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SEC Filings

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


The following table summarizes our securities pledged as collateral under repurchase agreements and other debt of consolidated VIEs by remaining maturity of the repurchase agreement and other debt liability, including securities pledged related to sold but not yet settled securities, as of March 31, 2015 and December 31, 2014 (in millions). For the corresponding repurchase agreement and other debt liability associated with the following amounts and the interest rates thereon, refer to Note 5.
 
 
March 31, 2015
 
December 31, 2014
Agency Securities Pledged by Remaining Maturity of Repurchase Agreements and Debt of Consolidated VIEs
 
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
Agency MBS:
 
 
 
 
 
 
 
 
 
 
 
 
  ≤ 30 days
 
$
25,572

 
$
25,188

 
$
69

 
$
14,605

 
$
14,453

 
$
41

  > 30 and ≤ 60 days
 
11,932

 
11,731

 
32

 
10,912

 
10,789

 
30

  > 60 and ≤ 90 days
 
3,937

 
3,880

 
11

 
10,205

 
10,109

 
28

  > 90 days
 
17,025

 
16,728

 
47

 
16,402

 
16,227

 
47

Total agency MBS
 
58,466

 
57,527

 
159

 
52,124

 
51,578

 
146

U.S. Treasury securities:
 
 
 
 
 
 
 
 
 
 
 
 
   1 day
 
3,789

 
3,774

 
21

 
1,904

 
1,899

 
5

Total
 
$
62,255

 
$
61,301

 
$
180

 
$
54,028

 
$
53,477

 
$
151

As of March 31, 2015 and December 31, 2014, none of our repurchase agreement borrowings backed by agency MBS were due on demand or mature overnight.
Assets Pledged from Counterparties
As of March 31, 2015 and December 31, 2014, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).
 
 
March 31, 2015
 
December 31, 2014
Assets Pledged to AGNC
 
Reverse Repurchase Agreements
 
Derivative Agreements
 
Total
 
Reverse Repurchase Agreements
 
Derivative Agreements
 
Total
Agency MBS - fair value
 
$

 
$
14

 
$
14

 
$

 
$
43

 
$
43

U.S. Treasury securities - fair value
 
3,363

 

 
3,363

 
5,363

 
47

 
5,410

Cash
 

 

 

 

 
28

 
28

Total
 
$
3,363

 
$
14

 
$
3,377

 
$
5,363

 
$
118

 
$
5,481

U.S Treasury securities received as collateral under our reverse repurchase agreements are accounted for as securities borrowing transactions and are used to cover short sales of the same securities. 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.

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