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SEC Filings

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


FINANCIAL CONDITION
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. The following table is a summary of our investment portfolio as of June 30, 2016 and December 31, 2015 (dollars in millions):
 
 
June 30, 2016
 
December 31, 2015
MBS and TBA Securities
 
Amortized Cost
 
Fair Value
 
Average Coupon
 
%
 
Amortized Cost
 
Fair Value
 
Average Coupon
 
%
Fixed rate agency securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-year
 
$
14,602

 
$
14,981

 
3.26
%
 
24
%
 
$
16,725

 
$
16,865

 
3.25
%
 
28
%
15-year TBA securities
 
1,321

 
1,327

 
2.76
%
 
2
%
 
295

 
293

 
3.38
%
 
1
%
Total ≤ 15-year
 
15,923

 
16,308

 
3.22
%
 
26
%
 
17,020

 
17,158

 
3.25
%
 
29
%
20-year
 
961

 
1,007

 
3.49
%
 
2
%
 
1,061

 
1,088

 
3.48
%
 
2
%
30-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30-year
 
36,028

 
36,660

 
3.65
%
 
60
%
 
32,790

 
32,570

 
3.70
%
 
54
%
30-year TBA securities
 
5,654

 
5,745

 
3.29
%
 
9
%
 
7,135

 
7,150

 
3.34
%
 
12
%
Total 30-year
 
41,682

 
42,405

 
3.60
%
 
69
%
 
39,925

 
39,720

 
3.63
%
 
66
%
Total fixed rate agency securities
 
58,566

 
59,720

 
3.50
%
 
97
%
 
58,006

 
57,966

 
3.52
%
 
97
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Adjustable rate agency securities
 
429

 
443

 
3.02
%
 
1
%
 
484

 
495

 
3.05
%
 
1
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AAA non-agency securities
 
105

 
107

 
3.50
%
 
%
 
114

 
113

 
3.50
%
 
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CMO agency securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CMO
 
888

 
920

 
3.41
%
 
1
%
 
973

 
990

 
3.40
%
 
2
%
Interest-only strips
 
151

 
180

 
5.29
%
 
%
 
152

 
179

 
5.28
%
 
%
Principal-only strips
 
154

 
172

 
%
 
%
 
165

 
174

 
%
 
%
Total CMO agency securities
 
1,193

 
1,272

 
4.02
%
 
2
%
 
1,290

 
1,343

 
3.97
%
 
2
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total MBS and TBA securities
 
$
60,293

 
$
61,542

 
3.51
%
 
100
%
 
$
59,894

 
$
59,917

 
3.53
%
 
100
%
Our TBA positions are recorded as derivative instruments in our accompanying consolidated financial statements, with the TBA dollar roll transactions representing a form of off-balance sheet financing. As of June 30, 2016 and December 31, 2015, our TBA position had a net carrying value of $97 million and $14 million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value 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.

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