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SEC Filings

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


Gain (Loss) From Derivative Instruments and Other Securities, Net
The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and nine months ended September 30, 2017 and 2016 (in millions):

Derivative and Other Hedging Instruments
 
Beginning
Notional Amount
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Ending
Notional Amount
 
 
Gain/(Loss)
on Derivative Instruments and Other Securities, Net 1
 
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30, 2017:
 
 
 
 
 
 
 
 
 
 
 
TBA securities, net
 
$
16,867

 
92,803

 
(90,792
)
 
$
18,878

 
 
$
158

Interest rate swaps
 
$
40,000

 
3,550

 
(1,400
)
 
$
42,150

 
 
15

Payer swaptions
 
$
4,950

 

 

 
$
4,950

 
 
(22
)
U.S. Treasury securities - short position
 
$
(7,358
)
 
(5,105
)
 
3,209

 
$
(9,254
)
 
 
(19
)
U.S. Treasury futures contracts - short position
 
$
(2,910
)
 
(2,910
)
 
2,910

 
$
(2,910
)
 
 
(1
)
 
 
 
 
 
 
 
 
 
 
 
$
131

 
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30, 2016:
 
 
 
 
 
 
 
 
 
 
 
TBA securities, net
 
$
6,756

 
37,881

 
(29,756
)
 
$
14,881

 
 
$
67

Interest rate swaps
 
$
35,125

 
2,400

 
(3,375
)
 
$
34,150

 
 
153

Payer swaptions
 
$
1,050

 

 
(350
)
 
$
700

 
 
(1
)
U.S. Treasury securities - short position
 
$
(2,930
)
 
(2,696
)
 
270

 
$
(5,356
)
 
 
14

U.S. Treasury securities - long position
 
$
62

 
90

 
(107
)
 
$
45

 
 
1

U.S. Treasury futures contracts - short position
 
$
(1,960
)
 
(1,960
)
 
1,960

 
$
(1,960
)
 
 
15

 
 
 
 
 
 
 
 
 
 
 
$
249

 
 
 
 
 
 
 
 
 
 
 
 
Nine months ended September 30, 2017:
 
 
 
 
 
 
 
 
 
 
 
TBA securities, net
 
$
10,916

 
185,205

 
(177,243
)
 
$
18,878

 
 
$
360

Interest rate swaps
 
$
37,175

 
10,575

 
(5,600
)
 
$
42,150

 
 
(157
)
Payer swaptions
 
$
1,200

 
3,750

 

 
$
4,950

 
 
(46
)
U.S. Treasury securities - short position
 
$
(8,061
)
 
(11,595
)
 
10,402

 
$
(9,254
)
 
 
(207
)
U.S. Treasury securities - long position
 
$
189

 
304

 
(493
)
 
$

 
 
1

U.S. Treasury futures contracts - short position
 
$
(1,810
)
 
(8,430
)
 
7,330

 
$
(2,910
)
 
 
(29
)
 
 
 
 
 
 
 
 
 
 
 
$
(78
)
 
 
 
 
 
 
 
 
 
 
 
 
Nine months ended September 30, 2016:
 
 
 
 
 
 
 
 
 
 
 
TBA securities, net
 
$
7,295

 
75,906

 
(68,320
)
 
$
14,881

 
 
$
391

Interest rate swaps
 
$
40,525

 
5,950

 
(12,325
)
 
$
34,150

 
 
(1,208
)
Payer swaptions
 
$
2,150

 

 
(1,450
)
 
$
700

 
 
(12
)
U.S. Treasury securities - short position
 
$
(1,714
)
 
(5,329
)
 
1,687

 
$
(5,356
)
 
 
(142
)
U.S. Treasury securities - long position
 
$
25

 
495

 
(475
)
 
$
45

 
 
7

U.S. Treasury futures contracts - short position
 
$
(1,860
)
 
(5,880
)
 
5,780

 
$
(1,960
)
 
 
(106
)
 
 
 
 
 
 
 
 
 
 
 
$
(1,070
)
______________________
1.
Amounts above exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Note 7. Pledged Assets
Our funding agreements require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate

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