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SEC Filings

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


   ________________________
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.
The following table summarizes our interest rate payer swaption agreements outstanding as of June 30, 2016 and December 31, 2015 (dollars in millions):
Payer Swaptions
 
Option
 
Underlying Payer Swap
Years to Expiration
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
(LIBOR)
 
Average
Term
(Years)
June 30, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total ≤ 1 year
 
$
55

 
$
7

 
2
 
$
1,050

 
3.38%
 
3M
 
6.7
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total ≤ 1 year
 
$
74

 
$
17

 
4
 
$
2,150

 
3.51%
 
3M
 
7.0
The following table summarizes our U.S. Treasury securities as of June 30, 2016 and December 31, 2015 (in millions):
 
 
June 30, 2016
 
December 31, 2015
Maturity
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Market Value
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Market Value
5 years
 
$
(500
)
 
$
(501
)
 
$
(512
)
 
$
(250
)
 
$
(249
)
 
$
(249
)
7 years
 
(1,668
)
 
(1,662
)
 
(1,703
)
 
(354
)
 
(353
)
 
(352
)
10 years
 
(700
)
 
(697
)
 
(740
)
 
(1,085
)
 
(1,078
)
 
(1,070
)
Total U.S. Treasury securities, net
 
$
(2,868
)
 
$
(2,860
)
 
$
(2,955
)
 
$
(1,689
)
 
$
(1,680
)
 
$
(1,671
)
The following table summarizes our U.S. Treasury futures as of June 30, 2016 and December 31, 2015 (in millions):
 
 
June 30, 2016
 
December 31, 2015
Maturity
 
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
5 years
 
$
(730
)
 
$
(876
)
 
$
(892
)
 
$
(16
)
 
$
(730
)
 
$
(866
)
 
$
(864
)
 
$
2

10 years
 
(1,230
)
 
(1,592
)
 
(1,634
)
 
(42
)
 
(1,130
)
 
(1,424
)
 
(1,422
)
 
2

Total U.S. Treasury futures
 
$
(1,960
)
 
$
(2,468
)
 
$
(2,526
)
 
$
(58
)
 
$
(1,860
)
 
$
(2,290
)
 
$
(2,286
)
 
$
4

_____________________
1.
Notional amount represents the par value (or principal balance) of the underlying U.S. Treasury security.
2.
Cost basis represents the forward price to be paid / (received) for the underlying U.S. Treasury security.
3.
Market value represents the current market value of U.S. Treasury futures as of period-end.
4.
Net carrying value represents the difference between the market value and the cost basis of U.S. Treasury futures as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets.

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