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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/05/2016
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prepayments. As of June 30, 2016 and December 31, 2015, our weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate investment portfolio was 11% and 8%, respectively. 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 investments classified as available-for-sale as of June 30, 2016 and December 31, 2015 according to their estimated weighted average life classification (dollars in millions):

 
 
June 30, 2016
 
December 31, 2015
Estimated Weighted Average Life of Securities 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
 
$
1,155

 
$
1,134

 
3.89%
 
2.45%
 
$
167

 
$
163

 
4.02%
 
2.66%
> 3 years and ≤ 5 years
 
19,190

 
18,698

 
3.36%
 
2.45%
 
17,497

 
17,343

 
3.27%
 
2.40%
> 5 years and ≤10 years
 
31,934

 
31,349

 
3.65%
 
2.77%
 
34,206

 
34,391

 
3.67%
 
2.93%
> 10 years
 
1,839

 
1,831

 
3.02%
 
2.64%
 
250

 
250

 
3.56%
 
3.08%
Total
 
$
54,118

 
$
53,012

 
3.53%
 
2.64%
 
$
52,120

 
$
52,147

 
3.54%
 
2.75%
 _______________________
1.
Excludes interest and principal-only strips.

The weighted average life of our interest-only securities was 5.1 and 6.1 years as of June 30, 2016 and December 31, 2015, respectively. The weighted average life of our principal-only securities was 6.0 and 8.0 years as of June 30, 2016 and December 31, 2015, 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 six months ended June 30, 2016 and 2015

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 June 30, 2016 and December 31, 2015 (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
June 30, 2016
 
$
730

 
$
(1
)
 
$
2,072

 
$
(9
)
 
$
2,802

 
$
(10
)
December 31, 2015
 
$
24,035

 
$
(200
)
 
$
6,793

 
$
(195
)
 
$
30,828

 
$
(395
)

We did not recognize any OTTI charges on our investment securities for the six months ended June 30, 2016 and 2015. 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 securities were not due to credit losses given the GSE guarantees and credit enhancements on our AAA non-agency securities, 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 investment securities upon selecting specific securities to sell.

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