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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/06/2018
Entire Document
 


 
 
June 30, 2018
 
December 31, 2017
Remaining Maturity
 
Repurchase Agreements
 
Weighted
Average
Interest
Rate
 
Weighted
Average Days
to Maturity
 
Repurchase Agreements
 
Weighted
Average
Interest
Rate
 
Weighted
Average Days
to Maturity
Agency repo:
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 month
 
$
25,920

 
2.16
%
 
10

 
$
19,771

 
1.59
%
 
11

> 1 to ≤ 3 months
 
10,072

 
2.03
%
 
61

 
16,150

 
1.50
%
 
50

> 3 to ≤ 6 months
 
743

 
2.22
%
 
113

 
7,287

 
1.50
%
 
130

> 6 to ≤ 9 months
 
7,979

 
2.13
%
 
197

 
2,361

 
1.66
%
 
225

> 9 to ≤ 12 months
 
900

 
2.53
%
 
305

 
202

 
1.64
%
 
297

> 12 to ≤ 24 months
 
2,300

 
2.79
%
 
562

 
1,700

 
1.84
%
 
468

> 24 to ≤ 36 months
 
925

 
2.80
%
 
921

 
2,200

 
1.80
%
 
803

> 36 to ≤ 48 months
 

 
%
 

 
625

 
1.90
%
 
1,141

Total Agency repo
 
$
48,839

 
2.18
%
 
101

 
$
50,296

 
1.57
%
 
116

As of June 30, 2018 and December 31, 2017, $9.2 billion and $5.3 billion, respectively, of our Agency repurchase agreements matured overnight and none of our repurchase agreements were due on demand. As of June 30, 2018 and December 31, 2017, 43% and 33%, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). Amounts sourced through BES include repo funding from the General Collateral Finance Repo service offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 40% and 30% of our repurchase agreement funding outstanding as of June 30, 2018 and December 31, 2017, respectively, and is presented gross of $3.1 billion and $2.7 billion, respectively, of reverse repurchase agreements to the FICC on our consolidated balance sheet.

Note 6. Derivative and Other Hedging Instruments
We hedge a portion of our interest rate risk by entering into interest rate swaps, interest rate swaptions and U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also utilize TBA securities, options and other types of derivative instruments to hedge a portion of our risk. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 3.
Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of June 30, 2018 and December 31, 2017 (in millions):
Derivative and Other Hedging Instruments
 
Balance Sheet Location
 
June 30, 2018
 
December 31, 2017
Interest rate swaps
 
Derivative assets, at fair value
 
$
223

 
$
81

Swaptions
 
Derivative assets, at fair value
 
127

 
75

TBA securities
 
Derivative assets, at fair value
 
108

 
30

U.S. Treasury futures - short
 
Derivative assets, at fair value
 

 
19

Total derivative assets, at fair value
 
 
 
$
458

 
$
205

 
 
 
 
 
 
 
Interest rate swaps
 
Derivative liabilities, at fair value
 
$

 
$
(1
)
TBA securities
 
Derivative liabilities, at fair value
 
(3
)
 
(27
)
U.S. Treasury futures - short
 
Derivative liabilities, at fair value
 
(3
)
 

Total derivative liabilities, at fair value
 
 
 
$
(6
)
 
$
(28
)
 
 
 
 
 
 
 
U.S. Treasury securities - long
 
U.S. Treasury securities, at fair value
 
$

 
$

U.S. Treasury securities - short
 
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
 
(12,898
)
 
(10,467
)
Total U.S. Treasury securities, net at fair value
 
 
 
$
(12,898
)
 
$
(10,467
)


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