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SEC Filings

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


The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2016 and December 31, 2015 (in millions):
 
 
June 30, 2016
 
December 31, 2015
 
 
Level 1
 
Level 2
 
Level 3
 
Level 1
 
Level 2
 
Level 3
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Agency securities
 
$

 
$
53,418

 
$

 
$

 
$
51,331

 
$

Agency securities transferred to consolidated VIEs
 

 
945

 

 

 
1,029

 

Non-agency securities
 

 
107

 

 

 
113

 

U.S. Treasury securities
 
62

 

 

 
25

 

 

Interest rate swaps
 

 
1

 

 

 
31

 

Swaptions
 

 
7

 

 

 
17

 

REIT equity securities
 
19

 

 

 
33

 

 

TBA securities
 

 
103

 

 

 
29

 

U.S. Treasury futures
 

 

 

 
4

 

 

Total
 
$
81

 
$
54,581

 
$

 
$
62

 
$
52,550

 
$

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Debt of consolidated VIEs
 
$

 
$
528

 
$

 
$

 
$
595

 
$

Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements
 
3,017

 

 

 
1,696

 

 

Interest rate swaps
 

 
1,455

 

 

 
920

 

TBA securities
 

 
6

 

 

 
15

 

U.S. Treasury futures
 
58

 

 

 

 

 

Total
 
$
3,075


$
1,989


$

 
$
1,696

 
$
1,530

 
$

We elected the option to account for debt of consolidated VIEs at fair value with changes in fair value reflected in earnings during the period in which they occur, because we believe this election more appropriately reflects our financial position as both the consolidated agency securities and consolidated debt are presented in a consistent manner, at fair value, on our consolidated balance sheets. We estimate the fair value of the consolidated debt based on the fair value of the MBS transferred to consolidated VIEs, less the fair value of our retained interests, which are based on valuations obtained from third-party pricing services and non-binding dealer quotes derived from common market pricing methods using "Level 2" inputs.
Excluded from the table above are financial instruments, including cash and cash equivalents, restricted cash and cash equivalents, receivables, payables and borrowings under repurchase agreements and FHLB advances, which are presented in our consolidated financial statements at cost. The cost basis of these instruments is determined to approximate fair value due to their short duration or, in the case of longer-term repo and FHLB advances, due to floating rates of interest based on an index plus or minus a fixed spread which is consistent with fixed spreads demanded in the market. We estimate the fair value of these instruments using "Level 2" inputs.

Note 9. Stockholders' Equity  
Preferred Stock
Pursuant to our amended and restated certificate of incorporation, we are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. Our Board of Directors has designated 6.9 million shares as 8.000% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") and 8,050 shares as 7.750% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"). As of June 30, 2016, we had 3.1 million shares of authorized but unissued shares of preferred stock. Our Board of Directors may designate additional series of authorized preferred stock ranking junior to or in parity with the Series A or Series B Preferred Stock or designate additional shares of the Series A or Series B Preferred Stock and authorize the issuance of such shares.
In April 2012, we completed a public offering in which 6.9 million shares of our Series A Preferred Stock were sold to the underwriters at a price of $24.2125 per share for proceeds, net of offering expenses, of $167 million. In May 2014, we completed a public offering in which 7.0 million depositary shares were sold to the underwriters at a price of $24.2125 per depositary share

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