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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2013
Entire Document
 


 
 
Fiscal Year 2010
Non Designated Derivative and Other
Hedging Instruments
 
Notional
Amount
as of
December 31, 2009
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional
Amount
as of
December 31, 2010
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives(1)
Purchase of TBA and forward settling agency securities
 
$
597

 
6,662

 
(6,747
)
 
$
512

 
$
19

Sale of TBA and forward settling agency securities
 
$
617

 
16,937

 
(16,193
)
 
$
1,361

 
11

Interest rate swaps
 
$

 
350

 
(300
)
 
$
50

 
(3
)
Payer swaptions
 
$
200

 
850

 
(200
)
 
$
850

 
19

Receiver swaptions
 
$
100

 
300

 
(400
)
 
$

 

Short sales of U.S. Treasury securities
 
$

 
750

 
(500
)
 
$
250

 
(2
)
Put options
 
$

 
75

 
(75
)
 
$

 

 
 
 
 
 
 
 
 
 
 
$
44

  ______________________
1.
Excludes a loss of $1 million from interest-only and principal-only securities re-measured at fair value through earnings and a loss of $5 million from U.S. Treasury securities in gain (loss) on derivative instruments and other securities, net in our consolidated statement of comprehensive income for the year ended December 31, 2010.

The following tables summarize information about our outstanding interest rate swaps designated as hedging instruments under ASC 815 and their effect on our consolidated statement of comprehensive income for fiscal years 2011 and 2010 (in millions):
Interest Rate Swaps Designated
as Hedging Instruments
Beginning
Notional Amount
 
Additions
 
Expirations / Terminations
 
Hedge De-Designations
 
Ending
Notional  Amount
Fiscal year 2011
$
6,450

 
17,900

 
(450
)
 
(23,900
)
 
$

Fiscal year 2010
$
2,050

 
4,400

 

 

 
$
6,450

Interest Rate Swaps Designated as Hedging Instruments:
 
Amount of
Gain or (Loss)
Recognized in
OCI
(Effective
Portion)
 
Location of Gain
or (Loss)
Reclassified from
OCI into
Earnings (Effective
Portion)
 
Amount of (Gain) or
Loss Reclassified
from OCI into
Earnings
(Effective Portion)
 
Location of Gain or (Loss)
Recognized in Earnings
(Ineffective Portion and
Amount Excluded from
Effectiveness Testing)
 
Amount of Gain
or (Loss)
Recognized in
Earnings
(Ineffective
Portion and
Amount
Excluded from
Effectiveness
Testing)
Fiscal year 2011
 
$
(707
)
 
Interest expense
 
$
(140
)
 
Gain (loss) on derivative instruments and other securities, net
 
$
(2
)
Fiscal year 2010
 
$
(21
)
 
Interest expense
 
$
(57
)
 
Gain (loss) on derivative instruments and other securities, net
 
$

During fiscal years 2011 and 2010, we also held forward contracts to purchase TBA and specified agency securities that were designated as cash flow hedges under to ASC 815. The following tables summarize information about these securities and their effect on our consolidated statement of comprehensive income for fiscal years 2011 and 2010 (dollars in millions):
Purchases of TBAs and Forward
Settling Agency Securities
Designated as Hedging Instruments
Beginning
Notional Amount
 
Additions
 
Settlement /
Expirations
 
Ending
Notional  Amount
 
Fair Value
as of
Period End
 
Average
Maturity
as of
Period End
(Months)
Fiscal year 2011
$
245

 
$

 
$
(245
)
 
$

 
$

 

Fiscal year 2010
$

 
$
742

 
$
(497
)
 
$
245

 
$
(3
)
 
1


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