Print Page     Close Window     

SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/26/2018
Entire Document
 


The table below presents a summary of the ratio of our average interest rates swaps outstanding, excluding forward starting swaps, to our average mortgage borrowings for fiscal years 2017 and 2016 (dollars in millions):
 
 
Fiscal Year
Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding
 
2017
 
2016
Average Agency repo and other debt outstanding
 
$
41,942

 
$
44,566

Average net TBA portfolio outstanding - at cost
 
$
16,859

 
$
10,329

Average mortgage borrowings outstanding
 
$
58,801

 
$
54,895

Average notional amount of interest rate swaps outstanding (excluding forward starting swaps)
 
$
37,331

 
$
33,541

Ratio of average interest rate swaps to mortgage borrowings outstanding
 
63
 %
 
61
 %
 
 
 
 
 
Average interest rate swap pay-fixed rate (excluding forward starting swaps)
 
1.55
 %
 
1.56
 %
Average interest rate swap receive-floating rate
 
(1.21
)%
 
(0.69
)%
Average interest rate swap net pay/(receive) rate
 
0.34
 %
 
0.87
 %
For fiscal years 2017 and 2016, we had an average forward starting swap balance of $2.4 billion and $4.8 billion, respectively. Forward starting interest rate swaps do not impact our economic interest expense and aggregate cost of funds until they commence accruing net interest settlements on their forward start dates. Including forward starting swaps, our average ratio of interest rate swaps outstanding to our average mortgage borrowings for fiscal years 2017 and 2016 was 68% and 70%, respectively.
Net Interest Margin
The following table presents a summary of our net interest margin, including the impact of TBA dollar roll income and interest rate swap costs and excluding "catch-up" premium amortization for fiscal years 2017 and 2016:
 
 
Fiscal Year
 
 
2017
 
2016
Investment and TBA securities - average asset yield, excluding "catch-up" premium amortization
 
2.84
 %
 
2.68
 %
Investment and TBA securities - average aggregate cost of funds
 
(1.39
)%
 
(1.27
)%
Investment and TBA securities - average net interest margin, excluding "catch-up" premium amortization
 
1.45
 %
 
1.41
 %

40


© AGNC Investment Corp All Rights Reserved