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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/23/2012
Entire Document
 


value drivers are observable.
Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.
Our investment securities and derivative and hedging assets and liabilities were valued based on the income or market approach using Level 2 inputs as of December 31, 2011 and 2010, except for investments in U.S. Treasury securities, U.S. Treasury futures and obligations to return U.S. Treasury securities borrowed under reverse repurchase agreements, which were valued based on Level 1 inputs. The following table provides a summary of the our assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2011 and 2010 (dollars in thousands):
 
Fair Value Hierarchy
 
Level 1
 
Level 2
 
Level 3
As of December 31, 2011
 
 
 
 
 
Assets:
 
 
 
 
 
Agency securities
$

 
$
54,682,717

 
$

U.S. Treasury securities
100,973

 

 

Interest rate swaps

 
12,523

 

Other derivative instruments

 
70,044

 

Total
$
100,973

 
$
54,765,284

 
$

Liabilities:
 
 
 
 
 
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements
$
898,636

 
$

 
$

U.S. Treasury futures
13,739

 

 
 
Interest rate swaps

 
795,035

 

Other derivative instruments

 
44,072

 

Total
$
912,375


$
839,107


$

 
 
 
 
 
 
As of December 31, 2010
 
 
 
 
 
Assets:
 
 
 
 
 
Agency securities
$

 
$
13,510,280

 
$

Interest rate swaps

 
40,578

 

Other derivative instruments

 
36,015

 

Total
$

 
$
13,586,873

 
$

Liabilities:
 
 
 
 
 
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements
$
245,532

 
$

 
$

Interest rate swaps

 
71,417

 

Other derivative instruments

 
7,173

 

Total
$
245,532


$
78,590

 
$


Note 7. Management Agreement and Related Party Transactions  
We are externally managed and advised by our Manager pursuant to the terms of a management agreement. The management agreement has been renewed through May 20, 2013 and provides for automatic one-year extension options thereafter. The management agreement may only be terminated by either us or our Manager without cause, as defined in the management agreement, after the completion of the current renewal term, or the expiration of each subsequent automatic annual renewal term, provided that either party provide 180-days prior written notice of non-renewal of the management agreement. If we were to not renew the management agreement without cause, we must pay a termination fee on the last day of the applicable term, equal to three times the average annual management fee earned by our Manager during the prior 24-month period immediately preceding the most recently completed month prior to the effective date of termination. We may only not renew the management agreement with or without cause with the consent of the majority of our independent directors. We pay our Manager a base management fee payable

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