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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/23/2016
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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 December 31, 2015 and 2014 (in millions):

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

 
$
136

Swaptions
 
Derivative assets, at fair value
 
17

 
75

TBA securities
 
Derivative assets, at fair value
 
29

 
197

U.S. Treasury futures - short
 
Derivative assets, at fair value
 
4

 

Total derivative assets, at fair value
 
 
 
$
81

 
$
408

 
 
 
 
 
 
 
Interest rate swaps
 
Derivative liabilities, at fair value
 
$
(920
)
 
$
(880
)
TBA securities
 
Derivative liabilities, at fair value
 
(15
)
 
(5
)
U.S. Treasury futures - short
 
Derivative liabilities, at fair value
 

 
(5
)
Total derivative liabilities, at fair value
 
 
 
$
(935
)
 
$
(890
)
 
 
 
 
 
 
 
U.S. Treasury securities - long
 
U.S. Treasury securities, at fair value
 
$
25

 
$
2,427

U.S. Treasury securities - short
 
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
 
(1,696
)
 
(5,363
)
Total - U.S. Treasury securities, net at fair value
 
 
 
$
(1,671
)
 
$
(2,936
)

The following tables summarize our interest rate swap agreements outstanding as of December 31, 2015 and 2014 (dollars in millions):
 
 
December 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)
≤ 3 years
 
$
14,775

 
1.06%
 
0.40%
 
$
(23
)
 
1.6
> 3 to ≤ 5 years
 
9,950

 
2.03%
 
0.40%
 
(203
)
 
4.0
> 5 to ≤ 7 years
 
7,175

 
2.47%
 
0.44%
 
(230
)
 
6.1
> 7 to ≤ 10 years
 
7,450

 
2.57%
 
0.39%
 
(342
)
 
8.3
> 10 years
 
1,175

 
3.20%
 
0.39%
 
(91
)
 
14.7
Total payer interest rate swaps
 
$
40,525

 
1.89%
 
0.40%
 
$
(889
)
 
4.6
   ________________________
1.
Notional amount includes forward starting swaps of $4.5 billion with an average forward start date of 0.7 years and an average maturity of 5.5 years from December 31, 2015.
2.
Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.75% as of December 31, 2015.
3.
Average receive rate excludes forward starting swaps.



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