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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/06/2015
Entire Document
 


The following table summarizes our U.S. Treasury securities as of March 31, 2015 and December 31, 2014 (in millions):
 
 
March 31, 2015
 
December 31, 2014
Maturity
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Market Value
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Market Value
3 years
 
$
(900
)
 
$
(899
)
 
$
(902
)
 
$

 
$

 
$

5 years
 
(2,111
)
 
(2,096
)
 
(2,116
)
 
(4,674
)
 
(4,650
)
 
(4,645
)
7 years
 
(339
)
 
(334
)
 
(341
)
 
(717
)
 
(717
)
 
(718
)
10 years
 
4,258

 
4,303

 
4,324

 
2,410

 
2,422

 
2,427

Total U.S. Treasury securities, net
 
$
908

 
$
974

 
$
965

 
$
(2,981
)
 
$
(2,945
)
 
$
(2,936
)
The following tables summarize our TBA securities as of March 31, 2015 and December 31, 2014 (in millions):
  
 
 
March 31, 2015
 
December 31, 2014
TBA Securities by Coupon
 
Notional 
Amount - Long (Short) 1
 
Cost
Basis 2
 
Market
Value 3
 
Net Carrying Value 4
 
Notional 
Amount - Long (Short) 1
 
Cost
Basis 2
 
Market
Value 3
 
Net Carrying Value 4
15-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$
1,632

 
$
1,670

 
$
1,673

 
$
3

 
$
962

 
$
968

 
$
980

 
$
12

3.0%
 
(2,733
)
 
(2,852
)
 
(2,866
)
 
(14
)
 
2,779

 
2,889

 
2,888

 
(1
)
3.5%
 
(192
)
 
(201
)
 
(203
)
 
(2
)
 
(468
)
 
(495
)
 
(494
)
 
1

4.0%
 

 

 

 

 
(13
)
 
(14
)
 
(14
)
 

Total 15-Year TBAs
 
(1,293
)
 
(1,383
)
 
(1,396
)
 
(13
)
 
3,260

 
3,348

 
3,360

 
12

30-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
5,432

 
5,500

 
5,566

 
66

 
5,254

 
5,259

 
5,313

 
54

3.5%
 
3,423

 
3,560

 
3,598

 
38

 
7,902

 
8,151

 
8,232

 
81

4.0%
 
(2,689
)
 
(2,862
)
 
(2,874
)
 
(12
)
 
(1,853
)
 
(2,019
)
 
(1,974
)
 
45

4.5%
 

 

 

 

 
(151
)
 
(163
)
 
(163
)
 

Total 30-Year TBAs
 
6,166

 
6,198

 
6,290

 
92

 
11,152

 
11,228

 
11,408

 
180

Total net TBA securities
 
$
4,873

 
$
4,815

 
$
4,894

 
$
79

 
$
14,412

 
$
14,576

 
$
14,768

 
$
192

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
March 31, 2015
 
December 31, 2014
TBA Securities by Issuer
 
Notional 
Amount - Long (Short) 1
 
Cost
Basis 2
 
Market
Value 3
 
Net Carrying Value 4
 
Notional 
Amount - Long (Short) 1
 
Cost
Basis 2
 
Market
Value 3
 
Net Carrying Value 4
Fannie Mae
 
$
2,230

 
$
2,125

 
$
2,178

 
$
53

 
$
15,127

 
$
15,316

 
$
15,509

 
$
193

Freddie Mac
 
(957
)
 
(1,021
)
 
(1,025
)
 
(4
)
 
(715
)
 
(740
)
 
(741
)
 
(1
)
Ginnie Mae
 
3,600

 
3,711

 
3,741

 
30

 

 

 

 

TBA securities, net
 
$
4,873

 
$
4,815

 
$
4,894

 
$
79

 
$
14,412

 
$
14,576

 
$
14,768

 
$
192

_____________________
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.
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 the three months ended March 31, 2015 and 2014 (in millions):


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