Print Page     Close Window     

SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/05/2016
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, 2016 and December 31, 2015 (in millions):
 
 
Offsetting of Financial 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, 2016
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap and swaption agreements, at fair value 1
 
$
12

 
$

 
$
12

 
$
(12
)
 
$

 
$

Receivable under reverse repurchase agreements
 
3,163

 

 
3,163

 
(2,659
)
 
(504
)
 

Total
 
$
3,175

 
$

 
$
3,175

 
$
(2,671
)
 
$
(504
)
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap and swaption agreements, at fair value 1
 
$
48

 
$

 
$
48

 
$
(31
)
 
$

 
$
17

Receivable under reverse repurchase agreements
 
1,713

 

 
1,713

 
(1,356
)
 
(357
)
 

Total
 
$
1,761

 
$

 
$
1,761

 
$
(1,387
)
 
$
(357
)
 
$
17


 
 
Offsetting of Financial 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, 2016
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements, at fair value 1
 
$
1,651

 
$

 
$
1,651

 
$
(12
)
 
$
(1,628
)
 
$
11

Repurchase agreements and FHLB advances
 
48,313

 

 
48,313

 
(2,659
)
 
(45,654
)
 

Total
 
$
49,964

 
$

 
$
49,964

 
$
(2,671
)
 
$
(47,282
)
 
$
11

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements, at fair value 1
 
$
920

 
$

 
$
920

 
$
(31
)
 
$
(889
)
 
$

Repurchase agreements
 
45,507

 

 
45,507

 
(1,356
)
 
(44,151
)
 

Total
 
$
46,427

 
$

 
$
46,427

 
$
(1,387
)
 
$
(45,040
)
 
$

_______________________
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 pledged / received 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.


22


© AGNC Investment Corp All Rights Reserved