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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2017
Entire Document
 


Our total "at risk" leverage was 7.1x and 6.8x our stockholders' equity as of December 31, 2016 and 2015, respectively. Our tangible net book value "at risk" leverage was 7.7x our tangible stockholders' equity as of December 31, 2016. The table below presents our average and quarter-end mortgage borrowings, net TBA position and leverage ratios for each of the three month periods listed below (dollars in millions):
 
 
Mortgage Borrowings 1
 
Net TBA Position
Long/(Short)
2 
 
Average Total
"At Risk" Leverage during the Period
3
 
Tangible Net Book Value Average Total
"At Risk" Leverage during the Period 4
 
"At Risk" Leverage
as of
Period End
5
 
Tangible Net Book Value "At Risk" Leverage
as of
Period End 4
Quarter Ended
 
Average Daily
Amount
 
Maximum
Daily Amount
 
Ending
Amount
 
Average Daily
Amount
 
Ending
Amount
 
December 31, 2016
 
$
41,031

 
$
42,157

 
$
41,183

 
$
14,141

 
$
11,312

 
7.3:1
 
7.8:1
 
7.1:1
 
7.7:1
September 30, 2016
 
$
44,401

 
$
46,555

 
$
41,154

 
$
10,748

 
$
15,540

 
7.1:1
 
7.6:1
 
7.2:1
 
7.7:1
June 30, 2016
 
$
46,948

 
$
48,875

 
$
45,502

 
$
8,238

 
$
6,975

 
7.2:1
 
N/A
 
7.2:1
 
N/A
March 31, 2016
 
$
45,926

 
$
49,767

 
$
48,875

 
$
8,144

 
$
5,983

 
7.0:1
 
N/A
 
7.3:1
 
N/A
December 31, 2015
 
$
47,018

 
$
50,078

 
$
46,077

 
$
7,796

 
$
7,430

 
6.8:1
 
N/A
 
6.8:1
 
N/A
September 30, 2015
 
$
43,308

 
$
46,049

 
$
44,683

 
$
9,434

 
$
7,265

 
6.2:1
 
N/A
 
6.8:1
 
N/A
June 30, 2015
 
$
50,410

 
$
55,097

 
$
45,860

 
$
5,973

 
$
7,104

 
6.2:1
 
N/A
 
6.1:1
 
N/A
March 31, 2015
 
$
53,963

 
$
58,217

 
$
55,056

 
$
6,957

 
$
4,815

 
6.5:1
 
N/A
 
6.4:1
 
N/A
_______________________
1.
Mortgage borrowings includes Agency repo, FHLB advances and debt of consolidated VIEs. Amounts exclude U.S. Treasury repo agreements.
2.
Daily average and ending net TBA position outstanding measured at cost.
3.
Average "at risk" leverage during the period was calculated by dividing the sum of our daily weighted average mortgage borrowings outstanding and our daily weighted average net TBA position (at cost) during the period by the sum of our average month-end stockholders' equity less our average investment in REIT equity securities for the period.
4.
Tangible net book value "at risk" leverage includes the components of "at risk" leverage with stockholders' equity adjusted to exclude goodwill and other intangible assets, net.
5.
"At risk" leverage as of period end was calculated by dividing the sum of the amount of mortgage borrowings outstanding, net payables and receivables for unsettled investment securities and the cost basis (or contract price) of our net TBA position by the sum of our total stockholders' equity less the fair value of our investment in REIT equity securities at period end.
Interest Expense and Cost of Funds 
Our interest expense is comprised of interest expense on our mortgage borrowings (primarily comprised of Agency repo) and the reclassification of accumulated OCI into interest expense related to previously de-designated interest rate swaps. Upon our election to discontinue hedge accounting under GAAP as of September 30, 2011, the net deferred loss related to our de-designated interest rate swaps remained in accumulated OCI and has been reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap through fiscal year 2016.
Our "adjusted net interest expense," also referred to as our "cost of funds" when stated as a percentage of our mortgage borrowings outstanding, includes periodic interest costs on our interest rate swaps reported in gain/loss on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our cost of funds does not include swap termination fees, forward starting swaps and costs associated with our other supplemental hedges, such as swaptions and U.S. Treasury positions. Our cost of funds also does not include the implied financing cost of our net TBA dollar roll position, although it includes interest rate swap hedge costs related to our TBA dollar roll funded assets. Consequently, our cost of funds measured as a percentage of our outstanding mortgage borrowings is higher than if we allocated a portion of our swap hedge costs to our TBA dollar roll funded assets.

Our average cost of funds declined to 1.45% for fiscal year 2016, compared to 1.49% for the prior year period. The table below presents a reconciliation of our interest expense (the most comparable GAAP financial measure) to our adjusted net interest expense and cost of funds (non-GAAP financial measures) for fiscal years 2016 and 2015 (dollars in millions):

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