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SEC Filings

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


FINANCIAL CONDITION
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.
 
 
March 31, 2015
 
December 31, 2014
Agency MBS and Net TBA Securities
 
Amortized Cost
 
Fair Value
 
Average Coupon
 
%
 
Amortized Cost
 
Fair Value
 
Average Coupon
 
%
Fixed rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-year agency MBS
 
$
25,204

 
$
25,693

 
3.19
%
 
39
 %
 
$
22,694

 
$
23,021

 
3.20
%
 
32
%
15-year net (short) / long TBA securities
 
(1,383
)
 
(1,396
)
 
3.71
%
 
(2
)%
 
3,348

 
3,360

 
2.78
%
 
5
%
Total ≤ 15-year
 
23,821

 
24,297

 
3.16
%
 
37
 %
 
26,042

 
26,381

 
3.15
%
 
37
%
20-year
 
1,198

 
1,247

 
3.49
%
 
2
 %
 
1,232

 
1,272

 
3.49
%
 
2
%
30-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30-year agency MBS
 
31,833

 
32,200

 
3.74
%
 
49
 %
 
30,019

 
30,180

 
3.82
%
 
42
%
30-year net long TBA securities
 
6,198

 
6,290

 
2.84
%
 
9
 %
 
11,228

 
11,408

 
3.17
%
 
16
%
Total 30-year
 
38,031

 
38,490

 
3.59
%
 
58
 %
 
41,247

 
41,588

 
3.63
%
 
58
%
Total fixed rate
 
63,050

 
64,034

 
3.42
%
 
97
 %
 
68,521

 
69,241

 
3.45
%
 
97
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Adjustable rate
 
622

 
642

 
3.24
%
 
1
 %
 
659

 
678

 
3.29
%
 
1
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CMO:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CMO
 
1,138

 
1,173

 
3.37
%
 
2
 %
 
1,172

 
1,195

 
3.37
%
 
2
%
Interest-only strips
 
167

 
198

 
5.45
%
 
 %
 
179

 
203

 
5.46
%
 
%
Principal-only strips
 
187

 
199

 
%
 
 %
 
193

 
199

 
%
 
%
Total CMO
 
1,492

 
1,570

 
4.00
%
 
2
 %
 
1,544

 
1,597

 
4.02
%
 
2
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total
 
$
65,164

 
$
66,246

 
3.44
%
 
100
 %
 
$
70,724

 
$
71,516

 
3.47
%
 
100
%
Our TBA positions are recorded as derivative instruments in our accompanying consolidated financial statements, with the TBA dollar roll transactions representing a form of off-balance sheet financing. As of March 31, 2015 and December 31, 2014, our TBA position had a net carrying value of $79 million and $192 million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value 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.

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