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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/25/2015
Entire Document
 


The following table summarizes our contracts to purchase and sell TBA contracts as of December 31, 2014 and 2013 (in millions):
 
 
December 31, 2014
 
December 31, 2013
Purchase and Sale Contracts for TBAs
 
Notional 
Amount 1
 
Cost Basis 2
 
Market Value 3
 
Net Carrying Value 4
 
Notional 
Amount 1
 
Cost Basis 2
 
Market Value 3
 
Net Carrying Value 4
TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchase contracts
 
$
17,388

 
$
17,769

 
$
17,916

 
$
147

 
$
6,660

 
$
6,882

 
$
6,864

 
$
(18
)
Sale contracts
 
(2,976
)
 
(3,193
)
 
(3,148
)
 
45

 
(4,541
)
 
(4,606
)
 
(4,593
)
 
13

TBA securities, net 5
 
$
14,412

 
$
14,576

 
$
14,768

 
$
192

 
$
2,119

 
$
2,276

 
$
2,271

 
$
(5
)
  ________________________
1.
Notional amount represents the par value (or principal balance) of the underlying agency security.
2.
Cost basis represents the forward price to be paid / (received) for the underlying agency security.
3.
Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end.
4.
Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets.
5.
Includes 15-year and 30-year TBA securities of varying coupons
Gain (Loss) From Derivative Instruments and Other Securities, Net
The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for fiscal years 2014, 2013 and 2012 (in millions):

 
 
Fiscal year 2014
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
December 31, 2013
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
Long/(Short) December 31, 2014
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
Net TBA securities
 
$
2,119

 
213,627

 
(201,334
)
 
$
14,412

 
 
$
1,117

Interest rate swaps
 
$
(43,250
)
 
(20,550
)
 
20,100

 
$
(43,700
)
 
 
(1,838
)
Payer swaptions
 
$
(14,250
)
 
(5,250
)
 
12,700

 
$
(6,800
)
 
 
(193
)
Receiver swaptions
 
$

 
5,500

 
(1,250
)
 
$
4,250

 
 
11

U.S. Treasury securities - short position
 
$
(2,007
)
 
(36,489
)
 
33,104

 
$
(5,392
)
 
 
(420
)
U.S. Treasury securities - long position
 
$
3,927

 
18,549

 
(20,065
)
 
$
2,411

 
 
66

U.S. Treasury futures contracts - short position
 
$
(1,730
)
 
(2,920
)
 
3,920

 
$
(730
)
 
 
(76
)
TBA put option
 
$

 
(150
)
 
150

 
$

 
 

 
 
 
 
 
 
 
 
 
 
 
$
(1,333
)
  ________________________________
1.
Excludes a net gain of $75 million from investments in REIT equity securities, a net loss of $10 million from debt of consolidated VIEs, a net gain of $32 million from interest and principal-only securities and other miscellaneous net losses of $7 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

 
 
Fiscal year 2013
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
December 31, 2012
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
 Long/(Short) December 31, 2013
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
Net TBA and forward settling agency securities
 
$
12,477

 
42,707

 
(53,065
)
 
$
2,119

 
 
$
(726
)
Interest rate swaps
 
$
(46,850
)
 
(20,750
)
 
24,350

 
$
(43,250
)
 
 
1,145

Payer swaptions
 
$
(14,450
)
 
(23,800
)
 
24,000

 
$
(14,250
)
 
 
258

U.S. Treasury securities - short position
 
$
(11,835
)
 
(31,941
)
 
41,769

 
$
(2,007
)
 
 
472

U.S. Treasury securities - long position
 
$

 
27,805

 
(23,878
)
 
$
3,927

 
 
(42
)
U.S. Treasury futures contracts - short position
 
$

 
(9,239
)
 
7,509

 
$
(1,730
)
 
 
49

TBA put option
 
$

 
(50
)
 
50

 
$

 
 

 
 
 
 
 
 
 
 
 
 
 
$
1,156


95


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