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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/05/2016
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Debt of Consolidated Variable Interest Entities
As of March 31, 2016 and December 31, 2015, debt of consolidated VIEs, at fair value, was $562 million and $595 million, respectively, and had a weighted average interest rate of LIBOR plus 38 and 34 basis points, respectively, and a principal balance of $556 million and $587 million, respectively. The actual maturities of our debt of consolidated VIEs are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing the debt of our consolidated VIEs and periodic principal prepayments of such underlying securities. The estimated weighted average life of the debt of our consolidated VIEs as of March 31, 2016 and December 31, 2015 was 4.5 and 4.9 years, respectively.
TBA Dollar Roll Financing Transactions
As of March 31, 2016 and December 31, 2015, we had outstanding forward commitments to purchase and sell agency securities through the TBA market at a cost of $6.0 billion and $7.4 billion, respectively (see Notes 3 and 6). These transactions, also referred to as "TBA dollar roll transactions," represent a form of "off-balance sheet" financing and serve to either increase, in the case of forward purchases, or decrease, in the case of forward sales, our total "at risk" leverage. We account for such transactions as one or more series of derivative transactions and report our outstanding TBA commitments at their net carrying value of $41 million and $14 million as of March 31, 2016 and December 31, 2015, respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets.

Note 6. Derivative and Other Hedging Instruments
In connection with our risk management strategy, we hedge a portion of our interest rate risk by entering into derivative and other hedging instrument contracts. The principal instruments that we use are interest rate swaps and interest rate swaptions and U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also utilize TBA securities, purchase or write put or call options on TBA securities or invest in mortgage and other types of derivatives, such as interest and principal-only securities. We also enter into TBA contracts as a means of investing in and financing agency securities (thereby increasing our "at risk" leverage) or as a means of disposing of or reducing our exposure to agency securities (thereby reducing our "at risk" leverage). Our risk management strategy attempts to manage the overall risk of the portfolio, reduce fluctuations in our net book value and generate additional income distributable to stockholders. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 3.
Prior to September 30, 2011, our interest rate swaps were typically designated as cash flow hedges under ASC 815; however, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps in order to increase our funding flexibility. For the three months ended March 31, 2016 and 2015, we reclassified $19 million and $29 million, respectively, of net deferred losses from accumulated OCI into interest expense related to our de-designated interest rate swaps and recognized an equal, but offsetting, amount in other comprehensive income. Our total net periodic interest costs on our swap portfolio for those periods were $108 million and $113 million, respectively. The difference between our total net periodic interest costs on our swap portfolio and the amount recorded in interest expense related to our de-designated hedges is reported in gain (loss) on derivative instruments and other securities, net in our accompanying consolidated statements of comprehensive income (totaling $89 million and $84 million for the three months ended March 31, 2016 and 2015, respectively). As of March 31, 2016, the remaining net deferred loss in accumulated OCI related to de-designated interest rate swaps was $20 million and will be reclassified from OCI into interest expense over a remaining weighted average period of 0.4 years.


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