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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/26/2018
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book value against potential fluctuations due to interest rate changes. Consistent with our higher hedge ratio, our net "duration gap," which is a measure of the risk due to mismatches that can occur between the interest rate sensitivity of our assets and liabilities, inclusive of hedges, was 0.1 years as of December 31, 2017, down from 1.3 years as of December 31, 2016. We also adjusted the composition of our hedge positions to include a greater portion of interest rate swaptions, which provide us greater protection against larger interest rate increases and higher interest rate volatility. As of December 31, 2017, we estimate that if interest rates were to immediately increase by 100 basis points, assuming an instantaneous parallel shift in the yield curve and no re-balancing actions, our tangible net book value would decrease by 6.6%, which is significantly lower than our corresponding interest rate sensitivity as of December 31, 2016, which projected an approximate decline of 15% under similar circumstances. Please refer to Item 7A. Quantitative and Qualitative Disclosures about Market Risk for further discussion of our interest rate and spread sensitivity.
Looking ahead, we believe Agency RMBS spreads may widen further and interest rates may trend higher. The broader financial markets may also experience greater volatility in comparison to 2017. Although, our tangible net book value may decline if these conditions occur, we believe levered returns on Agency RMBS will remain attractive. We could also opportunistically increase our leverage when we believe the risk-adjusted returns are appropriate.
Market Information
The following table summarizes interest rates and prices of generic fixed rate Agency RMBS as of each date presented below:
Interest Rate/Security Price 1
 
Dec. 31, 2016
 
Mar. 31, 2017
 
June 30, 2017
 
Sept. 30, 2017
 
Dec. 31, 2017
 
Dec. 31, 2017
vs
Dec. 31, 2016
LIBOR:
 
 
 
 
 
 
 
 
 
 
 
 
 
1-Month
 
0.77%
 
0.98%
 
1.22%
 
1.23%
 
1.56%
 
+0.79

bps
3-Month
 
1.00%
 
1.15%
 
1.30%
 
1.33%
 
1.69%
 
+0.69

bps
6-Month
 
1.31%
 
1.42%
 
1.45%
 
1.51%
 
1.84%
 
+0.53

bps
U.S. Treasury Security Rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
2-Year U.S. Treasury
 
1.20%
 
1.26%
 
1.38%
 
1.48%
 
1.89%
 
+0.69

bps
3-Year U.S. Treasury
 
1.46%
 
1.50%
 
1.55%
 
1.61%
 
1.98%
 
+0.52

bps
5-Year U.S. Treasury
 
1.92%
 
1.93%
 
1.89%
 
1.93%
 
2.21%
 
+0.29

bps
10-Year U.S. Treasury
 
2.43%
 
2.39%
 
2.30%
 
2.33%
 
2.41%
 
-0.02

bps
30-Year U.S. Treasury
 
3.05%
 
3.02%
 
2.84%
 
2.86%
 
2.74%
 
-0.31

bps
Interest Rate Swap Rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
2-Year Swap
 
1.46%
 
1.62%
 
1.61%
 
1.73%
 
2.08%
 
+0.62

bps
3-Year Swap
 
1.68%
 
1.81%
 
1.74%
 
1.84%
 
2.17%
 
+0.49

bps
5-Year Swap
 
1.96%
 
2.06%
 
1.95%
 
2.00%
 
2.24%
 
+0.28

bps
10-Year Swap
 
2.32%
 
2.39%
 
2.27%
 
2.28%
 
2.40%
 
+0.08

bps
30-Year Swap
 
2.57%
 
2.65%
 
2.53%
 
2.52%
 
2.53%
 
-0.04

bps
30-Year Fixed Rate Agency Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
$99.38
 
$99.15
 
$99.88
 
$100.33
 
$100.02
 
+$0.64
3.5%
 
$102.50
 
$102.29
 
$102.70
 
$103.09
 
$102.70
 
+$0.20
4.0%
 
$105.13
 
$104.90
 
$105.12
 
$105.27
 
$104.59
 
-$0.54
4.5%
 
$107.51
 
$107.24
 
$107.27
 
$107.33
 
$106.40
 
-$1.11
15-Year Fixed Rate Agency Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$100.20
 
$100.03
 
$100.53
 
$100.69
 
$99.88
 
-$0.32
3.0%
 
$102.62
 
$102.51
 
$102.64
 
$102.75
 
$101.88
 
-$0.74
3.5%
 
$104.17
 
$104.06
 
$104.06
 
$104.14
 
$103.23
 
-$0.94
4.0%
 
$102.69
 
$103.29
 
$103.44
 
$103.13
 
$102.72
 
+$0.03
________________________________
1.
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Prices and interest rates in the table above were obtained from Barclays. LIBOR rates were obtained from Bloomberg.


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