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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2017
Entire Document
 


Gain (Loss) on Sale of Investment Securities, Net
The following table is a summary of our net gain (loss) on sale of investment securities for fiscal years 2015 and 2014 (in millions): 
 
Fiscal Year
 
2015
 
2014
Investment securities sold, at cost
$
(27,578
)
 
$
(30,123
)
Proceeds from sale 1
27,555

 
30,174

Net gain (loss) on sale of investment securities
$
(23
)
 
$
51

 
 
 
 
Gross gain on sale of investment securities
$
98

 
$
172

Gross loss on sale of investment securities
(121
)
 
(121
)
Net gain (loss) on sale of investment securities
$
(23
)
 
$
51

 _______________________
1.
Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end.
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 fiscal years 2015 and 2014 (in millions):
 
Fiscal Year
 
2015
 
2014
Periodic interest costs of interest rate swaps, net
$
(393
)
 
$
(330
)
Realized gain (loss) on derivative instruments and other securities, net:
 
 
 
TBA securities - dollar roll income, net
237

 
505

 TBA securities - mark-to-market net gain (loss)
246

 
416

Payer swaptions
(77
)
 
(171
)
Receiver swaptions
15

 
(1
)
U.S. Treasury securities - long position
(33
)
 
7

U.S. Treasury securities - short position
(72
)
 
(378
)
U.S. Treasury futures - short position
(21
)
 
(34
)
Interest rate swap termination fees
(327
)
 
(127
)
REIT equity securities
4

 
71

Other
1

 
(10
)
Total realized gain (loss) on derivative instruments and other securities, net
(27
)
 
278

Unrealized gain (loss) on derivative instruments and other securities, net:
 
 
 
TBA securities - mark-to-market net gain (loss)
(178
)
 
196

Interest rate swaps
(212
)
 
(1,381
)
Payer swaptions
42

 
(22
)
Receiver swaptions
(11
)
 
12

U.S. Treasury securities - long position
(5
)
 
59

U.S. Treasury securities - short position
4

 
(42
)
U.S. Treasury futures - short position
9

 
(42
)
Debt of consolidated VIEs
16

 
(10
)
REIT equity securities
(9
)
 
4

Other

 
3

Total unrealized gain (loss) on derivative instruments and other securities, net
(344
)
 
(1,223
)
Total gain (loss) on derivative instruments and other securities, net
$
(764
)
 
$
(1,275
)
For further details regarding our use of derivative instruments and related activity refer to Notes 2 and 5 of our Consolidated Financial Statements in this Form 10-K.

49


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