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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2014
Entire Document
 


million, respectively, and for the nine months ended September 30, 2013 we recognized a net gain of $33 million associated with our consolidated debt. We did not recognize a net gain or loss for the three months ended September 30, 2013. 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 September 30, 2014 and December 31, 2013, the fair value of our CMO securities and interest and principal-only securities was $1.6 billion and $1.7 billion, respectively, excluding the consolidated CMO trusts discussed above, or $2.2 billion and $2.3 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 $270 million and $246 million as of September 30, 2014 and December 31, 2013, respectively.

Note 5. 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. For additional information regarding our pledged assets please refer to Note 7. 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. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of September 30, 2014, we have met all margin call requirements.
The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by remaining maturities as of September 30, 2014 and December 31, 2013 (dollars in millions):
 
 
September 30, 2014
 
December 31, 2013
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 MBS:
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 month
 
$
15,024

 
0.33
 %
 
15

 
$
23,577

 
0.42
%
 
15

> 1 to ≤ 3 months
 
14,149

 
0.39
 %
 
57

 
20,490

 
0.43
%
 
61

> 3 to ≤ 6 months
 
6,042

 
0.46
 %
 
144

 
6,946

 
0.45
%
 
140

> 6 to ≤ 9 months
 
2,760

 
0.48
 %
 
216

 
2,232

 
0.53
%
 
230

> 9 to ≤ 12 months
 
1,290

 
0.51
 %
 
314

 
3,607

 
0.54
%
 
323

> 12 to ≤ 24 months
 
2,555

 
0.59
 %
 
452

 
3,261

 
0.60
%
 
603

> 24 to ≤ 36 months
 
100

 
0.68
 %
 
853

 
500

 
0.62
%
 
930

> 36 to ≤ 48 months
 
752

 
0.63
 %
 
1,325

 
202

 
0.71
%
 
1,257

> 48 to < 60 months
 
900

 
0.68
 %
 
1,634

 
400

 
0.66
%
 
1,574

Total agency MBS
 
43,572

 
0.41
 %
 
152

 
61,215

 
0.45
%
 
124

U.S. Treasury securities:
 
 
 
 
 
 
 
 
 
 
 
 
1 day
 
1,755

 
(1.29
)%
 
1

 
2,318

 
0.02
%
 
1

Total / Weighted Average
 
$
45,327

 
0.35
 %
 
146

 
$
63,533

 
0.44
%
 
119

As of September 30, 2014 and December 31, 2013, debt of consolidated VIEs, at fair value ("other debt") was $796 million and $910 million, respectively. As of September 30, 2014 and December 31, 2013, our other debt had a weighted average interest rate of LIBOR plus 43 and 42 basis points and a principal balance of $780 million and $900 million, respectively. The actual maturities of our other debt are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing our other debt and periodic principal prepayments of such underlying securities. The estimated weighted average life of our other debt as of September 30, 2014 was 6.2 years.
As of September 30, 2014 and December 31, 2013, we also had outstanding forward commitments to purchase and sell agency securities through the TBA market (see Notes 3 and 6). These transactions, also referred to as TBA dollar roll transactions, represent a form of off-balance sheet financing and serve to either increase, in the case of forward purchases, or decrease, in the case of forward sales, our "at risk" leverage. However, pursuant to ASC 815, we account for such transactions as one or more

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