for the three months ended March 31, 2015 and 2014. However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our agency securities upon selecting specific securities to sell.
Gains and Losses
The following table is a summary of our net gain (loss) from the sale of agency securities classified as available-for-sale for the three months ended March 31, 2015 and 2014 (in millions):
Three Months Ended March 31,
Agency Securities Classified as
Agency MBS sold, at cost
Proceeds from agency MBS sold 1
Net gain (loss) on sale of agency MBS
Gross gain on sale of agency MBS
Gross loss on sale of agency MBS
Net gain (loss) on sale of agency MBS
Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end.
For the three months ended March 31, 2015 and 2014, we recognized a net unrealized gain of $11 million and $12 million, respectively, for the change in value of investments in interest and principal-only strips in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Over the same periods, we did not recognize any realized gains or losses on our interest or principal-only securities.
Securitizations and Variable Interest Entities
As of March 31, 2015 and December 31, 2014, we held investments in CMO trusts, which are VIEs. We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate agency MBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac.
In connection with our consolidated CMO trusts, we recognized agency securities with a total fair value of $1.2 billion and $1.3 billion as of March 31, 2015 and December 31, 2014, respectively, and debt, at fair value, of $725 million and $761 million, respectively, in our accompanying consolidated balance sheets. As of March 31, 2015 and December 31, 2014, the agency securities had an aggregate unpaid principal balance of $1.1 billion and $1.2 billion, respectively, and the debt had an aggregate unpaid principal balance of $707 million and $742 million, respectively. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For the three months ended March 31, 2015, we recorded no gain or loss associated with our consolidated debt. For the three months ended March 31, 2014, we recognized a net loss of $(3) million associated with our consolidated debt. Our involvement with the consolidated trusts is limited to the agency securities transferred by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts.
As of both March 31, 2015 and December 31, 2014, the fair value of our CMO securities and interest and principal-only securities was $1.6 billion, excluding the consolidated CMO trusts discussed above, or $2.1 billion including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $289 million and $274 million as of March 31, 2015 and December 31, 2014, respectively.
Note 5. Repurchase Agreements and Other Debt
We pledge certain of our securities as collateral under repurchase arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. For additional information regarding our pledged assets please refer to Note 7. Interest rates on these borrowings are generally based on LIBOR plus or minus a margin and amounts