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SEC Filings

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


Asset sales were primarily a function of shifting our portfolio to TBA dollar roll funded assets, reducing leverage and repositioning our investment portfolio.

Gain (Loss) on Derivative Instruments and Other Securities, Net  
The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three months ended March 31, 2015 and 2014 (in millions):
 
Three Months Ended March 31,
 
2015
 
2014
Periodic interest costs of interest rate swaps, net 1
$
(84
)
 
$
(83
)
Realized gain (loss) on derivative instruments and other securities, net:
 
 
 
TBA securities - dollar roll income, net
57

 
48

TBA securities - mark-to-market net gain
289

 
31

Payer swaptions
(15
)
 
(81
)
Receiver swaptions
13

 

U.S. Treasury securities - long position
36

 
17

U.S. Treasury securities - short position
(47
)
 
(11
)
U.S. Treasury futures - short position
(11
)
 
(3
)
Interest rate swap termination fees
(162
)
 
33

REIT equity securities
2

 
19

Other

 
(2
)
Total realized gain on derivative instruments and other securities, net
162

 
51

Unrealized gain (loss) on derivative instruments and other securities, net: 2
 
 
 
TBA securities - mark-to-market net loss
(112
)
 
(19
)
Interest rate swaps
(500
)
 
(330
)
Payer swaptions
(2
)
 
(24
)
Receiver swaptions
4

 

Interest and principal-only strips
11

 
12

U.S. Treasury securities - long position
16

 
55

U.S. Treasury securities - short position
(35
)
 
(34
)
U.S. Treasury futures - short position
(9
)
 
(33
)
Debt of consolidated VIEs

 
(3
)
REIT equity securities

 
30

Total unrealized loss on derivative instruments and other securities, net
(627
)
 
(346
)
Total loss on derivative instruments and other securities, net
$
(549
)
 
$
(378
)
_______________________
1.
Please refer to Interest Expense and Cost of Funds discussion above for additional information regarding other periodic interest costs of interest rate swaps, net.
2.
Unrealized gain (loss) from derivative instruments and other securities, net includes reversals of prior period amounts for settled, terminated or expired derivative instruments and other securities.
For further details regarding our use of derivative instruments and related activity refer to Notes 3 and 6 of our consolidated financial statements in this Form 10-Q.

Management Fees and General and Administrative Expenses
We pay our Manager a management fee payable monthly in arrears in an amount equal to one-twelfth of 1.25% of our month-end stockholders' equity, adjusted to exclude the effect of any unrealized gains or losses included in either retained earnings or accumulated OCI, each as computed in accordance with GAAP. There is no incentive compensation payable to our Manager pursuant to the management agreement. We incurred management fees of $30 million and $29 million for the three months ended March 31, 2015 and 2014, respectively.
General and administrative expenses were $6 million for each of the three months ended March 31, 2015 and 2014. Our general and administrative expenses primarily consisted of prime broker fees, information technology costs, accounting fees, legal fees, Board of Director fees, insurance expense and general overhead expense.

39


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