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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2014
Entire Document
 


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 the three and nine months ended September 30, 2014 and 2013 (in millions):
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2014
 
2013
 
2014
 
2013
Periodic interest costs of interest rate swaps, net 1
$
(82
)
 
$
(131
)
 
$
(252
)
 
$
(320
)
Realized gain on derivative instruments and other securities, net:
 
 
 
 
 
 
 
TBA securities - dollar roll income/(expense)
152

 
(12
)
 
338

 
325

TBA securities - mark-to-market net gain/(loss)
102

 
(644
)
 
316

 
(789
)
Payer swaptions
(53
)
 
277

 
(161
)
 
224

U.S. Treasury securities - long position
(3
)
 
5

 
16

 
(7
)
U.S. Treasury securities - short position
(102
)
 
338

 
(192
)
 
426

U.S. Treasury futures - short position
(3
)
 
38

 
(25
)
 
45

Interest rate swap termination fees
(67
)
 
19

 
(29
)
 
40

REIT equity securities
20

 

 
68

 

Other
(3
)
 

 
(10
)
 
(2
)
Total realized gain on derivative instruments and other securities, net
43

 
21

 
321

 
262

Unrealized (loss) gain on derivative instruments and other securities, net: 2
 
 
 
 
 
 
 
TBA securities - mark-to-market net gain/(loss)
(221
)
 
574

 
(17
)
 
(292
)
Interest rate swaps
123

 
(110
)
 
(712
)
 
1,247

Payer swaptions
39

 
(411
)
 
1

 
52

Interest and principal-only strips
4

 
14

 
31

 
(8
)
U.S. Treasury securities - long position
(5
)
 
41

 
56

 
57

U.S. Treasury securities - short position
58

 
(248
)
 
(70
)
 
8

U.S. Treasury futures - short position
3

 
(87
)
 
(30
)
 
(31
)
Debt of consolidated VIEs
6

 

 
(6
)
 
33

REIT equity securities
(22
)
 

 
3

 

Other
3

 
(2
)
 
3

 
(1
)
Total unrealized (loss) gain on derivative instruments and other securities, net
(12
)
 
(229
)
 
(741
)
 
1,065

Total (loss) gain on derivative instruments and other securities, net
$
(51
)
 
$
(339
)
 
$
(672
)
 
$
1,007

_______________________
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.
For further details regarding our use of derivative instruments and related activity refer to Notes 3 and 6 of our consolidated financial statements in this Form 10-Q.

Management Fees and General and Administrative Expenses
We pay our Manager a base management fee payable monthly in arrears in an amount equal to one twelfth of 1.25% of our Equity. Our Equity is defined as our month-end stockholders' equity, adjusted to exclude the effect of any unrealized gains or losses included in either retained earnings or accumulated OCI, each as computed in accordance with GAAP. There is no incentive compensation payable to our Manager pursuant to the management agreement. We incurred management fees of $30 million and $35 million for the three months ended September 30, 2014 and 2013, respectively, and $89 million and $105 million for the nine months ended September 30, 2014 and 2013, respectively. The decline in our management fees was a function of our smaller capital base due to the combination of share repurchases and net realized losses on our portfolio during the second half of calendar year 2013.
General and administrative expenses were $5 million and $7 million for the three months ended September 30, 2014 and 2013, respectively, and $17 million and $25 million for the nine months ended September 30, 2014 and 2013, respectively. Our general and administrative expenses primarily consisted of prime broker fees, information technology costs, accounting fees, legal fees, Board of Director fees, insurance expense and general overhead expense. The decline in our general and administrative expenses was largely due to a smaller average portfolio size.

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