Print Page     Close Window     

SEC Filings

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


from April's monthly dividend of $0.22 per common share. The reduction in our dividend was as a result of our defensive portfolio positioning and corresponding diminished near-term earnings expectations.
Market Information:
The following table summarizes interest rates and prices of generic fixed rate agency mortgage-backed securities as of each date presented below:
Interest Rate/Security Price 1
 
Mar. 31, 2014
 
June 30, 2014
 
Sept. 30, 2014
 
Dec. 31, 2014
 
Mar. 31, 2015
 
Mar. 31, 2015
vs.
Dec. 31, 2014
LIBOR:
 
 
 
 
 
 
 
 
 
 
 
 
 
1-Month
 
0.15%
 
0.16%
 
0.16%
 
0.17%
 
0.18%
 
+0.01

bps
3-Month
 
0.23%
 
0.23%
 
0.24%
 
0.26%
 
0.27%
 
+0.01

bps
6-Month
 
0.33%
 
0.33%
 
0.33%
 
0.36%
 
0.40%
 
+0.04

bps
U.S. Treasury Security Rate:
 
 
 
 
 
 
 
 
 
 
 


 
2-Year U.S. Treasury
 
0.43%
 
0.46%
 
0.58%
 
0.67%
 
0.56%
 
-0.11

bps
3-Year U.S. Treasury
 
0.88%
 
0.86%
 
1.06%
 
1.08%
 
0.88%
 
-0.20

bps
5-Year U.S. Treasury
 
1.73%
 
1.62%
 
1.78%
 
1.65%
 
1.37%
 
-0.28

bps
10-Year U.S. Treasury
 
2.72%
 
2.52%
 
2.51%
 
2.17%
 
1.93%
 
-0.24

bps
30-Year U.S. Treasury
 
3.56%
 
3.34%
 
3.21%
 
2.75%
 
2.54%
 
-0.21

bps
Interest Rate Swap Rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
2-Year Swap
 
0.55%
 
0.58%
 
0.83%
 
0.89%
 
0.81%
 
-0.08

bps
3-Year Swap
 
1.01%
 
0.99%
 
1.31%
 
1.29%
 
1.11%
 
-0.18

bps
5-Year Swap
 
1.81%
 
1.70%
 
1.95%
 
1.77%
 
1.53%
 
-0.24

bps
10-Year Swap
 
2.85%
 
2.61%
 
2.65%
 
2.29%
 
2.03%
 
-0.26

bps
30-Year Swap
 
3.54%
 
3.31%
 
3.20%
 
2.70%
 
2.39%
 
-0.31

bps
30-Year Fixed Rate MBS Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
$96.53
 
$98.77
 
$98.59
 
$101.22
 
$102.25
 
+$1.03
3.5%
 
$100.59
 
$102.92
 
$102.23
 
$104.28
 
$105.05
 
+$0.77
4.0%
 
$103.94
 
$106.11
 
$105.41
 
$106.75
 
$106.92
 
+$0.17
4.5%
 
$106.69
 
$108.30
 
$107.91
 
$108.56
 
$109.08
 
+$0.52
15-Year Fixed Rate MBS Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$99.92
 
$101.59
 
$100.55
 
$101.81
 
$102.71
 
+$0.90
3.0%
 
$102.72
 
$103.88
 
$102.98
 
$103.91
 
$104.83
 
+$0.92
3.5%
 
$104.83
 
$105.98
 
$105.11
 
$105.61
 
$106.09
 
+$0.48
4.0%
 
$105.78
 
$106.17
 
$105.69
 
$106.06
 
$105.59
 
-$0.47
_______________________
1.
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Prices and interest rates in the table above were obtained from Barclays. LIBOR rates were obtained from Bloomberg.
The following table summarizes recent prepayment trends for our portfolio:
Annualized Monthly Constant Prepayment Rates 1
 
Dec. 2014
 
Jan. 2015
 
Feb. 2015
 
Mar. 2015
AGNC portfolio
 
8%
 
9%
 
8%
 
9%
 ________________________
1.
Weighted average actual one-month annualized CPR released at the beginning of the month based on securities held/outstanding as of the preceding month-end.


28


© AGNC Investment Corp All Rights Reserved