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10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2017
Entire Document
 


 
 
December 31, 2016
 
 
Agency RMBS
 
Non-Agency
 
 
 
 
Investment Securities
 
Fannie Mae
 
Freddie Mac
 
Ginnie
Mae
 
RMBS
 
CMBS
 
CRT
 
Total
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Par value
 
$
34,244

 
$
10,008

 
$
44

 
$
101

 
$

 
$

 
$
44,397

Unamortized discount
 
(43
)
 
(3
)
 

 

 

 

 
(46
)
Unamortized premium
 
1,518

 
544

 

 
1

 

 

 
2,063

Amortized cost
 
35,719

 
10,549

 
44

 
102

 

 

 
46,414

Gross unrealized gains
 
176

 
48

 
1

 

 

 

 
225

Gross unrealized losses
 
(442
)
 
(179
)
 

 
(1
)
 

 

 
(622
)
Total available-for-sale securities, at fair value
 
35,453

 
10,418

 
45

 
101

 

 

 
46,017

Securities remeasured at fair value through earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 

Par value 1
 
171

 

 

 

 
24

 
157

 
352

Unamortized discount
 
(35
)
 

 

 

 
(1
)
 

 
(36
)
Unamortized premium
 
118

 
14

 

 

 

 
4

 
136

Amortized cost
 
254

 
14

 

 

 
23

 
161

 
452

Gross unrealized gains
 
28

 
3

 

 

 

 
3

 
34

Gross unrealized losses
 
(3
)
 
(1
)
 

 

 

 

 
(4
)
Total securities remeasured at fair value through earnings
 
279

 
16

 

 

 
23

 
164

 
482

Total securities, at fair value
 
$
35,732

 
$
10,434

 
$
45

 
$
101

 
$
23

 
$
164

 
$
46,499

Weighted average coupon as of December 31, 2016
 
3.59
%
 
3.67
%
 
2.75
%
 
3.42
%
 
6.55
%
 
5.25
%
 
3.61
%
Weighted average yield as of December 31, 2016 2
 
2.77
%
 
2.72
%
 
2.00
%
 
3.27
%
 
7.54
%
 
6.28
%
 
2.77
%
 ________________________
1.
Par value amount excludes the underlying unamortized principal balance ("UPB") of interest-only securities of $0.9 billion as of December 31, 2016.
2.
Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2016.

 
 
December 31, 2015
 
 
Agency RMBS
 
Non-Agency
 
 
Investment Securities
 
Fannie Mae
 
Freddie Mac
 
Ginnie Mae
 
RMBS
 
Total
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
Par value
 
$
39,205

 
$
10,575

 
$
62

 
$
113

 
$
49,955

Unamortized discount
 
(32
)
 
(4
)
 

 

 
(36
)
Unamortized premium
 
1,707

 
519

 
1

 
1

 
2,228

Amortized cost
 
40,880

 
11,090

 
63

 
114

 
52,147

Gross unrealized gains
 
286

 
80

 
2

 

 
368

Gross unrealized losses
 
(283
)
 
(111
)
 

 
(1
)
 
(395
)
Total available-for-sale securities, at fair value
 
40,883

 
11,059

 
65

 
113

 
52,120

Securities remeasured at fair value through earnings:
 
 
 
 
 
 
 
 
 
 
Par value 1
 
208

 

 

 

 
208

Unamortized discount
 
(42
)
 

 

 

 
(42
)
Unamortized premium
 
132

 
19

 

 

 
151

Amortized cost
 
298

 
19

 

 

 
317

Gross unrealized gains
 
35

 
4

 

 

 
39

Gross unrealized losses
 
(2
)
 
(1
)
 

 

 
(3
)
Total securities remeasured at fair value through earnings
 
331

 
22

 

 

 
353

Total securities, at fair value
 
$
41,214

 
$
11,081

 
$
65

 
$
113

 
$
52,473

Weighted average coupon as of December 31, 2015
 
3.62
%
 
3.69
%
 
3.18
%
 
3.50
%
 
3.63
%
Weighted average yield as of December 31, 2015 2
 
2.79
%
 
2.77
%
 
1.97
%
 
3.33
%
 
2.78
%
 ________________________
1.
Par value amount excludes the UPB of interest-only securities of $1.0 billion as of December 31, 2015.
2.
Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2015.

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