Print Page     Close Window     

SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/06/2015
Entire Document
 


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 and clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.
Further, each of our International Swaps and Derivatives Association ("ISDA") Master Agreements also contains a cross default provision under which a default under certain of our other indebtedness in excess of a certain threshold causes an event of default under the 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 above certain specified levels. As of March 31, 2015, 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 March 31, 2015, our amount at risk with any counterparty related to our repurchase agreements was less than 4% of our stockholders' equity and our 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 repurchase agreements, debt of consolidated VIEs, derivative agreements and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2015 and December 31, 2014 (in millions):
 
 
March 31, 2015
Assets Pledged to Counterparties
 
Repurchase Agreements
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements
 
Total
Agency MBS - fair value
 
$
57,245

 
$
1,221

 
$
171

 
$
141

 
$
58,778

U.S. Treasury securities - fair value
 
3,789

 

 
539

 

 
4,328

Accrued interest on pledged securities
 
176

 
4

 
2

 

 
182

Restricted cash
 
29

 

 
1,077

 
2

 
1,108

Total
 
$
61,239

 
$
1,225

 
$
1,789

 
$
143

 
$
64,396

 
 
 
December 31, 2014
Assets Pledged to Counterparties
 
Repurchase Agreements
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements
 
Total
Agency MBS - fair value
 
$
50,858

 
$
1,266

 
$
69

 
$
702

 
$
52,895

U.S. Treasury securities - fair value
 
1,904

 

 
550

 

 
2,454

Accrued interest on pledged securities
 
147

 
4

 
2

 

 
153

Restricted cash
 
6

 

 
698
 
9

 
713

Total
 
$
52,915

 
$
1,270

 
$
1,319

 
$
711

 
$
56,215


The cash and cash equivalents and agency securities pledged as collateral under our derivative agreements are included in restricted cash and agency securities, at fair value, respectively, on our consolidated balance sheets.

19


© AGNC Investment Corp All Rights Reserved