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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/03/2017
Entire Document
 


Gains and Losses on Sale of Investment Securities
The following table is a summary of our net gain (loss) from the sale of investment securities for the three and nine months ended September 30, 2017 and 2016 by investment classification of accounting (in millions).
 
 
Three Months Ended September 30,
 
 
2017
 
2016
Investment Securities
 
Available-for-Sale
Securities 2
Fair Value Option Securities
Total
 
Available-for-Sale
Securities 2
Fair Value Option Securities
Total
Investment securities sold, at cost
 
$
(3
)
$
(6,016
)
$
(6,019
)
 
$
(6,123
)
$

$
(6,123
)
Proceeds from investment securities sold 1
 
2

6,039

6,041

 
6,184


6,184

Net gain (loss) on sale of investment securities
 
$
(1
)
$
23

$
22

 
$
61

$

$
61

 
 
 
 
 
 
 
 
 
Gross gain on sale of investment securities
 
$

$
28

$
28

 
$
62

$

$
62

Gross loss on sale of investment securities
 
(1
)
(5
)
(6
)
 
(1
)

(1
)
Net gain (loss) on sale of investment securities
 
$
(1
)
$
23

$
22

 
$
61

$

$
61

 
 
Nine Months Ended September 30,
 
 
2017
 
2016
Investment Securities
 
Available-for-Sale
Securities 2
Fair Value Option Securities
Total
 
Available-for-Sale
Securities 2
Fair Value Option Securities
Total
Investment securities sold, at cost
 
$
(5,738
)
$
(8,636
)
$
(14,374
)
 
$
(17,146
)
$

$
(17,146
)
Proceeds from investment securities sold 1
 
5,649

8,678

14,327

 
17,260


17,260

Net gain (loss) on sale of investment securities
 
$
(89
)
$
42

$
(47
)
 
$
114

$

$
114

 
 
 
 
 
 
 
 
 
Gross gain on sale of investment securities
 
$
6

$
48

$
54

 
$
122

$

$
122

Gross loss on sale of investment securities
 
(95
)
(6
)
(101
)
 
(8
)

(8
)
Net gain (loss) on sale of investment securities
 
$
(89
)
$
42

$
(47
)
 
$
114

$

$
114

  ________________________
1.
Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.
2.
See Note 10 for a summary of changes in accumulated OCI.  
Securitizations and Variable Interest Entities
As of September 30, 2017 and December 31, 2016, we held investments in CMO trusts, which are variable interest entities ("VIEs"). We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate Agency RMBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac.
In connection with our consolidated CMO trusts, we recognized Agency securities with a total fair value and approximate unpaid principal balance of $0.7 billion as of September 30, 2017 and $0.8 billion as of December 31, 2016 and debt with a total fair value and approximate unpaid principal balance of $0.4 billion as of September 30, 2017 and $0.5 billion as of December 31, 2016 in our accompanying consolidated balance sheets. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our involvement with the consolidated trusts is limited to the Agency securities transferred by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts.
As of September 30, 2017 and December 31, 2016, the fair value of our CMO securities and interest and principal-only securities was $0.9 billion and $1.1 billion, respectively, excluding the consolidated CMO trusts discussed above, or $1.2 billion and $1.5 billion, respectively, including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $149 million and $182 million as of September 30, 2017 and December 31, 2016, respectively.


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