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SEC Filings

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


The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2014 and December 31, 2013 (dollars in millions):
 
Fair Value Hierarchy
 
Level 1
 
Level 2
 
Level 3
September 30, 2014
 
 
 
 
 
Assets:
 
 
 
 
 
Agency securities
$

 
$
50,420

 
$

Agency securities transferred to consolidated VIEs

 
1,310

 

U.S. Treasury securities
1,214

 

 

Interest rate swaps

 
344

 

Swaptions

 
70

 

REIT equity securities
66

 

 
 
U.S. Treasury futures
6

 

 

TBA securities

 
42

 

Total
$
1,286

 
$
52,186

 
$

Liabilities:
 
 
 
 
 
Debt of consolidated VIEs
$

 
$
796

 
$

Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements
4,742

 

 

Interest rate swaps

 
447

 

TBA securities

 
63

 

Total
$
4,742


$
1,306


$

 
 
 
 
 
 
December 31, 2013
 
 
 
 
 
Assets:
 
 
 
 
 
Agency securities
$

 
$
64,482

 
$

Agency securities transferred to consolidated VIEs

 
1,459

 

U.S. Treasury securities
3,822

 

 

Interest rate swaps

 
880

 

Swaptions

 
258

 

REIT equity securities
237

 

 

U.S. Treasury futures
39

 

 

TBA securities

 
17

 

Total
$
4,098

 
$
67,096

 
$

Liabilities:
 
 
 
 
 
Debt of consolidated VIEs
$

 
$
910

 
$

Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements
1,848

 

 

Interest rate swaps

 
400

 

TBA securities

 
22

 

Total
$
1,848


$
1,332

 
$

We elected the option to account for debt of consolidated VIEs at fair value with changes in fair value reflected in earnings during the period in which they occur, because we believe this election more appropriately reflects our financial position as both the consolidated agency securities and consolidated debt are presented in a consistent manner, at fair value, on our consolidated balance sheets. We estimate the fair value of the consolidated debt based on a market approach using Level 2 inputs from third-party pricing services and dealer quotes.


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