Pledged Assets

6 Months Ended

Jun. 30, 2020

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, 2020, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 3% of our tangible stockholders' equity (measured as the excess of the value of collateral pledged over the amount of our repurchase liabilities). As of June 30, 2020, approximately 11% 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, 2020 and December 31, 2019 (in millions):


	June 30, 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	$	70,357	$	344	$	—	$	176	$	70,877
CRT - fair value	490		—		—		—		490
Non-Agency - fair value	514		—		—		—		514
U.S. Treasury securities - fair value	668		—		468		—		1,136
Accrued interest on pledged securities	203		1		2		—		206
Restricted cash	658		—		648		—		1,306
Total	$	72,890	$	345	$	1,118	$	176	$	74,529


	December 31, 2019
Assets Pledged to Counterparties ¹	Repurchase Agreements ²		Debt of Consolidated VIEs		Derivative Agreements		Brokerage and Clearing Agreements ³		Total
Agency RMBS - fair value	$	92,142	$	371	$	404	$	206	$	93,123
CRT - fair value	309		—		—		—		309
U.S. Treasury securities - fair value	453		—		—		28		481
Accrued interest on pledged securities	267		1		1		1		270
Restricted cash	111		—		340		—		451
Total	$	93,282	$	372	$	745	$	235	$	94,634

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

2.Includes $111 million and $144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2020 and December 31, 2019, respectively.

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

The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of June 30, 2020 and December 31, 2019 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5.


	June 30, 2020										December 31, 2019
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	$	46,347	$	44,231	$	131	$	56,990	$	55,951	$	167
> 30 and ≤ 60 days	7,659		7,308		22		14,410		14,114		42
> 60 and ≤ 90 days	2,953		2,838		8		7,637		7,536		20
> 90 days	15,070		14,447		42		13,510		13,286		38
Total	$	72,029	$	68,824	$	203	$	92,547	$	90,887	$	267

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1.Includes $111 million and $144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2020 and December 31, 2019, respectively.

2.Excludes $357 million of repledged U.S. Treasury securities received as collateral from counterparties as of December 31, 2019.

Assets Pledged from Counterparties

As of June 30, 2020 and December 31, 2019, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).


	June 30, 2020														December 31, 2019
Assets Pledged to AGNC	Reverse Repurchase Agreements		Derivative Agreements		Repurchase Agreements		Total		Reverse Repurchase Agreements		Derivative Agreements		Repurchase Agreements		Total
U.S. Treasury securities - fair value ¹	$	7,931	$	—	$	8	$	7,939	$	10,099	$	—	$	1	$	10,100
Cash	—		7		17		24		—		116		—		116
Total	$	7,931	$	7	$	25	$	7,963	$	10,099	$	116	$	1	$	10,216

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1.As of June 30, 2020 and December 31, 2019, $0 million and $357 million, respectively, of U.S. Treasury securities received from counterparties were repledged as collateral and $7.9 billion and $9.5 billion, respectively, were used to cover short sales of U.S. Treasury securities.

Offsetting Assets and Liabilities

Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of June 30, 2020 and December 31, 2019 (in millions):


	Offsetting of Financial and Derivative Assets
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets								Net Amount
											Financial Instruments			Collateral Received ²
June 30, 2020
Interest rate swap and swaption agreements, at fair value ¹	$	6	$	—	$	6	$	—	$	(6)		$	—
TBA securities, at fair value	130		—		130		—		—			130
Receivable under reverse repurchase agreements	7,944		—		7,944		(6,082)		(1,862)			—
Total	$	8,080	$	—	$	8,080	$	(6,082)	$	(1,868)		$	130

December 31, 2019
Interest rate swap and swaption agreements, at fair value¹	$	147	$	—	$	147	$	(2)	$	(116)		$	29
TBA securities, at fair value	29		—		29		(4)		—			25
Receivable under reverse repurchase agreements	10,181		—		10,181		(9,852)		(329)			—
Total	$	10,357	$	—	$	10,357	$	(9,858)	$	(445)		$	54


	Offsetting of Financial and Derivative Liabilities
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Liabilities Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets								Net Amount
											Financial Instruments			Collateral Pledged ²
June 30, 2020
Interest rate swap agreements, at fair value ¹	$	—	$	—	$	—	$	—	$	—		$	—
TBA securities, at fair value	—		—		—		—		—			—
Repurchase agreements	69,685		—		69,685		(6,082)		(63,604)			(1)
Total	$	69,685	$	—	$	69,685	$	(6,082)	$	(63,604)		$	(1)

December 31, 2019
Interest rate swap agreements, at fair value¹	$	2	$	—	$	2	$	(2)	$	—		$	—
TBA securities, at fair value	4		—		4		(4)		—			—
Repurchase agreements	89,182		—		89,182		(9,852)		(79,330)			—
Total	$	89,188	$	—	$	89,188	$	(9,858)	$	(79,330)		$	—

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1.Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 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.