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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/05/2016
Entire Document
 


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 June 30, 2016 and December 31, 2015 (in millions):

Derivative and Other Hedging Instruments
 
Balance Sheet Location
 
June 30, 2016
 
December 31, 2015
Interest rate swaps
 
Derivative assets, at fair value
 
$
1

 
$
31

Swaptions
 
Derivative assets, at fair value
 
7

 
17

TBA securities
 
Derivative assets, at fair value
 
103

 
29

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

 
4

Total derivative assets, at fair value
 
 
 
$
111

 
$
81

 
 
 
 
 
 
 
Interest rate swaps
 
Derivative liabilities, at fair value
 
$
(1,455
)
 
$
(920
)
TBA securities
 
Derivative liabilities, at fair value
 
(6
)
 
(15
)
U.S. Treasury futures - short
 
Derivative liabilities, at fair value
 
(58
)
 

Total derivative liabilities, at fair value
 
 
 
$
(1,519
)
 
$
(935
)
 
 
 
 
 
 
 
U.S. Treasury securities - long
 
U.S. Treasury securities, at fair value
 
$
62

 
$
25

U.S. Treasury securities - short
 
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
 
(3,017
)
 
(1,696
)
Total U.S. Treasury securities, net at fair value
 
 
 
$
(2,955
)
 
$
(1,671
)

The following tables summarize our interest rate swap agreements outstanding as of June 30, 2016 and December 31, 2015 (dollars in millions):
 
 
June 30, 2016
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
 
$
17,225

 
1.04%
 
0.64%
 
$
(113
)
 
1.4
> 3 to ≤ 5 years
 
5,200

 
1.58%
 
0.64%
 
(148
)
 
3.6
> 5 to ≤ 7 years
 
6,975

 
2.22%
 
0.64%
 
(448
)
 
5.9
> 7 to ≤ 10 years
 
4,550

 
2.67%
 
0.64%
 
(526
)
 
8.2
> 10 years
 
1,175

 
3.20%
 
0.66%
 
(219
)
 
14.2
Total payer interest rate swaps
 
$
35,125

 
1.64%
 
0.64%
 
$
(1,454
)
 
4.0
   ________________________
1.
Notional amount includes forward starting swaps of $2.7 billion with an average forward start date of 0.7 years and an average maturity of 7.1 years from June 30, 2016.
2.
Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.51% as of June 30, 2016.
3.
Average receive rate excludes forward starting swaps.


 
 
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

16


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