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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/26/2018
Entire Document
 


1.
As of December 31, 2017 and 2016, ≤ 1 year notional amount includes $700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.
U.S. Treasury Securities
 
December 31, 2017
 
December 31, 2016
Maturity
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Fair Value
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Fair Value
5 years
 
$
(288
)
 
$
(286
)
 
$
(283
)
 
$
(400
)
 
$
(404
)
 
$
(392
)
7 years
 
(6,131
)
 
(6,106
)
 
(6,029
)
 
(3,056
)
 
(3,041
)
 
(2,930
)
10 years
 
(4,280
)
 
(4,230
)
 
(4,155
)
 
(4,416
)
 
(4,236
)
 
(4,132
)
Total U.S. Treasury securities, net
 
$
(10,699
)
 
$
(10,622
)
 
$
(10,467
)
 
$
(7,872
)
 
$
(7,681
)
 
$
(7,454
)
 U.S. Treasury Futures
 
December 31, 2017
 
December 31, 2016
Maturity
 
Notional 
Amount - Long (Short)
 
Cost
Basis
 
Fair
Value
 
Net Carrying Value 1
 
Notional 
Amount - Long (Short)
 
Cost
Basis
 
Fair
Value
 
Net Carrying Value 1
5 years
 
$
(730
)
 
$
(852
)
 
$
(848
)
 
$
4

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

10 years
 
(2,180
)
 
(2,718
)
 
(2,703
)
 
15

 
(1,080
)
 
(1,347
)
 
(1,342
)
 
5

Total U.S. Treasury futures
 
$
(2,910
)
 
$
(3,570
)
 
$
(3,551
)
 
$
19

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

________________________________
1.
Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
 
 
December 31, 2017
 
December 31, 2016
TBA Securities by Coupon
 
Notional 
Amount - Long (Short)
 
Cost
Basis
 
Fair
Value
 
Net Carrying Value 1
 
Notional 
Amount - Long (Short)
 
Cost
Basis
 
Fair
Value
 
Net Carrying Value 1
15-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$
1,373

 
$
1,372

 
$
1,370

 
$
(2
)
 
$
1,853

 
$
1,870

 
$
1,856

 
$
(14
)
3.0%
 
3,161

 
3,225

 
3,217

 
(8
)
 
292

 
302

 
300

 
(2
)
3.5%
 
414

 
428

 
428

 

 
15

 
16

 
16

 

Total 15-Year TBA securities
 
4,948

 
5,025

 
5,015

 
(10
)
 
2,160

 
2,188

 
2,172

 
(16
)
30-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
4,317

 
4,303

 
4,312

 
9

 
3,027

 
3,114

 
3,007

 
(107
)
3.5%
 
3,932

 
4,027

 
4,034

 
7

 
1,209

 
1,251

 
1,236

 
(15
)
4.0%
 
2,338

 
2,449

 
2,446

 
(3
)
 
4,530

 
4,769

 
4,760

 
(9
)
4.5%
 
(61
)
 
(65
)
 
(65
)
 

 
(10
)
 
(10
)
 
(10
)
 

Total 30-Year TBA securities, net
 
10,526

 
10,714

 
10,727

 
13

 
8,756

 
9,124

 
8,993

 
(131
)
Total TBA securities, net
 
$
15,474

 
$
15,739

 
$
15,742

 
$
3

 
$
10,916

 
$
11,312

 
$
11,165

 
$
(147
)
________________________________
1.
Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

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