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SEC Filings

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


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 December 31, 2014.
3.
Incorporates a weighted average future constant prepayment rate assumption of 9% based on forward rates as of December 31, 2014.

The actual maturities of our agency MBS are generally shorter than the stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic contractual principal payments and principal prepayments. As of March 31, 2015 and December 31, 2014, our weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate agency MBS portfolio was 10% and 9%, respectively. Our estimates differ materially for different types of securities and thus individual holdings have a wide range of projected CPRs.

The following table summarizes our agency MBS classified as available-for-sale as of March 31, 2015 and December 31, 2014 according to their estimated weighted average life classification (dollars in millions):

 
 
March 31, 2015
 
December 31, 2014
Estimated Weighted Average Life of Agency MBS Classified as Available-for-Sale 1
 
Fair Value
 
Amortized
Cost
 
Weighted
Average
Coupon
 
Weighted
Average
Yield
 
Fair Value
 
Amortized
Cost
 
Weighted
Average
Coupon
 
Weighted
Average
Yield
≥ 1 year and ≤ 3 years
 
1,049

 
1,032

 
3.36%
 
1.64%
 
289

 
280

 
4.08%
 
2.62%
> 3 years and ≤ 5 years
 
23,885

 
23,373

 
3.27%
 
2.37%
 
22,153

 
21,820

 
3.26%
 
2.40%
> 5 years and ≤10 years
 
35,898

 
35,471

 
3.64%
 
2.80%
 
33,271

 
33,055

 
3.73%
 
2.92%
> 10 years
 
123

 
119

 
3.75%
 
3.28%
 
633

 
621

 
3.28%
 
3.15%
Total
 
$
60,955

 
$
59,995

 
3.49%
 
2.61%
 
$
56,346

 
$
55,776

 
3.54%
 
2.72%
 _______________________
1.
Excludes interest and principal-only strips.

The weighted average life of our interest-only strips was 5.7 and 6.0 years as of March 31, 2015 and December 31, 2014, respectively. The weighted average life of our principal-only strips was 7.6 and 8.1 years as of March 31, 2015 and December 31, 2014, respectively.

Our agency securities classified as available-for-sale are reported at fair value, with unrealized gains and losses excluded from earnings and reported in accumulated OCI. The following table summarizes changes in accumulated OCI, a separate component of stockholders' equity, for our available-for-sale securities for the three months ended March 31, 2015 and 2014 (in millions): 

Agency Securities Classified as
Available-for-Sale
 
Beginning Accumulated OCI
Balance
 
Unrealized
Gains and (Losses), Net
 
Reversal of 
Unrealized
(Gains) and Losses,
Net on Realization
 
Ending
Accumulated
OCI
Balance
Three months ended March 31, 2015
 
$
570

 
427

 
(36
)
 
$
961

Three months ended March 31, 2014
 
$
(1,087
)
 
502

 
19

 
$
(566
)

The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2015 and December 31, 2014 (in millions):

 
 
Unrealized Loss Position For
 
 
Less than 12 Months
 
12 Months or More
 
Total
Agency Securities Classified as
Available-for-Sale
 
Estimated Fair
Value
 
Unrealized
Loss
 
Estimated
Fair Value
 
Unrealized
Loss
 
Estimated Fair
Value
 
Unrealized
Loss
March 31, 2015
 
$
542

 
$
(3
)
 
$
7,942

 
$
(69
)
 
$
8,484

 
$
(72
)
December 31, 2014
 
$
778

 
$
(2
)
 
$
11,679

 
$
(186
)
 
$
12,457

 
$
(188
)

As of the end of each respective reporting period, a decision had not been made to sell any of these agency securities and we do not believe it is more likely than not we will be required to sell the agency securities before recovery of their amortized cost basis. The unrealized losses on these agency securities are not due to credit losses given the GSE guarantees, but are rather due to changes in interest rates and prepayment expectations. We did not recognize any OTTI charges on our investment securities

12


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