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SEC Filings

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


Offsetting Assets and Liabilities
Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets.
The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of September 30, 2014 and December 31, 2013 (in millions):
 
 
Offsetting of Financial Assets and Derivative Assets
 
 
Gross Amounts of Recognized Assets
 
Gross Amounts Offset in the Consolidated Balance Sheets
 
Net Amounts of Assets Presented in the Consolidated Balance Sheets
 
Gross Amounts Not Offset
 in the
Consolidated Balance Sheets
 
Net Amount
 
 
 
 
 
Financial Instruments
 
Collateral Received 2
 
September 30, 2014
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap and swaption agreements, at fair value 1
 
$
414

 
$

 
$
414

 
$
(133
)
 
$
(232
)
 
$
49

Receivable under reverse repurchase agreements
 
5,258

 

 
5,258

 
(4,759
)
 
(499
)
 

Total derivative, other hedging instruments and other assets
 
$
5,672

 
$

 
$
5,672

 
$
(4,892
)
 
$
(731
)
 
$
49

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2013
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap and swaption agreements, at fair value 1
 
$
1,138

 
$

 
$
1,138

 
$
(331
)
 
$
(610
)
 
$
197

Receivable under reverse repurchase agreements
 
1,881

 

 
1,881

 
(1,881
)
 

 

Total derivative, other hedging instruments and other assets
 
$
3,019

 
$

 
$
3,019

 
$
(2,212
)
 
$
(610
)
 
$
197


 
 
Offsetting of Financial Liabilities and Derivative Liabilities
 
 
Gross Amounts of Recognized Liabilities
 
Gross Amounts Offset in the Consolidated Balance Sheets
 
Net Amounts of Liabilities Presented in the Consolidated Balance Sheets
 
Gross Amounts Not Offset
 in the
Consolidated Balance Sheets
 
Net Amount
 
 
 
 
 
Financial Instruments
 
Collateral Pledged 2
 
September 30, 2014
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements, at fair value 1
 
$
447

 
$

 
$
447

 
$
(133
)
 
$
(314
)
 
$

Repurchase agreements
 
45,327

 

 
45,327

 
(4,759
)
 
(40,568
)
 

Total derivative, other hedging instruments and other liabilities
 
$
45,774

 
$

 
$
45,774

 
$
(4,892
)
 
$
(40,882
)
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2013
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements, at fair value 1
 
$
400

 
$

 
$
400

 
$
(331
)
 
$
(69
)
 
$

Repurchase agreements
 
63,533

 

 
63,533

 
(1,881
)
 
(61,652
)
 

Total derivative, other hedging instruments and other liabilities
 
$
63,933

 
$

 
$
63,933

 
$
(2,212
)
 
$
(61,721
)
 
$

_______________________
1.
Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.
2.
Includes cash and securities received / pledged as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.


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