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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2014
Entire Document
 


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, 2013 and 2012 (in millions):
 
 
December 31, 2013
 
December 31, 2012
Agency Securities Pledged by Remaining Maturity of Repurchase Agreements and Debt of Consolidated VIEs
 
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
Agency MBS:
 
 
 
 
 
 
 
 
 
 
 
 
  ≤ 30 days
 
$
27,694

 
$
28,125

 
$
76

 
$
29,284

 
$
28,525

 
$
82

  > 30 and ≤ 60 days
 
14,955

 
15,210

 
42

 
21,716

 
21,251

 
58

  > 60 and ≤ 90 days
 
10,117

 
10,290

 
28

 
16,188

 
15,780

 
45

  > 90 days
 
11,401

 
11,623

 
32

 
12,747

 
12,447

 
37

Total agency MBS
 
64,167

 
65,248

 
178

 
79,935

 
78,003

 
222

U.S. Treasury securities:
 
 
 
 
 
 
 
 
 
 
 
 
   1 day
 
3,708

 
3,760

 
16

 

 

 

Total
 
$
67,875

 
$
69,008

 
$
194

 
$
79,935

 
$
78,003

 
$
222

As of December 31, 2013 and 2012, none of our repurchase agreement borrowings backed by agency MBS were due on demand or mature overnight.
Securitizations and Variable Interest Entities
As of December 31, 2013 and 2012, we held investments in CMO trusts, which are VIEs. We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate agency MBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac.
In connection with our consolidated CMO trusts, we recognized agency securities with a total fair value of $1.5 billion as of December 31, 2013 and 2012 and debt, at fair value, of $910 million and $937 million, respectively, in our accompanying consolidated balance sheets. As of December 31, 2013 and 2012, such agency securities had an aggregate unpaid principal balance of $1.4 billion and such debt had an aggregate unpaid principal balance of $900 million and $908 million, respectively. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For fiscal years 2013 and 2012, we recognized a net gain of $39 million and a net loss of $28 million in earnings, respectively, associated with our consolidated debt. We did not recognize any gains or losses during fiscal year 2011. Our involvement with the consolidated trusts is limited to the agency securities transferred by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts.
As of December 31, 2013 and 2012, the fair value of our CMO securities and interest and principal-only securities, excluding the consolidated CMO trusts discussed above, was $1.7 billion and $719 million, respectively, or $2.3 billion and $1.3 billion, respectively, including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $246 million and $343 million as of December 31, 2013 and 2012, respectively.

Note 4. Repurchase Agreements and Other Debt
We pledge certain of our securities as collateral under repurchase arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. Interest rates on these borrowings are generally based on LIBOR plus or minus a margin and amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of pledged securities, lenders may require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. As of December 31, 2013 and 2012, we have met all margin call requirements.

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