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SEC Filings

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


The cash and cash equivalents and agency securities pledged as collateral under our derivative agreements are included in restricted cash and agency securities, at fair value, respectively, on our consolidated balance sheets.
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 September 30, 2014 and December 31, 2013 (in millions):
 
 
September 30, 2014
 
December 31, 2013
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
 
$
15,623

 
$
15,611

 
$
44

 
$
27,694

 
$
28,125

 
$
76

  > 30 and ≤ 60 days
 
9,208

 
9,217

 
26

 
14,955

 
15,210

 
42

  > 60 and ≤ 90 days
 
5,073

 
5,067

 
14

 
10,117

 
10,290

 
28

  > 90 days
 
17,228

 
17,244

 
48

 
11,401

 
11,623

 
32

Total agency MBS
 
47,132

 
47,139

 
132

 
64,167

 
65,248

 
178

U.S. Treasury securities:
 
 
 
 
 
 
 
 
 
 
 
 
   1 day
 
1,713

 
1,711

 
2

 
3,708

 
3,760

 
16

Total
 
$
48,845

 
$
48,850

 
$
134

 
$
67,875

 
$
69,008

 
$
194

As of September 30, 2014 and December 31, 2013, none of our repurchase agreement borrowings backed by agency MBS were due on demand or mature overnight.
Assets Pledged from Counterparties
As of September 30, 2014 and December 31, 2013, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).
 
 
September 30, 2014
Assets Pledged to AGNC
 
Reverse Repurchase Agreements
 
Derivative Agreements
 
Total
U.S. Treasury securities - fair value
 
$
4,742

 
$
107

 
$
4,849

Cash
 

 
134

 
134

Total
 
$
4,742

 
$
241

 
$
4,983

 
 
December 31, 2013
Assets Pledged to AGNC
 
Reverse Repurchase Agreements
 
Derivative Agreements
 
Total
Agency MBS - fair value
 
$

 
$
82

 
$
82

U.S. Treasury securities - fair value
 
1,848

 
164

 
2,012

Cash
 

 
366

 
366

Total
 
$
1,848

 
$
612

 
$
2,460

U.S Treasury securities received as collateral under our reverse repurchase agreements are accounted for as securities borrowing transactions and are used to cover short sales of the same securities. We recognize a corresponding obligation to return the borrowed securities at fair value on the accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date.
Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets.

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