Print Page     Close Window     

SEC Filings

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


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 June 30, 2016 and December 31, 2015 (in millions):
 
 
June 30, 2016
Assets Pledged to Counterparties
 
Repurchase Agreements and FHLB Advances 1
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements
 
Total
Agency MBS - fair value
 
$
47,555

 
$
945

 
$
520

 
$
472

 
$
49,492

AAA non-agency MBS - fair value
 
107

 

 

 

 
107

U.S. Treasury securities - fair value
 
10

 

 
52

 

 
62

Accrued interest on pledged securities
 
132

 
3

 
1

 
1

 
137

Restricted cash and cash equivalents
 

 

 
1,393

 
6

 
1,399

Total
 
$
47,804

 
$
948

 
$
1,966

 
$
479

 
$
51,197

______________________
1. Includes $203 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements.
 
 
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.
As of June 30, 2016 and December 31, 2015, we held $126 million and $150 million, respectively, 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 June 30, 2016 and December 31, 2015 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5.

21


© AGNC Investment Corp All Rights Reserved