703)
Dividend on preferred stock	25	25	50	46
Net income (loss) available (attributable) to common stockholders	(436)	693	514	(1,749)
Other comprehensive income (loss):
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net	77	(203)	314	(667)
Comprehensive income (loss)	(488)	921	250	(1,036)
Comprehensive income (loss) available (attributable) to common stockholders	$ (513)	$ 896	$ 200	$ (1,082)
Weighted average number of common shares outstanding - basic	526.6	560.3	530.1	554.2
Weighted average number of common shares outstanding - diluted	526.6	560.8	531.9	554.2
Net income (loss) per common share - basic	$ (0.83)	$ 1.24	$ 0.97	$ (3.16)
Net income (loss) per common share - diluted	$ (0.83)	$ 1.24	$ 0.97	$ (3.16)

XML

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, 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
Net income (loss)	(1,703,000)				(1,703,000)
Other comprehensive income (loss):
Unrealized Gains and (Losses), Net	$ 667,000					667,000
Shares Issued, Shares, Share-based Payment Arrangement, before Forfeiture	100
APIC, Share-based Payment Arrangement, Recognition and Exercise	$ 7,000			7,000
Stock Repurchased During Period, Shares			(12,200)
Proceeds from Issuance of Preferred Stock and Preference Stock	557,000
Stock Issued During Period, Shares, New Issues			26,700
Stock Issued During Period, Value, New Issues	439,000		$ 1,000	438,000
Stock Repurchased During Period, Value	147,000			147,000
Payments for Repurchase of Common Stock	147,000
Preferred dividends declared	(46,000)				(46,000)
Common dividends declared	(465,000)				(465,000)
Balance, value at Jun. 30, 2020	10,350,000	1,489,000	$ 6,000	14,191,000	(6,100,000)	764,000
Balance, Common Stock, shares at Jun. 30, 2020			555,500
Balance, value at Mar. 31, 2020	9,798,000	1,489,000	$ 6,000	14,334,000	(6,592,000)	561,000
Balance, Common Stock, shares at Mar. 31, 2020			567,700
Net income (loss)	718,000				718,000
Other comprehensive income (loss):
Unrealized Gains and (Losses), Net	$ 203,000					203,000
Shares Issued, Shares, Share-based Payment Arrangement, before Forfeiture	0
APIC, Share-based Payment Arrangement, Recognition and Exercise	$ 4,000			4,000
Stock Repurchased During Period, Shares			(12,200)
Stock Repurchased During Period, Value	147,000			147,000
Preferred dividends declared	(25,000)				(25,000)
Common dividends declared	(201,000)				(201,000)
Balance, value at Jun. 30, 2020	10,350,000	1,489,000	$ 6,000	14,191,000	(6,100,000)	764,000
Balance, Common Stock, shares at Jun. 30, 2020			555,500
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
Net income (loss)	$ 564,000				564,000
Other comprehensive income (loss):
Unrealized Gains and (Losses), Net	$ (314,000)					(314,000)
Shares Issued, Shares, Share-based Payment Arrangement, before Forfeiture	400
APIC, Share-based Payment Arrangement, Recognition and Exercise	$ 8,000			8,000
Stock Repurchased During Period, Shares	(15,000)
Proceeds from Issuance of Preferred Stock and Preference Stock	$ 0
Stock Repurchased During Period, Value	239,000		$ 0	239,000
Payments for Repurchase of Common Stock	239,000
Preferred dividends declared	(50,000)				(50,000)
Common dividends declared	(380,000)				(380,000)
Balance, value at Jun. 30, 2021	$ 10,668,000	1,489,000	$ 5,000	13,741,000	(4,972,000)	405,000
Balance, Common Stock, shares at Jun. 30, 2021	524,900		524,900
Balance, value at Mar. 31, 2021	$ 11,364,000	1,489,000	$ 5,000	13,736,000	(4,348,000)	482,000
Balance, Common Stock, shares at Mar. 31, 2021			524,900
Net income (loss)	(411,000)				(411,000)
Other comprehensive income (loss):
Unrealized Gains and (Losses), Net	(77,000)					(77,000)
APIC, Share-based Payment Arrangement, Recognition and Exercise	5,000			5,000
Preferred dividends declared	(25,000)				(25,000)
Common dividends declared	(188,000)				(188,000)
Balance, value at Jun. 30, 2021	$ 10,668,000	$ 1,489,000	$ 5,000	$ 13,741,000	$ (4,972,000)	$ 405,000
Balance, Common Stock, shares at Jun. 30, 2021	524,900		524,900

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Consolidated Statements Of Cash Flows - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020
Statement of Cash Flows [Abstract]
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents	$ 1,570,000	$ 2,165,000
Operating activities:
Net income (loss)	564,000	(1,703,000)
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net	128,000	607,000
Stock based compensation	8,000	7,000
Gain on sale of investment securities, net	(12,000)	(647,000)
Unrealized (gain) loss on investment securities measured at fair value through net income, net	983,000	(876,000)
(Gain) loss on derivative instruments and other securities, net	(821,000)	3,539,000
(Increase) decrease in other assets	(52,000)	59,000
Decrease in accounts payable and other accrued liabilities	(27,000)	(210,000)
Net cash provided by operating activities	771,000	776,000
Investing activities:
Purchases of Agency mortgage-backed securities	(23,954,000)	(39,715,000)
Purchases of credit risk transfer and non-Agency securities	(1,310,000)	(396,000)
Proceeds from sale of Agency mortgage-backed securities	18,311,000	54,967,000
Proceeds from sale of credit risk transfer and non-Agency securities	931,000	536,000
Principal collections on Agency mortgage-backed securities	8,791,000	7,867,000
Principal collections on credit risk transfer and non-Agency securities	36,000	49,000
Payments on U.S. Treasury securities	(10,536,000)	(19,793,000)
Proceeds from U.S. Treasury securities	10,172,000	16,206,000
Net proceeds from (payments on) reverse repurchase agreements	(233,000)	2,270,000
Net proceeds from (payments on) derivative instruments	593,000	(2,682,000)
Net cash provided by investing activities	2,801,000	19,309,000
Financing activities:
Proceeds from repurchase arrangements	1,163,175,000	2,166,205,000
Payments on repurchase agreements	(1,166,804,000)	(2,185,702,000)
Payments on debt of consolidated variable interest entities	(26,000)	(29,000)
Net proceeds from preferred stock issuance	0	(557,000)
Net proceeds from common stock issuance	0	439,000
Payments for common stock repurchases	(239,000)	(147,000)
Cash dividends paid	(432,000)	(525,000)
Net cash provided used in financing activities	(4,326,000)	(19,202,000)
Net change in cash and cash equivalents	(754,000)	$ 883,000
Cash and cash equivalents at end of period	$ 947,000

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Organization

6 Months Ended

Jun. 30, 2021

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Organization

Organization

AGNC Investment Corp. (referred throughout this report as the "Company," "we," "us" and "our") was organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC."

We 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.

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Summary of Significant Accounting Policies

6 Months Ended

Jun. 30, 2021

Accounting Policies [Abstract]

Basis of Presentation and Significant Accounting Policies [Text Block]

Summary of Significant Accounting Policies

Basis of Presentation

Our accompanying consolidated financial statements and related notes have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2020.

The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of consolidated financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.

Investment Securities

Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").

CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool

of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.

Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, 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 value 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, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.

TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.

Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.

Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any.

U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs.

Recent Accounting Pronouncements

We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption.

Quarterly Financial Information [Text Block]

Basis of Presentation

Our accompanying consolidated financial statements and related notes have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2020.

The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of consolidated financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.

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Investment Securities

6 Months Ended

Jun. 30, 2021

Investments, Debt and Equity Securities [Abstract]

Investment Securities

Investment Securities

As of June 30, 2021 and December 31, 2020, our investment portfolio consisted of: $59.8 billion and $66.4 billion investment securities, at fair value, respectively; $27.4 billion and $31.5 billion net TBA securities, at fair value, respectively; and $0.3 billion and zero forward settling non-Agency securities, at fair value, respectively. Our net TBA position and forward settling non-Agency securities are reported at their net carrying value totaling $79 million and $275 million as of June 30, 2021 and December 31, 2020, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position and forward settling non-Agency securities represents the difference between the fair value of the underlying security and the cost basis or the forward price to be paid or received for the underlying security.

As of June 30, 2021 and December 31, 2020, our investment securities had a net unamortized premium balance of $2.1 billion and $2.4 billion, respectively.

The following tables summarize our investment securities as of June 30, 2021 and December 31, 2020, excluding TBA and forward settling securities, (dollars in millions). Details of our TBA and forward settling securities as of each of the respective dates are included in Note 5.

	June 30, 2021				December 31, 2020
Investment Securities	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Agency RMBS:
Fixed rate	$	56,418	$	57,757	$	61,977	$	64,615
Adjustable rate	54		56		69		70
CMO	219		228		289		301
Interest-only and principal-only strips	84		100		105		126
Multifamily	—		—		17		19
Total Agency RMBS	56,775		58,141		62,457		65,131
Non-Agency RMBS	187		200		178		188
CMBS	336		353		333		358
CRT securities	1,081		1,105		733		737
Total investment securities	$	58,379	$	59,799	$	63,701	$	66,414

	June 30, 2021
	Agency RMBS									Non-Agency
Investment Securities	Fannie Mae			Freddie Mac			Ginnie Mae			RMBS			CMBS			CRT			Total
Available-for-sale securities:
Par value	$	7,615		$	2,538		$	2		$	—		$	—		$	—		$	10,155
Unamortized discount	(3)			(1)			—			—			—			—			(4)
Unamortized premium	367			127			—			—			—			—			494
Amortized cost	7,979			2,664			2			—			—			—			10,645
Gross unrealized gains	310			95			—			—			—			—			405
Gross unrealized losses	—			—			—			—			—			—			—
Total available-for-sale securities, at fair value	8,289			2,759			2			—			—			—			11,050
Securities remeasured at fair value through earnings:
Par value	30,548			13,992			3			196			338			1,077			46,154
Unamortized discount	(15)			(3)			—			(12)			(6)			(9)			(45)
Unamortized premium	1,070			535			—			3			4			13			1,625
Amortized cost	31,603			14,524			3			187			336			1,081			47,734
Gross unrealized gains	759			362			—			13			18			26			1,178
Gross unrealized losses	(109)			(51)			—			—			(1)			(2)			(163)
Total securities remeasured at fair value through earnings	32,253			14,835			3			200			353			1,105			48,749
Total securities, at fair value	$	40,542		$	17,594		$	5		$	200		$	353		$	1,105		$	59,799
Weighted average coupon as of June 30, 2021	3.15		%	3.23		%	4.73		%	4.23		%	3.69		%	3.58		%	3.19		%
Weighted average yield as of June 30, 2021 1	2.37		%	2.38		%	2.56		%	4.38		%	4.01		%	4.09		%	2.42		%

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1.Incorporates a weighted average future constant prepayment rate assumption of 11.6% based on forward rates as of June 30, 2021.

	December 31, 2020
	Agency RMBS									Non-Agency
Investment Securities	Fannie  Mae			Freddie Mac			Ginnie  Mae			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		%

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1.Incorporates a weighted average future constant prepayment rate assumption of 17.6% based on forward rates as of December 31, 2020.

As of June 30, 2021 and December 31, 2020, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

	June 30, 2021						December 31, 2020
CRT and Non-Agency Security Credit Ratings 1	CRT		RMBS		CMBS		CRT		RMBS		CMBS
AAA	$	—	$	—	$	21	$	—	$	—	$	35
AA	—		20		118		—		20		190
A	—		36		39		—		32		28
BBB	72		77		50		28		83		55
BB	222		42		89		167		36		43
B	386		10		36		304		6		7
Not Rated	425		15		—		238		11		—
Total	$	1,105	$	200	$	353	$	737	$	188	$	358

 ________________________________

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 June 30, 2021 and December 31, 2020, 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 11.6% and 17.6%, 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 June 30, 2021 and December 31, 2020 according to their estimated weighted average life classification (dollars in millions):

	June 30, 2021						December 31, 2020
Estimated Weighted Average Life of Investment Securities	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield
≤ 3 years	$	1,407	$	1,370	3.59%	2.69%	$	3,642	$	3,569	3.56%	2.15%
> 3 years and ≤ 5 years	15,366		14,905		3.62%	2.49%	47,740		45,578		3.54%	2.42%
> 5 years and ≤10 years	40,176		39,276		3.07%	2.41%	15,019		14,541		2.87%	2.08%
> 10 years	2,850		2,828		2.32%	2.09%	13		13		5.56%	3.59%
Total	$	59,799	$	58,379	3.19%	2.42%	$	66,414	$	63,701	3.39%	2.33%

Gains and Losses on Sale of Investment Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2021 and 2020 by investment classification of accounting (in millions):

	Three Months Ended June 30,
	2021						2020
Investment Securities	Available-for-Sale Securities 2		Fair Value Option Securities		Total		Available-for-Sale Securities 2		Fair Value Option Securities		Total
Investment securities sold, at cost	$	(4,151)	$	(8,659)	$	(12,810)	$	(1,278)	$	(4,472)	$	(5,750)
Proceeds from investment securities sold 1	4,165		8,670		12,835		1,317		4,586		5,903
Net gain (loss) on sale of investment securities	$	14	$	11	$	25	$	39	$	114	$	153
Gross gain on sale of investment securities	$	14	$	48	$	62	$	39	$	129	$	168
Gross loss on sale of investment securities	—		(37)		(37)		—		(15)		(15)
Net gain (loss) on sale of investment securities	$	14	$	11	$	25	$	39	$	114	$	153

	Six Months Ended June 30,
	2021						2020
Investment Securities	Available-for-Sale Securities 2		Fair Value Option Securities		Total		Available-for-Sale Securities 2		Fair Value Option Securities		Total
Investment securities sold, at cost	$	(4,644)	$	(14,523)	$	(19,167)	$	(1,433)	$	(53,912)	$	(55,345)
Proceeds from investment securities sold 1	4,676		14,503		19,179		1,473		54,519		55,992
Net gain (loss) on sale of investment securities	$	32	$	(20)	$	12	$	40	$	607	$	647
Gross gain on sale of investment securities	$	32	$	97	$	129	$	40	$	696	$	736
Gross loss on sale of investment securities	—		(117)		(117)		—		(89)		(89)
Net gain (loss) on sale of investment securities	$	32	$	(20)	$	12	$	40	$	607	$	647

  ________________________________

1.Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.

2.See Note 9 for a summary of changes in accumulated OCI.

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Repurchase Agreements And Reverse Repurchase Agreements

6 Months Ended

Jun. 30, 2021

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements And Other Debt

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 June 30, 2021, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6.

As of June 30, 2021 and December 31, 2020, we had $48.7 billion and $52.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S. Treasury securities. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis. 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 June 30, 2021 and December 31, 2020 (dollars in millions):

	June 30, 2021					December 31, 2020
Remaining Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity
Agency repo:
≤ 1 month	$	31,093	0.10	%	11	$	29,505	0.22	%	12
> 1 to ≤ 3 months	8,794		0.15	%	67	13,434		0.27	%	57
> 3 to ≤ 6 months	1,662		0.12	%	148	7,317		0.28	%	142
> 6 to ≤ 9 months	5,916		0.15	%	199	660		0.24	%	208
> 9 to ≤ 12 months	875		0.18	%	303	1,450		0.15	%	354
Total Agency repo	48,340		0.11	%	54	52,366		0.24	%	54
U.S. Treasury repo:
> 1 day to ≤ 1 month	397		0.02	%	1	—		—	%	—
Total	$	48,737	0.11	%	54	$	52,366	0.24	%	54

As of June 30, 2021 and December 31, 2020, $7.4 billion and $11.2 billion, respectively, of our repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand. As of June 30, 2021, we had $8.3 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 2 days and a weighted average interest rate of 0.06%. 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 June 30, 2021 and December 31, 2020, 44% and 47%, 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 43% and 46% of our repurchase agreement funding outstanding as of June 30, 2021 and December 31, 2020, respectively.

During the three and six months ended June 30, 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 the three and six months ended June 30, 2020 associated with the terminated repurchase agreements. We did not terminate any repurchase agreements during the prior year periods.

Reverse Repurchase Agreements

As of June 30, 2021 and December 31, 2020, we had $12.0 billion and $11.7 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S. Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $10.9 billion and $11.7 billion, respectively. As of June 30, 2021 and December 31, 2020, $2.7 billion and $3.6 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

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Derivative and Other Hedging Instruments

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

US Government Futures Securities [Table Text Block]

U.S. Treasury Futures	June 30, 2021								December 31, 2020
Maturity	Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1		Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1
10 years	$	(1,500)	$	(1,982)	$	(1,988)	$	(6)	$	(1,000)	$	(1,379)	$	(1,381)	$	(2)

________________________________

1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

Derivative and Other Hedging Instruments

Derivative and Other Hedging 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 June 30, 2021 and December 31, 2020 (in millions):

Derivative and Other Hedging Instruments	Balance Sheet Location	June 30, 2021		December 31, 2020
Swaptions	Derivative assets, at fair value	$	294	$	116
TBA securities	Derivative assets, at fair value	87		275
Total derivative assets, at fair value		$	381	$	391
TBA securities	Derivative liabilities, at fair value	(8)		—
U.S. Treasury futures - short	Derivative liabilities, at fair value	(6)		(2)
Total derivative liabilities, at fair value		$	(14)	$	(2)
U.S. Treasury securities - long	U.S. Treasury securities, at fair value	$	397	$	—
U.S. Treasury securities - short	Obligation to return securities borrowed under reverse repurchase agreements, at fair value	(10,920)		(11,727)
Total U.S. Treasury securities, net at fair value		$	(10,523)	$	(11,727)

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2021 and December 31, 2020 (dollars in millions):

	June 30, 2021					December 31, 2020
Pay Fixed / Receive Variable Interest Rate Swaps	Notional Amount		Average Fixed Pay  Rate	Average Receive Rate	Average Maturity (Years)	Notional Amount		Average Fixed Pay  Rate	Average Receive Rate	Average Maturity (Years)
≤ 3 years	$	16,000	0.11%	0.06%	2.3	$	8,750	0.04%	0.08%	2.4
> 3 to ≤ 5 years	18,500		0.13%	0.06%	3.9	17,000		0.10%	0.08%	4.1
> 5 to ≤ 7 years	7,050		0.21%	0.05%	5.5	9,800		0.21%	0.08%	5.8
> 7 to ≤ 10 years	6,700		0.36%	0.05%	8.1	6,200		0.28%	0.07%	8.5
> 10 years	1,475		0.47%	0.06%	13.7	1,475		0.47%	0.07%	14.2
Total	$	49,725	0.18%	0.06%	4.4	$	43,225	0.15%	0.08%	5.1

Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount)	June 30, 2021		December 31, 2020
SOFR	74	%	71	%
OIS	26	%	29	%
Total	100	%	100	%

Swaptions	Option					Underlying Payer Swap
Current Option Expiration Date	Cost Basis		Fair Value		Average Months to Current Option Expiration Date 1	Notional Amount		Average Fixed Pay Rate 2	Average Term (Years)
June 30, 2021
≤ 1 year	$	101	$	55	5	$	4,200	1.77%	8.8
> 1 year ≤ 2 years	80		117		20	3,250		1.41%	10.0
> 2 year ≤ 3 years	110		122		32	4,000		2.07%	10.0
Total	$	291	$	294	19	$	11,450	1.77%	9.5
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

________________________________

1.As of June 30, 2021 and December 31, 2020, ≤ 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 June 30, 2021, 8% and 92% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively. As of December 31, 2020, 33% and 67% of the underlying payer swap receive rates were tied to 3-Month LIBOR and SOFR, respectively.

U.S. Treasury Securities	June 30, 2021						December 31, 2020
Maturity	Face Amount Long/(Short)		Cost Basis 1		Fair Value		Face Amount Long/(Short)		Cost Basis 1		Fair Value
5 years	$	(1,665)	$	(1,648)	$	(1,631)	$	(425)	$	(425)	$	(425)
7 years	(1,083)		(1,072)		(1,049)		(1,083)		(1,081)		(1,089)
10 years	(7,748)		(7,740)		(7,843)		(9,780)		(9,862)		(10,213)
Total U.S. Treasury securities	$	(10,496)	$	(10,460)	$	(10,523)	$	(11,288)	$	(11,368)	$	(11,727)

________________________________

1.As of June 30, 2021 and December 31, 2020, short U.S. Treasury securities had a weighted average yield of 1.30% and 1.20%, respectively, and long U.S. Treasury securities totaling $397 million, at fair value, had a weighted average yield of 0.98% as of June 30, 2021.

U.S. Treasury Futures	June 30, 2021								December 31, 2020
Maturity	Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1		Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1
10 years	$	(1,500)	$	(1,982)	$	(1,988)	$	(6)	$	(1,000)	$	(1,379)	$	(1,381)	$	(2)

________________________________

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.

	June 30, 2021								December 31, 2020
TBA Securities by Coupon	Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1		Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1
15-Year TBA securities:
≤ 2.0%	$	418	$	422	$	423	1		$	6,540	$	6,708	$	6,771	$	63
2.5%	328		342		342		—		200		208		209		1
Total 15-Year TBA securities	746		764		765		1		6,740		6,916		6,980		64
30-Year TBA securities:
≤ 2.0%	2,551		2,552		2,572		20		19,805		20,314		20,480		166
2.5%	20,627		21,227		21,289		62		3,167		3,291		3,335		44
3.0%	2,104		2,195		2,193		(2)		528		552		553		1
3.5%	539		569		567		(2)		124		131		131		—
Total 30-Year TBA securities, net	25,821		26,543		26,621		78		23,624		24,288		24,499		211
Total TBA securities, net	$	26,567	$	27,307	$	27,386	$	79	$	30,364	$	31,204	$	31,479	$	275

________________________________

1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

Gain (Loss) From Derivative Instruments and Other Securities, Net

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2021 and 2020 (in millions):

Derivative and Other Hedging Instruments	Beginning Notional Amount		Additions	Settlement, Termination, Expiration or Exercise	Ending Notional Amount		Gain/(Loss) on Derivative Instruments and Other Securities, Net 1
Three months ended June 30, 2021:
TBA securities, net	$	24,518	94,248	(92,199)	$	26,567	$	396
Forward settling non-Agency securities	$	—	300	—	$	300	—
Interest rate swaps - payer	$	49,725	—	—	$	49,725	(400)
Payer swaptions	$	13,150	—	(1,700)	$	11,450	(313)
U.S. Treasury securities - short position	$	(15,527)	(585)	5,219	$	(10,893)	(333)
U.S. Treasury securities - long position	$	—	1,336	(939)	$	397	(1)
U.S. Treasury futures contracts - short position	$	(1,000)	(2,000)	1,500	$	(1,500)	(29)
							$	(680)
Three months ended June 30, 2020:
TBA securities, net	$	20,279	75,186	(75,705)	$	19,760	$	220
Interest rate swaps - payer	$	46,475	25,750	(30,150)	$	42,075	(379)
Payer swaptions	$	9,550	—	(200)	$	9,350	(14)
U.S. Treasury securities - short position	$	(4,245)	(4,187)	1,185	$	(7,247)	(60)
U.S. Treasury securities - long position	$	3,569	550	(2,987)	$	1,132	4
U.S. Treasury futures contracts - short position	$	(1,000)	(1,000)	1,000	$	(1,000)	(8)
							$	(237)

Six months ended June 30, 2021:
TBA securities, net	$	30,364	187,584	(191,381)	$	26,567	$	(530)
Forward settling non-Agency securities	$	—	300	—	$	300	—
Interest rate swaps - payer	$	43,225	7,000	(500)	$	49,725	724
Payer swaptions	$	10,400	4,250	(3,200)	$	11,450	74
U.S. Treasury securities - short position	$	(11,287)	(7,846)	8,240	$	(10,893)	474
U.S. Treasury securities - long position	$	—	2,651	(2,254)	$	397	(11)
U.S. Treasury futures contracts - short position	$	(1,000)	(3,000)	2,500	$	(1,500)	32
							$	763
Six months ended June 30, 2020:
TBA securities, net	$	7,322	112,936	(100,498)	$	19,760	$	913
Interest rate swaps - payer	$	79,075	75,725	(112,725)	$	42,075	(3,174)
Payer swaptions	$	8,850	2,000	(1,500)	$	9,350	(148)
U.S. Treasury securities - short position	$	(9,224)	(10,232)	12,209	$	(7,247)	(997)
U.S. Treasury securities - long position	$	95	7,011	(5,974)	$	1,132	101
U.S. Treasury futures contracts - short position	$	(1,000)	(2,000)	2,000	$	(1,000)	(112)
							$	(3,417)

________________________________

1.Amounts exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

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Pledged Assets

6 Months Ended

Jun. 30, 2021

Pledged Assets [Abstract]

Pledged Assets

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 June 30, 2021, 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 (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables). As of June 30, 2021, approximately 8% 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 June 30, 2021 and December 31, 2020 (in millions):

	June 30, 2021
Assets Pledged to Counterparties 1	Repurchase Agreements 2		Debt of Consolidated VIEs		Derivative Agreements		Brokerage and Clearing Agreements 3		Total
Agency RMBS - fair value	$	49,044	$	245	$	483	$	404	$	50,176
CRT - fair value	502		—		—		—		502
Non-Agency - fair value	377		—		—		—		377
U.S. Treasury securities - fair value	733		—		—		272		1,005
Accrued interest on pledged securities	128		1		1		1		131
Restricted cash	19		—		604		—		623
Total	$	50,803	$	246	$	1,088	$	677	$	52,814

	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
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

________________________________

1.Includes repledged assets received as collateral from counterparties and securities sold but not yet settled.

2.Includes $98 million and $119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4.

	June 30, 2021						December 31, 2020
Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2	Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities		Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities
≤ 30 days	$	31,779	$	30,818	$	84	$	29,674	$	28,208	$	82
> 30 and ≤ 60 days	3,124		3,002		8		8,438		8,013		23
> 60 and ≤ 90 days	5,788		5,641		15		5,782		5,495		16
> 90 days	9,628		9,542		21		10,420		10,068		26
Total	$	50,319	$	49,003	$	128	$	54,314	$	51,784	$	147

________________________________

1.Includes $98 million and $119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2021 and December 31, 2020, respectively.

2.Excludes $0.6 billion of repledged U.S. Treasury securities received as collateral from counterparties as of June 30, 2021.

Assets Pledged from Counterparties

As of June 30, 2021 and December 31, 2020, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

	June 30, 2021								December 31, 2020
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	$	13,023	$	—	$	13	$	13,036	$	11,727	$	—	$	13	$	11,740
Cash	—		314		1		315		—		107		3		110
Total	$	13,023	$	314	$	14	$	13,351	$	11,727	$	107	$	16	$	11,850

________________________________

1.As of June 30, 2021, $0.6 billion of U.S. Treasury securities received from counterparties were repledged as collateral. As of June 30, 2021 and December 31, 2020, $10.9 billion and $11.7 billion, respectively, of U.S. Treasury securities received from counterparties 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 June 30, 2021 and December 31, 2020 (in millions):

	Offsetting of Financial and Derivative Assets
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset  in the Consolidated Balance Sheets				Net Amount
							Financial Instruments		Collateral Received 2
June 30, 2021
Interest rate swap and swaption agreements, at fair value 1	$	294	$	—	$	294	$	—	$	(293)	$	1
TBA securities, at fair value	87		—		87		(8)		—		79
Receivable under reverse repurchase agreements	11,979		—		11,979		(7,216)		(4,763)		—
Total	$	12,360	$	—	$	12,360	$	(7,224)	$	(5,056)	$	80
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

	Offsetting of Financial and Derivative Liabilities
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Liabilities Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset  in the Consolidated Balance Sheets				Net Amount
							Financial Instruments		Collateral Pledged 2
June 30, 2021
TBA securities, at fair value	$	8	$	—	$	8	$	(8)	$	—	$	—
Repurchase agreements	48,737		—		48,737		(7,216)		(41,520)		1
Total	$	48,745	$	—	$	48,745	$	(7,224)	$	(41,520)	$	1
December 31, 2020
Repurchase agreements	$	52,366	$	—	$	52,366	$	(6,522)	$	(45,844)	$	—
Total	$	52,366	$	—	$	52,366	$	(6,522)	$	(45,844)	$	—

________________________________

1.Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.

2.Includes cash and securities pledged / received as collateral, at fair value. Amounts include repledged collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

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Fair Value Measurements

6 Months Ended

Jun. 30, 2021

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 June 30, 2021 and December 31, 2020, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.

	June 30, 2021						December 31, 2020
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets:
Agency securities	$	—	$	57,896	$	—	$	—	$	64,836	$	—
Agency securities transferred to consolidated VIEs	—		245		—		—		295		—
Credit risk transfer securities	—		1,105		—		—		737		—
Non-Agency securities	—		553		—		—		546		—
U.S. Treasury securities	397		—		—		—		—		—
Interest rate swaps	—		—		—		—		—		—
Swaptions	—		294		—		—		116		—
TBA securities	—		87		—		—		275		—
Total	$	397	$	60,180	$	—	$	—	$	66,805	$	—
Liabilities:
Debt of consolidated VIEs	$	—	$	148	$	—	$	—	$	177	$	—
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements	10,920		—		—		11,727		—		—
Interest rate swaps	—		—		—		—		—		—
TBA securities	—		8		—		—		—		—
U.S. Treasury futures	6		—		—		2		—		—
Total	$	10,926	$	156	$	—	$	11,729	$	177	$	—

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 June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020 due to their short duration. We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs.

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Net Income (Loss) Per Common Share (Notes)

6 Months Ended

Jun. 30, 2021

Net Income (Loss) Per Common Share [Abstract]

Schedule of Earnings Per Share, Basic and Diluted [Table Text Block]

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Weighted average number of common shares issued and outstanding	524.9		559.1		528.7		553.3
Weighted average number of fully vested restricted stock units outstanding	1.7		1.2		1.4		0.9
Weighted average number of common shares outstanding - basic	526.6		560.3		530.1		554.2
Weighted average number of dilutive unvested restricted stock units outstanding	—		0.5		1.8		—
Weighted average number of common shares outstanding - diluted	526.6		560.8		531.9		554.2
Net income (loss) available (attributable) to common stockholders	$	(436)	$	693	$	514	$	(1,749)
Net income (loss) per common share - basic	$	(0.83)	$	1.24	$	0.97	$	(3.16)
Net income (loss) per common share - diluted	$	(0.83)	$	1.24	$	0.97	$	(3.16)

Earnings Per Share [Text Block]

Net Income (Loss) Per Common Share Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time and performance-based restricted stock units ("RSUs") outstanding for the period granted under our long-term incentive program to employees and non-employee Board of Directors. Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per common share. Our potential common stock equivalents consist of unvested time and performance-based RSUs. The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated (shares and dollars in millions):

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Weighted average number of common shares issued and outstanding	524.9		559.1		528.7		553.3
Weighted average number of fully vested restricted stock units outstanding	1.7		1.2		1.4		0.9
Weighted average number of common shares outstanding - basic	526.6		560.3		530.1		554.2
Weighted average number of dilutive unvested restricted stock units outstanding	—		0.5		1.8		—
Weighted average number of common shares outstanding - diluted	526.6		560.8		531.9		554.2
Net income (loss) available (attributable) to common stockholders	$	(436)	$	693	$	514	$	(1,749)
Net income (loss) per common share - basic	$	(0.83)	$	1.24	$	0.97	$	(3.16)
Net income (loss) per common share - diluted	$	(0.83)	$	1.24	$	0.97	$	(3.16)

For the three months ended June 30, 2021 and six months ended June 30, 2020, 1.7 million and 0.8 million, respectively, 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.

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Stockholders' Equity

6 Months Ended

Jun. 30, 2021

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 June 30, 2021 and December 31, 2020, 13,800, 10,350, 16,100 and 23,000 shares of preferred stock were designated as 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively). As of June 30, 2021 and December 31, 2020, 13,000, 9,400, 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding. Each share of preferred stock is represented by 1,000 depositary shares. Each share of preferred stock has a liquidation preference of $25,000 per share (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 June 30, 2021 (dollars and shares in millions):

Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1	Issuance Date	Depositary Shares Issued and Outstanding	Carrying Value		Aggregate Liquidation Preference		Fixed Rate	Optional Redemption Date 2	Fixed-to-Floating Rate Conversion Date	Floating Annual Rate
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.

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. As of June 30, 2021, shares of our common stock with an aggregate offering price of $1.25 billion remained authorized for issuance under this program through June 11, 2024. We did not issue shares under the program during the six months ended June 30, 2021.

Common Stock Repurchase Program

We are authorized by our Board of Directors to repurchase shares of our common stock in open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"). During the three months ended March 31, 2021, we repurchased 15.0 million shares, or $239 million, of our common stock for an average repurchase price of $16.00 per common share, inclusive of transaction costs and including amounts repurchased in December 2020 that settled in January 2021. During the three months ended June 30, 2021, we did not repurchase shares of our common stock. As of June 30, 2021, shares of our common stock with an aggregate repurchase price of $684 million remained authorized for repurchase through December 31, 2021.

Accumulated Other Comprehensive Income (Loss)

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2021 and 2020 (in millions):

	Three Months Ended June 30,				Six Months Ended June 30,
Accumulated Other Comprehensive Income (Loss)	2021		2020		2021		2020
Beginning Balance	$	482	$	561	$	719	$	97
OCI before reclassifications	(63)		242		(282)		707
Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net	(14)		(39)		(32)		(40)
Ending Balance	$	405	$	764	$	405	$	764

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Summary of Significant Accounting Policies (Policy)

6 Months Ended

Jun. 30, 2021

New Accounting Pronouncements or Change in Accounting Principle [Line Items]

Basis of Presentation and Significant Accounting Policies [Text Block]

Summary of Significant Accounting Policies

Basis of Presentation

Our accompanying consolidated financial statements and related notes have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2020.

The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of consolidated financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.

Investment Securities

Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").

CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool

of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.

Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, 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 value 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, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.

TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.

Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.

Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any.

U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs.

Recent Accounting Pronouncements

We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption.

Reverse Repurchase Agreements Policy [Policy Text Block]

Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements

We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less.

New Accounting Pronouncements, Policy [Policy Text Block]

Recent Accounting Pronouncements

We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption.

Investment Securities

Investment Securities

Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").

CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool

of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.

Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, 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 value 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

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, 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.

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.

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, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.

TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.

Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.

Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any.

U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs.

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Summary of Significant Accounting Policies Accounting Policies (Policies)

6 Months Ended

Jun. 30, 2021

New Accounting Pronouncements or Change in Accounting Principle [Line Items]

Derivatives, Policy [Policy Text Block]

Derivative Instruments

We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS.

We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section.

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.

We generally recognize gains or losses through net income on available-for-sale securities only if the security is sold; however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair value in net income as a component of other gain (loss). 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 [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.

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Investment Securities (Tables)

6 Months Ended

Jun. 30, 2021

Investments, Debt and Equity Securities [Abstract]

Securities by Credit Rating [Table Text Block]

As of June 30, 2021 and December 31, 2020, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

	June 30, 2021						December 31, 2020
CRT and Non-Agency Security Credit Ratings 1	CRT		RMBS		CMBS		CRT		RMBS		CMBS
AAA	$	—	$	—	$	21	$	—	$	—	$	35
AA	—		20		118		—		20		190
A	—		36		39		—		32		28
BBB	72		77		50		28		83		55
BB	222		42		89		167		36		43
B	386		10		36		304		6		7
Not Rated	425		15		—		238		11		—
Total	$	1,105	$	200	$	353	$	737	$	188	$	358

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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]

	June 30, 2021
	Agency RMBS									Non-Agency
Investment Securities	Fannie Mae			Freddie Mac			Ginnie Mae			RMBS			CMBS			CRT			Total
Available-for-sale securities:
Par value	$	7,615		$	2,538		$	2		$	—		$	—		$	—		$	10,155
Unamortized discount	(3)			(1)			—			—			—			—			(4)
Unamortized premium	367			127			—			—			—			—			494
Amortized cost	7,979			2,664			2			—			—			—			10,645
Gross unrealized gains	310			95			—			—			—			—			405
Gross unrealized losses	—			—			—			—			—			—			—
Total available-for-sale securities, at fair value	8,289			2,759			2			—			—			—			11,050
Securities remeasured at fair value through earnings:
Par value	30,548			13,992			3			196			338			1,077			46,154
Unamortized discount	(15)			(3)			—			(12)			(6)			(9)			(45)
Unamortized premium	1,070			535			—			3			4			13			1,625
Amortized cost	31,603			14,524			3			187			336			1,081			47,734
Gross unrealized gains	759			362			—			13			18			26			1,178
Gross unrealized losses	(109)			(51)			—			—			(1)			(2)			(163)
Total securities remeasured at fair value through earnings	32,253			14,835			3			200			353			1,105			48,749
Total securities, at fair value	$	40,542		$	17,594		$	5		$	200		$	353		$	1,105		$	59,799
Weighted average coupon as of June 30, 2021	3.15		%	3.23		%	4.73		%	4.23		%	3.69		%	3.58		%	3.19		%
Weighted average yield as of June 30, 2021 1	2.37		%	2.38		%	2.56		%	4.38		%	4.01		%	4.09		%	2.42		%

 ________________________________

1.Incorporates a weighted average future constant prepayment rate assumption of 11.6% based on forward rates as of June 30, 2021.

	December 31, 2020
	Agency RMBS									Non-Agency
Investment Securities	Fannie  Mae			Freddie Mac			Ginnie  Mae			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.

Components of Investment Securities

The following tables summarize our investment securities as of June 30, 2021 and December 31, 2020, excluding TBA and forward settling securities, (dollars in millions). Details of our TBA and forward settling securities as of each of the respective dates are included in Note 5.

	June 30, 2021				December 31, 2020
Investment Securities	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Agency RMBS:
Fixed rate	$	56,418	$	57,757	$	61,977	$	64,615
Adjustable rate	54		56		69		70
CMO	219		228		289		301
Interest-only and principal-only strips	84		100		105		126
Multifamily	—		—		17		19
Total Agency RMBS	56,775		58,141		62,457		65,131
Non-Agency RMBS	187		200		178		188
CMBS	336		353		333		358
CRT securities	1,081		1,105		733		737
Total investment securities	$	58,379	$	59,799	$	63,701	$	66,414

Summary Of Agency Securities Estimated Weighted Average Life Classifications

The following table summarizes our investments as of June 30, 2021 and December 31, 2020 according to their estimated weighted average life classification (dollars in millions):

	June 30, 2021						December 31, 2020
Estimated Weighted Average Life of Investment Securities	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield
≤ 3 years	$	1,407	$	1,370	3.59%	2.69%	$	3,642	$	3,569	3.56%	2.15%
> 3 years and ≤ 5 years	15,366		14,905		3.62%	2.49%	47,740		45,578		3.54%	2.42%
> 5 years and ≤10 years	40,176		39,276		3.07%	2.41%	15,019		14,541		2.87%	2.08%
> 10 years	2,850		2,828		2.32%	2.09%	13		13		5.56%	3.59%
Total	$	59,799	$	58,379	3.19%	2.42%	$	66,414	$	63,701	3.39%	2.33%

Summary of Net Gain from Sale of Agency Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2021 and 2020 by investment classification of accounting (in millions):

	Three Months Ended June 30,
	2021						2020
Investment Securities	Available-for-Sale Securities 2		Fair Value Option Securities		Total		Available-for-Sale Securities 2		Fair Value Option Securities		Total
Investment securities sold, at cost	$	(4,151)	$	(8,659)	$	(12,810)	$	(1,278)	$	(4,472)	$	(5,750)
Proceeds from investment securities sold 1	4,165		8,670		12,835		1,317		4,586		5,903
Net gain (loss) on sale of investment securities	$	14	$	11	$	25	$	39	$	114	$	153
Gross gain on sale of investment securities	$	14	$	48	$	62	$	39	$	129	$	168
Gross loss on sale of investment securities	—		(37)		(37)		—		(15)		(15)
Net gain (loss) on sale of investment securities	$	14	$	11	$	25	$	39	$	114	$	153

	Six Months Ended June 30,
	2021						2020
Investment Securities	Available-for-Sale Securities 2		Fair Value Option Securities		Total		Available-for-Sale Securities 2		Fair Value Option Securities		Total
Investment securities sold, at cost	$	(4,644)	$	(14,523)	$	(19,167)	$	(1,433)	$	(53,912)	$	(55,345)
Proceeds from investment securities sold 1	4,676		14,503		19,179		1,473		54,519		55,992
Net gain (loss) on sale of investment securities	$	32	$	(20)	$	12	$	40	$	607	$	647
Gross gain on sale of investment securities	$	32	$	97	$	129	$	40	$	696	$	736
Gross loss on sale of investment securities	—		(117)		(117)		—		(89)		(89)
Net gain (loss) on sale of investment securities	$	32	$	(20)	$	12	$	40	$	607	$	647

  ________________________________

1.Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.

2.See Note 9 for a summary of changes in accumulated OCI.

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Repurchase Agreements and Reverse Repurchase Agreements (Tables)

6 Months Ended

Jun. 30, 2021

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 June 30, 2021 and December 31, 2020 (dollars in millions):

	June 30, 2021					December 31, 2020
Remaining Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity
Agency repo:
≤ 1 month	$	31,093	0.10	%	11	$	29,505	0.22	%	12
> 1 to ≤ 3 months	8,794		0.15	%	67	13,434		0.27	%	57
> 3 to ≤ 6 months	1,662		0.12	%	148	7,317		0.28	%	142
> 6 to ≤ 9 months	5,916		0.15	%	199	660		0.24	%	208
> 9 to ≤ 12 months	875		0.18	%	303	1,450		0.15	%	354
Total Agency repo	48,340		0.11	%	54	52,366		0.24	%	54
U.S. Treasury repo:
> 1 day to ≤ 1 month	397		0.02	%	1	—		—	%	—
Total	$	48,737	0.11	%	54	$	52,366	0.24	%	54

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Derivative and Other Hedging Instruments (Tables)

6 Months Ended

Jun. 30, 2021

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)	June 30, 2021		December 31, 2020
SOFR	74	%	71	%
OIS	26	%	29	%
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 June 30, 2021 and December 31, 2020 (in millions):

Derivative and Other Hedging Instruments	Balance Sheet Location	June 30, 2021		December 31, 2020
Swaptions	Derivative assets, at fair value	$	294	$	116
TBA securities	Derivative assets, at fair value	87		275
Total derivative assets, at fair value		$	381	$	391
TBA securities	Derivative liabilities, at fair value	(8)		—
U.S. Treasury futures - short	Derivative liabilities, at fair value	(6)		(2)
Total derivative liabilities, at fair value		$	(14)	$	(2)
U.S. Treasury securities - long	U.S. Treasury securities, at fair value	$	397	$	—
U.S. Treasury securities - short	Obligation to return securities borrowed under reverse repurchase agreements, at fair value	(10,920)		(11,727)
Total U.S. Treasury securities, net at fair value		$	(10,523)	$	(11,727)

Schedule of Interest Rate Swaption Agreements Outstanding

Swaptions	Option					Underlying Payer Swap
Current Option Expiration Date	Cost Basis		Fair Value		Average Months to Current Option Expiration Date 1	Notional Amount		Average Fixed Pay Rate 2	Average Term (Years)
June 30, 2021
≤ 1 year	$	101	$	55	5	$	4,200	1.77%	8.8
> 1 year ≤ 2 years	80		117		20	3,250		1.41%	10.0
> 2 year ≤ 3 years	110		122		32	4,000		2.07%	10.0
Total	$	291	$	294	19	$	11,450	1.77%	9.5
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

________________________________

1.As of June 30, 2021 and December 31, 2020, ≤ 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 June 30, 2021, 8% and 92% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively. As of December 31, 2020, 33% and 67% of the underlying payer swap receive rates were tied to 3-Month LIBOR and SOFR, respectively.

US government securities

U.S. Treasury Securities	June 30, 2021						December 31, 2020
Maturity	Face Amount Long/(Short)		Cost Basis 1		Fair Value		Face Amount Long/(Short)		Cost Basis 1		Fair Value
5 years	$	(1,665)	$	(1,648)	$	(1,631)	$	(425)	$	(425)	$	(425)
7 years	(1,083)		(1,072)		(1,049)		(1,083)		(1,081)		(1,089)
10 years	(7,748)		(7,740)		(7,843)		(9,780)		(9,862)		(10,213)
Total U.S. Treasury securities	$	(10,496)	$	(10,460)	$	(10,523)	$	(11,288)	$	(11,368)	$	(11,727)

________________________________

1.As of June 30, 2021 and December 31, 2020, short U.S. Treasury securities had a weighted average yield of 1.30% and 1.20%, respectively, and long U.S. Treasury securities totaling $397 million, at fair value, had a weighted average yield of 0.98% as of June 30, 2021.

US Government Futures Securities [Table Text Block]

U.S. Treasury Futures	June 30, 2021								December 31, 2020
Maturity	Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1		Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1
10 years	$	(1,500)	$	(1,982)	$	(1,988)	$	(6)	$	(1,000)	$	(1,379)	$	(1,381)	$	(2)

________________________________

1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

Summary of Long and Short Position of Derivative Instruments

	June 30, 2021								December 31, 2020
TBA Securities by Coupon	Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1		Notional  Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1
15-Year TBA securities:
≤ 2.0%	$	418	$	422	$	423	1		$	6,540	$	6,708	$	6,771	$	63
2.5%	328		342		342		—		200		208		209		1
Total 15-Year TBA securities	746		764		765		1		6,740		6,916		6,980		64
30-Year TBA securities:
≤ 2.0%	2,551		2,552		2,572		20		19,805		20,314		20,480		166
2.5%	20,627		21,227		21,289		62		3,167		3,291		3,335		44
3.0%	2,104		2,195		2,193		(2)		528		552		553		1
3.5%	539		569		567		(2)		124		131		131		—
Total 30-Year TBA securities, net	25,821		26,543		26,621		78		23,624		24,288		24,499		211
Total TBA securities, net	$	26,567	$	27,307	$	27,386	$	79	$	30,364	$	31,204	$	31,479	$	275

________________________________

1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

Schedule Of Outstanding Not Designated As Hedging Instruments

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2021 and 2020 (in millions):

Derivative and Other Hedging Instruments	Beginning Notional Amount		Additions	Settlement, Termination, Expiration or Exercise	Ending Notional Amount		Gain/(Loss) on Derivative Instruments and Other Securities, Net 1
Three months ended June 30, 2021:
TBA securities, net	$	24,518	94,248	(92,199)	$	26,567	$	396
Forward settling non-Agency securities	$	—	300	—	$	300	—
Interest rate swaps - payer	$	49,725	—	—	$	49,725	(400)
Payer swaptions	$	13,150	—	(1,700)	$	11,450	(313)
U.S. Treasury securities - short position	$	(15,527)	(585)	5,219	$	(10,893)	(333)
U.S. Treasury securities - long position	$	—	1,336	(939)	$	397	(1)
U.S. Treasury futures contracts - short position	$	(1,000)	(2,000)	1,500	$	(1,500)	(29)
							$	(680)
Three months ended June 30, 2020:
TBA securities, net	$	20,279	75,186	(75,705)	$	19,760	$	220
Interest rate swaps - payer	$	46,475	25,750	(30,150)	$	42,075	(379)
Payer swaptions	$	9,550	—	(200)	$	9,350	(14)
U.S. Treasury securities - short position	$	(4,245)	(4,187)	1,185	$	(7,247)	(60)
U.S. Treasury securities - long position	$	3,569	550	(2,987)	$	1,132	4
U.S. Treasury futures contracts - short position	$	(1,000)	(1,000)	1,000	$	(1,000)	(8)
							$	(237)

Six months ended June 30, 2021:
TBA securities, net	$	30,364	187,584	(191,381)	$	26,567	$	(530)
Forward settling non-Agency securities	$	—	300	—	$	300	—
Interest rate swaps - payer	$	43,225	7,000	(500)	$	49,725	724
Payer swaptions	$	10,400	4,250	(3,200)	$	11,450	74
U.S. Treasury securities - short position	$	(11,287)	(7,846)	8,240	$	(10,893)	474
U.S. Treasury securities - long position	$	—	2,651	(2,254)	$	397	(11)
U.S. Treasury futures contracts - short position	$	(1,000)	(3,000)	2,500	$	(1,500)	32
							$	763
Six months ended June 30, 2020:
TBA securities, net	$	7,322	112,936	(100,498)	$	19,760	$	913
Interest rate swaps - payer	$	79,075	75,725	(112,725)	$	42,075	(3,174)
Payer swaptions	$	8,850	2,000	(1,500)	$	9,350	(148)
U.S. Treasury securities - short position	$	(9,224)	(10,232)	12,209	$	(7,247)	(997)
U.S. Treasury securities - long position	$	95	7,011	(5,974)	$	1,132	101
U.S. Treasury futures contracts - short position	$	(1,000)	(2,000)	2,000	$	(1,000)	(112)
							$	(3,417)

________________________________

1.Amounts exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Amounts for the three and six months ended June 30, 2020 exclude $146 million of losses on debt extinguishment (see Note 4).

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 June 30, 2021 and December 31, 2020 (dollars in millions):

	June 30, 2021					December 31, 2020
Pay Fixed / Receive Variable Interest Rate Swaps	Notional Amount		Average Fixed Pay  Rate	Average Receive Rate	Average Maturity (Years)	Notional Amount		Average Fixed Pay  Rate	Average Receive Rate	Average Maturity (Years)
≤ 3 years	$	16,000	0.11%	0.06%	2.3	$	8,750	0.04%	0.08%	2.4
> 3 to ≤ 5 years	18,500		0.13%	0.06%	3.9	17,000		0.10%	0.08%	4.1
> 5 to ≤ 7 years	7,050		0.21%	0.05%	5.5	9,800		0.21%	0.08%	5.8
> 7 to ≤ 10 years	6,700		0.36%	0.05%	8.1	6,200		0.28%	0.07%	8.5
> 10 years	1,475		0.47%	0.06%	13.7	1,475		0.47%	0.07%	14.2
Total	$	49,725	0.18%	0.06%	4.4	$	43,225	0.15%	0.08%	5.1

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Pledged Assets (Tables)

6 Months Ended

Jun. 30, 2021

Pledged Assets [Abstract]

Schedule of Securities and Cash Pledged as Collateral from Counterparties [Table Text Block]

As of June 30, 2021 and December 31, 2020, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

	June 30, 2021								December 31, 2020
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	$	13,023	$	—	$	13	$	13,036	$	11,727	$	—	$	13	$	11,740
Cash	—		314		1		315		—		107		3		110
Total	$	13,023	$	314	$	14	$	13,351	$	11,727	$	107	$	16	$	11,850

________________________________

1.As of June 30, 2021, $0.6 billion of U.S. Treasury securities received from counterparties were repledged as collateral. As of June 30, 2021 and December 31, 2020, $10.9 billion and $11.7 billion, respectively, of U.S. Treasury securities received from counterparties were used to cover short sales of U.S. Treasury securities.

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 June 30, 2021 and December 31, 2020 (in millions):

	June 30, 2021
Assets Pledged to Counterparties 1	Repurchase Agreements 2		Debt of Consolidated VIEs		Derivative Agreements		Brokerage and Clearing Agreements 3		Total
Agency RMBS - fair value	$	49,044	$	245	$	483	$	404	$	50,176
CRT - fair value	502		—		—		—		502
Non-Agency - fair value	377		—		—		—		377
U.S. Treasury securities - fair value	733		—		—		272		1,005
Accrued interest on pledged securities	128		1		1		1		131
Restricted cash	19		—		604		—		623
Total	$	50,803	$	246	$	1,088	$	677	$	52,814

	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
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

________________________________

1.Includes repledged assets received as collateral from counterparties and securities sold but not yet settled.

2.Includes $98 million and $119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4.

	June 30, 2021						December 31, 2020
Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2	Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities		Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities
≤ 30 days	$	31,779	$	30,818	$	84	$	29,674	$	28,208	$	82
> 30 and ≤ 60 days	3,124		3,002		8		8,438		8,013		23
> 60 and ≤ 90 days	5,788		5,641		15		5,782		5,495		16
> 90 days	9,628		9,542		21		10,420		10,068		26
Total	$	50,319	$	49,003	$	128	$	54,314	$	51,784	$	147

________________________________

1.Includes $98 million and $119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2021 and December 31, 2020, respectively.

2.Excludes $0.6 billion of repledged U.S. Treasury securities received as collateral from counterparties as of June 30, 2021.

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 June 30, 2021 and December 31, 2020 (in millions):

	Offsetting of Financial and Derivative Assets
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset  in the Consolidated Balance Sheets				Net Amount
							Financial Instruments		Collateral Received 2
June 30, 2021
Interest rate swap and swaption agreements, at fair value 1	$	294	$	—	$	294	$	—	$	(293)	$	1
TBA securities, at fair value	87		—		87		(8)		—		79
Receivable under reverse repurchase agreements	11,979		—		11,979		(7,216)		(4,763)		—
Total	$	12,360	$	—	$	12,360	$	(7,224)	$	(5,056)	$	80
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

Offsetting Liabilities

	Offsetting of Financial and Derivative Liabilities
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Liabilities Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset  in the Consolidated Balance Sheets				Net Amount
							Financial Instruments		Collateral Pledged 2
June 30, 2021
TBA securities, at fair value	$	8	$	—	$	8	$	(8)	$	—	$	—
Repurchase agreements	48,737		—		48,737		(7,216)		(41,520)		1
Total	$	48,745	$	—	$	48,745	$	(7,224)	$	(41,520)	$	1
December 31, 2020
Repurchase agreements	$	52,366	$	—	$	52,366	$	(6,522)	$	(45,844)	$	—
Total	$	52,366	$	—	$	52,366	$	(6,522)	$	(45,844)	$	—

________________________________

1.Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.

2.Includes cash and securities pledged / received as collateral, at fair value. Amounts include repledged collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2021

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 June 30, 2021 and December 31, 2020, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.

	June 30, 2021						December 31, 2020
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets:
Agency securities	$	—	$	57,896	$	—	$	—	$	64,836	$	—
Agency securities transferred to consolidated VIEs	—		245		—		—		295		—
Credit risk transfer securities	—		1,105		—		—		737		—
Non-Agency securities	—		553		—		—		546		—
U.S. Treasury securities	397		—		—		—		—		—
Interest rate swaps	—		—		—		—		—		—
Swaptions	—		294		—		—		116		—
TBA securities	—		87		—		—		275		—
Total	$	397	$	60,180	$	—	$	—	$	66,805	$	—
Liabilities:
Debt of consolidated VIEs	$	—	$	148	$	—	$	—	$	177	$	—
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements	10,920		—		—		11,727		—		—
Interest rate swaps	—		—		—		—		—		—
TBA securities	—		8		—		—		—		—
U.S. Treasury futures	6		—		—		2		—		—
Total	$	10,926	$	156	$	—	$	11,729	$	177	$	—

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Stockholders' Equity (Tables)

6 Months Ended

Jun. 30, 2021

Equity [Abstract]

Preferred Stock [Table Text Block]

Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1	Issuance Date	Depositary Shares Issued and Outstanding	Carrying Value		Aggregate Liquidation Preference		Fixed Rate	Optional Redemption Date 2	Fixed-to-Floating Rate Conversion Date	Floating Annual Rate
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 Accumulated Other Comprehensive Income (Loss)

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2021 and 2020 (in millions):

	Three Months Ended June 30,				Six Months Ended June 30,
Accumulated Other Comprehensive Income (Loss)	2021		2020		2021		2020
Beginning Balance	$	482	$	561	$	719	$	97
OCI before reclassifications	(63)		242		(282)		707
Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net	(14)		(39)		(32)		(40)
Ending Balance	$	405	$	764	$	405	$	764

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Organization (Details)	6 Months Ended
	Jun. 30, 2021
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%

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Summary of Significant Accounting Policies (Details)	6 Months Ended
	Jun. 30, 2021
Derivative [Line Items]
Required Annual Distribution of Taxable Net Income	90.00%

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Summary of Significant Accounting Policies Variable Interest Entities (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Variable Interest Entity [Line Items]
Other Long-term Debt	$ 148	$ 177

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Investment Securities (Narrative) (Details) - USD ($) $ in Millions	3 Months Ended	6 Months Ended
	Mar. 31, 2021	Jun. 30, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure		$ 59,800	$ 66,400
Weighted average expected constant prepayment rate	17.60%	11.60%
Debt, at fair value		$ (148)	(177)
Agency Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Unamortized premium balance		2,100	2,400
TBA securities Fifteen Year and Thirty Year Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Net long TBA position, at fair value		27,400	31,500
TBA, net carrying value		79	275
Forward Settling non-Agency Securities
Debt Securities, Available-for-sale [Line Items]
Net long TBA position, at fair value		$ 300	$ 0

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Investment Securities Investment Securities (Summary of Investment in Agency Security) (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis	$ 58,379	$ 63,701
Debt Securities, Trading and Available-for-sale	59,799	66,414
Total agency MBS, at fair value	58,141	65,131
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	187	178
Debt Securities, Trading and Available-for-sale	200	188
Commercial Mortgage Backed Securities [Member]
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis	336	333
Debt Securities, Trading and Available-for-sale	353	358
Credit Risk Transfer Securities [Member]
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis	1,081	733
Debt Securities, Trading and Available-for-sale	1,105	737
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	56,418	61,977
Debt Securities, Trading and Available-for-sale	57,757	64,615
Adjustable-Rate [Member] | Agency Securities [Member]
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis	54	69
Debt Securities, Trading and Available-for-sale	56	70
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	219	289
Debt Securities, Trading and Available-for-sale	228	301
Multifamily [Member] | Agency Securities [Member]
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis	0	17
Debt Securities, Trading and Available-for-sale	0	19
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	84	105
Debt Securities, Trading and Available-for-sale	100	126
Agency Securities [Member]
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading and Available-for-sale, Amortized Cost Basis	$ 56,775	$ 62,457

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Investment Securities (Components Of Investment Securities) (Details) - USD ($) $ in Millions	3 Months Ended	6 Months Ended	12 Months Ended
	Mar. 31, 2021	Jun. 30, 2021	Dec. 31, 2020
Schedule of Investments [Line Items]
Debt Securities, Trading		$ 48,749	$ 52,416
Debt Securities, Trading and Available-for-sale		59,799	66,414
Amortized cost		$ 58,379	$ 63,701
Weighted average coupon		3.19%	3.39%
Weighted average yield		2.42%	2.33%
Future Prepayment Rate Assumption Of Investment Portfolio	17.60%	11.60%
Available-for-sale Securities [Member]
Schedule of Investments [Line Items]
Par value		$ 10,155	$ 12,743
Unamortized discount		(4)	(5)
Unamortized premium		494	541
Amortized cost		10,645	13,279
Gross unrealized gains		405	719
Gross unrealized losses		0	0
Total available-for-sale securities, at fair value		11,050	13,998
Trading Securities [Member]
Schedule of Investments [Line Items]
Unamortized discount		(45)	(46)
Unamortized premium		1,625	1,941
Debt Securities, Trading, Unrealized Gain		1,178	2,014
Debt Securities, Trading, Unrealized Loss		(163)	(20)
Trading Securities, Cost		47,734	50,422
Trading Securities Par		46,154	48,527
Fannie Mae [Member]
Schedule of Investments [Line Items]
Debt Securities, Trading		32,253	35,395
Debt Securities, Trading and Available-for-sale		$ 40,542	$ 45,644
Weighted average coupon		3.15%	3.30%
Weighted average yield		2.37%	2.25%
Fannie Mae [Member] | Available-for-sale Securities [Member]
Schedule of Investments [Line Items]
Par value		$ 7,615	$ 9,325
Unamortized discount		(3)	(4)
Unamortized premium		367	389
Amortized cost		7,979	9,710
Gross unrealized gains		310	539
Gross unrealized losses		0	0
Total available-for-sale securities, at fair value		8,289	10,249
Fannie Mae [Member] | Trading Securities [Member]
Schedule of Investments [Line Items]
Unamortized discount		(15)	(18)
Unamortized premium		1,070	1,314
Debt Securities, Trading, Unrealized Gain		759	1,280
Debt Securities, Trading, Unrealized Loss		(109)	(5)
Trading Securities, Cost		31,603	34,120
Trading Securities Par		30,548	32,824
Freddie Mac [Member]
Schedule of Investments [Line Items]
Debt Securities, Trading		14,835	15,735
Debt Securities, Trading and Available-for-sale		$ 17,594	$ 19,482
Weighted average coupon		3.23%	3.56%
Weighted average yield		2.38%	2.39%
Freddie Mac [Member] | Available-for-sale Securities [Member]
Schedule of Investments [Line Items]
Par value		$ 2,538	$ 3,416
Unamortized discount		(1)	(1)
Unamortized premium		127	152
Amortized cost		2,664	3,567
Gross unrealized gains		95	180
Gross unrealized losses		0	0
Total available-for-sale securities, at fair value		2,759	3,747
Freddie Mac [Member] | Trading Securities [Member]
Schedule of Investments [Line Items]
Unamortized discount		(3)	(1)
Unamortized premium		535	607
Debt Securities, Trading, Unrealized Gain		362	683
Debt Securities, Trading, Unrealized Loss		(51)	(1)
Trading Securities, Cost		14,524	15,053
Trading Securities Par		13,992	14,447
Ginnie Mae [Member]
Schedule of Investments [Line Items]
Debt Securities, Trading		3	3
Debt Securities, Trading and Available-for-sale		$ 5	$ 5
Weighted average coupon		4.73%	4.73%
Weighted average yield		2.56%	2.46%
Ginnie Mae [Member] | Available-for-sale Securities [Member]
Schedule of Investments [Line Items]
Par value		$ 2	$ 2
Unamortized discount		0	0
Unamortized premium		0	0
Amortized cost		2	2
Gross unrealized gains		0	0
Gross unrealized losses		0	0
Total available-for-sale securities, at fair value		2	2
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	3
Trading Securities Par		3	3
Mortgage-backed Securities, Issued by Private Enterprises [Member]
Schedule of Investments [Line Items]
Debt Securities, Trading		200	188
Debt Securities, Trading and Available-for-sale		$ 200	$ 188
Weighted average coupon		4.23%	4.28%
Weighted average yield		4.38%	4.33%
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)	(12)
Unamortized premium		3	4
Debt Securities, Trading, Unrealized Gain		13	11
Debt Securities, Trading, Unrealized Loss		0	(2)
Trading Securities, Cost		187	179
Trading Securities Par		196	187
Commercial Mortgage Backed Securities [Member]
Schedule of Investments [Line Items]
Debt Securities, Trading		353	358
Debt Securities, Trading and Available-for-sale		$ 353	$ 358
Weighted average coupon		3.69%	4.13%
Weighted average yield		4.01%	4.29%
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		(6)	(3)
Unamortized premium		4	6
Debt Securities, Trading, Unrealized Gain		18	28
Debt Securities, Trading, Unrealized Loss		(1)	(4)
Trading Securities, Cost		336	334
Trading Securities Par		338	331
Credit Risk Transfer Securities [Member]
Schedule of Investments [Line Items]
Debt Securities, Trading		1,105	737
Debt Securities, Trading and Available-for-sale		$ 1,105	$ 737
Weighted average coupon		3.58%	3.43%
Weighted average yield		4.09%	3.71%
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		(9)	(12)
Unamortized premium		13	10
Debt Securities, Trading, Unrealized Gain		26	12
Debt Securities, Trading, Unrealized Loss		(2)	(8)
Trading Securities, Cost		1,081	733
Trading Securities Par		1,077	735
Credit Risk Transfer Securities [Member] | Securities Remeasured at Fair Value [Member]
Schedule of Investments [Line Items]
Debt Securities, Trading and Available-for-sale		$ 1,105	$ 737

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Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Agency securities classified as available for sale, Fair value	$ 59,799	$ 66,414
Agency securities classified as available for sale, Amortized cost	$ 58,379	$ 63,701
Weighted Average Coupon	3.19%	3.39%
Weighted Average Yield	2.42%	2.33%
Less Than or Equal to Three Years [Member]
Fair Value	$ 1,407	$ 3,642
Amortized Cost	$ 1,370	$ 3,569
Weighted Average Coupon	3.59%	3.56%
Weighted Average Yield	2.69%	2.15%
Greater Than Three Years and Less Than or Equal to Five Years [Member]
Fair Value	$ 15,366	$ 47,740
Amortized Cost	$ 14,905	$ 45,578
Weighted Average Coupon	3.62%	3.54%
Weighted Average Yield	2.49%	2.42%
Greater Than Five Years [Member]
Fair Value	$ 40,176	$ 15,019
Amortized Cost	$ 39,276	$ 14,541
Weighted Average Coupon	3.07%	2.87%
Weighted Average Yield	2.41%	2.08%
Greater Than Ten Years [Member]
Fair Value	$ 2,850	$ 13
Amortized Cost	$ 2,828	$ 13
Weighted Average Coupon	2.32%	5.56%
Weighted Average Yield	2.09%	3.59%

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Investment Securities (Summary Of Changes In Accumulated OCI For Available-For-Sale Security) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Unrealized Gains and (Losses), Net	$ (77)	$ 203	$ (314)	$ 667
Agency Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning OCI Balance	482	561	719	97
Unrealized Gains and (Losses), Net	(63)	242	(282)	707
Reversal of Unrealized (Gains) and Losses, Net on Realization	(14)	(39)	(32)	(40)
Ending OCI Balance	$ 405	$ 764	$ 405	$ 764

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Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Cost of Sale of Fair Value Option Securities	$ (8,659)	$ (4,472)	$ (14,523)	$ (53,912)
Cost of Sale of Investment Securities	(12,810)	(5,750)	(19,167)	(55,345)
Proceeds from agency MBS sold			10,172	16,206
Net gain (loss) on sale of investment securities	25	153	12	647
Available-for-sale Securities [Member]
Agency MBS sold, at cost	(4,151)	(1,278)	(4,644)	(1,433)
Proceeds from agency MBS sold	4,165	1,317	4,676	1,473
Net gain (loss) on sale of investment securities		39		40
Gross gain on sale of investment securities	14	39	32	40
Gross loss on sale of investment securities	0	0	0	0
Securities Remeasured at Fair Value [Member]
Proceeds from agency MBS sold	8,670	4,586	14,503	54,519
Net gain (loss) on sale of investment securities		114		607
Gross gain on sale of investment securities	48	129	97	696
Gross loss on sale of investment securities	(37)	(15)	(117)	(89)
Securities (Assets) [Member]
Proceeds from agency MBS sold	12,835	5,903	19,179	55,992
Net gain (loss) on sale of investment securities	25	153	12	647
Gross gain on sale of investment securities	62	168	129	736
Gross loss on sale of investment securities	(37)	$ (15)	(117)	$ (89)
Cost and Proceeds of Investment Securities [Member] | Available-for-sale Securities [Member]
Net gain (loss) on sale of investment securities	14		32
Cost and Proceeds of Investment Securities [Member] | Securities Remeasured at Fair Value [Member]
Net gain (loss) on sale of investment securities	$ 11		(20)
Gross Gain & Loss of Investment Securities [Member] | Available-for-sale Securities [Member]
Net gain (loss) on sale of investment securities			32
Gross Gain & Loss of Investment Securities [Member] | Securities Remeasured at Fair Value [Member]
Net gain (loss) on sale of investment securities			$ (20)

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Investment Securities Securities by Credit Rating (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	$ 48,749	$ 52,416
Debt Securities, Trading and Available-for-sale	59,799	66,414
Mortgage-backed Securities, Issued by Private Enterprises [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	200	188
Debt Securities, Trading and Available-for-sale	200	188
Commercial Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	353	358
Debt Securities, Trading and Available-for-sale	353	358
Credit Risk Transfer Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	1,105	737
Debt Securities, Trading and Available-for-sale	1,105	737
Securities Remeasured at Fair Value [Member] | Credit Risk Transfer Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading and Available-for-sale	1,105	737
BBB Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	77	83
BBB Rating [Member] | Commercial Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	50	55
BBB Rating [Member] | Credit Risk Transfer Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	72	28
BB Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	42	36
BB Rating [Member] | Commercial Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	89	43
BB Rating [Member] | Credit Risk Transfer Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	222	167
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	21	35
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	20
AA Rating [Member] | Commercial Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	118	190
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	36	32
A Rating [Member] | Commercial Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	39	28
A Rating [Member] | Credit Risk Transfer Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	0	0
B Rating [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	10	6
B Rating [Member] | Commercial Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	36	7
B Rating [Member] | Credit Risk Transfer Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	386	304
Not Rated [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Trading	15	11
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	$ 425	$ 238

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Repurchase Agreements And Reverse Repurchase Agreements (Narrative) (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2020 USD ($)	Jun. 30, 2021 USD ($) days	Dec. 31, 2020 USD ($) days
Assets Sold under Agreements to Repurchase [Line Items]
Receivable Under Reverse Repurchase Agreements		$ 11,979,000	$ 11,748,000
Securities Sold under Agreements to Repurchase		48,737,000	52,366,000
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value		$ 10,920,000	$ 11,727,000
Short-term Debt, Weighted Average Interest Rate, at Point in Time		0.11%	0.24%
Debt of consolidated variable interest entities, at fair value		$ (148,000)	$ (177,000)
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%
TBA securities Fifteen Year and Thirty Year Securities [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Derivative, Fair Value, Net		79,000	275,000
TBA and Forward Settling Agency Securities [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Derivative, Forward Settlement Value		27,307,000	31,204,000
Derivative, Fair Value, Net		79,000	275,000
Maturity Overnight [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Securities Sold under Agreements to Repurchase		7,400,000	11,200,000
Forward Contracts [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Securities Sold under Agreements to Repurchase		$ 8,300,000	$ 2,900,000
Weighted Average Forward Start Days | days		2	4
Short-term Debt, Weighted Average Interest Rate, at Point in Time		0.06%	0.12%
Bethesda Securities [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Percentage of Repurchase Agreement Funding		44.00%	47.00%
FICC [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Percentage of Repurchase Agreement Funding		43.00%	46.00%
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value		$ 2,700,000	$ 3,600,000

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Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) $ in Millions	Jun. 30, 2021 USD ($) days	Dec. 31, 2020 USD ($) days
Receivable Under Reverse Repurchase Agreements	$ 11,979	$ 11,748
Repurchase Agreements	$ 48,737	$ 52,366
Weighted Average Interest Rate	0.11%	0.24%
Weighted Average Days to Maturity | days	54	54
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value	$ 10,920	$ 11,727
Maturity Overnight [Member]
Repurchase Agreements	7,400	11,200
30 Days or Less [Member]
Repurchase Agreements	$ 31,093	$ 29,505
Weighted Average Interest Rate	0.10%	0.22%
Weighted Average Days to Maturity | days	11	12
1 to 3 Months
Repurchase Agreements	$ 8,794	$ 13,434
Weighted Average Interest Rate	0.15%	0.27%
Weighted Average Days to Maturity | days	67	57
3 to 6 Months
Repurchase Agreements	$ 1,662	$ 7,317
Weighted Average Interest Rate	0.12%	0.28%
Weighted Average Days to Maturity | days	148	142
6 to 9 Months
Repurchase Agreements	$ 5,916	$ 660
Weighted Average Interest Rate	0.15%	0.24%
Weighted Average Days to Maturity | days	199	208
9 to 12 Months
Repurchase Agreements	$ 875	$ 1,450
Weighted Average Interest Rate	0.18%	0.15%
Weighted Average Days to Maturity | days	303	354
US Treasury Securities [Member] | 2 Days to 1 Month [Member]
Repurchase Agreements	$ 397	$ 0
Weighted Average Interest Rate	0.02%	0.00%
Weighted Average Days to Maturity | days	1	0
FICC [Member]
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value	$ 2,700	$ 3,600
US Government Agencies Debt Securities [Member]
Repurchase Agreements	$ 48,340	$ 52,366
Weighted Average Interest Rate	0.11%	0.24%
Weighted Average Days to Maturity | days	54	54

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Derivative and Other Hedging Instruments (Narrative) (Details) $ in Millions	3 Months Ended			6 Months Ended
	Jun. 30, 2021 USD ($)	Mar. 31, 2021 USD ($) month	Jun. 30, 2020 USD ($)	Jun. 30, 2021 USD ($) month	Jun. 30, 2020 USD ($)	Dec. 31, 2020 USD ($)	Mar. 31, 2020 USD ($)	Dec. 31, 2019 USD ($)
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		15		19
Notional Amount	$ 11,450			$ 11,450		$ 10,400
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(313)		$ (14)	74	$ (148)
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period	0		0	4,250	2,000
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period	$ (1,700)		(200)	$ (3,200)	(1,500)
Derivative, Average Fixed Interest Rate	1.77%			1.77%		1.84%
Interest Rate Derivatives, at Fair Value, Net	$ 294			$ 294		$ 116
Options At Cost		$ 237		291
TBA and Forward Settling Agency Securities [Member]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	396		220	(530)	913
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period	94,248		75,186	187,584	112,936
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period					(100,498)
US Treasury Securities [Member]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(29)		(8)	32	(112)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(680)		(237)	763	(3,417)
Short [Member] | US Treasury Securities [Member]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(333)		(60)	474	(997)
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period	585		4,187	7,846	10,232
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period	5,219		1,185	8,240	(12,209)
Long [Member] | US Treasury Securities [Member]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(1)		4	(11)	101
Trading Securities Added During the Period	1,336		550	2,651	7,011
Notional Amount Of Trading Securities Settlement Expiration During The Period	(939)		(2,987)	(2,254)	(5,974)
Debt Securities, Trading, and Equity Securities, FV-NI	$ 397	$ 0	$ 1,132	$ 397	$ 1,132	$ 0	$ 3,569	$ 95

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Derivative and Other Hedging Instruments (Fair Value Information) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020	Mar. 31, 2021	Dec. 31, 2020	Mar. 31, 2020	Dec. 31, 2019
Derivative [Line Items]
Derivative asset, fair value	$ 381		$ 381			$ 391
Derivative liability, fair value	(14)		(14)			(2)
Derivative assets, at fair value	(381)		(381)			(391)
Derivative Liability	(14)		(14)			(2)
U.S. Treasury securities	397		397			0
U.S. Treasury Securities - short	(10,920)		(10,920)			(11,727)
Total - (short)/long, net	(10,523)		(10,523)			(11,727)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(680)	$ (237)	763	$ (3,417)
TBA and Forward Settling Agency Securities [Member]
Derivative [Line Items]
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period	94,248	75,186	187,584	112,936
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period				(100,498)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	396	220	(530)	913
Interest Rate Swap [Member]
Derivative [Line Items]
Derivative Liability, Notional Amount	49,725		49,725			43,225
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period	0	25,750	7,000	75,725
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period	0	(30,150)	(500)	(112,725)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(400)	(379)	724	(3,174)
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member]
Derivative [Line Items]
Derivative asset, fair value	0		0			0
Interest Rate Swaption [Member]
Derivative [Line Items]
Derivative Liability, Notional Amount	11,450		11,450			10,400
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period	0	0	4,250	2,000
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period	(1,700)	(200)	(3,200)	(1,500)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(313)	(14)	74	(148)
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member]
Derivative [Line Items]
Derivative asset, fair value	294		294			116
Purchases Of TBAs And Forward Settling Agency Securities [Member]
Derivative [Line Items]
Derivative liability, fair value	(8)		(8)			0
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period	(92,199)	(75,705)	(191,381)
US Treasury Securities [Member]
Derivative [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(29)	(8)	32	(112)
US Treasury Securities [Member] | Fair Value, Recurring [Member] | Future [Member] | Fair Value, Inputs, Level 1 [Member]
Derivative [Line Items]
Derivative Liability	(6)		(6)			(2)
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	(87)		(87)			(275)
Short [Member] | US Treasury Securities [Member]
Derivative [Line Items]
Notional Amount Of Derivatives Not Designated As Hedging Instruments Additions During The Period	585	4,187	7,846	10,232
Notional Amount Of Derivatives Not Designated As Hedging Instruments Settlement Expiration During The Period	5,219	1,185	8,240	(12,209)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(333)	(60)	474	(997)
Long [Member] | US Treasury Securities [Member]
Derivative [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(1)	4	(11)	101
Debt Securities, Trading, and Equity Securities, FV-NI	397	1,132	397	1,132	$ 0	$ 0	$ 3,569	$ 95
Trading Securities Added During the Period	1,336	550	2,651	7,011
Notional Amount Of Trading Securities Settlement Expiration During The Period	$ (939)	$ (2,987)	$ (2,254)	$ (5,974)

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Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) $ in Millions	3 Months Ended			6 Months Ended
	Jun. 30, 2021 USD ($)	Mar. 31, 2021 USD ($) month	Jun. 30, 2020 USD ($)	Jun. 30, 2021 USD ($) month	Jun. 30, 2020 USD ($)	Dec. 31, 2020 USD ($)
Interest Rate Swaps Linked to Overnight Index Swap Rate	26.00%			26.00%		29.00%
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	$ (680)		$ (237)	$ 763	$ (3,417)
Interest Rate Swaps Linked to Secured Overnight Financing Rate	74.00%			74.00%		71.00%
Interest Rate Swaption [Member]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	$ (313)		(14)	$ 74	(148)
Notional Amount	$ 11,450			$ 11,450		$ 10,400
Average Fixed Pay Rate	1.77%			1.77%		1.84%
Options At Cost		$ 237		$ 291
Interest Rate Derivatives, at Fair Value, Net	$ 294			$ 294		$ 116
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month		15		19
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	(400)		$ (379)	$ 724	$ (3,174)
Notional Amount	$ 49,725			$ 49,725		$ 43,225
Average Fixed Pay Rate	0.18%			0.18%		0.15%
Average Receive Rate	0.06%			0.06%		0.08%
Average Maturity (Years)		5 years 1 month 6 days		4 years 4 months 24 days
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member]
Notional Amount	$ 4,200			$ 4,200		$ 5,900
Average Fixed Pay Rate	1.77%			1.77%		2.17%
Options At Cost		$ 123		$ 101
Interest Rate Derivatives, at Fair Value, Net	$ 55			$ 55		$ 15
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month		5		5
Average Maturity (Years)		9 years 2 months 12 days		8 years 9 months 18 days
Greater Than One Year and Less Than or Equal to Two Years [Member] | Interest Rate Swaption [Member]
Notional Amount	$ 3,250			$ 3,250		$ 2,000
Average Fixed Pay Rate	1.41%			1.41%		1.38%
Options At Cost		$ 41		$ 80
Interest Rate Derivatives, at Fair Value, Net	$ 117			$ 117		$ 33
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month		20		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	$ 4,000			$ 4,000		$ 2,250
Average Fixed Pay Rate	2.07%			2.07%		1.40%
Options At Cost		$ 65		$ 110
Interest Rate Derivatives, at Fair Value, Net	$ 122			$ 122		$ 60
Cash Flow Hedges Derivative Instruments Not Designated As Hedging Instruments Average Months To Expiration | month		33		32
Average Maturity (Years)		10 years		10 years
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member]
Notional Amount	$ 16,000			$ 16,000		$ 8,750
Average Fixed Pay Rate	0.11%			0.11%		0.04%
Average Receive Rate	0.06%			0.06%		0.08%
Average Maturity (Years)		2 years 4 months 24 days		2 years 3 months 18 days
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member]
Notional Amount	$ 18,500			$ 18,500		$ 17,000
Average Fixed Pay Rate	0.13%			0.13%		0.10%
Average Receive Rate	0.06%			0.06%		0.08%
Average Maturity (Years)		4 years 1 month 6 days		3 years 10 months 24 days
Greater Than Five Years and Less than or Equal to Seven Years [Member] | Interest Rate Swap [Member]
Notional Amount	$ 7,050			$ 7,050		$ 9,800
Average Fixed Pay Rate	0.21%			0.21%		0.21%
Average Receive Rate	0.05%			0.05%		0.08%
Average Maturity (Years)		5 years 9 months 18 days		5 years 6 months
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member]
Notional Amount	$ 6,700			$ 6,700		$ 6,200
Average Fixed Pay Rate	0.36%			0.36%		0.28%
Average Receive Rate	0.05%			0.05%		0.07%
Average Maturity (Years)		8 years 6 months		8 years 1 month 6 days
Greater Than Ten Years [Member] | Interest Rate Swap [Member]
Notional Amount	$ 1,475			$ 1,475		$ 1,475
Average Fixed Pay Rate	0.47%			0.47%		0.47%
Average Receive Rate	0.06%			0.06%		0.07%
Average Maturity (Years)		14 years 2 months 12 days		13 years 8 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

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Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) $ in Millions	3 Months Ended			6 Months Ended
	Jun. 30, 2021 USD ($)	Mar. 31, 2021 USD ($) month	Jun. 30, 2020 USD ($)	Jun. 30, 2021 USD ($) month	Jun. 30, 2020 USD ($)	Dec. 31, 2020 USD ($)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	$ (680)		$ (237)	$ 763	$ (3,417)
Interest Rate Swaps Linked to Overnight Index Swap Rate	26.00%			26.00%		29.00%
Interest Rate Swaption [Member]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	$ (313)		(14)	$ 74	(148)
Cost		$ 237		291
Fair Value	294			$ 294		$ 116
Average Months to Expiration | month		15		19
Derivative Liability, Notional Amount	$ 11,450			$ 11,450		$ 10,400
Average Fixed Pay Rate	1.77%			1.77%		1.84%
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	$ (400)		$ (379)	$ 724	$ (3,174)
Derivative Liability, Notional Amount	$ 49,725			$ 49,725		$ 43,225
Average Fixed Pay Rate	0.18%			0.18%		0.15%
Average Maturity (Years)		5 years 1 month 6 days		4 years 4 months 24 days
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member]
Cost		$ 123		$ 101
Fair Value	$ 55			$ 55		$ 15
Average Months to Expiration | month		5		5
Derivative Liability, Notional Amount	$ 4,200			$ 4,200		$ 5,900
Average Fixed Pay Rate	1.77%			1.77%		2.17%
Average Maturity (Years)		9 years 2 months 12 days		8 years 9 months 18 days
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member]
Derivative Liability, Notional Amount	$ 16,000			$ 16,000		$ 8,750
Average Fixed Pay Rate	0.11%			0.11%		0.04%
Average Maturity (Years)		2 years 4 months 24 days		2 years 3 months 18 days
Bermudan [Member] | Interest Rate Swaption [Member]
Derivative Liability, Notional Amount	$ 700			$ 700

XML

Derivative and Other Hedging Instruments (US Treasury Securities) (Details) - USD ($) $ in Millions	Jun. 30, 2021	Mar. 31, 2021	Dec. 31, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019
Derivative [Line Items]
U.S. Treasury securities, net	$ (10,523)		$ (11,727)
Weighted Average Yield Percentage	2.42%		2.33%
7 Years Maturity [Member]
Derivative [Line Items]
U.S. Treasury securities, net	$ (1,083)		$ (1,083)
At Par Value [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(10,496)		(11,288)
TBA and Forward Settling Agency Securities [Member]
Derivative [Line Items]
Derivative, Notional Amount	(26,567)	$ (24,518)	(30,364)	$ (19,760)	$ (20,279)	$ (7,322)
Derivative, Forward Settlement Value	(27,307)		(31,204)
Derivative Asset, Fair Value, Gross Asset	(27,386)		(31,479)
Derivative, Fair Value, Net	79		275
5 Year Maturity [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(1,665)		(425)
10 Year Maturity [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(7,748)		(9,780)
10 Year Maturity [Member] | US Treasury Securities [Member]
Derivative [Line Items]
Derivative, Fair Value, Net	(6)		(2)
Short [Member] | US Treasury Securities [Member]
Derivative [Line Items]
Derivative, Notional Amount	(10,893)	$ (15,527)	(11,287)	$ (7,247)	$ (4,245)	$ (9,224)
Short [Member] | 10 Year Maturity [Member] | US Treasury Securities [Member]
Derivative [Line Items]
Derivative, Notional Amount	(1,500)		(1,000)
Derivative, Forward Settlement Value	(1,982)		(1,379)
Derivative Asset, Fair Value, Gross Asset	(1,988)		(1,381)
Fair Value Hedging [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(10,523)		(11,727)
Fair Value Hedging [Member] | 7 Years Maturity [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(1,049)		(1,089)
Fair Value Hedging [Member] | 5 Year Maturity [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(1,631)		(425)
Fair Value Hedging [Member] | 10 Year Maturity [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(7,843)		(10,213)
Fair Value Hedging [Member] | Long [Member]
Derivative [Line Items]
U.S. Treasury securities, net	397
At Cost Basis [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(10,460)		(11,368)
At Cost Basis [Member] | 7 Years Maturity [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(1,072)		(1,081)
At Cost Basis [Member] | 5 Year Maturity [Member]
Derivative [Line Items]
U.S. Treasury securities, net	(1,648)		(425)
At Cost Basis [Member] | 10 Year Maturity [Member]
Derivative [Line Items]
U.S. Treasury securities, net	$ (7,740)		$ (9,862)
US Treasury Securities [Member] | Short [Member]
Derivative [Line Items]
Weighted Average Yield Percentage	1.30%		1.20%
US Treasury Securities [Member] | Long [Member]
Derivative [Line Items]
Weighted Average Yield Percentage	0.98%

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Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - TBA and Forward Settling Agency Securities [Member] - USD ($) $ in Millions	Jun. 30, 2021	Mar. 31, 2021	Dec. 31, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019
Derivative [Line Items]
Derivative, Notional Amount	$ 26,567	$ 24,518	$ 30,364	$ 19,760	$ 20,279	$ 7,322
Cost Basis	27,307		31,204
Net long TBA position, at fair value	27,386		31,479
TBA, net carrying value	79		275
30 Year Maturity [Member]
Derivative [Line Items]
Derivative, Notional Amount	25,821		23,624
Cost Basis	26,543		24,288
Net long TBA position, at fair value	26,621		24,499
TBA, net carrying value	78		211
30 Year Maturity [Member] | 2.0% Coupon [Member]
Derivative [Line Items]
Derivative, Notional Amount	2,551		19,805
Cost Basis	2,552		20,314
Net long TBA position, at fair value	2,572		20,480
TBA, net carrying value	20		166
30 Year Maturity [Member] | 2.5% Coupon [Member]
Derivative [Line Items]
Derivative, Notional Amount	20,627		3,167
Cost Basis	21,227		3,291
Net long TBA position, at fair value	21,289		3,335
TBA, net carrying value	62		44
30 Year Maturity [Member] | 3.0% Coupon [Member]
Derivative [Line Items]
Derivative, Notional Amount	2,104		528
Cost Basis	2,195		552
Net long TBA position, at fair value	2,193		553
TBA, net carrying value	(2)		1
30 Year Maturity [Member] | 3.5% Coupon [Member]
Derivative [Line Items]
Derivative, Notional Amount	539		124
Cost Basis	569		131
Net long TBA position, at fair value	567		131
TBA, net carrying value	(2)		0
15 Year Maturity [Member]
Derivative [Line Items]
Derivative, Notional Amount	746		6,740
Cost Basis	764		6,916
Net long TBA position, at fair value	765		6,980
TBA, net carrying value	1		64
15 Year Maturity [Member] | 2.0% Coupon [Member]
Derivative [Line Items]
Derivative, Notional Amount	418		6,540
Cost Basis	422		6,708
Net long TBA position, at fair value	423		6,771
TBA, net carrying value	1		63
15 Year Maturity [Member] | 2.5% Coupon [Member]
Derivative [Line Items]
Derivative, Notional Amount	328		200
Cost Basis	342		208
Net long TBA position, at fair value	342		209
TBA, net carrying value	$ 0		$ 1

XML

Derivative and Other Hedging Instruments (Effect Of Derivative Instruments Not Designated As Hedges On Comprehensive Income Statement) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020	Mar. 31, 2021	Dec. 31, 2020	Mar. 31, 2020	Dec. 31, 2019
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Amount Gain/(Loss) Recognized in Income on Derivatives	$ (680,000)	$ (237,000)	$ 763,000	$ (3,417,000)
Gain (Loss) on Extinguishment of Debt				(146,000)
Interest Rate Swaption [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Notional Amount	(11,450,000)	(9,350,000)	(11,450,000)	(9,350,000)	$ (13,150,000)	$ (10,400,000)	$ (9,550,000)
Additions	0	0	(4,250,000)	(2,000,000)
Settlement, Expirations or Exercise	1,700,000	200,000	3,200,000	1,500,000
Notional Amount	(11,450,000)		(11,450,000)
Amount Gain/(Loss) Recognized in Income on Derivatives	(313,000)	(14,000)	74,000	(148,000)
TBA and Forward Settling Agency Securities [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Notional Amount	(26,567,000)	(19,760,000)	(26,567,000)	(19,760,000)	(24,518,000)	(30,364,000)	(20,279,000)	$ (7,322,000)
Additions	(94,248,000)	(75,186,000)	(187,584,000)	(112,936,000)
Settlement, Expirations or Exercise				100,498,000
Amount Gain/(Loss) Recognized in Income on Derivatives	396,000	220,000	(530,000)	913,000
Purchases Of TBAs And Forward Settling Agency Securities [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Settlement, Expirations or Exercise	92,199,000	75,705,000	191,381,000
Interest Rate Swap [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Additions	0	(25,750,000)	(7,000,000)	(75,725,000)
Settlement, Expirations or Exercise	0	30,150,000	500,000	112,725,000
Notional Amount	(49,725,000)		(49,725,000)
Amount Gain/(Loss) Recognized in Income on Derivatives	(400,000)	(379,000)	724,000	(3,174,000)
US Treasury Securities [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Amount Gain/(Loss) Recognized in Income on Derivatives	(29,000)	(8,000)	32,000	(112,000)
Forward Settling non-Agency Securities
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Notional Amount	(300,000)		(300,000)		0	0
Additions	(300,000)		(300,000)
Amount Gain/(Loss) Recognized in Income on Derivatives	0		0
Purchases Of Forward Settling non-Agency Securities
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Settlement, Expirations or Exercise	0		0
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Notional Amount								(8,850,000)
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Notional Amount	(49,725,000)	(42,075,000)	(49,725,000)	(42,075,000)	(49,725,000)	(43,225,000)	(46,475,000)	(79,075,000)
Short [Member] | US Treasury Securities [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Notional Amount	(10,893,000)	(7,247,000)	(10,893,000)	(7,247,000)	(15,527,000)	(11,287,000)	(4,245,000)	(9,224,000)
Additions	(585,000)	(4,187,000)	(7,846,000)	(10,232,000)
Settlement, Expirations or Exercise	(5,219,000)	(1,185,000)	(8,240,000)	12,209,000
Amount Gain/(Loss) Recognized in Income on Derivatives	(333,000)	(60,000)	474,000	(997,000)
Long [Member] | US Treasury Securities [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Amount Gain/(Loss) Recognized in Income on Derivatives	(1,000)	4,000	(11,000)	101,000
Debt Securities, Trading, and Equity Securities, FV-NI	397,000	1,132,000	397,000	1,132,000	0	0	3,569,000	95,000
Trading Securities Added During the Period	1,336,000	550,000	2,651,000	7,011,000
Notional Amount Of Trading Securities Settlement Expiration During The Period	(939,000)	(2,987,000)	(2,254,000)	(5,974,000)
Future [Member] | Short [Member] | US Treasury Securities [Member]
Changes in Derivative and Other Hedge Portfolio [Roll Forward]
Notional Amount	(1,500,000)	(1,000,000)	(1,500,000)	(1,000,000)	$ (1,000,000)	$ (1,000,000)	$ (1,000,000)	$ (1,000,000)
Additions	2,000,000	1,000,000	3,000,000	(2,000,000)
Settlement, Expirations or Exercise	$ (1,500,000)	$ (1,000,000)	$ (2,500,000)	$ 2,000,000

XML

Pledged Assets (Narrative) (Details)	Jun. 30, 2021
Pledged Assets [Abstract]
Risk Of Repurchase Agreement To Stockholders Equity	2.00%

XML

Pledged Assets Repurchase Agreements with Counterparties Greater than or Equal to 5% of Equity at Risk (Details) $ in Millions	Jun. 30, 2021 USD ($) days	Dec. 31, 2020 USD ($) days
Repurchase Agreements with Counterparties Greater than or equal to 5% of Equity at Risk [Line Items]
Securities Sold under Agreements to Repurchase | $	$ 48,737	$ 52,366
Risk Of Repurchase Agreement To Stockholders Equity	2.00%
Weighted Average Days to Maturity | days	54	54
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	8.00%

XML

Pledged Assets (Assets Pledged as Collateral) (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Offsetting Assets and Liabilities [Line Items]
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment	$ 50,319	$ 54,314
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repurchase Agreements	98	119
Accrued interest on pledged securities	131	150
Restricted cash	623	1,307
Total Fair Value of Securities Pledged and Accrued Interest	52,814
Total Fair Value Of Agency Securities Pledged And Accrued Interest		56,689
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	49,044	53,401
Derivative [Member]
Offsetting Assets and Liabilities [Line Items]
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment	483	365
Accrued interest on pledged securities		1
Restricted cash	604	890
Total Fair Value of Securities Pledged and Accrued Interest	1,088
Total Fair Value Of Agency Securities Pledged And Accrued Interest		1,256
Repurchase Agreements [Member]
Offsetting Assets and Liabilities [Line Items]
Accrued interest on pledged securities	128	147
Total Fair Value of Securities Pledged and Accrued Interest	50,803
Total Fair Value Of Agency Securities Pledged And Accrued Interest		54,878
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	245	295
Accrued interest on pledged securities	1	1
Total Fair Value of Securities Pledged and Accrued Interest	246
Total Fair Value Of Agency Securities Pledged And Accrued Interest		296
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	404	258
Accrued interest on pledged securities	1	1
Total Fair Value of Securities Pledged and Accrued Interest	677
Total Fair Value Of Agency Securities Pledged And Accrued Interest		259
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	50,176	54,319
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	502	455
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	502	455
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	377	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	377	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	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	1,005
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	272
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	733
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
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	19	417
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	$ 623	$ 1,307

XML

Pledged Assets (Securities Pledged as Collateral) (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Offsetting Assets and Liabilities [Line Items]
Retained Interests in Consolidated VIE's Pledged as Collateral Under Repo	$ 98	$ 119
Security Owned and Pledged as Collateral, Fair Value	50,319	54,314
Agency Securities Pledged As Collateral Amortized Cost	49,003	51,784
Agency Securities Pledged As Collateral Accrued Interest	128	147
Maturity Less than 30 Days [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	31,779	29,674
Agency Securities Pledged As Collateral Amortized Cost	30,818	28,208
Agency Securities Pledged As Collateral Accrued Interest	84	82
Maturity 31 To 59 Days [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	3,124	8,438
Agency Securities Pledged As Collateral Amortized Cost	3,002	8,013
Agency Securities Pledged As Collateral Accrued Interest	8	23
Maturity 60 To 90 Days [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	5,788	5,782
Agency Securities Pledged As Collateral Amortized Cost	5,641	5,495
Agency Securities Pledged As Collateral Accrued Interest	15	16
Maturity over 90 days [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	9,628	10,420
Agency Securities Pledged As Collateral Amortized Cost	9,542	10,068
Agency Securities Pledged As Collateral Accrued Interest	21	26
Repurchase Agreements [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	49,044	53,401
Derivative [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	483	365
Credit Risk Transfer Securities [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	502	455
Credit Risk Transfer Securities [Member] | Repurchase Agreements [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	502	455
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	1,005
Securities Received as Collateral, Amount Repledged and Sold	600
US Treasury Securities [Member] | Repurchase Agreements [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	733
US Treasury Securities [Member] | Derivative [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	0
Non-Agency [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	377	458
Non-Agency [Member] | Repurchase Agreements [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	377	458
Non-Agency [Member] | Derivative [Member]
Offsetting Assets and Liabilities [Line Items]
Security Owned and Pledged as Collateral, Fair Value	$ 0	$ 0

XML

Pledged Assets (Assets Pledged from Counterparties) (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Offsetting Assets and Liabilities [Line Items]
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value	$ 10,920	$ 11,727
Restricted Cash and Cash Equivalents	623	1,307
Assets Pledged to Us [Member]
Offsetting Assets and Liabilities [Line Items]
Restricted Cash and Cash Equivalents	315	110
Restricted Cash and Securities Pledged	13,351	11,850
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)	(13)
Restricted Cash and Cash Equivalents	1	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	(14)	(16)
Derivative [Member] | Assets Pledged to Us [Member]
Offsetting Assets and Liabilities [Line Items]
Restricted Cash and Securities Pledged	314	107
US Treasury Securities [Member]
Offsetting Assets and Liabilities [Line Items]
Securities Received as Collateral, Amount Repledged and Sold	600
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	(13,036)	(11,740)
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	(13,023)	(11,727)
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	(13,023)	(11,727)
Derivative [Member]
Offsetting Assets and Liabilities [Line Items]
Restricted Cash and Cash Equivalents	604	890
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	$ 314	$ 107

XML

Pledged Assets (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Offsetting Assets and Liabilities [Line Items]
Collateral Received	$ (5,056)
Assets [Member]
Offsetting Assets and Liabilities [Line Items]
Gross Amounts of Recognized Assets	12,360	$ 12,139
Gross Amount Offset in the Consolidated Balance Sheets	0
Net Amounts of Assets Presented in the Consolidated Balance Sheets	12,360	12,139
Financial Instruments	(7,224)	(6,522)
Collateral Received		(5,328)
Net Amount	80	289
Assets [Member] | ERROR in label resolution.
Offsetting Assets and Liabilities [Line Items]
Gross Amounts of Recognized Assets	294	116
Net Amounts of Assets Presented in the Consolidated Balance Sheets	294	116
Financial Instruments	0	0
Collateral Received	(293)	(105)
Net Amount	1	11
Assets [Member] | TBA and Forward Settling Agency Securities [Member]
Offsetting Assets and Liabilities [Line Items]
Gross Amounts of Recognized Assets	87	275
Net Amounts of Assets Presented in the Consolidated Balance Sheets	87	275
Financial Instruments	(8)	0
Net Amount	79	275
Assets [Member] | Reverse Repurchase Agreements [Member]
Offsetting Assets and Liabilities [Line Items]
Net Amount	0	3
Liability [Member]
Offsetting Assets and Liabilities [Line Items]
Gross Amounts of Recognized Assets	48,745	52,366
Gross Amount Offset in the Consolidated Balance Sheets	0
Net Amounts of Assets Presented in the Consolidated Balance Sheets	48,745	52,366
Financial Instruments	(7,224)	(6,522)
Collateral Received	(41,520)	(45,844)
Net Amount	1
Liability [Member] | Repurchase Agreements [Member]
Offsetting Assets and Liabilities [Line Items]
Net Amount	1	0
Liability [Member] | ERROR in label resolution.
Offsetting Assets and Liabilities [Line Items]
Net Amount		0
Liability [Member] | TBA and Forward Settling Agency Securities [Member]
Offsetting Assets and Liabilities [Line Items]
Gross Amounts of Recognized Assets	8
Net Amounts of Assets Presented in the Consolidated Balance Sheets	8
Financial Instruments	(8)
Collateral Received	0
Net Amount	0
Reverse Repurchase Agreements [Member] | Assets [Member]
Offsetting Assets and Liabilities [Line Items]
Gross Amounts of Recognized Assets	11,979	11,748
Gross Amount Offset in the Consolidated Balance Sheets	0
Net Amounts of Assets Presented in the Consolidated Balance Sheets	11,979	11,748
Financial Instruments	(7,216)	(6,522)
Collateral Received	(4,763)	(5,223)
Repurchase Agreements [Member] | Liability [Member]
Offsetting Assets and Liabilities [Line Items]
Gross Amounts of Recognized Assets	48,737	52,366
Gross Amount Offset in the Consolidated Balance Sheets	0
Net Amounts of Assets Presented in the Consolidated Balance Sheets	48,737	52,366
Financial Instruments	(7,216)	(6,522)
Collateral Received	$ (41,520)	$ (45,844)

XML

Fair Value Measurements (Details) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2021	Dec. 31, 2020
Future [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | US Treasury Securities [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Liability	$ 6	$ 2
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	294	116
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	0
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	0
Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | TBA and Forward Settling Agency Securities [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
TBA securities	(87)	(275)
Securities Sold under Agreements to Repurchase	$ 48,737	52,366
Transfers between hierarchy levels	no
Agency securities	$ 57,896	64,836
Non-Agency Securities, at Fair Value	553	546
Financial Instruments, Owned, Other, at Fair Value	1,105	737
U.S. Treasury securities	397	0
TBA securities	(381)	(391)
Derivative Liability	14	2
Debt of consolidated variable interest entities, at fair value	148	177
Obligation to return securities borrowed under reverse repurchase agreements, at fair value	10,920	11,727
Interest rate swaps	381	391
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	397	0
Total liabilities	10,926	11,729
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	60,180	66,805
Total liabilities	156	177
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	$ 8	$ 0

XML

Net Income (Loss) Per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items]
Weighted Average Number of Shares Outstanding	524,900	559,100	528,700	553,300
Weighted Average Number of Fully Vested Restricted Stock Units and Performance Share Units Outstanding	1,700	1,200	1,400	900
Weighted Average Number of Shares Outstanding, Basic	526,600	560,300	530,100	554,200
Incremental Common Shares Attributable to Dilutive Effect of Share-based Payment Arrangements	0	500	1,800	0
Weighted Average Number of Shares Outstanding, Diluted	526,600	560,800	531,900	554,200
Net Income (Loss) Available to Common Stockholders, Basic	$ (436)	$ 693	$ 514	$ (1,749)
Earnings Per Share, Basic	$ (0.83)	$ 1.24	$ 0.97	$ (3.16)
Earnings Per Share, Diluted	$ (0.83)	$ 1.24	$ 0.97	$ (3.16)
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount	1,700			800

XML

Stockholders' Equity (Preferred Stock) (Details) - USD ($) $ / shares in Units, $ in Thousands			1 Months Ended	6 Months Ended
	Feb. 11, 2020	Oct. 03, 2019	May 31, 2014	Jun. 30, 2021	Dec. 31, 2020
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	$ 1,489,000
Preferred Stock, Liquidation Preference, Value				$ 1,538,000	$ 1,538,000
Preferred Stock, Shares Authorized				10,000,000.0
Series B Preferred Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Preferred Stock, Percent Interest Per Share			0.10%
Series C Preferred Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Preferred Stock, Capital Shares Reserved for Future Issuance				13,800
Preferred Stock, Dividend Rate, Percentage				7.00%
Preferred Stock Dividend Payment Rate Variable Rate Spread				5.111%
Preferred Stock, Liquidation Preference Per Share				$ 25.00
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				13,000,000.0
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	23,000,000.0

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Stockholders' Equity (Common Stock Repurchase Program) (Details) - USD ($) shares in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Repurchase of common stock shares		(15,000)
Repurchase of common stock, value	$ (147,000,000)	$ (239,000,000)	$ (147,000,000)
Payments for Repurchase of Common Stock		239,000,000	$ 147,000,000
Stock Repurchased During Period, Average Repurchase Price (in dollars per share)		16.00
Stock Repurchase Program, Remaining Authorized Repurchase Amount		684,000,000
Common Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Repurchase of common stock shares	(12,200)		(12,200)
Repurchase of common stock, value		$ 0

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Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax	$ (77)	$ 203	$ (314)	$ 667
Agency Securities [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Beginning OCI Balance	482	561	719	97
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax	(63)	242	(282)	707
Amounts reclassified from accumulated OCI	(14)	(39)	(32)	(40)
Ending OCI Balance	$ 405	$ 764	$ 405	$ 764

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Stockholders' Equity (Follow-On Equity Offerings) (Details) $ in Millions	6 Months Ended
	Jun. 30, 2020 USD ($)
Class of Stock [Line Items]
Stock Issued During Period, Value, New Issues	$ 439

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Stockholders' Equity (At-the-Market Offering Program) (Details) $ in Millions	6 Months Ended
	Jun. 30, 2020 USD ($)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Stock Issued During Period, Value, New Issues	$ 439

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Stockholders' Equity Schedule of Dividends Declared (Details) - $ / shares	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Dividends declared per common share	$ 0.36	$ 0.36	$ 0.72	$ 0.84

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Income Taxes (Details)	6 Months Ended
	Jun. 30, 2021
Investments, Owned, Federal Income Tax Note [Line Items]
Required Annual Distribution of Taxable Net Income	90.00%

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Label	Element	Value
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents	us-gaap_CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents	$ 2,324,000,000
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents	us-gaap_CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents	$ 1,282,000,000