Repurchase Agreements And Reverse Repurchase Agreements

6 Months Ended

Jun. 30, 2020

Disclosure of Repurchase Agreements [Abstract]

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, 2020, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 7.

As of June 30, 2020 and December 31, 2019, we had $69.7 billion and $89.2 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S. Treasury securities. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis. Our repurchase agreements with original maturities greater than one year 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, 2020 and December 31, 2019 (dollars in millions):


	June 30, 2020									December 31, 2019
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	$	44,718	0.30	%	11	$	56,664	2.19	%	10
> 1 to ≤ 3 months	10,132		0.32	%	50	20,761		2.01	%	53
> 3 to ≤ 6 months	2,585		0.25	%	103	5,683		2.19	%	100
> 6 to ≤ 9 months	6,690		1.43	%	195	1,500		2.66	%	182
> 9 to ≤ 12 months	5,041		0.32	%	308	2,152		2.41	%	351
> 12 to ≤ 24 months	—		—	%	—	625		2.38	%	411
> 24 to ≤ 36 months	—		—	%	—	1,700		2.45	%	833
Total Agency repo	69,166		0.41	%	60	89,085		2.17	%	55
U.S. Treasury repo:
> 1 day to ≤ 1 month	519		0.12	%	1	97		1.63	%	2
Total	$	69,685	0.41	%	59	$	89,182	2.17	%	55

As of June 30, 2020 and December 31, 2019, $13.0 billion and $17.0 billion, respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand. As of June 30, 2020, we had $1.5 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 1 day and a weighted average interest rate of 0.30%. As of December 31, 2019, we had $4.5 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 12 days and a weighted average interest rate of 1.60%. As of June 30, 2020 and December 31, 2019, 48% and 40%, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 47% and 38% of our repurchase agreement funding outstanding as of June 30, 2020 and December 31, 2019, 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, 2020 and December 31, 2019, we had $7.9 billion and $10.2 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 $7.9 billion and $9.5 billion, respectively. As of June 30, 2020 and December 31, 2019, $4.3 billion and $5.4 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.