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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/25/2015
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by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts.
As of December 31, 2014 and 2013, the fair value of our CMO securities and interest and principal-only securities was $1.6 billion and $1.7 billion, respectively, excluding the consolidated CMO trusts discussed above, or $2.1 billion and $2.3 billion, respectively, including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $274 million and $246 million as of December 31, 2014 and 2013, respectively.

Note 4. Repurchase Agreements and Other Debt
We pledge certain of our securities as collateral under repurchase arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. For additional information regarding our pledged assets please refer to Note 6. Interest rates on these borrowings are generally based on LIBOR plus or minus a margin and 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 December 31, 2014 and 2013, we had met all margin call requirements.
The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by remaining maturities as of December 31, 2014 and 2013 (dollars in millions):
 
 
December 31, 2014
 
December 31, 2013
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 MBS:
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 month
 
$
14,157

 
0.37
%
 
15

 
$
23,577

 
0.42
%
 
15

> 1 to ≤ 3 months
 
20,223

 
0.38
%
 
61

 
20,490

 
0.43
%
 
61

> 3 to ≤ 6 months
 
6,654

 
0.42
%
 
120

 
6,946

 
0.45
%
 
140

> 6 to ≤ 9 months
 
1,575

 
0.50
%
 
225

 
2,232

 
0.53
%
 
230

> 9 to ≤ 12 months
 
2,678

 
0.54
%
 
313

 
3,607

 
0.54
%
 
323

> 12 to ≤ 24 months
 
600

 
0.57
%
 
551

 
3,261

 
0.60
%
 
603

> 24 to ≤ 36 months
 
952

 
0.60
%
 
999

 
500

 
0.62
%
 
930

> 36 to ≤ 48 months
 
650

 
0.64
%
 
1,266

 
202

 
0.71
%
 
1,257

> 48 to < 60 months
 
900

 
0.68
%
 
1,542

 
400

 
0.66
%
 
1,574

Total agency MBS
 
48,389

 
0.41
%
 
143

 
61,215

 
0.45
%
 
124

U.S. Treasury securities:
 
 
 
 
 
 
 
 
 
 
 
 
1 day
 
1,907

 
0.09
%
 
1

 
2,318

 
0.02
%
 
1

Total / Weighted Average
 
$
50,296

 
0.40
%
 
138

 
$
63,533

 
0.44
%
 
119

As of December 31, 2014 and 2013, debt of consolidated VIEs, at fair value ("other debt") was $761 million and $910 million, respectively. As of December 31, 2014 and 2013, our other debt had a weighted average interest rate of LIBOR plus 43 and 42 basis points and a principal balance of $742 million and $900 million, respectively. The actual maturities of our other debt are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing our other debt and periodic principal prepayments of such underlying securities. The estimated weighted average life of our other debt as of December 31, 2014 and 2013 was 5.8 and 7.1 years, respectively.
As of December 31, 2014 and 2013, we also had outstanding forward commitments to purchase and sell agency securities through the TBA market (see Notes 2 and 5). These transactions, also referred to as TBA dollar roll transactions, represent a form of "off-balance sheet" financing and serve to either increase, in the case of forward purchases, or decrease, in the case of forward sales, our total "at risk" leverage. However, pursuant to ASC 815, we account for such transactions as one or more series of derivative transactions and, consequently, they are not recognized as debt on our consolidated balance sheet and are excluded from commensurate measurements of our balance sheet debt to equity leverage ratios.


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