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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/06/2015
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an equal, but offsetting, amount in other comprehensive income. Our total net periodic interest costs on our swap portfolio for these periods was $113 million and $126 million, respectively. The difference of $84 million and $83 million for these periods, respectively, is reported in our accompanying consolidated statements of comprehensive income in gain (loss) on derivative instruments and other securities, net. As of March 31, 2015, the remaining net deferred loss in accumulated OCI related to de-designated interest rate swaps was $111 million and will be reclassified from OCI into interest expense over a remaining weighted average period of 1.2 years. As of March 31, 2015, the net deferred loss expected to be reclassified from OCI into interest expense over the next twelve months was $91 million.

Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value

The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of March 31, 2015 and December 31, 2014 (in millions):

Derivative and Other Hedging Instruments
 
Balance Sheet Location
 
March 31, 2015
 
December 31, 2014
Interest rate swaps
 
Derivative assets, at fair value
 
$
70

 
$
136

Swaptions
 
Derivative assets, at fair value
 
50

 
75

TBA securities
 
Derivative assets, at fair value
 
109

 
197

Total
 
 
 
$
229

 
$
408

 
 
 
 
 
 
 
Interest rate swaps
 
Derivative liabilities, at fair value
 
$
(1,308
)
 
$
(880
)
TBA securities
 
Derivative liabilities, at fair value
 
(30
)
 
(5
)
U.S. Treasury futures - short
 
Derivative liabilities, at fair value
 
(14
)
 
(5
)
Total
 
 
 
$
(1,352
)
 
$
(890
)
 
 
 
 
 
 
 
U.S. Treasury securities - long
 
U.S. Treasury securities, at fair value
 
$
4,328

 
$
2,427

U.S. Treasury securities - short
 
Obligation to return securities borrowed under reverse repurchase agreements, at fair value 1
 
(3,363
)
 
(5,363
)
Total - (short)/long, net
 
 
 
$
965

 
$
(2,936
)
 ________________________
1.
Our obligation to return securities borrowed under reverse repurchase agreements as of March 31, 2015 and December 31, 2014 relates to securities borrowed to cover short sales of U.S. Treasury securities from which we received total sale proceeds of $3.3 billion and $5.4 billion, respectively. The change in fair value of the borrowed securities is recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

The following tables summarize our interest rate swap agreements outstanding as of March 31, 2015 and December 31, 2014 (dollars in millions):
 
 
March 31, 2015
Payer Interest Rate Swaps
 
Notional
Amount 1
 
Average
Fixed
Pay Rate 2
 
Average
Receive
Rate 3
 
Net
Estimated
Fair Value
 
Average
Maturity
(Years) 4
≤ 3 years
 
$
14,850

 
1.21%
 
0.24%
 
$
(110
)
 
1.9
> 3 to ≤ 5 years
 
10,475

 
1.74%
 
0.26%
 
(149
)
 
4.3
> 5 to ≤ 7 years
 
7,050

 
2.61%
 
0.26%
 
(309
)
 
6.2
> 7 to ≤ 10 years
 
9,825

 
2.45%
 
0.26%
 
(405
)
 
8.2
> 10 years
 
2,725

 
3.15%
 
0.26%
 
(265
)
 
12.5
Total Payer Interest Rate Swaps
 
$
44,925

 
1.94%
 
0.25%
 
$
(1,238
)
 
5.2
   ________________________
1.
Notional amount includes forward starting swaps of $10.1 billion with an average forward start date of 0.9 years and an average maturity of 7.3 years from March 31, 2015.
2.
Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.64% as of March 31, 2015.
3.
Average receive rate excludes forward starting swaps.
4.
Average maturity measured from March 31, 2015 through stated maturity date.


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