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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/06/2015
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Note 4. Investment Securities
As of March 31, 2015 and December 31, 2014, our investment portfolio consisted of $61.4 billion and $56.7 billion of agency MBS, respectively, and a $4.9 billion and $14.8 billion net long TBA position, at fair value, respectively.
Our TBA positions are reported at their net carrying value of $79 million and $192 million as of March 31, 2015 and December 31, 2014, respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying agency security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying agency security. (See Note 6 for further details of our net TBA position as of March 31, 2015 and December 31, 2014.)
As of March 31, 2015 and December 31, 2014, the net unamortized premium balance on our agency MBS was $2.6 billion and $2.5 billion, respectively, including interest and principal-only strips.
The following tables summarize our investments in agency MBS as of March 31, 2015 and December 31, 2014 (dollars in millions):
 
 
March 31, 2015
Agency MBS
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Fair Value
Fixed rate
 
$
58,235

 
$
977

 
$
(72
)
 
$
59,140

Adjustable rate
 
622

 
20

 

 
642

CMO
 
1,138

 
35

 

 
1,173

Interest-only and principal-only strips
 
354

 
46

 
(3
)
 
397

Total agency MBS
 
$
60,349

 
$
1,078

 
$
(75
)
 
$
61,352


 
 
December 31, 2014
Agency MBS
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Fair Value
Fixed rate
 
$
53,945

 
$
715

 
$
(187
)
 
$
54,473

Adjustable rate
 
659

 
19

 

 
678

CMO
 
1,172

 
24

 
(1
)
 
1,195

Interest-only and principal-only strips
 
372

 
33

 
(3
)
 
402

Total agency MBS
 
$
56,148

 
$
791

 
$
(191
)
 
$
56,748



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