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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2015
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Assets Pledged to Counterparties
The following tables summarize our assets pledged as collateral under our funding, derivative and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of September 30, 2015 and December 31, 2014 (in millions):
 
 
September 30, 2015
Assets Pledged to Counterparties
 
Repurchase Agreements and FHLB Advances 1
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements
 
Total
Agency MBS - fair value
 
$
46,798

 
$
1,088

 
$
247

 
$
531

 
$
48,664

U.S. Treasury securities - fair value
 
462

 

 
452

 

 
914

Accrued interest on pledged securities
 
130

 
3

 
2

 
2

 
137

Restricted cash
 
26

 

 
1,356

 
31

 
1,413

Total
 
$
47,416

 
$
1,091

 
$
2,057

 
$
564

 
$
51,128

______________________
1. Includes $256 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements.
 
 
December 31, 2014
Assets Pledged to Counterparties
 
Repurchase Agreements 1
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements
 
Total
Agency MBS - fair value
 
$
51,037

 
$
1,266

 
$
69

 
$
702

 
$
53,074

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
 
$
53,094

 
$
1,270

 
$
1,319

 
$
711

 
$
56,394

______________________
1. Includes $179 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements.
As of September 30, 2015, we held $140 million of membership and activity-based stock in the FHLB of Des Moines. FHLB stock is reported at cost, which equals par value, in other assets on our accompanying consolidated balance sheets. FHLB stock can only be redeemed or sold at its par value, and only to the FHLB of Des Moines.
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.
The following table summarizes our securities pledged as collateral under our repurchase agreements and FHLB advances by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of September 30, 2015 and December 31, 2014 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5.

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