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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/05/2016
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Note 4. Investment Securities
As of June 30, 2016 and December 31, 2015, our investment portfolio consisted of $54.5 billion and $52.5 billion of MBS, at fair value, respectively, and a $7.1 billion and $7.4 billion net long TBA position, at fair value, respectively.
Our TBA position is reported at its net carrying value of $97 million and $14 million as of June 30, 2016 and December 31, 2015, respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position 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. (See Note 6 for further details of our net TBA position as of June 30, 2016 and December 31, 2015.)
As of June 30, 2016 and December 31, 2015, the net unamortized premium balance on our MBS was $2.4 billion and $2.3 billion, respectively, including interest and principal-only securities.
The following tables summarize our investments in MBS as of June 30, 2016 and December 31, 2015 (dollars in millions):
 
 
June 30, 2016
Investments in Mortgage-Backed Securities
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Fair Value
Agency MBS:
 
 
 
 
 
 
 
 
Fixed rate
 
$
51,590

 
$
1,068

 
$
(10
)
 
$
52,648

Adjustable rate
 
429

 
14

 

 
443

CMO
 
888

 
32

 

 
920

Interest-only and principal-only strips
 
305

 
50

 
(3
)
 
352

Total agency MBS
 
53,212

 
1,164

 
(13
)
 
54,363

Non-agency MBS:
 
 
 
 
 
 
 
 
AAA non-agency
 
105

 
2

 

 
107

Total MBS
 
$
53,317

 
$
1,166

 
$
(13
)
 
$
54,470


 
 
December 31, 2015
Investments in Mortgage-Backed Securities
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Fair Value
Agency MBS:
 
 
 
 
 
 
 
 
Fixed rate
 
$
50,576

 
$
339

 
$
(393
)
 
$
50,522

Adjustable rate
 
484

 
11

 

 
495

CMO
 
973

 
18

 
(1
)
 
990

Interest-only and principal-only strips
 
317

 
39

 
(3
)
 
353

Total agency MBS
 
52,350

 
407

 
(397
)
 
52,360

Non-agency MBS:
 
 
 
 
 
 
 
 
AAA non-agency
 
114

 

 
(1
)
 
113

Total MBS
 
$
52,464

 
$
407

 
$
(398
)
 
$
52,473



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