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10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/06/2015
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The following tables summarize certain characteristics of our agency MBS fixed rate portfolio, inclusive of our net TBA position as of March 31, 2015 and December 31, 2014 (dollars in millions):
 
 
March 31, 2015
 
 
Includes Net TBA Position
 
Excludes Net TBA Position
Fixed Rate Securities
 
Par Value
 
Amortized
Cost
 
Fair Value
 
% Lower Loan Balance & HARP 1,2
 
Amortized
Cost Basis
 
Weighted Average
 
Projected Life
CPR 4
 
WAC 3
 
Yield 4
 
Age (Months)
Fixed rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 2.5%
 
$
7,373

 
$
7,522

 
$
7,594

 
34%
 
101.9%
 
2.97%
 
2.04%
 
29
 
8%
3.0%
 
6,208

 
6,435

 
6,533

 
68%
 
103.9%
 
3.51%
 
2.03%
 
25
 
10%
3.5%
 
4,877

 
5,052

 
5,210

 
94%
 
103.7%
 
3.95%
 
2.54%
 
43
 
10%
4.0%
 
4,146

 
4,331

 
4,466

 
88%
 
104.5%
 
4.40%
 
2.71%
 
52
 
12%
4.5%
 
451

 
474

 
487

 
97%
 
104.9%
 
4.87%
 
3.05%
 
55
 
13%
≥ 5.0%
 
6

 
7

 
7

 
25%
 
104.2%
 
6.49%
 
4.43%
 
87
 
14%
Total ≤ 15-year
 
23,061

 
23,821

 
24,297

 
67%
 
103.5%
 
3.66%
 
2.28%
 
35
 
10%
20-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
317

 
315

 
330

 
28%
 
99.3%
 
3.55%
 
3.11%
 
22
 
8%
3.5%
 
680

 
694

 
721

 
63%
 
102.1%
 
4.05%
 
3.04%
 
24
 
11%
4.0%
 
77

 
80

 
83

 
48%
 
104.4%
 
4.53%
 
2.96%
 
43
 
12%
4.5%
 
98

 
104

 
108

 
99%
 
106.6%
 
4.89%
 
3.03%
 
52
 
11%
≥ 5.0%
 
4

 
5

 
5

 
—%
 
105.8%
 
5.91%
 
3.34%
 
82
 
21%
Total 20-year:
 
1,176

 
1,198

 
1,247

 
56%
 
101.9%
 
4.03%
 
3.05%
 
28
 
10%
30-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
8,585

 
8,671

 
8,796

 
2%
 
100.6%
 
3.59%
 
2.91%
 
22
 
7%
3.5%
 
15,413

 
16,169

 
16,264

 
54%
 
105.2%
 
4.07%
 
2.74%
 
25
 
8%
4.0%
 
10,243

 
10,907

 
11,052

 
72%
 
106.5%
 
4.53%
 
2.87%
 
23
 
11%
4.5%
 
1,775

 
1,888

 
1,963

 
89%
 
106.3%
 
4.96%
 
3.36%
 
46
 
11%
5.0%
 
176

 
187

 
197

 
65%
 
106.0%
 
5.45%
 
3.70%
 
83
 
13%
≥ 5.5%
 
193

 
209

 
218

 
37%
 
108.7%
 
6.22%
 
3.37%
 
100
 
19%
Total 30-year
 
36,385

 
38,031

 
38,490

 
49%
 
105.3%
 
4.30%
 
2.86%
 
26
 
9%
Total fixed rate
 
$
60,622

 
$
63,050

 
$
64,034

 
56%
 
104.5%
 
4.01%
 
2.61%
 
30
 
10%
_______________________
1.
Lower loan balance securities represent pools backed by an original loan balance of ≤ $150,000. Our lower loan balance securities had a weighted average original loan balance of $97,000 for 15-year and 30-year securities, as of March 31, 2015.
2.
HARP securities are defined as pools backed by100% refinance loans with LTV ≥ 80%. Our HARP securities had a weighted average LTV of 109% and 119% for 15-year and 30-year securities, respectively, as of March 31, 2015. Includes $1.1 billion and $3.0 billion of 15-year and 30-year securities, respectively, with >105 LTV pools which are not deliverable into TBA securities.
3.
WAC represents the weighted average coupon of the underlying collateral.
4.
Portfolio yield incorporates a projected life CPR assumption based on forward rate assumptions as of March 31, 2015.



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