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10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/23/2016
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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 December 31, 2015 and 2014 (in millions):
 
 
December 31, 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
 
$
47,992

 
$
1,029

 
$
148

 
$
485

 
$
49,654

AAA non-agency MBS - fair value
 
113

 

 

 

 
113

U.S. Treasury securities - fair value
 
25

 

 

 

 
25

Accrued interest on pledged securities
 
135

 
3

 

 
2

 
140

Restricted cash and cash equivalents
 
23

 

 
1,226

 
32

 
1,281

Total
 
$
48,288

 
$
1,032

 
$
1,374

 
$
519

 
$
51,213

______________________
1. Includes $245 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 and cash equivalents
 
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 December 31, 2015, we held $150 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 cash equivalents 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 December 31, 2015 and 2014 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4.
 
 
December 31, 2015
 
December 31, 2014
Securities Pledged by Remaining Maturity of Repurchase Agreements and FHLB Advances
 
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
MBS:1
 
 
 
 
 
 
 
 
 
 
 
 
  ≤ 30 days
 
$
20,053

 
$
20,075

 
$
57

 
$
14,659

 
$
14,509

 
$
41

  > 30 and ≤ 60 days
 
8,311

 
8,340

 
23

 
10,906

 
10,784

 
30

  > 60 and ≤ 90 days
 
7,534

 
7,525

 
21

 
10,205

 
10,109

 
28

  > 90 days
 
12,207

 
12,187

 
34

 
15,267

 
15,096

 
43

Total MBS
 
48,105

 
48,127

 
135

 
51,037

 
50,498

 
142

U.S. Treasury securities:
 
 
 
 
 
 
 
 
 
 
 
 
   1 day
 
25

 
25

 

 
1,904

 
1,899

 
5

Total
 
$
48,130

 
$
48,152

 
$
135

 
$
52,941

 
$
52,397

 
$
147



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