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SEC Filings

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


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1.
Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end.

Asset sales primarily resulted from leverage adjustments and portfolio repositioning.

Gain (Loss) on Derivative Instruments and Other Securities, Net  
The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three and six months ended June 30, 2016 and 2015 (in millions):
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2016
 
2015
 
2016
 
2015
Periodic interest costs of interest rate swaps, net
$
(69
)
 
$
(99
)
 
$
(158
)
 
$
(183
)
Realized gain (loss) on derivative instruments and other securities, net:
 
 
 
 
 
 
 
TBA securities - dollar roll income, net
44

 
54

 
94

 
111

 TBA securities - mark-to-market net gain (loss)
9

 
(39
)
 
147

 
250

Payer swaptions
(13
)
 
3

 
(20
)
 
(12
)
Receiver swaptions

 
2

 

 
15

U.S. Treasury securities - long position
1

 
(83
)
 
6

 
(47
)
U.S. Treasury securities - short position
(29
)
 
(18
)
 
(53
)
 
(65
)
U.S. Treasury futures - short position
15

 
(3
)
 
(59
)
 
(14
)
Interest rate swap termination fees
(430
)
 

 
(566
)
 
(162
)
REIT equity securities

 
2

 

 
4

Other
1

 
1

 
8

 
1

Total realized gain (loss) on derivative instruments and other securities, net
(402
)
 
(81
)
 
(443
)
 
81

Unrealized gain (loss) on derivative instruments and other securities, net:
 
 
 
 
 
 
 
TBA securities - mark-to-market net gain (loss)
55

 
(125
)
 
83

 
(237
)
Interest rate swaps
143

 
533

 
(637
)
 
33

Payer swaptions
9

 
10

 
9

 
8

Receiver swaptions

 
(15
)
 

 
(11
)
Interest and principal-only strips

 
(7
)
 
11

 
4

U.S. Treasury securities - long position

 
(33
)
 

 
(17
)
U.S. Treasury securities - short position
(44
)
 
36

 
(103
)
 
1

U.S. Treasury futures - short position
(59
)
 
18

 
(62
)
 
9

Debt of consolidated VIEs
(1
)
 
9

 
(6
)
 
9

REIT equity securities
2

 
(8
)
 
7

 
(8
)
Other
(1
)
 
(1
)
 
(1
)
 
(1
)
Total unrealized gain (loss) on derivative instruments and other securities, net
104

 
417

 
(699
)
 
(210
)
Total gain (loss) on derivative instruments and other securities, net
$
(367
)
 
$
237

 
$
(1,300
)
 
$
(312
)
For further details regarding our use of derivative instruments and related activity refer to Notes 3 and 6 of our Consolidated Financial Statements in this Form 10-Q.

Management Fees and General, Administrative and Other Expenses
Prior to July 1, 2016, we paid our Manager a management fee payable monthly in arrears in an amount equal to one-twelfth of 1.25% of our month-end stockholders' equity, adjusted to exclude the effect of any unrealized gains or losses included in either retained earnings or accumulated OCI, each as computed in accordance with GAAP. There was no incentive compensation payable to our Manager pursuant to the management agreement. We incurred management fees of $25 million and $29 million for the three months ended June 30, 2016 and 2015, respectively, and $52 million and $59 million for the six months ended June 30, 2016 and 2015, respectively. Following the Internalization, we will no longer incur a management fee, but we will incur expenses associated with an internally managed organization, including compensation expense previously borne by our Manager
General, administrative and other expenses were $15 million and $7 million for the three months ended June 30, 2016 and 2015, respectively, and $21 million and $13 million for the six months ended June 30, 2016 and 2015, respectively. Our general, administrative and other expenses primarily consisted of prime broker fees, information technology costs, accounting fees, legal

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