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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/05/2016
Entire Document
 


June 30, 2016, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 7.
Repurchase Agreements
As of June 30, 2016 and December 31, 2015, we had $41.9 billion and $41.8 billion, respectively, of repurchase agreements outstanding. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis. Our repurchase agreements with original maturities greater than 90 days have floating interest rates based on an index plus or minus a fixed spread. Substantially all of our repurchase agreements were used to fund purchases of agency securities ("agency repo"). The remainder of our repurchase agreements were used to fund temporary holdings of U.S. Treasury securities ("U.S. Treasury repo").
The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2016 and December 31, 2015 (dollars in millions):
 
 
June 30, 2016
 
December 31, 2015
Remaining Maturity
 
Repurchase Agreements
 
Weighted
Average
Interest
Rate
 
Weighted
Average Days
to Maturity
 
Repurchase Agreements
 
Weighted
Average
Interest
Rate
 
Weighted
Average Days
to Maturity
Agency repo:
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 month
 
$
18,710

 
0.69
%
 
12

 
$
17,579

 
0.54
%
 
14

> 1 to ≤ 3 months
 
10,043

 
0.71
%
 
56

 
14,283

 
0.64
%
 
58

> 3 to ≤ 6 months
 
2,479

 
0.82
%
 
117

 
3,154

 
0.61
%
 
121

> 6 to ≤ 9 months
 
3,185

 
0.92
%
 
224

 
589

 
0.65
%
 
199

> 9 to ≤ 12 months
 
1,269

 
0.90
%
 
328

 
1,201

 
0.65
%
 
307

> 12 to ≤ 24 months
 
2,176

 
0.99
%
 
521

 
1,473

 
0.73
%
 
600

> 24 to ≤ 36 months
 
1,150

 
1.08
%
 
955

 
650

 
0.81
%
 
901

> 36 to ≤ 48 months
 
2,300

 
1.07
%
 
1,292

 
1,300

 
0.86
%
 
1,231

> 48 to < 60 months
 
625

 
1.10
%
 
1,690

 
1,500

 
0.76
%
 
1,477

Total agency repo
 
41,937

 
0.78
%
 
202

 
41,729

 
0.61
%
 
173

U.S. Treasury repo:
 
 
 
 
 
 
 
 
 
 
 
 
1 day
 
10

 
0.60
%
 
1

 
25

 
%
 
1

Total
 
$
41,947

 
0.78
%
 
202

 
$
41,754

 
0.61
%
 
173

Federal Home Loan Bank Advances

On January 12, 2016, the Federal Housing Finance Agency ("FHFA") released its final rule on FHLB membership, which requires the termination of our wholly-owned captive insurance subsidiary's FHLB membership and repayment of all FHLB advances after a one year period ending in February 2017. As of June 30, 2016 and December 31, 2015, we had $3.0 billion and $3.8 billion, respectively, of outstanding secured FHLB advances, with a weighted average borrowing rate of 0.61% and 0.53%, respectively, and a weighted average remaining term to maturity of 215 and 141 days, respectively, consisting of 30 day and longer-term floating rate advances:
 
 
June 30, 2016
 
December 31, 2015
Remaining Maturity
 
FHLB Advances
 
Weighted
Average
Interest
Rate
 
Weighted
Average Days
to Maturity
 
FHLB Advances
 
Weighted
Average
Interest
Rate
 
Weighted
Average Days
to Maturity
≤ 1 month
 
$

 
%
 

 
$
1,952

 
0.47
%
 
14

> 1 to ≤ 3 months
 

 
%
 

 
681

 
0.60
%
 
84

> 7 to ≤ 9 months
 
3,037

 
0.61
%
 
215

 

 
%
 

13 months
 

 
%
 

 
1,120

 
0.58
%
 
397

Total FHLB advances
 
$
3,037

 
0.61
%
 
215

 
$
3,753

 
0.53
%
 
141


14


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