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


 
 
December 31, 2014
 
 
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%
 
$
7,828

 
$
7,972

 
$
7,993

 
30%
 
102.0%
 
2.96%
 
2.03%
 
26
 
8%
3.0%
 
7,635

 
7,897

 
7,950

 
48%
 
103.1%
 
3.50%
 
2.25%
 
31
 
9%
3.5%
 
4,726

 
4,889

 
5,017

 
99%
 
103.6%
 
3.95%
 
2.56%
 
41
 
10%
4.0%
 
4,569

 
4,776

 
4,906

 
89%
 
104.5%
 
4.40%
 
2.72%
 
49
 
12%
4.5%
 
478

 
501

 
508

 
97%
 
105.0%
 
4.87%
 
3.06%
 
52
 
12%
≥ 5.0%
 
6

 
7

 
7

 
26%
 
104.2%
 
6.46%
 
4.44%
 
84
 
14%
Total ≤ 15-year
 
25,242

 
26,042

 
26,381

 
61%
 
103.2%
 
3.65%
 
2.37%
 
36
 
10%
20-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
324

 
322

 
334

 
28%
 
99.3%
 
3.55%
 
3.11%
 
19
 
7%
3.5%
 
698

 
713

 
736

 
63%
 
102.2%
 
4.05%
 
3.05%
 
22
 
10%
4.0%
 
80

 
84

 
86

 
47%
 
104.5%
 
4.53%
 
2.98%
 
40
 
11%
4.5%
 
101

 
108

 
111

 
99%
 
106.8%
 
4.89%
 
3.05%
 
49
 
11%
≥ 5.0%
 
5

 
5

 
5

 
—%
 
106.0%
 
5.91%
 
3.34%
 
79
 
20%
Total 20-year:
 
1,208

 
1,232

 
1,272

 
55%
 
102.0%
 
4.03%
 
3.06%
 
25
 
9%
30-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
6,887

 
6,875

 
6,969

 
2%
 
98.9%
 
3.58%
 
3.14%
 
19
 
6%
3.5%
 
17,970

 
18,748

 
18,765

 
49%
 
105.2%
 
3.98%
 
2.78%
 
27
 
7%
4.0%
 
12,644

 
13,398

 
13,551

 
61%
 
106.4%
 
4.43%
 
3.00%
 
20
 
9%
4.5%
 
1,699

 
1,807

 
1,868

 
96%
 
106.5%
 
4.96%
 
3.41%
 
43
 
10%
5.0%
 
183

 
194

 
203

 
65%
 
106.2%
 
5.45%
 
3.74%
 
80
 
12%
≥ 5.5%
 
207

 
225

 
232

 
36%
 
108.9%
 
6.23%
 
3.40%
 
96
 
18%
Total 30-year
 
39,590

 
41,247

 
41,588

 
47%
 
105.6%
 
4.28%
 
2.96%
 
25
 
8%
Total fixed rate
 
$
66,040

 
$
68,521

 
$
69,241

 
53%
 
104.5%
 
4.01%
 
2.72%
 
29
 
9%
_______________
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 and $96,000 for 15-year and 30-year securities, respectively, as of December 31, 2014.
2.
HARP securities are defined as pools backed by100% refinance loans with LTVs ≥ 80%. Our HARP securities had a weighted average LTV of 109% and 118% for 15-year and 30-year securities, respectively, as of December 31, 2014. Includes $934 million and $3.1 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 December 31, 2014.
As of March 31, 2015 and December 31, 2014, the combined weighted average yield of our agency MBS portfolio, inclusive of interest and principal-only strips, was 2.64% and 2.74%, respectively.
Our pass-through agency MBS collateralized by adjustable rate mortgage loans ("ARMs") have coupons linked to various indices. As of March 31, 2015 and December 31, 2014, our ARM securities had a weighted average next reset date of 50 months and 51 months, respectively.

RESULTS OF OPERATIONS
Non-GAAP Financial Measures
In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "adjusted net interest expense" (defined as interest expense plus the periodic interest rate costs of our interest rate swaps reported in gain (loss) on derivatives and other securities, net in our consolidated statements of comprehensive income), "net spread and dollar roll income" (defined as interest income, TBA dollar roll income and dividends from REIT equity securities, net of adjusted net interest expense and operating expenses) and "estimated taxable income" and certain financial metrics derived from non-GAAP information, such as "cost of funds" and "net interest rate spread." By providing users of our financial information with such measures in addition to the related GAAP measures, we believe it gives users greater

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