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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2014
Entire Document
 


The decline in net spread income per common share was primarily a function of margin compression due to lower asset yields and higher cost of funds.

Gain (Loss) on Sale of Agency Securities, Net  
The following table is a summary of our net gain on sale of agency MBS for fiscal years 2012 and 2011 (in millions): 
 
Fiscal Year
 
2012
 
2011
Agency MBS sold, at cost
$
(63,610
)
 
$
(37,579
)
Proceeds from agency MBS sold 1
64,806

 
38,052

Net gain on sale of agency MBS
$
1,196

 
$
473

 
 
 
 
Gross gain on sale of agency MBS
$
1,209

 
$
510

Gross loss on sale of agency MBS
(13
)
 
(37
)
Net gain on sale of agency MBS
$
1,196

 
$
473

 _______________________
1.
Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end.
Asset sales were primarily to reposition our agency MBS portfolio towards securities with attributes that our Manager believed would provide greater relative value and risk-adjusted returns in light of current and anticipated interest rates, federal government programs, general economic conditions and other factors.

Gain (Loss) on Derivative Instruments and Other Securities, Net  
The following table is a summary of our gain (loss) on derivative instruments and other securities, net for fiscal years 2012 and 2011 (in millions):
 
 
Fiscal Year
 
 
2012
 
2011
Periodic interest costs of interest rate swaps, net 1
 
$
(252
)
 
$
(35
)
Realized (loss) on derivative instruments and other securities, net:
 
 
 
 
Net TBAs and forward settling agency securities
 
(50
)
 
(141
)
Payer swaptions
 
(42
)
 
(13
)
U.S. Treasury securities - long position
 
(1
)
 
34

U.S. Treasury securities - short position
 
(144
)
 
(116
)
U.S. Treasury futures - short position
 
(104
)
 
1

Interest rate swap termination fees
 
(180
)
 
(7
)
Other
 

 
8

Total realized (loss) gain on derivative instruments and other securities, net
 
(521
)
 
(234
)
Unrealized (loss) on derivative instruments and other securities, net: 2
 
 
 
 
Net TBAs and forward settling agency securities
 
81

 
(1
)
Interest rate swaps
 
(602
)
 
(79
)
Payer swaptions
 
(64
)
 
(51
)
Interest-only and principal-only strips
 
17

 
(17
)
U.S. Treasury securities - short position
 
2

 
(17
)
U.S. Treasury futures - short position
 
14

 
(13
)
Debt of consolidated VIEs
 
(28
)
 

Total unrealized (loss)on derivative instruments and other securities, net
 
(580
)
 
(178
)
Total (loss) on derivative instruments and other securities, net
 
$
(1,353
)
 
$
(447
)
_______________________
1.
Please refer to Interest Expense and Cost of Funds discussion above for additional information regarding other periodic interest costs of interest rate swaps, net.
2.
Unrealized gain (loss) from derivative instruments and other securities, net includes reversals of prior period amounts for settled, terminated or expired derivative instruments and other securities.

59


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