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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2015
Entire Document
 


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 September 30, 2015 and December 31, 2014, our weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate agency MBS portfolio was 9%. 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 September 30, 2015 and December 31, 2014 according to their estimated weighted average life classification (dollars in millions):

 
 
September 30, 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
 
$
322

 
$
316

 
3.67%
 
2.12%
 
$
289

 
$
280

 
4.08%
 
2.62%
> 3 years and ≤ 5 years
 
19,210

 
18,870

 
3.28%
 
2.40%
 
22,153

 
21,820

 
3.26%
 
2.40%
> 5 years and ≤10 years
 
34,856

 
34,648

 
3.65%
 
2.91%
 
33,271

 
33,055

 
3.73%
 
2.92%
> 10 years
 
66

 
65

 
3.78%
 
3.37%
 
633

 
621

 
3.28%
 
3.15%
Total
 
$
54,454

 
$
53,899

 
3.52%
 
2.72%
 
$
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 5.9 and 6.0 years as of September 30, 2015 and December 31, 2014, respectively. The weighted average life of our principal-only strips was 7.8 and 8.1 years as of September 30, 2015 and December 31, 2014, respectively.

Securities classified as available-for-sale are reported at fair value, with unrealized gains and losses excluded from earnings and reported in accumulated OCI, a separate component of stockholders' equity. Refer to Note 9 for a summary of changes in accumulated OCI for our available-for-sale securities for the three and nine months ended September 30, 2015 and 2014

The following table presents the gross unrealized loss and fair values of our available-for-sale securities by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2015 and December 31, 2014 (in millions):

 
 
Unrealized Loss Position For
 
 
Less than 12 Months
 
12 Months or More
 
Total
Securities Classified as Available-for-Sale
 
Estimated Fair
Value
 
Unrealized
Loss
 
Estimated
Fair Value
 
Unrealized
Loss
 
Estimated Fair
Value
 
Unrealized
Loss
September 30, 2015
 
$
6,059

 
$
(30
)
 
$
7,298

 
$
(115
)
 
$
13,357

 
$
(145
)
December 31, 2014
 
$
778

 
$
(2
)
 
$
11,679

 
$
(186
)
 
$
12,457

 
$
(188
)

We did not recognize any OTTI charges on our investment securities for the nine months ended September 30, 2015 and 2014. As of the end of each respective reporting period, a decision had not been made to sell any of our securities in an unrealized loss position and we did not believe it was more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. The unrealized losses on our agency securities were not due to credit losses given the GSE guarantees, but rather were due to changes in interest rates and prepayment expectations. However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our agency securities upon selecting specific securities to sell.

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