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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/23/2012
Entire Document
 




The table below presents our quarterly average and quarter-end repurchase agreement and other debt balance outstanding and leverage ratios for fiscal years 2011 and 2010 (dollars in thousands):
 
Repurchase Agreements and Other Debt
 
Average
Daily
Interest
Rate on
Amounts
Outstanding
 
Average
Interest
Rate on
Ending
Amount
Outstanding
 
Average
Leverage(1)
 
Leverage
as of 
Period
End(2)
 
Leverage
as of
Period
End,
Net of
Unsettled
Trades(3)
Quarter Ended
Average Daily
Amount
Outstanding
 
Maximum
Daily Amount
Outstanding
 
Ending
Amount
Outstanding
 
December 31, 2011
$
42,183,590

 
$
48,011,577

 
$
47,735,295

 
0.34%
 
0.40%
 
7.6:1
 
7.7:1
 
7.9:1
September 30, 2011
$
38,484,147

 
$
41,638,190

 
$
38,898,483

 
0.25%
 
0.28%
 
7.9:1
 
7.9:1
 
7.7:1
June 30, 2011(4)(5)
$
28,668,011

 
$
33,566,899

 
$
33,566,899

 
0.25%
 
0.23%
 
7.6:1
 
7.0:1
 
7.5:1
March 31, 2011(4)(5)
$
17,755,790

 
$
22,147,273

 
$
22,061,884

 
0.28%
 
0.28%
 
7.4:1
 
6.6:1
 
7.6:1
December 31, 2010(5)
$
10,813,568

 
$
12,340,635

 
$
11,753,019

 
0.29%
 
0.31%
 
8.4:1
 
7.5:1
 
7.8:1
September 30, 2010
$
7,241,783

 
$
8,050,221

 
$
8,050,221

 
0.28%
 
0.28%
 
8.5:1
 
8.8:1
 
9.8:1
June 30, 2010
$
5,548,225

 
$
6,634,342

 
$
6,634,342

 
0.26%
 
0.28%
 
7.9:1
 
8.4:1
 
8.2:1
March 31, 2010
$
3,787,583

 
$
4,651,115

 
$
4,651,115

 
0.22%
 
0.21%
 
6.5:1
 
7.6:1
 
7.9:1
  ________
(1)
Average leverage during the period was calculated by dividing the daily weighted average repurchase agreements and other debt outstanding, less amounts used to fund short-term investments in U.S. treasury securities, for the period by our average month-ended stockholders’ equity for the period.
(2)
Leverage as of period end was calculated by dividing the amount outstanding under our repurchase agreements and other debt by our stockholders’ equity at period end.
(3)
Leverage as of period end, net of unsettled trades was calculated by dividing the sum of the amount outstanding under our repurchase agreements, net liabilities and receivables for unsettled agency securities and other debt by our total stockholders’ equity at period end.
(4)
Average leverage for the quarters ended March 31, 2011 and June 30, 2011 was 8.2x and 8.3x, pro forma, when average equity is adjusted to exclude the March 2011 and June 2011 follow-on equity offering that closed on March 25, 2011 and June 28, 2011, respectively.
(5)
Average leverage for the period was higher than leverage as of period end because we had not fully invested net proceeds raised from follow-on equity offerings occurring late in the period.
Economic Interest Expense and Cost of Funds 
Prior to the third quarter of 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under GAAP. However, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps in order to increase our funding flexibility (refer to Note 2 of our consolidated financial statements in this Annual Report on Form 10-K regarding our discontinuance of hedge accounting). Subsequent to our discontinuance of hedge accounting, the net deferred loss related to our de-designated interest rate swaps is being reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap. Although the reclassification of accumulated OCI into interest expense is similar to as if the interest rate swaps had not been de-designated, the actual net periodic interest costs associated with our de-designated interest rates swaps was greater than the amounts reclassified into interest expense for the period subsequent to discontinuation of hedge accounting through December 31, 2011. The difference, as well as net periodic interest costs on interest rate swaps that were never in a hedge designation, is reported in our consolidated statement of operations and comprehensive income in gain (loss) on derivative instruments and other securities, net. We refer to the sum of our total net periodic interest costs on our interest rate swaps and interest expense on our repurchase agreements as our "economic interest expense" and this amount relative to our outstanding repurchase agreements as our "cost of funds".
The tables below present a reconciliation of our economic interest and cost of funds (non-GAAP financial measures) to our interest expense (the most comparable GAAP financial measure) for fiscal years 2011 and 2010 (dollars in thousands).

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