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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2015
Entire Document
 


The following tables summarize our TBA securities as of September 30, 2015 and December 31, 2014 (in millions):
 
 
September 30, 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%
 
$
(409
)
 
$
(414
)
 
$
(417
)
 
$
(3
)
 
$
962

 
$
968

 
$
980

 
$
12

3.0%
 
143

 
148

 
149

 
1

 
2,779

 
2,889

 
2,888

 
(1
)
3.5%
 
4

 
4

 
4

 

 
(468
)
 
(495
)
 
(494
)
 
1

4.0%
 

 

 

 

 
(13
)
 
(14
)
 
(14
)
 

Total 15-Year TBAs
 
(262
)
 
(262
)
 
(264
)
 
(2
)
 
3,260

 
3,348

 
3,360

 
12

30-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
3,441

 
3,424

 
3,480

 
56

 
5,254

 
5,259

 
5,313

 
54

3.5%
 
1,873

 
1,900

 
1,954

 
54

 
7,902

 
8,151

 
8,232

 
81

4.0%
 
2,076

 
2,203

 
2,215

 
12

 
(1,853
)
 
(2,019
)
 
(1,974
)
 
45

4.5%
 

 

 

 

 
(151
)
 
(163
)
 
(163
)
 

Total 30-Year TBAs
 
7,390

 
7,527

 
7,649

 
122

 
11,152

 
11,228

 
11,408

 
180

Total net TBA securities
 
$
7,128

 
$
7,265

 
$
7,385

 
$
120

 
$
14,412

 
$
14,576

 
$
14,768

 
$
192

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
September 30, 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
 
$
6,572

 
$
6,698

 
$
6,807

 
$
109

 
$
15,127

 
$
15,316

 
$
15,509

 
$
193

Freddie Mac
 
256

 
255

 
264

 
9

 
(715
)
 
(740
)
 
(741
)
 
(1
)
Ginnie Mae
 
300

 
312

 
314

 
2

 

 

 

 

TBA securities, net
 
$
7,128

 
$
7,265

 
$
7,385

 
$
120

 
$
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 and nine months ended September 30, 2015 and 2014 (in millions):

 
 
Three Months Ended September 30, 2015
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
June 30, 2015
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
Long/(Short) September 30, 2015
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
TBA securities, net
 
$
6,941

 
33,403

 
(33,216
)
 
$
7,128

 
 
$
213

Interest rate swaps
 
$
(44,925
)
 
(1,450
)
 
1,200

 
$
(45,175
)
 
 
(966
)
Payer swaptions
 
$
(5,450
)
 

 
1,800

 
$
(3,650
)
 
 
(23
)
U.S. Treasury securities - short position
 
$
(2,250
)
 
(4,335
)
 
5,284

 
$
(1,301
)
 
 
(25
)
U.S. Treasury securities - long position
 
$
5,192

 
4,704

 
(9,121
)
 
$
775

 
 
29

U.S. Treasury futures contracts - short position
 
$
(730
)
 
(730
)
 
730

 
$
(730
)
 
 
(23
)
 
 
 
 
 
 
 
 
 
 
 
$
(795
)
  ________________________________
1.
Excludes a net gain of $7 million from debt of consolidated VIEs and a net gain of $10 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.


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