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SEC Filings

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


The following tables summarize our TBA securities as of December 31, 2016 and 2015 (in millions):
 
 
December 31, 2016
 
December 31, 2015
TBA Securities by Coupon
 
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
15-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$
1,853

 
$
1,870

 
$
1,856

 
$
(14
)
 
$
(80
)
 
$
(81
)
 
$
(80
)
 
$
1

3.0%
 
292

 
302

 
300

 
(2
)
 
225

 
233

 
232

 
(1
)
3.5%
 
15

 
16

 
16

 

 
136

 
143

 
142

 
(1
)
Total 15-Year TBA securities
 
2,160

 
2,188

 
2,172

 
(16
)
 
281

 
295

 
294

 
(1
)
30-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
3,027

 
3,114

 
3,007

 
(107
)
 
3,914

 
3,911

 
3,916

 
5

3.5%
 
1,209

 
1,251

 
1,236

 
(15
)
 
1,497

 
1,536

 
1,539

 
3

4.0%
 
4,530

 
4,769

 
4,760

 
(9
)
 
1,575

 
1,658

 
1,665

 
7

4.5%
 
(10
)
 
(10
)
 
(10
)
 

 
28

 
30

 
30

 

Total 30-Year TBA securities, net
 
8,756

 
9,124

 
8,993

 
(131
)
 
7,014

 
7,135

 
7,150

 
15

Total TBA securities, net
 
$
10,916

 
$
11,312

 
$
11,165

 
$
(147
)
 
$
7,295

 
$
7,430

 
$
7,444

 
$
14

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2016
 
December 31, 2015
TBA Securities by Issuer
 
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
Fannie Mae
 
$
9,881

 
$
10,251

 
$
10,118

 
$
(133
)
 
$
6,033

 
$
6,145

 
$
6,159

 
$
14

Freddie Mac
 
1,035

 
1,060

 
1,047

 
(13
)
 
689

 
703

 
703

 

Ginnie Mae
 

 
1

 

 
(1
)
 
573

 
582

 
582

 

TBA securities, net
 
$
10,916

 
$
11,312

 
$
11,165

 
$
(147
)
 
$
7,295

 
$
7,430

 
$
7,444

 
$
14

_____________________
1.
Notional amount represents the par value (or principal balance) of the underlying Agency security.
2.
Cost basis represents the forward price to be paid/(received) for the underlying Agency security.
3.
Market value represents the current market value of the TBA contract (or of the underlying Agency security) as of period-end.
4.
Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
Gain (Loss) From Derivative Instruments and Other Securities, Net
The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for fiscal years 2016, 2015 and 2014 (in millions):

 
 
Fiscal Year 2016
Derivative and Other Hedging Instruments
 
Notional Amount
December 31, 2015
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
December 31, 2016
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
TBA securities, net
 
$
7,295

 
116,439

 
(112,818
)
 
$
10,916

 
 
$
(59
)
Interest rate swaps
 
$
40,525

 
15,650

 
(19,000
)
 
$
37,175

 
 
(397
)
Payer swaptions
 
$
2,150

 
500

 
(1,450
)
 
$
1,200

 
 
(3
)
U.S. Treasury securities - short position
 
$
(1,714
)
 
(9,884
)
 
3,537

 
$
(8,061
)
 
 
134

U.S. Treasury securities - long position
 
$
25

 
961

 
(797
)
 
$
189

 
 
7

U.S. Treasury futures contracts - short position
 
$
(1,860
)
 
(7,840
)
 
7,890

 
$
(1,810
)
 
 
(5
)
 
 
 
 
 
 
 
 
 
 
 
$
(323
)
  ________________________________
1.
Excludes a net loss of $3 million from debt of consolidated VIEs and other miscellaneous net gains of $16 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

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