
| (State or Other Jurisdiction of Incorporation or Organization) | (Commission File Number) | (I.R.S. Employer Identification No.) | ||||||
| Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) | ||||||||
| Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) | ||||||||
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) | ||||||||
| Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) | ||||||||
| Title of Each Class | Trading Symbol(s) | Name of Exchange on Which Registered | ||||||||||||
Redeemable Preferred Stock | ||||||||||||||
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter). | |||||
| Emerging Growth Company | |||||
| Exhibit No. | Description | ||||||||||
| April 24, 2023 | |||||||||||
AGNC INVESTMENT CORP. | |||||||||||
| Dated: | April 24, 2023 | By: | /s/ BERNICE E. BELL | ||||||||
| Bernice E. Bell | |||||||||||
| Executive Vice President and Chief Financial Officer | |||||||||||
| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
| CONSOLIDATED BALANCE SHEETS | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
March 31, 2023 | December 31, 2022 | September 30, 2022 | June 30, 2022 | March 31, 2022 | |||||||||||||||||||||||||
| (unaudited) | (unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||||||
| Assets: | |||||||||||||||||||||||||||||
Agency securities, at fair value (including pledged securities of $41,852, $35,800, $37,886, $40,107 and $43,261, respectively) | $ | 44,925 | $ | 39,346 | $ | 41,740 | $ | 43,459 | $ | 47,214 | |||||||||||||||||||
| Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 140 | 144 | 149 | 167 | 184 | ||||||||||||||||||||||||
Credit risk transfer securities, at fair value (including pledged securities of $747, $703, $815, $629 and $471, respectively) | 769 | 757 | 860 | 894 | 885 | ||||||||||||||||||||||||
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $457, $605, $775, $643 and $466, respectively) | 530 | 682 | 869 | 881 | 804 | ||||||||||||||||||||||||
U.S. Treasury securities, at fair value (including pledged securities of $6,481, $353, $1,213, $1,882 and $684, respectively) | 6,642 | 353 | 1,213 | 1,882 | 684 | ||||||||||||||||||||||||
| Cash and cash equivalents | 975 | 1,018 | 976 | 906 | 1,004 | ||||||||||||||||||||||||
| Restricted cash | 1,864 | 1,316 | 2,186 | 1,333 | 1,087 | ||||||||||||||||||||||||
| Derivative assets, at fair value | 229 | 617 | 851 | 536 | 647 | ||||||||||||||||||||||||
Receivable for investment securities sold (including pledged securities of $339, $119, $1,163, $1,907 and $2,160, respectively) | 346 | 120 | 1,169 | 2,006 | 2,317 | ||||||||||||||||||||||||
| Receivable under reverse repurchase agreements | 8,929 | 6,622 | 7,577 | 8,438 | 10,645 | ||||||||||||||||||||||||
| Goodwill | 526 | 526 | 526 | 526 | 526 | ||||||||||||||||||||||||
| Other assets | 236 | 247 | 408 | 212 | 397 | ||||||||||||||||||||||||
| Total assets | $ | 66,111 | $ | 51,748 | $ | 58,524 | $ | 61,240 | $ | 66,394 | |||||||||||||||||||
| Liabilities: | |||||||||||||||||||||||||||||
| Repurchase agreements | $ | 48,384 | $ | 36,262 | $ | 40,306 | $ | 43,153 | $ | 44,715 | |||||||||||||||||||
| Debt of consolidated variable interest entities, at fair value | 92 | 95 | 98 | 107 | 116 | ||||||||||||||||||||||||
| Payable for investment securities purchased | — | 302 | 1,279 | 547 | 857 | ||||||||||||||||||||||||
| Derivative liabilities, at fair value | 326 | 99 | 1,221 | 237 | 668 | ||||||||||||||||||||||||
| Dividends payable | 101 | 100 | 92 | 88 | 88 | ||||||||||||||||||||||||
| Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 8,869 | 6,534 | 7,469 | 8,265 | 10,277 | ||||||||||||||||||||||||
| Accounts payable and other liabilities | 547 | 486 | 837 | 803 | 743 | ||||||||||||||||||||||||
| Total liabilities | 58,319 | 43,878 | 51,302 | 53,200 | 57,464 | ||||||||||||||||||||||||
| Stockholders' equity: | |||||||||||||||||||||||||||||
Preferred Stock - aggregate liquidation preference of $1,688, $1,688, $1,688, $1,538 and $1,538, respectively | 1,634 | 1,634 | 1,634 | 1,489 | 1,489 | ||||||||||||||||||||||||
Common stock - $0.01 par value; 592.5, 574.6, 551.3, 522.7 and 523.3 shares issued and outstanding, respectively | 6 | 6 | 6 | 5 | 5 | ||||||||||||||||||||||||
| Additional paid-in capital | 14,356 | 14,186 | 13,999 | 13,707 | 13,704 | ||||||||||||||||||||||||
| Retained deficit | (7,674) | (7,284) | (7,610) | (6,726) | (6,078) | ||||||||||||||||||||||||
| Accumulated other comprehensive loss | (530) | (672) | (807) | (435) | (190) | ||||||||||||||||||||||||
| Total stockholders' equity | 7,792 | 7,870 | 7,222 | 8,040 | 8,930 | ||||||||||||||||||||||||
| Total liabilities and stockholders' equity | $ | 66,111 | $ | 51,748 | $ | 58,524 | $ | 61,240 | $ | 66,394 | |||||||||||||||||||
Tangible net book value per common share 1 | $ | 9.41 | $ | 9.84 | $ | 9.08 | $ | 11.43 | $ | 13.12 | |||||||||||||||||||
| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
| CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||||||||
March 31, 2023 | December 31, 2022 | September 30, 2022 | June 30, 2022 | March 31, 2022 | |||||||||||||||||||||||||
| Interest income: | |||||||||||||||||||||||||||||
| Interest income | $ | 351 | $ | 347 | $ | 373 | $ | 395 | $ | 475 | |||||||||||||||||||
| Interest expense | 449 | 322 | 196 | 80 | 27 | ||||||||||||||||||||||||
| Net interest income | (98) | 25 | 177 | 315 | 448 | ||||||||||||||||||||||||
Other gain (loss), net: | |||||||||||||||||||||||||||||
Realized loss on sale of investment securities, net | (81) | (1,068) | (560) | (946) | (342) | ||||||||||||||||||||||||
Unrealized gain (loss) on investment securities measured at fair value through net income, net | 594 | 1,462 | (1,738) | (987) | (2,532) | ||||||||||||||||||||||||
(Loss) gain on derivative instruments and other investments, net | (544) | 156 | 1,474 | 1,204 | 1,796 | ||||||||||||||||||||||||
Total other (loss) gain, net | (31) | 550 | (824) | (729) | (1,078) | ||||||||||||||||||||||||
| Expenses: | |||||||||||||||||||||||||||||
| Compensation and benefits | 14 | 5 | 11 | 12 | 13 | ||||||||||||||||||||||||
| Other operating expense | 8 | 9 | 8 | 8 | 8 | ||||||||||||||||||||||||
| Total operating expense | 22 | 14 | 19 | 20 | 21 | ||||||||||||||||||||||||
Net income (loss) | (151) | 561 | (666) | (434) | (651) | ||||||||||||||||||||||||
| Dividend on preferred stock | 30 | 29 | 26 | 25 | 25 | ||||||||||||||||||||||||
Net income (loss) available (attributable) to common stockholders | $ | (181) | $ | 532 | $ | (692) | $ | (459) | $ | (676) | |||||||||||||||||||
Net income (loss) | $ | (151) | $ | 561 | $ | (666) | $ | (434) | $ | (651) | |||||||||||||||||||
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net | 142 | 135 | (372) | (245) | (491) | ||||||||||||||||||||||||
Comprehensive income (loss) | (9) | 696 | (1,038) | (679) | (1,142) | ||||||||||||||||||||||||
| Dividend on preferred stock | 30 | 29 | 26 | 25 | 25 | ||||||||||||||||||||||||
Comprehensive income (loss) available (attributable) to common stockholders | $ | (39) | $ | 667 | $ | (1,064) | $ | (704) | $ | (1,167) | |||||||||||||||||||
| Weighted average number of common shares outstanding - basic | 579.3 | 568.4 | 528.7 | 526.2 | 524.3 | ||||||||||||||||||||||||
| Weighted average number of common shares outstanding - diluted | 579.3 | 569.5 | 528.7 | 526.2 | 524.3 | ||||||||||||||||||||||||
Net income (loss) per common share - basic | $ | (0.31) | $ | 0.94 | $ | (1.31) | $ | (0.87) | $ | (1.29) | |||||||||||||||||||
Net income (loss) per common share - diluted | $ | (0.31) | $ | 0.93 | $ | (1.31) | $ | (0.87) | $ | (1.29) | |||||||||||||||||||
Comprehensive income (loss) per common share - basic | $ | (0.07) | $ | 1.17 | $ | (2.01) | $ | (1.34) | $ | (2.23) | |||||||||||||||||||
Comprehensive income (loss) per common share - diluted | $ | (0.07) | $ | 1.17 | $ | (2.01) | $ | (1.34) | $ | (2.23) | |||||||||||||||||||
| Dividends declared per common share | $ | 0.36 | $ | 0.36 | $ | 0.36 | $ | 0.36 | $ | 0.36 | |||||||||||||||||||
| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
RECONCILIATION OF GAAP COMPREHENSIVE INCOME (LOSS) TO NET SPREAD AND DOLLAR ROLL INCOME (NON-GAAP MEASURE) 2 | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||||||||
March 31, 2023 | December 31, 2022 | September 30, 2022 | June 30, 2022 | March 31, 2022 | |||||||||||||||||||||||||
Comprehensive income (loss) available (attributable) to common stockholders | $ | (39) | $ | 667 | $ | (1,064) | $ | (704) | $ | (1,167) | |||||||||||||||||||
| Adjustments to exclude realized and unrealized (gains) losses reported through net income: | |||||||||||||||||||||||||||||
Realized loss on sale of investment securities, net | 81 | 1,068 | 560 | 946 | 342 | ||||||||||||||||||||||||
Unrealized (gain) loss on investment securities measured at fair value through net income, net | (594) | (1,462) | 1,738 | 987 | 2,532 | ||||||||||||||||||||||||
(Gain) loss on derivative instruments and other securities, net | 544 | (156) | (1,474) | (1,204) | (1,796) | ||||||||||||||||||||||||
Adjustment to exclude unrealized (gain) loss reported through other comprehensive income: | |||||||||||||||||||||||||||||
Unrealized (gain) loss on available-for-sale securities measure at fair value through other comprehensive income, net | (142) | (135) | 372 | 245 | 491 | ||||||||||||||||||||||||
| Other adjustments: | |||||||||||||||||||||||||||||
TBA dollar roll income 3,4 | 18 | 65 | 119 | 182 | 152 | ||||||||||||||||||||||||
Interest rate swap periodic income (cost) 3,8,22 | 504 | 401 | 236 | 56 | (18) | ||||||||||||||||||||||||
Other interest income (expense), net 3,23 | (33) | (33) | (25) | (7) | — | ||||||||||||||||||||||||
| Net spread and dollar roll income available to common stockholders | 339 | 415 | 462 | 501 | 536 | ||||||||||||||||||||||||
Estimated "catch up" premium amortization cost (benefit) due to change in CPR forecast 11 | 69 | 5 | (18) | (66) | (159) | ||||||||||||||||||||||||
| Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders | $ | 408 | $ | 420 | $ | 444 | $ | 435 | $ | 377 | |||||||||||||||||||
| Weighted average number of common shares outstanding - basic | 579.3 | 568.4 | 528.7 | 526.2 | 524.3 | ||||||||||||||||||||||||
| Weighted average number of common shares outstanding - diluted | 580.5 | 569.5 | 529.8 | 527.1 | 525.7 | ||||||||||||||||||||||||
| Net spread and dollar roll income per common share - basic | $ | 0.59 | $ | 0.73 | $ | 0.87 | $ | 0.95 | $ | 1.02 | |||||||||||||||||||
| Net spread and dollar roll income per common share - diluted | $ | 0.58 | $ | 0.73 | $ | 0.87 | $ | 0.95 | $ | 1.02 | |||||||||||||||||||
| Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic | $ | 0.70 | $ | 0.74 | $ | 0.84 | $ | 0.83 | $ | 0.72 | |||||||||||||||||||
| Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - diluted | $ | 0.70 | $ | 0.74 | $ | 0.84 | $ | 0.83 | $ | 0.72 | |||||||||||||||||||
| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE 2,22 | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||||||||
March 31, 2023 | December 31, 2022 | September 30, 2022 | June 30, 2022 | March 31, 2022 | |||||||||||||||||||||||||
| Adjusted net interest and dollar roll income, excluding "catch-up" premium amortization: | |||||||||||||||||||||||||||||
| Economic interest income: | |||||||||||||||||||||||||||||
Investment securities - GAAP interest income 12 | $ | 351 | $ | 347 | $ | 373 | $ | 395 | $ | 475 | |||||||||||||||||||
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 11 | 69 | 5 | (18) | (66) | (159) | ||||||||||||||||||||||||
TBA dollar roll income - implied interest income 3,6 | 220 | 230 | 213 | 180 | 123 | ||||||||||||||||||||||||
| Economic interest income, excluding "catch-up" premium amortization | 640 | 582 | 568 | 509 | 439 | ||||||||||||||||||||||||
Economic interest expense: | |||||||||||||||||||||||||||||
| Repurchase agreements and other debt - GAAP interest expense | (449) | (322) | (196) | (80) | (27) | ||||||||||||||||||||||||
TBA dollar roll income - implied interest (expense) benefit 3,5 | (202) | (165) | (94) | 2 | 29 | ||||||||||||||||||||||||
Interest rate swap periodic (cost) income, net 3,8,22 | 504 | 401 | 236 | 56 | (18) | ||||||||||||||||||||||||
Economic interest expense | (147) | (86) | (54) | (22) | (16) | ||||||||||||||||||||||||
| Adjusted net interest and dollar roll income, excluding "catch-up" premium amortization | $ | 493 | $ | 496 | $ | 514 | $ | 487 | $ | 423 | |||||||||||||||||||
| Net interest spread, excluding "catch-up" amortization: | |||||||||||||||||||||||||||||
| Average asset yield: | |||||||||||||||||||||||||||||
| Investment securities - average asset yield | 2.93 | % | 3.14 | % | 3.09 | % | 3.09 | % | 3.55 | % | |||||||||||||||||||
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast | 0.58 | % | 0.03 | % | (0.15) | % | (0.51) | % | (1.19) | % | |||||||||||||||||||
| Investment securities average asset yield, excluding "catch-up" premium amortization | 3.51 | % | 3.17 | % | 2.94 | % | 2.58 | % | 2.36 | % | |||||||||||||||||||
TBA securities - average implied asset yield 6 | 4.93 | % | 4.86 | % | 4.18 | % | 3.66 | % | 2.09 | % | |||||||||||||||||||
Average asset yield, excluding "catch-up" premium amortization 7 | 3.90 | % | 3.68 | % | 3.31 | % | 2.88 | % | 2.28 | % | |||||||||||||||||||
Average total cost of funds: | |||||||||||||||||||||||||||||
| Repurchase agreements and other debt - average funding cost | 4.51 | % | 3.55 | % | 1.89 | % | 0.74 | % | 0.23 | % | |||||||||||||||||||
TBA securities - average implied funding cost (benefit) 5 | 4.53 | % | 3.41 | % | 1.80 | % | (0.04) | % | (0.49) | % | |||||||||||||||||||
Average cost (benefit) of funds, before interest rate swap periodic cost (income), net 7 | 4.52 | % | 3.50 | % | 1.86 | % | 0.49 | % | (0.01) | % | |||||||||||||||||||
Interest rate swap periodic cost (income), net 10,22 | (3.50) | % | (2.89) | % | (1.52) | % | (0.35) | % | 0.10 | % | |||||||||||||||||||
Average total cost of funds 9 | 1.02 | % | 0.61 | % | 0.34 | % | 0.14 | % | 0.09 | % | |||||||||||||||||||
| Average net interest spread, excluding "catch-up" premium amortization | 2.88 | % | 3.07 | % | 2.97 | % | 2.74 | % | 2.19 | % | |||||||||||||||||||
| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
| KEY STATISTICS* | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||||||||
| Key Balance Sheet Statistics: | March 31, 2023 | December 31, 2022 | September 30, 2022 | June 30, 2022 | March 31, 2022 | ||||||||||||||||||||||||
Investment securities: 12 | |||||||||||||||||||||||||||||
| Fixed-rate Agency MBS, at fair value - as of period end | $ | 44,754 | $ | 39,169 | $ | 41,578 | $ | 43,382 | $ | 47,124 | |||||||||||||||||||
| Other Agency MBS, at fair value - as of period end | $ | 311 | $ | 321 | $ | 311 | $ | 244 | $ | 274 | |||||||||||||||||||
| Credit risk transfer securities, at fair value - as of period end | $ | 769 | $ | 757 | $ | 860 | $ | 894 | $ | 885 | |||||||||||||||||||
Non-Agency MBS, at fair value - as of period end 21 | $ | 505 | $ | 657 | $ | 843 | $ | 881 | $ | 804 | |||||||||||||||||||
| Total investment securities, at fair value - as of period end | $ | 46,339 | $ | 40,904 | $ | 43,592 | $ | 45,401 | $ | 49,087 | |||||||||||||||||||
| Total investment securities, at cost - as of period end | $ | 49,575 | $ | 44,880 | $ | 49,162 | $ | 48,862 | $ | 51,316 | |||||||||||||||||||
| Total investment securities, at par - as of period end | $ | 48,123 | $ | 43,403 | $ | 47,646 | $ | 47,347 | $ | 49,511 | |||||||||||||||||||
| Average investment securities, at cost | $ | 47,846 | $ | 44,351 | $ | 48,362 | $ | 51,089 | $ | 53,535 | |||||||||||||||||||
| Average investment securities, at par | $ | 46,374 | $ | 42,978 | $ | 46,863 | $ | 49,453 | $ | 51,749 | |||||||||||||||||||
TBA securities: 20 | |||||||||||||||||||||||||||||
| Net TBA portfolio - as of period end, at fair value | $ | 10,395 | $ | 18,574 | $ | 17,902 | $ | 15,893 | $ | 19,543 | |||||||||||||||||||
| Net TBA portfolio - as of period end, at cost | $ | 10,385 | $ | 18,407 | $ | 19,116 | $ | 16,001 | $ | 20,152 | |||||||||||||||||||
| Net TBA portfolio - as of period end, carrying value | $ | 10 | $ | 167 | $ | (1,214) | $ | (108) | $ | (609) | |||||||||||||||||||
| Average net TBA portfolio, at cost | $ | 17,851 | $ | 18,988 | $ | 20,331 | $ | 19,653 | $ | 23,605 | |||||||||||||||||||
Average repurchase agreements and other debt 13 | $ | 39,824 | $ | 35,486 | $ | 40,530 | $ | 42,997 | $ | 46,570 | |||||||||||||||||||
Average stockholders' equity 14 | $ | 8,053 | $ | 7,481 | $ | 8,040 | $ | 8,525 | $ | 9,545 | |||||||||||||||||||
Tangible net book value per common share 1 | $ | 9.41 | $ | 9.84 | $ | 9.08 | $ | 11.43 | $ | 13.12 | |||||||||||||||||||
Tangible net book value "at risk" leverage - average 15 | 7.7:1 | 7.8:1 | 8.1:1 | 7.8:1 | 7.8:1 | ||||||||||||||||||||||||
Tangible net book value "at risk" leverage - as of period end 16 | 7.2:1 | 7.4:1 | 8.7:1 | 7.4:1 | 7.5:1 | ||||||||||||||||||||||||
| Key Performance Statistics: | |||||||||||||||||||||||||||||
Investment securities: 12 | |||||||||||||||||||||||||||||
| Average coupon | 4.06 | % | 3.74 | % | 3.49 | % | 3.19 | % | 3.07 | % | |||||||||||||||||||
| Average asset yield | 2.93 | % | 3.14 | % | 3.09 | % | 3.09 | % | 3.55 | % | |||||||||||||||||||
| Average asset yield, excluding "catch-up" premium amortization | 3.51 | % | 3.17 | % | 2.94 | % | 2.58 | % | 2.36 | % | |||||||||||||||||||
| Average coupon - as of period end | 4.15 | % | 3.94 | % | 3.63 | % | 3.35 | % | 3.13 | % | |||||||||||||||||||
| Average asset yield - as of period end | 3.55 | % | 3.37 | % | 3.14 | % | 2.85 | % | 2.56 | % | |||||||||||||||||||
| Average actual CPR for securities held during the period | 5.2 | % | 6.8 | % | 9.2 | % | 12.4 | % | 14.5 | % | |||||||||||||||||||
| Average forecasted CPR - as of period end | 10.0 | % | 7.4 | % | 7.0 | % | 7.2 | % | 7.9 | % | |||||||||||||||||||
Total premium amortization (cost) benefit, net | $ | (120) | $ | (55) | $ | (36) | $ | — | $ | 78 | |||||||||||||||||||
| TBA securities: | |||||||||||||||||||||||||||||
Average coupon - as of period end 17 | 5.06 | % | 4.84 | % | 4.30 | % | 4.35 | % | 3.25 | % | |||||||||||||||||||
Average implied asset yield 6 | 4.93 | % | 4.86 | % | 4.18 | % | 3.66 | % | 2.09 | % | |||||||||||||||||||
Combined investment and TBA securities - average asset yield, excluding "catch-up" premium amortization 7 | 3.90 | % | 3.68 | % | 3.31 | % | 2.88 | % | 2.28 | % | |||||||||||||||||||
| Cost of funds: | |||||||||||||||||||||||||||||
| Repurchase agreements - average funding cost | 4.51 | % | 3.55 | % | 1.89 | % | 0.74 | % | 0.23 | % | |||||||||||||||||||
TBA securities - average implied funding cost (benefit) 5 | 4.53 | % | 3.41 | % | 1.80 | % | (0.04) | % | (0.49) | % | |||||||||||||||||||
Interest rate swaps - average periodic (income) expense, net 10,22 | (3.50) | % | (2.89) | % | (1.52) | % | (0.35) | % | 0.10 | % | |||||||||||||||||||
Average total cost (benefit) of funds, inclusive of TBAs and interest rate swap periodic (income) expense, net 7,9,22 | 1.02 | % | 0.61 | % | 0.34 | % | 0.14 | % | 0.09 | % | |||||||||||||||||||
| Repurchase agreements - average funding cost as of period end | 4.81 | % | 4.31 | % | 2.85 | % | 1.25 | % | 0.37 | % | |||||||||||||||||||
Interest rate swaps - average net pay/(receive) rate as of period end 18 | (4.39) | % | (3.94) | % | (2.79) | % | (1.23) | % | (0.04) | % | |||||||||||||||||||
Net interest spread: 22 | |||||||||||||||||||||||||||||
| Combined investment and TBA securities average net interest spread | 2.46 | % | 3.03 | % | 3.07 | % | 3.11 | % | 3.01 | % | |||||||||||||||||||
| Combined investment and TBA securities average net interest spread, excluding "catch-up" premium amortization | 2.88 | % | 3.07 | % | 2.97 | % | 2.74 | % | 2.19 | % | |||||||||||||||||||
| Expenses % of average stockholders' equity - annualized | 1.09 | % | 0.75 | % | 0.95 | % | 0.94 | % | 0.88 | % | |||||||||||||||||||
Economic return (loss) on tangible common equity - unannualized 19 | (0.7) | % | 12.3 | % | (17.4) | % | (10.1) | % | (14.4) | % | |||||||||||||||||||
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