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


 
 
December 31, 2015
 
 
Includes Net TBA Position
 
Excludes Net TBA Position
Agency Fixed Rate 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%
 
$
4,162

 
$
4,238

 
$
4,221

 
47%
 
101.8%
 
2.97%
 
2.04%
 
38
 
8%
3.0%
 
4,178

 
4,307

 
4,319

 
73%
 
103.1%
 
3.50%
 
2.22%
 
43
 
9%
3.5%
 
4,332

 
4,489

 
4,557

 
88%
 
103.6%
 
3.95%
 
2.53%
 
51
 
10%
4.0%
 
3,439

 
3,591

 
3,662

 
89%
 
104.4%
 
4.40%
 
2.71%
 
60
 
11%
4.5%
 
372

 
390

 
394

 
98%
 
104.9%
 
4.87%
 
3.04%
 
64
 
12%
≥ 5.0%
 
5

 
5

 
5

 
28%
 
103.8%
 
6.51%
 
4.54%
 
97
 
13%
Total ≤ 15-year
 
16,488

 
17,020

 
17,158

 
75%
 
103.2%
 
3.71%
 
2.38%
 
48
 
10%
20-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
287

 
285

 
294

 
28%
 
99.3%
 
3.55%
 
3.11%
 
31
 
8%
3.5%
 
600

 
613

 
628

 
64%
 
102.2%
 
4.05%
 
3.04%
 
33
 
10%
4.0%
 
66

 
69

 
70

 
48%
 
104.5%
 
4.54%
 
2.97%
 
52
 
11%
4.5%
 
84

 
90

 
92

 
99%
 
106.7%
 
4.90%
 
3.03%
 
61
 
10%
≥ 5.0%
 
4

 
4

 
4

 
—%
 
106.1%
 
5.92%
 
3.35%
 
92
 
18%
Total 20-year:
 
1,041

 
1,061

 
1,088

 
56%
 
101.9%
 
4.03%
 
3.06%
 
37
 
9%
30-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
6,837

 
6,852

 
6,845

 
2%
 
100.6%
 
3.59%
 
2.92%
 
31
 
6%
3.5%
 
16,627

 
17,383

 
17,188

 
51%
 
104.7%
 
4.09%
 
2.84%
 
26
 
7%
4.0%
 
12,888

 
13,733

 
13,687

 
57%
 
106.7%
 
4.54%
 
2.99%
 
29
 
8%
4.5%
 
1,524

 
1,629

 
1,664

 
87%
 
106.8%
 
4.96%
 
3.39%
 
55
 
9%
5.0%
 
148

 
158

 
163

 
66%
 
106.4%
 
5.45%
 
3.74%
 
92
 
11%
≥ 5.5%
 
155

 
170

 
173

 
38%
 
109.5%
 
6.20%
 
3.40%
 
109
 
16%
Total 30-year
 
38,179

 
39,925

 
39,720

 
46%
 
105.2%
 
4.27%
 
2.93%
 
30
 
8%
Total fixed rate
 
$
55,708

 
$
58,006

 
$
57,966

 
55%
 
104.5%
 
4.08%
 
2.75%
 
36
 
8%
_______________
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 $98,000 for 15-year and 30-year securities, respectively, as of December 31, 2015.
2.
HARP securities are defined as pools backed by 100% refinance loans with LTVs ≥ 80%. Our HARP securities had a weighted average LTV of 110% and 127% for 15-year and 30-year securities, respectively, as of December 31, 2015. Includes $0.9 billion and $4.0 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 December 31, 2015.
As of June 30, 2016 and December 31, 2015, the combined weighted average yield of our MBS portfolio, inclusive of interest and principal-only securities and AAA non-agency securities, was 2.68% and 2.78%, respectively.
Our pass-through agency MBS collateralized by adjustable rate mortgage loans, or ARMs, have coupons linked to various indices. As of June 30, 2016 and December 31, 2015, our ARM securities had a weighted average next reset date of 42 months and 46 months, respectively.

RESULTS OF OPERATIONS
Non-GAAP Financial Measures

In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "adjusted net interest expense," "net spread and dollar roll income," "net spread and dollar roll income, excluding 'catch-up' premium amortization," "estimated taxable income" and the related per common share measures and certain financial metrics derived from such non-GAAP information, such as "cost of funds" and "net interest rate spread."

"Adjusted net interest expense" is measured as interest expense (GAAP measure) adjusted to include other interest rate swap periodic costs. "Net spread and dollar roll income" is measured as (i) net interest income (GAAP measure) adjusted to include

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