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SEC Filings

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


Other Comprehensive Income (Loss)
The following table summarizes the components of our other comprehensive loss for fiscal years 2016 and 2015 (in millions): 

 
Fiscal Year
 
2016
 
2015
Unrealized gain (loss) on available-for-sale securities, net:
 
 
 
Unrealized loss, net
$
(261
)
 
$
(620
)
Reversal of prior period unrealized (gain) loss, net, upon realization
(109
)
 
23

Unrealized loss on available-for-sale securities, net:
(370
)
 
(597
)
Unrealized gain on interest rate swaps previously designated as cash flow hedges:
 
 
 
Reversal of prior period unrealized loss on interest rate swaps, net, upon reclassification to interest expense
39

 
101

Total other comprehensive loss
$
(331
)
 
$
(496
)

LIQUIDITY AND CAPITAL RESOURCES
Our primary sources of funds are borrowings under master repurchase agreements, asset sales, receipts of monthly principal and interest payments on our investment portfolio and equity offerings. We may also enter into TBA contracts to acquire or dispose of Agency RMBS and TBA dollar roll transactions to finance Agency RMBS purchases. Because the level of our borrowings can be adjusted daily, the level of cash and cash equivalents carried on our balance sheet is significantly less important than the potential liquidity available under our borrowing arrangements. Our leverage will vary periodically depending on market conditions and our assessment of risks and returns. We generally would expect our leverage to be within six to twelve times the amount of our tangible stockholders' equity. However, under certain market conditions, we may operate at leverage levels outside of this range for extended periods of time.
We currently believe that we have sufficient liquidity and capital resources available for the acquisition of additional investments, repayments on borrowings, maintenance of any margin requirements and the payment of cash dividends as required for our continued qualification as a REIT. We currently expect to distribute 100% of our taxable income so that we are not subject to U.S. Federal and state corporate income taxes. Our REIT distribution requirement of at least 90% of our taxable income limits our ability to retain earnings and thereby replenish or increase capital from operations.
Debt Capital
As of December 31, 2017 and 2016, our mortgage borrowings consisted of the following ($ in millions):
 
 
December 31, 2017
 
December 31, 2016
Mortgage Borrowings
 
Amount
 
%
 
Amount
 
%
Repurchase agreements used to fund Agency RMBS 1
 
$
50,296

 
75
%
 
$
37,686

 
71
%
Debt of consolidated variable interest entities, at fair value
 
357

 
1
%
 
460

 
1
%
FHLB advances
 

 
%
 
3,037

 
6
%
Total debt
 
50,653

 
76
%
 
41,183

 
78
%
Net TBA position, at cost
 
15,739

 
24
%
 
11,312

 
22
%
Total mortgage borrowings
 
$
66,392

 
100
%
 
$
52,495

 
100
%
________________________________
1. Excludes repurchase agreements used to fund U.S. Treasury securities of $0 million and $172 million as of December 31, 2017 and 2016, respectively.
Our tangible net book value "at risk" leverage was 8.1x and 7.7x as of December 31, 2017 and 2016, respectively, measured as the sum of our total mortgage borrowings, net payable / (receivable) for unsettled investment securities divided by the sum of our total stockholders' equity adjusted to exclude goodwill and other intangible assets and investments in REIT securities.
Repurchase Agreements
As part of our investment strategy, we borrow against our investment portfolio pursuant to master repurchase agreements. We expect that the majority of our borrowings under repurchase agreements will have maturities ranging up to one year, but may have terms ranging up to five years or longer. Borrowings with maturities greater than one year typically have floating rates of interest based on LIBOR plus or minus a fixed spread.

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