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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 swaption agreements outstanding as of September 30, 2014 and December 31, 2013 (dollars in millions):
 
 
September 30, 2014
 
 
Option
 
Underlying Payer Swap
Years to Expiration
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
(LIBOR)
 
Average
Term
(Years)
Payer Swaptions
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
90

 
$
42

 
7
 
$
4,600

 
2.96%
 
3M
 
4.8
> 1 to ≤ 2 years
 
42

 
19

 
20
 
1,550

 
3.89%
 
3M
 
5.1
Total Payer Swaptions
 
$
132

 
$
61

 
10
 
$
6,150

 
3.19%
 
3M
 
4.9
 
 
September 30, 2014
 
 
Option
 
Underlying Receiver Swap
 
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Receive
Rate
 
Average
 Pay
Rate
(LIBOR)
 
Average
Term
(Years)
Receiver Swaptions
 
$
10

 
$
9

 
4
 
$
2,500

 
2.08%
 
3M
 
8.2
 
 
December 31, 2013
 
 
Option
 
Underlying Payer Swap
Years to Expiration
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
(LIBOR)
 
Average
Term
(Years)
Payer Swaptions
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
193

 
$
117

 
4
 
$
9,400

 
2.87%
 
3M
 
7.8
> 1 to ≤ 2 years
 
105

 
92

 
19
 
3,600

 
3.40%
 
3M
 
5.6
> 2 to ≤ 3 years
 
35

 
45

 
30
 
1,150

 
3.81%
 
3M
 
5.8
> 3 to ≤ 5 years
 
2

 
4

 
52
 
100

 
4.80%
 
3M
 
7.0
Total Payer Swaptions
 
$
335

 
$
258

 
10
 
$
14,250

 
3.09%
 
3M
 
7.0
We did not have any receiver swaptions outstanding as of December 31, 2013.
The following table summarizes our contracts to purchase and sell TBA contracts as of September 30, 2014 and December 31, 2013 (in millions):
 
 
September 30, 2014
 
December 31, 2013
Purchase and Sale Contracts for TBAs
 
Notional 
Amount 1
 
Cost Basis 2
 
Market Value 3
 
Net Carrying Value 4
 
Notional 
Amount 1
 
Cost Basis 2
 
Market Value 3
 
Net Carrying Value 4
TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchase contracts
 
$
20,385

 
$
21,029

 
$
21,006

 
$
(23
)
 
$
6,660

 
$
6,882

 
$
6,864

 
$
(18
)
Sale contracts
 
(3,126
)
 
(3,260
)
 
(3,258
)
 
2

 
(4,541
)
 
(4,606
)
 
(4,593
)
 
13

TBA securities, net 5
 
$
17,259

 
$
17,769

 
$
17,748

 
$
(21
)
 
$
2,119

 
$
2,276

 
$
2,271

 
$
(5
)
  ________________________
1.
Notional amount represents the par value (or principal balance) of the underlying agency security.
2.
Cost basis represents the forward price to be paid / (received) for the underlying agency security.
3.
Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end.
4.
Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets.
5.
Includes 15-year and 30-year TBA securities of varying coupons

17


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