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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/05/2016
Entire Document
 


 
 
June 30, 2016
Investments in Mortgage-Backed Securities
 
Fannie Mae
 
Freddie Mac
 
Ginnie Mae
 
Non-Agency
 
Total
Available-for-sale MBS:
 
 
 
 
 
 
 
 
 
 
MBS, par value
 
$
40,245

 
$
10,356

 
$
53

 
$
104

 
$
50,758

Unamortized discount
 
(30
)
 
(3
)
 

 

 
(33
)
Unamortized premium
 
1,766

 
519

 
1

 
1

 
2,287

Amortized cost
 
41,981

 
10,872

 
54

 
105

 
53,012

Gross unrealized gains
 
897

 
215

 
2

 
2

 
1,116

Gross unrealized losses
 
(7
)
 
(3
)
 

 

 
(10
)
Total available-for-sale MBS, at fair value
 
42,871

 
11,084

 
56

 
107

 
54,118

MBS remeasured at fair value through earnings:
 
 
 
 
 
 
 
 
 

Interest-only and principal-only strips, amortized cost 1
 
288

 
17

 

 

 
305

Gross unrealized gains
 
47

 
3

 

 

 
50

Gross unrealized losses
 
(2
)
 
(1
)
 

 

 
(3
)
Total MBS remeasured at fair value through earnings
 
333

 
19

 

 

 
352

Total MBS, at fair value
 
$
43,204

 
$
11,103

 
$
56

 
$
107

 
$
54,470

Weighted average coupon as of June 30, 2016 2
 
3.61
%
 
3.70
%
 
3.08
%
 
3.50
%
 
3.63
%
Weighted average yield as of June 30, 2016 3
 
2.67
%
 
2.68
%
 
1.95
%
 
3.00
%
 
2.68
%
 ________________________
1.
The underlying unamortized principal balance ("UPB" or "par value") of our interest-only securities was $1.0 billion and the weighted average contractual interest we are entitled to receive was 5.29% of this amount as of June 30, 2016. The par value of our principal-only securities was $192 million as of June 30, 2016.
2.
The weighted average coupon includes the interest cash flows from our interest-only securities and is stated as a percentage of par value (excluding the UPB of our interest-only securities) as of June 30, 2016.
3.
Incorporates a weighted average future constant prepayment rate assumption of 11% based on forward rates as of June 30, 2016.

 
 
December 31, 2015
Investments in Mortgage-Backed Securities
 
Fannie Mae
 
Freddie Mac
 
Ginnie Mae
 
Non-Agency
 
Total
Available-for-sale MBS:
 
 
 
 
 
 
 
 
 
 
MBS, par value
 
$
39,205

 
$
10,575

 
$
62

 
$
113

 
$
49,955

Unamortized discount
 
(32
)
 
(4
)
 

 

 
(36
)
Unamortized premium
 
1,707

 
519

 
1

 
1

 
2,228

Amortized cost
 
40,880

 
11,090

 
63

 
114

 
52,147

Gross unrealized gains
 
286

 
80

 
2

 

 
368

Gross unrealized losses
 
(283
)
 
(111
)
 

 
(1
)
 
(395
)
Total available-for-sale MBS, at fair value
 
40,883

 
11,059

 
65

 
113

 
52,120

MBS measured at fair value through earnings:
 
 
 
 
 
 
 
 
 
 
Interest-only and principal-only strips, amortized cost 1
 
298

 
19

 

 

 
317

Gross unrealized gains
 
35

 
4

 

 

 
39

Gross unrealized losses
 
(2
)
 
(1
)
 

 

 
(3
)
Total MBS measured at fair value through earnings
 
331

 
22

 

 

 
353

Total MBS, at fair value
 
$
41,214

 
$
11,081

 
$
65

 
$
113

 
$
52,473

Weighted average coupon as of December 31, 2015 2
 
3.62
%
 
3.69
%
 
3.18
%
 
3.50
%
 
3.63
%
Weighted average yield as of December 31, 2015 3
 
2.79
%
 
2.77
%
 
1.97
%
 
3.33
%
 
2.78
%
 ________________________
1.
The underlying UPB of our interest-only securities was $1.0 billion and the weighted average contractual interest we are entitled to receive was 5.28% of this amount as of December 31, 2015. The par value of our principal-only securities was $207 million as of December 31, 2015.
2.
The weighted average coupon includes the interest cash flows from our interest-only securities and is stated as a percentage of par value (excluding the UPB of our interest-only securities) as of December 31, 2015.
3.
Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2015.

The actual maturities of our investment securities are generally shorter than their stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic contractual principal payments and principal

11


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