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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
 
December 31, 2015
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
 
$
19,428

 
$
18,990

 
$
53

 
$
20,053

 
$
20,075

 
$
57

  > 30 and ≤ 60 days
 
6,114

 
6,000

 
17

 
8,311

 
8,340

 
23

  > 60 and ≤ 90 days
 
4,491

 
4,408

 
13

 
7,534

 
7,525

 
21

  > 90 days
 
17,629

 
17,231

 
49

 
12,207

 
12,187

 
34

Total MBS
 
47,662

 
46,629

 
132

 
48,105

 
48,127

 
135

U.S. Treasury securities:
 
 
 
 
 
 
 
 
 
 
 
 
   1 day
 
10

 
10

 

 
25

 
25

 

Total
 
$
47,672

 
$
46,639

 
$
132

 
$
48,130

 
$
48,152

 
$
135

______________________
1.
Includes $203 million and $245 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements, as of June 30, 2016 and December 31, 2015, respectively.
As of June 30, 2016 and December 31, 2015, 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 4 and 5 for additional information regarding our consolidated VIEs.
Assets Pledged from Counterparties
As of June 30, 2016 and December 31, 2015, we had U.S. Treasury securities pledged to us from counterparties as collateral under our reverse repurchase agreements of $3.0 billion and $1.7 billion, respectively. U.S Treasury securities received as collateral under our reverse repurchase agreements that we use to cover short sales of U.S. Treasury 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.
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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