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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2013
Entire Document
 


 
 
Fiscal Year
Agency MBS
 
2012
 
2011
 
2010
Agency MBS sold, at cost
 
$
(63,610
)
 
$
(37,579
)
 
$
(12,182
)
Proceeds from agency MBS sold (1)
 
64,806

 
38,052

 
12,274

Net gains on sale of agency MBS
 
$
1,196

 
$
473

 
$
92

 
 
 
 
 
 
 
Gross gains on sale of agency MBS
 
$
1,209

 
$
510

 
$
126

Gross losses on sale of agency MBS
 
(13
)
 
(37
)
 
(34
)
Net gains on sale of agency MBS
 
$
1,196

 
$
473

 
$
92

  ________________________
1.
Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end.

For fiscal years 2012, 2011 and 2010, we recognized an unrealized gain of $17 million and an unrealized loss of $16 million and $1 million, respectively, in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income for the change in value of investments in interest-only and principal-only strips, net of prior period reversals. For fiscal years 2011 and 2010, we recognized a realized net loss of $10 million and $1 million, respectively, in gain on sale of agency securities, net in our consolidated statements of comprehensive income on sales of interest and principal-only securities. No such sales occurred during fiscal year 2012.
Pledged Assets
The following tables summarize our assets pledged as collateral under repurchase agreements, debt of consolidated VIEs, derivative agreements and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2012 and 2011 (in millions):
 
 
December 31, 2012
Assets Pledged
 
Repurchase Agreements
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements
 
Total
Agency MBS - fair value
 
$
78,400

 
$
1,535

 
$
1,065

 
$
501

 
$
81,501

Accrued interest on pledged securities
 
217

 
5

 
3

 
1

 
226

Restricted cash
 

 

 
249

 
150

 
399

Total
 
$
78,617

 
$
1,540

 
$
1,317

 
$
652

 
$
82,126

 
 
 
December 31, 2011
Assets Pledged
 
Repurchase Agreements
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements
 
Total
Agency MBS - fair value
 
$
50,255

 
$
58

 
$
644

 
$
87

 
$
51,044

U.S. Treasury securities - fair value
 
101

 

 

 

 
101

Accrued interest on pledged securities
 
161

 

 
2

 

 
163

Restricted cash
 

 

 
336
 

 
336

Total
 
$
50,517

 
$
58

 
$
982

 
$
87

 
$
51,644


The following table summarizes our securities pledged as collateral under repurchase agreements and debt of consolidated VIEs by remaining maturity, including securities pledged related to sold but not yet settled securities, as of December 31, 2012 and 2011 (in millions):

80


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