Pledged Assets | 30 and ≤ 60 days 12,950 13,061 38 8,103 8,158 23 > 60 and ≤ 90 days 4,000 4,013 11 4,034 4,070 11 > 90 days 15,385 15,512 45 11,278 11,380 32 Total RMBS 52,497 52,899 153 43,096 43,471 122 U.S. Treasury securities: > 1 day ≤ 30 days — — — 173 173 — Total $ 52,497 $ 52,899 $ 153 $ 43,269 $ 43,644 $ 122 ________________________________ 1. Includes $182 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2017 and 2016 , respectively. 2. December 31, 2017 amounts exclude $113 million of repledged U.S. Treasury securities received as collateral from counterparties. The table above excludes Agency securities transferred to our consolidated VIEs. 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 Notes 3 and 4 for additional information regarding our consolidated VIEs. Assets Pledged from Counterparties As of December 31, 2017 and 2016 , we had assets pledged to us from counterparties as collateral under our reverse repurchase, repurchase and derivative agreements summarized in the tables below (in millions). December 31, 2017 December 31, 2016 Assets Pledged to AGNC Reverse Repurchase Agreements 1 Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency RMBS - fair value $ — $ — $ — $ — $ — $ — $ 14 $ 14 U.S. Treasury securities - fair value 10,853 — — 10,853 7,636 — — 7,636 Cash — 82 — 82 — 107 — 107 Total $ 10,853 $ 82 $ — $ 10,935 $ 7,636 $ 107 $ 14 $ 7,757 U.S Treasury securities received as collateral under our reverse repurchase agreements that 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, 2017 and 2016 (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 December 31, 2017 Interest rate swap and swaption agreements, at fair value 1 $ 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 December 31, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 342 $ — $ 342 $ (80 ) $ (49 ) $ 213 TBA securities, at fair value 4 — 4 (4 ) — — Receivable under reverse repurchase agreements 7,716 — 7,716 (6,963 ) (753 ) — Total $ 8,062 $ — $ 8,062 $ (7,047 ) $ (802 ) $ 213 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 December 31, 2017 Interest rate swap agreements, at fair value 1 $ 1 $ — $ 1 $ (1 ) $ — $ — TBA securities, at fair value 27 — 27 (22 ) (5 ) — Repurchase agreements 50,296 — 50,296 (9,682 ) (40,614 ) — Total $ 50,324 $ — $ 50,324 $ (9,705 ) $ (40,619 ) $ — December 31, 2016 Interest rate swap agreements, at fair value 1 $ 105 $ — $ 105 $ (80 ) $ (25 ) $ — TBA securities, at fair value 151 — 151 (4 ) (147 ) — Repurchase agreements and FHLB advances 40,895 — 40,895 (6,963 ) (33,932 ) — Total $ 41,151 $ — $ 41,151 $ (7,047 ) $ (34,104 ) $ — ________________________________ 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 presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable." id="sjs-B4">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. 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, 2017 , 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. As of December 31, 2017 , our amount at risk with any counterparty related to our repurchase agreements was less than 5% of our tangible stockholders' equity and our maximum amount at risk with any counterparty related to our interest rate swap and swaption agreements, excluding centrally cleared swaps, was less than 1% of our stockholders' equity. 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, 2017 and 2016 (in millions): December 31, 2017 Assets Pledged to Counterparties Repurchase Agreements 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 52,497 $ 662 $ 221 $ 519 $ 53,899 U.S. Treasury securities - fair value 3 113 — 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 December 31, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLB Advances 1 Debt of Consolidated VIEs Derivative Agreements Prime Broker Agreements 2 Total Agency RMBS - fair value $ 43,005 $ 818 $ 275 $ 865 $ 44,963 Non-Agency RMBS - fair value 90 — — — 90 U.S. Treasury securities - fair value 173 — — — 173 Accrued interest on pledged securities 122 3 1 2 128 Restricted cash and cash equivalents 60 — 14 — 74 Total $ 43,450 $ 821 $ 290 $ 867 $ 45,428 ________________________________ 1. Includes $182 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2017 and 2016 , respectively. 2. Includes margin for TBAs cleared through prime brokers and other clearing deposits. 3. Includes repledged securities received as collateral from counterparties. As of December 31, 2016 , we held $126 million of membership and activity-based stock in the FHLB of Des Moines, which was redeemed in February 2017 with the termination of our captive insurance subsidiary's FHLB membership such that we held no such stock as of December 31, 2017 . FHLB stock is reported at cost, which equals par value, in other assets on our accompanying consolidated balance sheets. The cash and cash equivalents and Agency securities pledged as collateral under our derivative agreements are included in restricted cash and cash equivalents and Agency securities, at fair value, respectively, on our consolidated balance sheets. The following table summarizes our securities pledged as collateral under our repurchase agreements and FHLB advances by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of December 31, 2017 and 2016 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . December 31, 2017 December 31, 2016 Securities Pledged by Remaining Maturity of Repurchase Agreements and FHLB Advances 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 RMBS: 1,2 ≤ 30 days $ 20,162 $ 20,313 $ 59 $ 19,681 $ 19,863 $ 56 > 30 and ≤ 60 days 12,950 13,061 38 8,103 8,158 23 > 60 and ≤ 90 days 4,000 4,013 11 4,034 4,070 11 > 90 days 15,385 15,512 45 11,278 11,380 32 Total RMBS 52,497 52,899 153 43,096 43,471 122 U.S. Treasury securities: > 1 day ≤ 30 days — — — 173 173 — Total $ 52,497 $ 52,899 $ 153 $ 43,269 $ 43,644 $ 122 ________________________________ 1. Includes $182 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2017 and 2016 , respectively. 2. December 31, 2017 amounts exclude $113 million of repledged U.S. Treasury securities received as collateral from counterparties. The table above excludes Agency securities transferred to our consolidated VIEs. 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 Notes 3 and 4 for additional information regarding our consolidated VIEs. Assets Pledged from Counterparties As of December 31, 2017 and 2016 , we had assets pledged to us from counterparties as collateral under our reverse repurchase, repurchase and derivative agreements summarized in the tables below (in millions). December 31, 2017 December 31, 2016 Assets Pledged to AGNC Reverse Repurchase Agreements 1 Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency RMBS - fair value $ — $ — $ — $ — $ — $ — $ 14 $ 14 U.S. Treasury securities - fair value 10,853 — — 10,853 7,636 — — 7,636 Cash — 82 — 82 — 107 — 107 Total $ 10,853 $ 82 $ — $ 10,935 $ 7,636 $ 107 $ 14 $ 7,757 U.S Treasury securities received as collateral under our reverse repurchase agreements that 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, 2017 and 2016 (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 December 31, 2017 Interest rate swap and swaption agreements, at fair value 1 $ 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 December 31, 2016 Interest rate swap and swaption agreements, at fair value 1 $ 342 $ — $ 342 $ (80 ) $ (49 ) $ 213 TBA securities, at fair value 4 — 4 (4 ) — — Receivable under reverse repurchase agreements 7,716 — 7,716 (6,963 ) (753 ) — Total $ 8,062 $ — $ 8,062 $ (7,047 ) $ (802 ) $ 213 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 December 31, 2017 Interest rate swap agreements, at fair value 1 $ 1 $ — $ 1 $ (1 ) $ — $ — TBA securities, at fair value 27 — 27 (22 ) (5 ) — Repurchase agreements 50,296 — 50,296 (9,682 ) (40,614 ) — Total $ 50,324 $ — $ 50,324 $ (9,705 ) $ (40,619 ) $ — December 31, 2016 Interest rate swap agreements, at fair value 1 $ 105 $ — $ 105 $ (80 ) $ (25 ) $ — TBA securities, at fair value 151 — 151 (4 ) (147 ) — Repurchase agreements and FHLB advances 40,895 — 40,895 (6,963 ) (33,932 ) — Total $ 41,151 $ — $ 41,151 $ (7,047 ) $ (34,104 ) $ — ________________________________ 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 presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. |