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SEC Filings

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


Gain (Loss) From Derivative Instruments and Other Securities, Net
The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and nine months ended September 30, 2014 and 2013 (in millions):
 
 
Three Months Ended September 30, 2014
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
June 30, 2014
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
Long/(Short) September 30, 2014
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
Net TBA securities
 
$
17,811

 
44,438

 
(44,990
)
 
$
17,259

 
$
33

Interest rate swaps
 
$
(47,900
)
 
(3,625
)
 
11,300

 
$
(40,225
)
 
(26
)
Payer swaptions
 
$
(7,650
)
 
(1,500
)
 
3,000

 
$
(6,150
)
 
(14
)
Receiver swaptions
 
$
1,750

 
750

 

 
$
2,500

 

U.S. Treasury securities - short position
 
$
(5,988
)
 
(5,974
)
 
7,263

 
$
(4,699
)
 
(44
)
U.S. Treasury securities - long position
 
$
1,250

 
5,028

 
(5,055
)
 
$
1,223

 
(8
)
U.S. Treasury futures contracts - short position
 
$
(730
)
 
(730
)
 
730

 
$
(730
)
 

TBA put option
 
$
(100
)
 

 
100

 
$

 

 
 
 
 
 
 
 
 
 
 
$
(59
)
  ________________________________
1.
Excludes a net loss of $2 million from investments in REIT equity securities, a net gain of $6 million from debt of consolidated VIEs and a net gain of $4 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

 
 
Three Months Ended September 30, 2013
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
June 30, 2013
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional
Amount
Long/(Short) September 30, 2013
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
Net TBA and forward settling agency securities
 
$
14,408

 
(33,697
)
 
11,963

 
$
(7,326
)
 
$
(82
)
Interest rate swaps
 
$
(55,650
)
 
(850
)
 
6,300

 
$
(50,200
)
 
(222
)
Payer swaptions
 
$
(23,750
)
 
(9,450
)
 
13,000

 
$
(20,200
)
 
(134
)
U.S. Treasury securities - short position
 
$
(10,477
)
 
(11,266
)
 
19,833

 
$
(1,910
)
 
90

U.S. Treasury securities - long position
 
$
3,750

 
12,350

 
(11,249
)
 
$
4,851

 
46

U.S. Treasury futures contracts - short position
 
$
(2,430
)
 
(3,730
)
 
4,430

 
$
(1,730
)
 
(49
)
TBA put option
 
$

 
(50
)
 

 
$
(50
)
 

 
 
 
 
 
 
 
 
 
 
$
(351
)
  ______________________
1.
Excludes a net gain of $14 million from interest and principal-only securities and other miscellaneous net losses of $2 million recognized in gain (loss) from derivative instruments and other securities, net in our consolidated statements of comprehensive income.

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