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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2013
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The following tables summarize our interest rate swaption agreements outstanding as of December 31, 2012 and 2011 (dollars in millions):
 
 
December 31, 2012
 
 
Option
 
Underlying Swap
Payer Swaptions
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
 
Average
Term
(Years)
One year or less
 
$
76

 
$
15

 
4
 
$
5,150

 
2.65
%
 
1M / 3M LIBOR
 
8.6
Greater than 1 year and less than/equal to 2 years
 
65

 
34

 
19
 
$
4,050

 
2.82
%
 
3M LIBOR
 
6.7
Greater than 2 years and less than/equal to 3 years
 
97

 
87

 
33
 
$
3,900

 
3.51
%
 
3M LIBOR
 
8.6
Greater than 3 years and less than/equal to 4 years
 
12

 
11

 
46
 
$
450

 
3.20
%
 
3M LIBOR
 
6.1
Greater than 4 years and less than/equal to 5 years
 
24

 
24

 
59
 
$
900

 
3.33
%
 
3M LIBOR
 
5.0
Total/Wtd Avg
 
$
274

 
$171
 
21
 
$
14,450

 
2.99
%
 
1M / 3M LIBOR
 
7.8
 
 
December 31, 2011
 
 
Option
 
Underlying Swap
Payer Swaptions
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
 
Average
Term
(Years)
One year or less
 
$
22

 
$
4

 
4
 
$
2,200

 
3.13
%
 
1M / 3M LIBOR
 
6.5
Greater than 1 year and less than/equal to 2 years
 
27

 
7

 
15
 
1,000

 
4.04
%
 
1M / 3M LIBOR
 
10.2
Total/Wtd Avg
 
$
49

 
$
11

 
7
 
$
3,200

 
3.41
%
 
1M / 3M LIBOR
 
7.7

The following table summarizes our contracts to purchase and sell TBA and specified agency securities on a forward basis as of December 31, 2012 and 2011 (in millions):
 
 
December 31, 2012
 
December 31, 2011
Purchase and Sale Contracts for TBAs and Forward Settling Securities
 
Notional 
Amount
 
Forward Settlement Price
 
Net
Fair Value
 
Notional
Amount
 
Forward Settlement Price
 
Net
Fair Value
TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
Purchase contracts
 
$
21,705

 
$
22,603

 
$
116

 
$
3,188

 
$
3,252

 
$
49

Sale contracts
 
(9,378
)
 
(9,991
)
 
(20
)
 
(3,803
)
 
(3,935
)
 
(41
)
TBA securities, net (1)
 
12,327

 
12,612

 
96

 
(615
)
 
(683
)
 
8

Forward settling securities:
 


 
 
 
 
 


 
 
 
 
Purchase contracts
 
150

 
163

 
(1
)
 
512

 
530

 
5

Forward settling securities, net (2)
 
150

 
163

 
(1
)
 
512

 
530

 
5

Total TBA and forward settling securities, net
 
$
12,477

 
$
12,775

 
$
95

 
$
(103
)
 
$
(153
)
 
$
13

  ________________________
1.
Includes 15-year and 30-year TBA securities of varying coupons
2.
Includes 20-year and 30-year fixed securities of varying coupons

Gain (Loss) From Derivative Instruments and Other Securities, Net
During fiscal year 2012, none of our derivative instruments were designated as hedges under ASC 815. The table below summarizes the effect of derivative instruments on our consolidated statements of comprehensive income for fiscal year 2012 (in millions):

84


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