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SEC Filings

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


The following tables summarize our interest rate swap agreements outstanding as of September 30, 2014 and December 31, 2013 (dollars in millions):
 
 
September 30, 2014
Payer Interest Rate Swaps
 
Notional
Amount 1
 
Average
Fixed
Pay Rate 2
 
Average
Receive
Rate 3
 
Net
Estimated
Fair Value
 
Average
Maturity
(Years) 4
≤ 3 years
 
$
9,350

 
1.69
%
 
0.18
%
 
$
(143
)
 
1.8
> 3 to ≤ 5 years
 
7,175

 
1.44
%
 
0.23
%
 
66

 
3.9
> 5 to ≤ 7 years
 
5,200

 
2.31
%
 
0.23
%
 
(1
)
 
5.8
> 7 to ≤ 10 years
 
12,850

 
2.55
%
 
0.23
%
 
68

 
8.4
> 10 years
 
5,650

 
3.25
%
 
0.24
%
 
(93
)
 
13.2
Total Payer Interest Rate Swaps
 
$
40,225

 
2.22
%
 
0.22
%
 
$
(103
)
 
6.4
   ________________________
1.
Notional amount includes forward starting swaps of $13.2 billion with an average forward start date of 1.4 years and an average maturity of 8.3 years from September 30, 2014.
2.
Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.82% as of September 30, 2014.
3.
Average receive rate excludes forward starting swaps.
4.
Average maturity measured from September 30, 2014 through stated maturity date.

 
 
December 31, 2013
Payer Interest Rate Swaps
 
Notional
Amount
1
 
Average
Fixed
Pay Rate
2
 
Average
Receive
Rate
3
 
Net
Estimated
Fair Value
 
Average
Maturity
(Years)
4
≤ 3 years
 
$
16,750

 
1.57%
 
0.19%
 
$
(382
)
 
1.6
> 3 to ≤ 5 years
 
10,225

 
1.07%
 
0.24%
 
81

 
3.9
> 5 to ≤ 7 years
 
5,700

 
1.97%
 
0.26%
 
113

 
6.0
> 7 to ≤ 10 years
 
8,825

 
2.28%
 
0.24%
 
499

 
8.8
> 10 years
 
1,750

 
2.79%
 
0.24%
 
169

 
14.7
Total Payer Interest Rate Swaps
 
$
43,250

 
1.70%
 
0.22%
 
$
480

 
4.7
   ________________________
1.
Notional amount includes forward starting swaps of $4.0 billion with an average forward start date of 1.9 years from December 31, 2013.
2.
Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.57% as of December 31, 2013.
3.
Average receive rate excludes forward starting swaps.
4.
Average maturity measured from December 31, 2013 through stated maturity date.

16


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