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SEC Filings

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


 
 
Three Months Ended June 30, 2015
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
March 31, 2015
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
 Long/(Short) June 30, 2015
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
TBA securities, net
 
$
4,873

 
18,367

 
(16,299
)
 
$
6,941

 
 
$
(110
)
Interest rate swaps
 
$
(44,925
)
 

 

 
$
(44,925
)
 
 
434

Payer swaptions
 
$
(5,200
)
 
(500
)
 
250

 
$
(5,450
)
 
 
13

Receiver swaptions
 
$
750

 

 
(750
)
 
$

 
 
(13
)
U.S. Treasury securities - short position
 
$
(3,353
)
 
(2,224
)
 
3,327

 
$
(2,250
)
 
 
18

U.S. Treasury securities - long position
 
$
4,261

 
11,649

 
(10,718
)
 
$
5,192

 
 
(116
)
U.S. Treasury futures contracts - short position
 
$
(730
)
 
(730
)
 
730

 
$
(730
)
 
 
15

 
 
 
 
 
 
 
 
 
 
 
$
241

  ______________________
1.
Excludes a net loss of $6 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidated VIEs and a net loss of $7 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
 
 
Six Months Ended June 30, 2016
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
December 31, 2015
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
Long/(Short) June 30, 2016
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
TBA securities, net
 
$
7,295

 
38,025

 
(38,564
)
 
$
6,756

 
 
$
324

Interest rate swaps
 
$
(40,525
)
 
(3,550
)
 
8,950

 
$
(35,125
)
 
 
(1,361
)
Payer swaptions
 
$
(2,150
)
 

 
1,100

 
$
(1,050
)
 
 
(11
)
U.S. Treasury securities - short position
 
$
(1,714
)
 
(2,633
)
 
1,417

 
$
(2,930
)
 
 
(156
)
U.S. Treasury securities - long position
 
$
25

 
405

 
(368
)
 
$
62

 
 
6

U.S. Treasury futures contracts - short position
 
$
(1,860
)
 
(3,920
)
 
3,820

 
$
(1,960
)
 
 
(121
)
 
 
 
 
 
 
 
 
 
 
 
$
(1,319
)
  ________________________________
1.
Excludes a net loss of $6 million from debt of consolidated VIEs, a net gain of $11 million from interest and principal-only securities and other miscellaneous net gains of $14 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

 
 
Six Months Ended June 30, 2015
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
December 31, 2014
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
 Long/(Short) June 30, 2015
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
TBA securities, net
 
$
14,412

 
63,867

 
(71,338
)
 
$
6,941

 
 
$
124

Interest rate swaps
 
$
(43,700
)
 
(3,500
)
 
2,275

 
$
(44,925
)
 
 
(312
)
Payer swaptions
 
$
(6,800
)
 
(500
)
 
1,850

 
$
(5,450
)
 
 
(4
)
Receiver swaptions
 
$
4,250

 

 
(4,250
)
 
$

 
 
4

U.S. Treasury securities - short position
 
$
(5,392
)
 
(6,397
)
 
9,539

 
$
(2,250
)
 
 
(64
)
U.S. Treasury securities - long position
 
$
2,411

 
27,211

 
(24,430
)
 
$
5,192

 
 
(64
)
U.S. Treasury futures contracts - short position
 
$
(730
)
 
(1,460
)
 
1,460

 
$
(730
)
 
 
(5
)
 
 
 
 
 
 
 
 
 
 
 
$
(321
)
  ______________________
1.
Excludes a net loss of $4 million from investments in REIT equity securities, a net gain of $9 million from debt of consolidate VIEs and a net gain of $4 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.


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