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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/06/2015
Entire Document
 


 
 
March 31, 2015
Agency MBS
 
Fannie Mae
 
Freddie Mac
 
Ginnie Mae
 
Total
Available-for-sale agency MBS:
 
 
 
 
 
 
 
 
Agency MBS, par
 
$
44,954

 
$
12,231

 
$
289

 
$
57,474

Unamortized discount
 
(36
)
 
(5
)
 

 
(41
)
Unamortized premium
 
1,944

 
606

 
12

 
2,562

Amortized cost
 
46,862

 
12,832

 
301

 
59,995

Gross unrealized gains
 
823

 
205

 
4

 
1,032

Gross unrealized losses
 
(49
)
 
(23
)
 

 
(72
)
Total available-for-sale agency MBS, at fair value
 
47,636

 
13,014

 
305

 
60,955

Agency MBS remeasured at fair value through earnings:
 
 
 
 
 
 
 

Interest-only and principal-only strips, amortized cost 1
 
331

 
23

 

 
354

Gross unrealized gains
 
43

 
3

 

 
46

Gross unrealized losses
 
(2
)
 
(1
)
 

 
(3
)
Total agency MBS remeasured at fair value through earnings
 
372

 
25

 

 
397

Total agency MBS, at fair value
 
$
48,008

 
$
13,039

 
$
305

 
$
61,352

Weighted average coupon as of March 31, 2015 2
 
3.55
%
 
3.70
%
 
3.16
%
 
3.58
%
Weighted average yield as of March 31, 2015 3
 
2.63
%
 
2.71
%
 
1.61
%
 
2.64
%
Weighted average yield for the quarter ended March 31, 2015 3
 
2.56
%
 
2.58
%
 
1.63
%
 
2.57
%
 ________________________
1.
The underlying unamortized principal balance ("UPB" or "par value") of our interest-only agency MBS strips was $1.1 billion and the weighted average contractual interest we are entitled to receive was 5.45% of this amount as of March 31, 2015. The par value of our principal-only agency MBS strips was $235 million as of March 31, 2015.
2.
The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of March 31, 2015.
3.
Incorporates a weighted average future constant prepayment rate assumption of 10% based on forward rates as of March 31, 2015.

 
 
December 31, 2014
Agency MBS
 
Fannie Mae
 
Freddie Mac
 
Ginnie Mae
 
Total
Available-for-sale agency MBS:
 
 
 
 
 
 
 
 
Agency MBS, par
 
$
42,749

 
$
10,566

 
$
107

 
$
53,422

Unamortized discount
 
(37
)
 
(5
)
 

 
(42
)
Unamortized premium
 
1,880

 
514

 
2

 
2,396

Amortized cost
 
44,592

 
11,075

 
109

 
55,776

Gross unrealized gains
 
610

 
145

 
3

 
758

Gross unrealized losses
 
(127
)
 
(61
)
 

 
(188
)
Total available-for-sale agency MBS, at fair value
 
45,075

 
11,159

 
112

 
56,346

Agency MBS remeasured at fair value through earnings:
 
 
 
 
 
 
 
 
Interest-only and principal-only strips, amortized cost 1
 
348

 
24

 

 
372

Gross unrealized gains
 
30

 
3

 

 
33

Gross unrealized losses
 
(2
)
 
(1
)
 

 
(3
)
Total agency MBS remeasured at fair value through earnings
 
376

 
26

 

 
402

Total agency MBS, at fair value
 
$
45,451

 
$
11,185

 
$
112

 
$
56,748

Weighted average coupon as of December 31, 2014 2
 
3.63
%
 
3.70
%
 
3.52
%
 
3.65
%
Weighted average yield as of December 31, 2014 3
 
2.75
%
 
2.73
%
 
1.87
%
 
2.74
%
Weighted average yield for the year ended December 31, 2014 3
 
2.62
%
 
2.64
%
 
1.66
%
 
2.63
%
 ________________________
1.
The underlying UPB of our interest-only agency MBS strips was $1.2 billion and the weighted average contractual interest we are entitled to receive was 5.46% of this amount as of December 31, 2014. The par value of our principal-only agency MBS strips was $242 million as of December 31, 2014.

11


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