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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2014
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default by a counterparty we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments provided for under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark to market margin requirements and clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.
Further, each of our International Swaps and Derivatives Association ("ISDA") Master Agreements also contains a cross default provision under which a default under certain of our other indebtedness in excess of a certain threshold causes an event of default under the agreement. Threshold amounts vary by lender. Following an event of default, we could be required to settle our obligations under the agreements. Additionally, under certain of our ISDA Master Agreements, we could be required to settle our obligations under the agreements if we fail to maintain certain minimum stockholders' equity thresholds or our REIT status or if we fail to comply with limits on our leverage above certain specified levels. As of September 30, 2014, the fair value of additional collateral that could be required to be posted as a result of the credit-risk-related contingent features being triggered was not material to our financial statements.
As of September 30, 2014, our amount at risk with any counterparty related to our repurchase agreements was less than 4% of our stockholders' equity and our amount at risk with any counterparty related to our interest rate swap and swaption agreements, excluding centrally cleared swaps, was less than 1% of our stockholders' equity.
Assets Pledged to Counterparties
The following tables summarize our assets pledged as collateral under our 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 September 30, 2014 and December 31, 2013 (in millions):
 
 
September 30, 2014
Assets Pledged to Counterparties
 
Repurchase Agreements
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements
 
Total
Agency MBS - fair value
 
$
45,822

 
$
1,310

 
$
20

 
$
515

 
$
47,667

U.S. Treasury securities - fair value
 
1,713

 

 

 

 
1,713

Accrued interest on pledged securities
 
130

 
4

 

 

 
134

Restricted cash
 
1

 

 
741

 
52

 
794

Total
 
$
47,666

 
$
1,314

 
$
761

 
$
567

 
$
50,308

 
 
 
December 31, 2013
Assets Pledged to Counterparties
 
Repurchase Agreements
 
Debt of Consolidated VIEs
 
Derivative Agreements
 
Prime Broker Agreements
 
Total
Agency MBS - fair value
 
$
62,708

 
$
1,459

 
$
28

 
$
91

 
$
64,286

U.S. Treasury securities - fair value
 
3,708

 

 
70

 

 
3,778

Accrued interest on pledged securities
 
189

 
5

 
1

 

 
195

Restricted cash
 
3

 

 
41
 
57

 
101

Total
 
$
66,608

 
$
1,464

 
$
140

 
$
148

 
$
68,360



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