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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/07/2018
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Note 6. Derivative and Other Hedging Instruments
We hedge a portion of our interest rate risk by entering into interest rate swaps, interest rate swaptions and U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also utilize TBA securities, options and other types of derivative instruments to hedge a portion of our risk. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 3.
Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2018 and December 31, 2017 (in millions):
Derivative and Other Hedging Instruments
 
Balance Sheet Location
 
March 31, 2018
 
December 31, 2017
Interest rate swaps
 
Derivative assets, at fair value
 
$
174

 
$
81

Swaptions
 
Derivative assets, at fair value
 
153

 
75

TBA securities
 
Derivative assets, at fair value
 
83

 
30

U.S. Treasury futures - short
 
Derivative assets, at fair value
 

 
19

Total derivative assets, at fair value
 
 
 
$
410

 
$
205

 
 
 
 
 
 
 
Interest rate swaps
 
Derivative liabilities, at fair value
 
$
(1
)
 
$
(1
)
TBA securities
 
Derivative liabilities, at fair value
 
(1
)
 
(27
)
U.S. Treasury futures - short
 
Derivative liabilities, at fair value
 
(30
)
 

Total derivative liabilities, at fair value
 
 
 
$
(32
)
 
$
(28
)
 
 
 
 
 
 
 
U.S. Treasury securities - long
 
U.S. Treasury securities, at fair value
 
$
224

 
$

U.S. Treasury securities - short
 
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
 
(10,352
)
 
(10,467
)
Total U.S. Treasury securities, net at fair value
 
 
 
$
(10,128
)
 
$
(10,467
)

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2018 and December 31, 2017 (dollars in millions):
 
 
March 31, 2018
 
December 31, 2017
Interest Rate Swaps
 
Notional
Amount
1
 
Average
Fixed Pay 
Rate 2
 
Average
Receive
Rate
 
Average
Maturity
(Years)
 
Notional
Amount
1
 
Average
Fixed Pay 
Rate 2
 
Average
Receive
Rate
 
Average
Maturity
(Years)
≤ 3 years
 
$
21,075

 
1.51%
 
1.90%
 
1.5
 
$
21,025

 
1.40%
 
1.46%
 
1.5
> 3 to ≤ 5 years
 
8,375

 
1.84%
 
1.87%
 
4.1
 
6,825

 
1.82%
 
1.43%
 
4.1
> 5 to ≤ 7 years
 
5,075

 
2.16%
 
1.96%
 
6.0
 
5,775

 
2.02%
 
1.44%
 
5.9
> 7 to ≤ 10 years
 
7,550

 
2.17%
 
1.88%
 
8.9
 
6,650

 
2.10%
 
1.42%
 
9.1
> 10 years
 
3,175

 
2.49%
 
1.91%
 
12.9
 
3,425

 
2.49%
 
1.45%
 
12.9
Total
 
$
45,250

 
1.82%
 
1.90%
 
4.5
 
$
43,700

 
1.74%
 
1.44%
 
4.5
________________________________
1.
As of March 31, 2018 and December 31, 2017, notional amount includes forward starting swaps of $2.5 billion and $4.6 billion, respectively, with an average forward start date of 0.4 and 0.3 years, respectively.
2.
Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.77% and 1.68% as of March 31, 2018 and December 31, 2017, respectively.

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