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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/05/2016
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Market Information
The following table summarizes interest rates and prices of generic fixed rate agency MBS as of each date presented below:
Interest Rate/Security Price 1
 
June 30, 2015
 
Sept. 30, 2015
 
Dec. 31, 2015
 
Mar. 31, 2016
 
June 30, 2016
 
June 30, 2016
vs
Mar. 31, 2016
 
June 30, 2016
vs
Dec. 31, 2015
LIBOR:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1-Month
 
0.19%
 
0.19%
 
0.43%
 
0.44%
 
0.47%
 
+0.03

bps
 
+0.04

bps
3-Month
 
0.28%
 
0.33%
 
0.61%
 
0.63%
 
0.65%
 
+0.02

bps
 
+0.04

bps
6-Month
 
0.44%
 
0.53%
 
0.85%
 
0.90%
 
0.92%
 
+0.02

bps
 
+0.07

bps
U.S. Treasury Security Rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2-Year U.S. Treasury
 
0.64%
 
0.64%
 
1.06%
 
0.73%
 
0.59%
 
-0.14

bps
 
-0.47

bps
3-Year U.S. Treasury
 
0.99%
 
0.92%
 
1.32%
 
0.86%
 
0.70%
 
-0.16

bps
 
-0.62

bps
5-Year U.S. Treasury
 
1.63%
 
1.37%
 
1.77%
 
1.22%
 
1.01%
 
-0.21

bps
 
-0.76

bps
10-Year U.S. Treasury
 
2.33%
 
2.06%
 
2.27%
 
1.78%
 
1.49%
 
-0.29

bps
 
-0.78

bps
30-Year U.S. Treasury
 
3.10%
 
2.88%
 
3.01%
 
2.62%
 
2.31%
 
-0.31

bps
 
-0.70

bps
Interest Rate Swap Rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2-Year Swap
 
0.89%
 
0.76%
 
1.17%
 
0.85%
 
0.74%
 
-0.11

bps
 
-0.43

bps
3-Year Swap
 
1.24%
 
0.99%
 
1.41%
 
0.96%
 
0.81%
 
-0.15

bps
 
-0.60

bps
5-Year Swap
 
1.77%
 
1.40%
 
1.73%
 
1.18%
 
0.99%
 
-0.19

bps
 
-0.74

bps
10-Year Swap
 
2.44%
 
2.01%
 
2.19%
 
1.64%
 
1.38%
 
-0.26

bps
 
-0.81

bps
30-Year Swap
 
2.92%
 
2.53%
 
2.62%
 
2.13%
 
1.84%
 
-0.29

bps
 
-0.78

bps
30-Year Fixed Rate MBS Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
$99.58
 
$101.34
 
$100.01
 
$102.59
 
$103.75
 
+$1.16
 
+$3.74
3.5%
 
$103.02
 
$104.31
 
$103.18
 
$104.86
 
$105.50
 
+$0.64
 
+$2.32
4.0%
 
$105.91
 
$106.67
 
$105.83
 
$106.86
 
$107.23
 
+$0.37
 
+$1.40
4.5%
 
$108.09
 
$108.41
 
$108.00
 
$108.82
 
$109.17
 
+$0.35
 
+$1.17
15-Year Fixed Rate MBS Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$101.17
 
$101.94
 
$100.80
 
$102.66
 
$103.48
 
+$0.82
 
+$2.68
3.0%
 
$103.57
 
$104.11
 
$103.02
 
$104.47
 
$104.84
 
+$0.37
 
+$1.82
3.5%
 
$105.44
 
$105.61
 
$104.72
 
$105.59
 
$105.97
 
+$0.38
 
+$1.25
4.0%
 
$105.06
 
$104.77
 
$104.41
 
$104.31
 
$103.81
 
-$0.50
 
-$0.60
_______________________
1.
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Prices and interest rates in the table above were obtained from Barclays. LIBOR rates were obtained from Bloomberg.
The following table summarizes the weighted average actual one-month annualized constant prepayment rates on our investment portfolio for the six months ended June 30, 2016.
Annualized Monthly Constant Prepayment Rates 1
 
Jan. 2016
 
Feb. 2016
 
Mar. 2016
 
Apr. 2016
 
May 2016
 
June 2016
AGNC portfolio
 
10%
 
8%
 
9%
 
12%
 
11%
 
13%
 ________________________
1.
Weighted average actual one-month annualized CPR released at the beginning of the month based on securities held/outstanding as of the preceding month-end.


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