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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/05/2016
Entire Document
 


The following tables summarize our TBA securities as of March 31, 2016 and December 31, 2015 (in millions):
 
 
March 31, 2016
 
December 31, 2015
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%
 
$
18

 
$
19

 
$
19

 
$

 
$
(80
)
 
$
(81
)
 
$
(80
)
 
$
1

3.0%
 
62

 
64

 
64

 

 
225

 
233

 
232

 
(1
)
3.5%
 
33

 
35

 
35

 

 
136

 
143

 
142

 
(1
)
Total 15-Year TBAs
 
113

 
118

 
118

 

 
281

 
295

 
294

 
(1
)
30-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
3,914

 
3,990

 
4,015

 
25

 
3,914

 
3,911

 
3,916

 
5

3.5%
 
759

 
781

 
793

 
12

 
1,497

 
1,536

 
1,539

 
3

4.0%
 
1,000

 
1,064

 
1,068

 
4

 
1,575

 
1,658

 
1,665

 
7

4.5%
 
27

 
30

 
30

 

 
28

 
30

 
30

 

Total 30-Year TBAs
 
5,700

 
5,865

 
5,906

 
41

 
7,014

 
7,135

 
7,150

 
15

Total net TBA securities
 
$
5,813

 
$
5,983

 
$
6,024

 
$
41

 
$
7,295

 
$
7,430

 
$
7,444

 
$
14

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
March 31, 2016
 
December 31, 2015
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
 
$
4,172

 
$
4,278

 
$
4,312

 
$
34

 
$
6,033

 
$
6,145

 
$
6,159

 
$
14

Freddie Mac
 
1,168

 
1,217

 
1,222

 
5

 
689

 
703

 
703

 

Ginnie Mae
 
473

 
488

 
490

 
2

 
573

 
582

 
582

 

TBA securities, net
 
$
5,813

 
$
5,983

 
$
6,024

 
$
41

 
$
7,295

 
$
7,430

 
$
7,444

 
$
14

_____________________
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, 2016 and 2015 (in millions):

 
 
Three Months Ended March 31, 2016
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
December 31, 2015
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
Long/(Short) March 31, 2016
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
TBA securities, net
 
$
7,295

 
17,959

 
(19,441
)
 
$
5,813

 
 
$
216

Interest rate swaps
 
$
(40,525
)
 
(1,000
)
 
3,350

 
$
(38,175
)
 
 
(1,005
)
Payer swaptions
 
$
(2,150
)
 

 
400

 
$
(1,750
)
 
 
(7
)
U.S. Treasury securities - short position
 
$
(1,714
)
 
(1,980
)
 
559

 
$
(3,135
)
 
 
(83
)
U.S. Treasury securities - long position
 
$
25

 
180

 
(205
)
 
$

 
 
5

U.S. Treasury futures contracts - short position
 
$
(1,860
)
 
(1,860
)
 
1,860

 
$
(1,860
)
 
 
(77
)
 
 
 
 
 
 
 
 
 
 
 
$
(951
)
  ________________________________
1.
Excludes a net loss of $5 million from debt of consolidated VIEs, a net gain of $11 million from interest and principal-only securities and other miscellaneous net gains of $12 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.


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