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SEC Filings

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


Payer Swaptions
 
Option
 
Underlying Payer Swap
Years to Expiration
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
(LIBOR)
 
Average
Term
(Years)
September 30, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
105

 
$
34

 
5
 
$
3,850

 
2.80%
 
3M
 
9.3
> 1 year ≤ 2 years
 
13

 
10

 
21
 
450

 
2.72%
 
3M
 
10.0
> 2 year ≤ 3 years
 
23

 
20

 
32
 
650

 
2.80%
 
3M
 
10.0
Total
 
$
141

 
$
64

 
10
 
$
4,950

 
2.79%
 
3M
 
9.4
December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total ≤ 1 year
 
$
52

 
$
22

 
6
 
$
1,200

 
3.06%
 
3M
 
8.3
U.S. Treasury Securities
 
September 30, 2017
 
December 31, 2016
Maturity
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Net
Fair Value
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Net
Fair Value
5 years
 
$
(230
)
 
$
(229
)
 
$
(228
)
 
$
(400
)
 
$
(404
)
 
$
(392
)
7 years
 
(5,344
)
 
(5,320
)
 
(5,302
)
 
(3,056
)
 
(3,041
)
 
(2,930
)
10 years
 
(3,680
)
 
(3,638
)
 
(3,589
)
 
(4,416
)
 
(4,236
)
 
(4,132
)
Total U.S. Treasury securities, net
 
$
(9,254
)
 
$
(9,187
)
 
$
(9,119
)
 
$
(7,872
)
 
$
(7,681
)
 
$
(7,454
)
 U.S. Treasury Futures
 
September 30, 2017
 
December 31, 2016
Maturity
 
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
5 years
 
$
(730
)
 
$
(863
)
 
$
(858
)
 
$
5

 
$
(730
)
 
$
(862
)
 
$
(859
)
 
$
3

10 years
 
(2,180
)
 
(2,755
)
 
(2,731
)
 
24

 
(1,080
)
 
(1,347
)
 
(1,342
)
 
5

Total U.S. Treasury futures
 
$
(2,910
)
 
$
(3,618
)
 
$
(3,589
)
 
$
29

 
$
(1,810
)
 
$
(2,209
)
 
$
(2,201
)
 
$
8

_____________________
1.
Notional amount represents the par value (or principal balance) of the underlying U.S. Treasury security.
2.
Cost basis represents the forward price to be paid/(received) for the underlying U.S. Treasury security.
3.
Market value represents the current market value of the U.S. Treasury futures as of period-end.
4.
Net carrying value represents the difference between the fair value and the cost basis of the U.S. Treasury futures as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

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