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


The following tables summarize certain characteristics of our agency MBS fixed rate portfolio, inclusive of our net TBA position as of June 30, 2016 and December 31, 2015 (dollars in millions):
 
 
June 30, 2016
 
 
Includes Net TBA Position
 
Excludes Net TBA Position
Fixed Rate Agency Securities
 
Par Value
 
Amortized
Cost
 
Fair Value
 
% Lower Loan Balance & HARP 1,2
 
Amortized
Cost Basis
 
Weighted Average
 
Projected Life
CPR 4
 
WAC 3
 
Yield 4
 
Age (Months)
Fixed rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 2.5%
 
$
4,324

 
$
4,409

 
$
4,486

 
36%
 
101.7%
 
2.96%
 
2.03%
 
44
 
10%
3.0%
 
3,829

 
3,945

 
4,033

 
73%
 
102.9%
 
3.50%
 
2.19%
 
49
 
11%
3.5%
 
3,918

 
4,056

 
4,178

 
86%
 
103.4%
 
3.95%
 
2.50%
 
57
 
12%
4.0%
 
3,042

 
3,166

 
3,255

 
89%
 
104.1%
 
4.40%
 
2.68%
 
66
 
13%
4.5%
 
327

 
342

 
351

 
98%
 
104.5%
 
4.87%
 
3.02%
 
70
 
13%
≥ 5.0%
 
5

 
5

 
5

 
25%
 
103.5%
 
6.57%
 
4.58%
 
104
 
14%
Total ≤ 15-year
 
15,445

 
15,923

 
16,308

 
70%
 
103.0%
 
3.72%
 
2.36%
 
54
 
11%
20-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
246

 
244

 
259

 
31%
 
99.4%
 
3.55%
 
3.12%
 
37
 
11%
3.5%
 
558

 
570

 
596

 
65%
 
102.0%
 
4.05%
 
3.01%
 
39
 
13%
4.0%
 
60

 
63

 
65

 
49%
 
104.0%
 
4.54%
 
2.91%
 
58
 
15%
4.5%
 
76

 
81

 
84

 
99%
 
106.4%
 
4.90%
 
2.95%
 
67
 
13%
≥ 5.0%
 
3

 
3

 
3

 
—%
 
105.8%
 
5.91%
 
3.34%
 
97
 
20%
Total 20-year:
 
943

 
961

 
1,007

 
58%
 
101.8%
 
4.03%
 
3.03%
 
43
 
13%
30-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
7,889

 
8,034

 
8,188

 
2%
 
101.5%
 
3.49%
 
2.79%
 
23
 
7%
3.5%
 
17,757

 
18,625

 
18,898

 
64%
 
105.0%
 
4.08%
 
2.66%
 
31
 
10%
4.0%
 
12,412

 
13,246

 
13,466

 
74%
 
106.7%
 
4.51%
 
2.77%
 
36
 
12%
4.5%
 
1,399

 
1,485

 
1,548

 
87%
 
106.1%
 
4.96%
 
3.27%
 
61
 
13%
5.0%
 
133

 
141

 
149

 
65%
 
106.0%
 
5.45%
 
3.66%
 
97
 
14%
≥ 5.5%
 
138

 
151

 
156

 
38%
 
108.9%
 
6.20%
 
3.35%
 
115
 
18%
Total 30-year
 
39,728

 
41,682

 
42,405

 
56%
 
105.2%
 
4.20%
 
2.75%
 
33
 
10%
Total fixed rate
 
$
56,116

 
$
58,566

 
$
59,720

 
60%
 
104.5%
 
4.06%
 
2.64%
 
40
 
11%
_______________________
1.
Lower loan balance securities represent pools backed by an original loan balance of ≤ $150,000. Our lower loan balance securities had a weighted average original loan balance of $97,000 and $100,000 for 15-year and 30-year securities, respectively, as of June 30, 2016.
2.
HARP securities are defined as pools backed by 100% refinance loans with LTV ≥ 80%. Our HARP securities had a weighted average LTV of 112% and 133% for 15-year and 30-year securities, respectively, as of June 30, 2016. Includes $0.9 billion and $5.4 billion of 15-year and 30-year securities, respectively, with >105 LTV pools which are not deliverable into TBA securities.
3.
WAC represents the weighted average coupon of the underlying collateral.
4.
Portfolio yield incorporates a projected life CPR assumption based on forward rate assumptions as of June 30, 2016.



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