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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/07/2016
Entire Document
 


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 September 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
September 30, 2016
 
$
602

 
$
(2
)
 
$
1,851

 
$
(8
)
 
$
2,453

 
$
(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 nine months ended September 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 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.
Gains and Losses on Sale of Mortgage-Backed Securities
The following table is a summary of our net gain (loss) from the sale of securities classified as available-for-sale for the three and nine months ended September 30, 2016 and 2015 (in millions). Please refer to Note 9 for a summary of changes in accumulated OCI for the same periods 
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
Securities Classified as Available-for-Sale
 
2016
 
2015
 
2016
 
2015
MBS sold, at cost
 
$
(6,123
)
 
$
(4,575
)
 
$
(17,146
)
 
$
(22,548
)
Proceeds from MBS sold 1
 
6,184

 
4,536

 
17,260

 
22,523

Net gain (loss) on sale of MBS
 
$
61

 
$
(39
)
 
$
114

 
$
(25
)
 
 
 
 
 
 
 
 
 
Gross gain on sale of MBS
 
$
62

 
$
2

 
$
122

 
$
81

Gross loss on sale of MBS
 
(1
)
 
(41
)
 
(8
)
 
(106
)
Net gain (loss) on sale of MBS
 
$
61

 
$
(39
)
 
$
114

 
$
(25
)
  ________________________
1.
Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end.
For the three and nine months ended September 30, 2016, we recognized a net unrealized loss of $6 million and an unrealized gain of $5 million, respectively, and for the three and nine months ended September 30, 2015 we recognized a net unrealized gain of $10 million and $14 million, respectively, for the change in value of investments in interest and principal-only securities in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Over the same periods, we did not recognize any realized gains or losses on our interest or principal-only securities.
Securitizations and Variable Interest Entities
As of September 30, 2016 and December 31, 2015, we held investments in CMO trusts, which are variable interest entities ("VIEs"). We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate agency MBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac.
In connection with our consolidated CMO trusts, we recognized agency securities with a total fair value of $0.9 billion and $1.0 billion as of September 30, 2016 and December 31, 2015, respectively, and debt with a total fair value of $494 million and $595 million, respectively, in our accompanying consolidated balance sheets. As of September 30, 2016 and December 31, 2015, the agency securities had an aggregate unpaid principal balance of $0.8 billion and $1.0 billion, respectively, and the debt had an

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