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SEC Filings

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


The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2015 and December 31, 2014 (in millions):
 
 
Offsetting of Financial Assets 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
 
March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap and swaption agreements, at fair value 1
 
$
120

 
$

 
$
120

 
$
(97
)
 
$
(14
)
 
$
9

Receivable under reverse repurchase agreements
 
3,175

 

 
3,175

 
(3,175
)
 

 

Total derivative, other hedging instruments and other assets
 
$
3,295

 
$

 
$
3,295

 
$
(3,272
)
 
$
(14
)
 
$
9

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap and swaption agreements, at fair value 1
 
$
211

 
$

 
$
211

 
$
(94
)
 
$
(83
)
 
$
34

Receivable under reverse repurchase agreements
 
5,218

 

 
5,218

 
(4,690
)
 
(528
)
 

Total derivative, other hedging instruments and other assets
 
$
5,429

 
$

 
$
5,429

 
$
(4,784
)
 
$
(611
)
 
$
34


 
 
Offsetting of Financial Liabilities 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
 
March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements, at fair value 1
 
$
1,308

 
$

 
$
1,308

 
$
(97
)
 
$
(1,208
)
 
$
3

Repurchase agreements
 
58,112

 

 
58,112

 
(3,175
)
 
(54,937
)
 

Total derivative, other hedging instruments and other liabilities
 
$
59,420

 
$

 
$
59,420

 
$
(3,272
)
 
$
(56,145
)
 
$
3

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements, at fair value 1
 
$
880

 
$

 
$
880

 
$
(94
)
 
$
(782
)
 
$
4

Repurchase agreements
 
50,296

 

 
50,296

 
(4,690
)
 
(45,606
)
 

Total derivative, other hedging instruments and other liabilities
 
$
51,176

 
$

 
$
51,176

 
$
(4,784
)
 
$
(46,388
)
 
$
4

_______________________
1.
Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.
2.
Includes cash and securities received / pledged 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.

Note 8. Fair Value Measurements

We determine the fair value of our agency securities and debt of consolidated VIEs based upon fair value estimates obtained from multiple third party pricing services and dealers.  In determining fair value, third party pricing sources use various valuation approaches, including market and income approaches.  Factors used by third party sources in estimating the fair value of an instrument may include observable inputs such as coupons, primary and secondary mortgage rates, pricing information, credit data, volatility statistics, and other market data that are current as of the measurement date. The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument.  Third party pricing sources may also use certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and foreclosures, especially when estimating fair values for securities with lower levels of recent trading activity. We make inquiries of third party pricing

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