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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/07/2018
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 March 31, 2018 and December 31, 2017 (in millions):
 
 
March 31, 2018
Assets Pledged to Counterparties
 
Repurchase Agreements 1
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements 2
 
Total
Agency RMBS - fair value
 
$
50,996

 
$
621

 
$
202

 
$
410

 
$
52,229

U.S. Treasury securities - fair value 3
 
115

 

 
49

 

 
164

Accrued interest on pledged securities
 
151

 
2

 
1

 
1

 
155

Restricted cash and cash equivalents
 
49

 

 
331

 
6

 
386

Total
 
$
51,311

 
$
623

 
$
583

 
$
417

 
$
52,934

 
 
December 31, 2017
Assets Pledged to Counterparties
 
Repurchase Agreements 1
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements 2
 
Total
Agency RMBS - fair value
 
$
52,497

 
$
662

 
$
221

 
$
519

 
$
53,899

U.S. Treasury securities - fair value 3
 
113

 

 
72

 

 
185

Accrued interest on pledged securities
 
153

 
2

 
1

 
2

 
158

Restricted cash and cash equivalents
 
35

 

 
281
 
1

 
317

Total
 
$
52,798

 
$
664

 
$
575

 
$
522

 
$
54,559

________________________________
1.
Includes $174 million and $182 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2018 and December 31, 2017, respectively.
2.
Includes margin for TBAs cleared through prime brokers and other clearing deposits.
3.
Includes repledged securities received as collateral from counterparties.
The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of March 31, 2018 and December 31, 2017 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5.
 
 
March 31, 2018
 
December 31, 2017
Securities Pledged by Remaining Maturity of Repurchase Agreements
 
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
 
$
25,229

 
$
25,939

 
$
75

 
$
20,162

 
$
20,313

 
$
59

  > 30 and ≤ 60 days
 
8,001

 
8,249

 
24

 
12,950

 
13,061

 
38

  > 60 and ≤ 90 days
 
5,561

 
5,724

 
17

 
4,000

 
4,013

 
11

  > 90 days
 
12,205

 
12,570

 
36

 
15,385

 
15,512

 
45

Total RMBS
 
$
50,996

 
$
52,482

 
$
152

 
$
52,497

 
$
52,899

 
$
153

________________________________
1.
Includes $174 million and $182 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2018 and December 31, 2017, respectively.
2.
March 31, 2018 amounts exclude $115 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 Note 4 for additional information regarding our consolidated VIEs.

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