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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/25/2015
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The following tables summarize our interest rate swaption agreements outstanding as of December 31, 2014 and 2013 (dollars in millions):
 
 
December 31, 2014
 
 
Option
 
Underlying Payer Swap
Years to Expiration
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
(LIBOR)
 
Average
Term
(Years)
Payer Swaptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
113

 
$
36

 
6
 
$
5,600

 
3.15%
 
3M
 
6.4
> 1 to ≤ 2 years
 
32

 
10

 
16
 
1,200

 
3.87%
 
3M
 
5.1
Total Payer Swaptions
 
$
145

 
$
46

 
8
 
$
6,800

 
3.28%
 
3M
 
6.2
 
 
December 31, 2014
 
 
Option
 
Underlying Receiver Swap
Years to Expiration
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Receive
Rate
 
Average
 Pay
Rate
(LIBOR)
 
Average
Term
(Years)
Receiver Swaptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
18

 
$
29

 
5
 
$
4,250

 
1.78%
 
3M
 
6.4
 
 
December 31, 2013
 
 
Option
 
Underlying Payer Swap
Years to Expiration
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
(LIBOR)
 
Average
Term
(Years)
Payer Swaptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
193

 
$
117

 
4
 
$
9,400

 
2.87%
 
3M
 
7.8
> 1 to ≤ 2 years
 
105

 
92

 
19
 
3,600

 
3.40%
 
3M
 
5.6
> 2 to ≤ 3 years
 
35

 
45

 
30
 
1,150

 
3.81%
 
3M
 
5.8
> 3 to ≤ 5 years
 
2

 
4

 
52
 
100

 
4.80%
 
3M
 
7.0
Total Payer Swaptions
 
$
335

 
$
258

 
10
 
$
14,250

 
3.09%
 
3M
 
7.0
We did not have any receiver swaptions outstanding as of December 31, 2013.
The following table summarizes our U.S. Treasury securities as of December 31, 2014 and 2013 (in millions):
 
 
December 31, 2014
 
December 31, 2013
Maturity
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Market Value
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Market Value
5 years
 
$
(4,674
)
 
$
(4,650
)
 
$
(4,645
)
 
$
1,225

 
$
1,211

 
$
1,201

7 years
 
(717
)
 
(717
)
 
(718
)
 
60

 
57

 
56

10 years
 
2,410

 
2,422

 
2,427

 
635

 
717

 
717

Total U.S. Treasury securities
 
$
(2,981
)
 
$
(2,945
)
 
$
(2,936
)
 
$
1,920

 
$
1,985

 
$
1,974



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