Pledged Assets

Our funding agreements require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract. We are typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value. Our prime brokerage agreements, pursuant to which we receive custody and settlement services, and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits. If we breach our collateral requirements, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral.

Our counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value. Our agreements do not specify the haircut; rather haircuts are determined on an individual transaction basis. Consequently, our funding agreements and derivative contracts expose us to credit risk relating to potential losses that could be recognized if our counterparties fail to perform their obligations under such agreements. We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses and U.S. government agencies, and we monitor our positions with individual counterparties. In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments provided for under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark-to-market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default. As of December 31, 2018, our maximum amount at risk with any counterparty other than the Fixed Income Clearing Corporation related to our repurchase agreements was less than 4% of our tangible stockholders' equity. As of December 31, 2018, approximately 8% of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation. Equity at risk is defined as the net carrying value of securities pledged under repurchase agreements, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

Our International Swaps and Derivatives Association ("ISDA") Master Agreements contain a cross default provision under which a default under the terms of certain of our other indebtedness in excess of certain thresholds causes an event of default under the ISDA Master Agreement. Threshold amounts vary by lender. Following an event of default, we could be required to settle our obligations under the agreements. Additionally, under certain of our ISDA Master Agreements, we could be required to settle our obligations under the agreements if we fail to maintain certain minimum stockholders' equity thresholds or our REIT status or if we fail to comply with limits on our leverage up to certain specified levels. As of December 31, 2018, the fair value of additional collateral that could be required to be posted as a result of the credit-risk-related contingent features being triggered was not material to our financial statements.

Assets Pledged to Counterparties

The following tables summarize our assets pledged as collateral under our funding, derivative and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2018 and 2017 (in millions):



	December 31, 2018
Assets Pledged to Counterparties ¹	Repurchase Agreements ²		Debt of Consolidated VIEs		Derivative Agreements		Prime Broker Agreements ³		Total
Agency RMBS - fair value	$	78,997	$	436	$	174	$	133	$	79,740
CRT - fair value	141		—		—		—		141
Non-Agency - fair value	45		—		—		—		45
U.S. Treasury securities - fair value	437		—		—		—		437
Accrued interest on pledged securities	246		1		1		—		248
Restricted cash and cash equivalents	77		—		522		—		599
Total	$	79,943	$	437	$	697	$	133	$	81,210



	December 31, 2017
Assets Pledged to Counterparties ¹	Repurchase Agreements ²		Debt of Consolidated VIEs		Derivative Agreements		Prime Broker Agreements ³		Total
Agency RMBS - fair value	$	52,497	$	662	$	221	$	519	$	53,899
U.S. Treasury securities - fair value	113		—		72		—		185
Accrued interest on pledged securities	153		2		1		2		158
Restricted cash and cash equivalents	35		—		281		1		317
Total	$	52,798	$	664	$	575	$	522	$	54,559

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1.	Includes repledged assets received as collateral from counterparties.


2.	Includes $163 million and $182 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2018 and 2017, respectively.


3.	Includes margin for TBAs cleared through prime brokers and other clearing deposits.

Securities transferred to our consolidated VIEs can only be used to settle the obligations of each respective VIE. However, we may pledge our retained interests in our consolidated VIEs as collateral under our repurchase agreements and derivative contracts. Please refer to Note 3 for additional information regarding our consolidated VIEs.

The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of December 31, 2018 and 2017 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4.



	December 31, 2018						December 31, 2017
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	$	49,944	$	50,654	$	156	$	20,162	$	20,313	$	59
> 30 and ≤ 60 days	14,586		14,810		46		12,950		13,061		38
> 60 and ≤ 90 days	7,770		7,843		24		4,000		4,013		11
> 90 days	6,882		7,079		21		15,385		15,512		45
Total	$	79,182	$	80,386	$	247	$	52,497	$	52,899	$	153

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1.	Includes $163 million and $182 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2018 and 2017, respectively.


2.	December 31, 2018 amounts exclude $437 million of repledged U.S. Treasury securities received as collateral from counterparties.

Assets Pledged from Counterparties

As of December 31, 2018 and 2017, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).



	December 31, 2018								December 31, 2017
Assets Pledged to AGNC ¹	Reverse Repurchase Agreements		Derivative Agreements		Repurchase Agreements		Total		Reverse Repurchase Agreements		Derivative Agreements		Repurchase Agreements		Total
U.S. Treasury securities - fair value	$	21,876	$	35	$	37	$	21,948	$	10,853	$	—	$	—	$	10,853
Cash	—		129		—		129		—		82		—		82
Total	$	21,876	$	164	$	37	$	22,077	$	10,853	$	82	$	—	$	10,935

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1.	Includes repledged collateral.

U.S Treasury securities received as collateral under our reverse repurchase agreements for which we use to cover short sales of U.S. Treasury securities are accounted for as securities borrowing transactions. We recognize a corresponding obligation to return the borrowed securities at fair value on the accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date.

Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets.

Offsetting Assets and Liabilities

Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of December 31, 2018 and 2017 (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
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments			Collateral Received ²			Net Amount
December 31, 2018
Interest rate swap and swaption agreements, at fair value ¹	$	163	$	—	$	163	$	—		$	(158	)	$	5
TBA securities, at fair value	110		—		110		(40		)	—			70
Receivable under reverse repurchase agreements	21,813		—		21,813		(17,236		)	(4,575		)	2
Total	$	22,086	$	—	$	22,086	$	(17,276	)	$	(4,733	)	$	77

December 31, 2017
Interest rate swap and swaption agreements, at fair value¹	$	156	$	—	$	156	$	(1	)	$	(82	)	$	73
TBA securities, at fair value	30		—		30		(22		)	—			8
Receivable under reverse repurchase agreements	10,961		—		10,961		(9,682		)	(1,279		)	—
Total	$	11,147	$	—	$	11,147	$	(9,705	)	$	(1,361	)	$	81



	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
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments			Collateral Pledged ²			Net Amount
December 31, 2018
Interest rate swap agreements, at fair value ¹	$	—	$	—	$	—	$	—		$	—		$	—
TBA securities, at fair value	40		—		40		(40		)	—			—
Repurchase agreements	75,717		—		75,717		(17,236		)	(58,481		)	—
Total	$	75,757	$	—	$	75,757	$	(17,276	)	$	(58,481	)	$	—

December 31, 2017
Interest rate swap agreements, at fair value¹	$	1	$	—	$	1	$	(1	)	$	—		$	—
TBA securities, at fair value	27		—		27		(22		)	(5		)	—
Repurchase agreements and FHLB advances	50,296		—		50,296		(9,682		)	(40,614		)	—
Total	$	50,324	$	—	$	50,324	$	(9,705	)	$	(40,619	)	$	—

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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.