Print Page     Close Window     

SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/03/2017
Entire Document
 


 
 
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
 
September 30, 2017
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap and swaption agreements, at fair value 1
 
$
131

 
$

 
$
131

 
$
(11
)
 
$
(39
)
 
$
81

TBA securities, at fair value
 
23

 

 
23

 
(23
)
 

 

Receivable under reverse repurchase agreements
 
9,226

 

 
9,226

 
(8,403
)
 
(823
)
 

Total
 
$
9,380

 
$

 
$
9,380

 
$
(8,437
)
 
$
(862
)
 
$
81

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap and swaption agreements, at fair value 1
 
$
342

 
$

 
$
342

 
$
(80
)
 
$
(49
)
 
$
213

TBA securities, at fair value
 
4

 

 
4

 
(4
)
 

 

Receivable under reverse repurchase agreements
 
7,716

 

 
7,716

 
(6,963
)
 
(753
)
 

Total
 
$
8,062

 
$

 
$
8,062

 
$
(7,047
)
 
$
(802
)
 
$
213


 
 
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
 
September 30, 2017
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements, at fair value 1
 
$
15

 
$

 
$
15

 
$
(11
)
 
$
(4
)
 
$

TBA securities, at fair value
 
47

 

 
47

 
(23
)
 
(24
)
 

Repurchase agreements
 
45,505

 

 
45,505

 
(8,403
)
 
(37,102
)
 

Total
 
$
45,567

 
$

 
$
45,567

 
$
(8,437
)
 
$
(37,130
)
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements, at fair value 1
 
$
105

 
$

 
$
105

 
$
(80
)
 
$
(25
)
 
$

TBA securities, at fair value
 
151

 

 
151

 
(4
)
 
(147
)
 

Repurchase agreements and FHLB advances
 
40,895

 

 
40,895

 
(6,963
)
 
(33,932
)
 

Total
 
$
41,151

 
$

 
$
41,151

 
$
(7,047
)
 
$
(34,104
)
 
$

_______________________
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.


23


© AGNC Investment Corp All Rights Reserved