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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/23/2016
Entire Document
 


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1.
Includes $245 million and $179 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements, as of December 31, 2015 and 2014, respectively.
As of December 31, 2015 and 2014, none of our borrowings backed by MBS were due on demand or mature overnight.
The table above excludes agency securities transferred to our consolidated VIEs. Securities transferred to our consolidated VIEs can only be used to settle the obligations of each respective VIE. However, we may pledge our retained interests in our consolidated VIEs as collateral under our repurchase agreements and derivative contracts. Please refer to Notes 3 and 4 for additional information regarding our consolidated VIEs.
Assets Pledged from Counterparties
As of December 31, 2015 and 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).
 
 
December 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
 
$

 
$

 
$

 
$

 
$
43

 
$
43

U.S. Treasury securities - fair value
 
1,702

 

 
1,702

 
5,363

 
47

 
5,410

Cash
 

 

 

 

 
28

 
28

Total
 
$
1,702

 
$

 
$
1,702

 
$
5,363

 
$
118

 
$
5,481

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