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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/06/2015
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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 March 31, 2015, 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 March 31, 2015 and December 31, 2014 (dollars in millions):
 
 
March 31, 2015
 
December 31, 2014
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
 
$
24,680

 
0.36
%
 
16

 
$
14,157

 
0.37
%
 
15

> 1 to ≤ 3 months
 
15,100

 
0.38
%
 
52

 
20,223

 
0.38
%
 
61

> 3 to ≤ 6 months
 
5,455

 
0.43
%
 
132

 
6,654

 
0.42
%
 
120

> 6 to ≤ 9 months
 
2,668

 
0.56
%
 
222

 
1,575

 
0.50
%
 
225

> 9 to ≤ 12 months
 
1,826

 
0.47
%
 
330

 
2,678

 
0.54
%
 
313

> 12 to ≤ 24 months
 
700

 
0.61
%
 
491

 
600

 
0.57
%
 
551

> 24 to ≤ 36 months
 
852

 
0.61
%
 
937

 
952

 
0.60
%
 
999

> 36 to ≤ 48 months
 
1,150

 
0.68
%
 
1,268

 
650

 
0.64
%
 
1,266

> 48 to < 60 months
 
1,900

 
0.70
%
 
1,706

 
900

 
0.68
%
 
1,542

Total agency MBS
 
54,331

 
0.41
%
 
164

 
48,389

 
0.41
%
 
143

U.S. Treasury securities:
 
 
 
 
 
 
 
 
 
 
 
 
1 day
 
3,781

 
0.21
%
 
1

 
1,907

 
0.09
%
 
1

Total / Weighted Average
 
$
58,112

 
0.33
%
 
142

 
$
50,296

 
0.40
%
 
138

As of March 31, 2015 and December 31, 2014, debt of consolidated VIEs, at fair value ("other debt") was $725 million and $761 million, respectively. As of March 31, 2015 and December 31, 2014, our other debt had a weighted average interest rate of LIBOR plus 43 basis points and a principal balance of $707 million and $742 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 March 31, 2015 and December 31, 2014 was 5.6 and 5.8 years, respectively.
As of March 31, 2015 and December 31, 2014, we also had outstanding forward commitments to purchase and sell agency securities through the TBA market (see Notes 3 and 6). 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.

Note 6. Derivative and Other Hedging Instruments
In connection with our risk management strategy, we hedge a portion of our interest rate risk by entering into derivative and other hedging instrument contracts. We typically enter into agreements for interest rate swaps and interest rate swaptions and purchase or short TBA and U.S. Treasury securities. We may also purchase or write put or call options on TBA securities or we may invest in other types of mortgage derivative securities, such as interest and principal-only securities. Our risk management strategy attempts to manage the overall risk of the portfolio, reduce fluctuations in book value and generate additional income distributable to stockholders. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 3.
Prior to September 30, 2011, our interest rate swaps were typically designated as cash flow hedges under ASC 815; however, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps in order to increase our funding flexibility. For the three months ended March 31, 2015 and 2014, we reclassified $29 million and $43 million, respectively, of net deferred losses from accumulated OCI into interest expense related to our de-designated interest rate swaps and recognized

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