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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/03/2017
Entire Document
 



The table below presents a summary of our average mortgage borrowings and our average interest rates swaps outstanding, excluding forward starting swaps, for the three and nine months ended September 30, 2017 and 2016 (dollars in millions):
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
Average Ratio of Interest Rate Swaps Outstanding (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding
 
2017
 
2016
 
2017
 
2016
Average mortgage borrowings
 
$
41,406

 
$
44,401

 
$
39,859

 
$
45,753

Average notional amount of interest rate swaps (excluding forward starting swaps)
 
$
38,013

 
$
31,839

 
$
36,785

 
$
33,790

Average ratio of interest rate swaps to mortgage borrowings
 
92
 %
 
72
 %
 
92
 %
 
74
 %
 
 
 
 
 
 
 
 
 
Average pay rate
 
1.56
 %
 
1.45
 %
 
1.52
 %
 
1.60
 %
Average receive rate
 
(1.29
)%
 
(0.73
)%
 
(1.13
)%
 
(0.63
)%
Average net pay/(receive) rate
 
0.27
 %
 
0.72
 %
 
0.39
 %
 
0.97
 %
 
For the three and nine months ended September 30, 2017, we had an average forward starting swap balance of $2.2 billion and $1.7 billion, respectively, compared to $4.4 billion and $5.8 billion, respectively, for the prior year period. 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. 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 67% and 69% for the three and nine months ended September 30, 2017, respectively, compared to 66% and 72%, respectively, for the prior year period.
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
Average Ratio of Interest Rate Swaps Outstanding (Including Forward Starting Swaps) to Mortgage Borrowings and Net TBA Position
 
2017
 
2016
 
2017
 
2016
Average mortgage borrowings
 
$
41,406

 
$
44,401

 
$
39,859

 
$
45,753

Average net TBA position - at cost
 
18,616

 
10,748

 
16,355

 
9,050

Total average mortgage borrowings and net TBA position
 
$
60,022

 
$
55,149

 
$
56,214

 
$
54,803

Average notional amount of interest rate swaps (including forward starting swaps)
 
$
40,166

 
$
36,270

 
$
38,524

 
$
39,575

Average ratio of interest rate swaps to mortgage borrowings and net TBA position
 
67
%
 
66
%
 
69
%
 
72
%

41


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