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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/06/2015
Entire Document
 


 
 
Three Months Ended March 31,
Average Ratio of Current Pay Interest Rate Swaps Outstanding to Repo and Other Debt 1
 
2015
 
2014
Average repurchase agreements and other debt
 
$
53,963

 
$
57,544

Average notional amount of current pay interest rate swaps
 
$
32,924

 
$
37,201

Average ratio of current pay interest rate swaps to repurchase agreements and other debt outstanding
 
61
%
 
65
%
 
 
 
 
 
Weighted average pay rate on current pay interest rate swaps
 
1.62
%
 
1.58
%
Weighted average receive rate on current pay interest rate swaps
 
0.23
%
 
0.21
%
Weighted average net pay rate on current pay interest rate swaps
 
1.39
%
 
1.37
%
 _______________________
1.
Excludes forward starting swaps not in effect during the periods presented.
Our average interest rate swaps outstanding in the table above exclude our forward starting swaps not in effect during the periods presented. Forward starting interest rate swaps do not impact our adjusted net interest expense and cost of funds until they commence accruing net interest settlements on their forward start dates. We enter into forward starting interest rate swaps based on a variety of factors, including our Manager's view of the forward yield curve and the timing of potential changes in short-term interest rates, time to deploy new capital, amount and timing of expirations of our existing interest swap portfolio, current and anticipated swap spreads and our desire to mitigate our exposure to specific sectors of the yield curve.
Our average ratio of interest rate swaps outstanding, inclusive of forward starting swaps, to our average repurchase agreement, other debt and net TBA position (at cost) was 75% and 69% for the three months ended March 31, 2015 and 2014, respectively.
 
 
Three Months Ended March 31,
Average Ratio of all Interest Rate Swaps Outstanding to Repo, Other Debt and Net TBA Position
 
2015
 
2014
Average repurchase agreements and other debt
 
$
53,963

 
$
57,544

Average net TBA portfolio - at cost
 
6,957

 
4,534

Total average repurchase agreement, other debt and net TBA position
 
$
60,920

 
$
62,078

Average notional amount of interest rate swaps (inclusive of forward starting swaps)
 
$
45,880

 
$
42,716

Average ratio of interest rate swaps to repurchase agreements, other debt and net TBA position outstanding
 
75
%
 
69
%


37


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