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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/26/2018
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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 December 31, 2017 and 2016 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4.
 
 
December 31, 2017
 
December 31, 2016
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
RMBS:1,2
 
 
 
 
 
 
 
 
 
 
 
 
  ≤ 30 days
 
$
20,162

 
$
20,313

 
$
59

 
$
19,681

 
$
19,863

 
$
56

  > 30 and ≤ 60 days
 
12,950

 
13,061

 
38

 
8,103

 
8,158

 
23

  > 60 and ≤ 90 days
 
4,000

 
4,013

 
11

 
4,034

 
4,070

 
11

  > 90 days
 
15,385

 
15,512

 
45

 
11,278

 
11,380

 
32

Total RMBS
 
52,497

 
52,899

 
153

 
43,096

 
43,471

 
122

U.S. Treasury securities:
 
 
 
 
 
 
 
 
 
 
 
 
  > 1 day ≤ 30 days
 

 

 

 
173

 
173

 

Total
 
$
52,497

 
$
52,899

 
$
153

 
$
43,269

 
$
43,644

 
$
122

________________________________
1.
Includes $182 million and $181 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2017 and 2016, respectively.
2.
December 31, 2017 amounts exclude $113 million of repledged U.S. Treasury securities received as collateral from counterparties.
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 3 and 4 for additional information regarding our consolidated VIEs.
Assets Pledged from Counterparties
As of December 31, 2017 and 2016, we had assets pledged to us from counterparties as collateral under our reverse repurchase, repurchase and derivative agreements summarized in the tables below (in millions).
 
 
December 31, 2017
 
December 31, 2016
Assets Pledged to AGNC
 
Reverse Repurchase Agreements 1
 
Derivative Agreements
 
Repurchase Agreements
 
Total
 
Reverse Repurchase Agreements
 
Derivative Agreements
 
Repurchase Agreements
 
Total
Agency RMBS - fair value
 
$

 
$

 
$

 
$

 
$

 
$

 
$
14

 
$
14

U.S. Treasury securities - fair value
 
10,853

 

 

 
10,853

 
7,636

 

 

 
7,636

Cash
 

 
82

 

 
82

 

 
107

 

 
107

Total
 
$
10,853

 
$
82

 
$

 
$
10,935

 
$
7,636

 
$
107

 
$
14

 
$
7,757

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.
Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets.
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. The following tables present information about our assets and liabilities that are

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