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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/23/2016
Entire Document
 


The table below presents a summary of our average mortgage borrowings outstanding and our average interest rates swaps outstanding, excluding forward starting swaps, for fiscal years 2015 and 2014 (dollars in millions):
 
 
Fiscal Year
Average Ratio of Interest Rate Swaps Outstanding (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding
 
2015
 
2014
Average mortgage borrowings
 
$
48,641

 
$
50,015

Average notional amount of interest rate swaps (excluding forward starting swaps)
 
$
35,220

 
$
33,988

Average ratio of interest rate swaps to mortgage borrowings
 
72
%
 
68
%
 
 
 
 
 
Weighted average pay rate on interest rate swaps
 
1.68
%
 
1.64
%
Weighted average receive rate on interest rate swaps
 
0.28
%
 
0.21
%
Weighted average net pay rate on interest rate swaps
 
1.40
%
 
1.43
%
 
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 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 rate swap portfolio, current and anticipated swap spreads and our desire to mitigate our exposure to specific sectors of the yield curve.
Including forward starting swaps and our net TBA position, our average ratio of interest rate swaps outstanding to our average mortgage borrowings and net TBA position (at cost) was 81% for fiscal year 2015, compared to 58% for fiscal year 2014.
 
 
Fiscal Year
Average Ratio of Interest Rate Swaps Outstanding (Including Forward Starting Swaps) to Mortgage Borrowings and Net TBA Position
 
2015
 
2014
Average mortgage borrowings
 
$
48,641

 
$
50,015

Average net TBA position - at cost
 
7,547

 
13,212

Total average mortgage borrowings and net TBA position
 
$
56,188

 
$
63,227

Average notional amount of interest rate swaps (including of forward starting swaps)
 
$
45,446

 
$
36,408

Average ratio of interest rate swaps to mortgage borrowings and net TBA position
 
81
%
 
58
%


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