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10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/03/2017
Entire Document
 


 
 
June 30, 2017
 
 
Agency RMBS
 
Non-Agency
 
 
 
 
Investment Securities
 
Fannie Mae
 
Freddie Mac
 
Ginnie
Mae
 
RMBS
 
CMBS
 
CRT
 
Total
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Par value
 
$
26,924

 
$
8,610

 
$
39

 
$
8

 
$

 
$

 
$
35,581

Unamortized discount
 
(27
)
 
(3
)
 

 

 

 

 
(30
)
Unamortized premium
 
1,242

 
467

 

 

 

 

 
1,709

Amortized cost
 
28,139

 
9,074

 
39

 
8

 

 

 
37,260

Gross unrealized gains
 
164

 
45

 
1

 

 

 

 
210

Gross unrealized losses
 
(305
)
 
(135
)
 

 

 

 

 
(440
)
Total available-for-sale securities, at fair value
 
27,998

 
8,984

 
40

 
8

 

 

 
37,030

Securities remeasured at fair value through earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Par value
 
7,648

 
811

 

 

 
24

 
529

 
9,012

Unamortized discount
 
(38
)
 

 

 

 
(1
)
 

 
(39
)
Unamortized premium
 
432

 
59

 

 

 

 
20

 
511

Amortized cost
 
8,042

 
870

 

 

 
23

 
549

 
9,484

Gross unrealized gains
 
42

 
3

 

 

 

 
23

 
68

Gross unrealized losses
 
(13
)
 
(3
)
 

 

 

 

 
(16
)
Total securities remeasured at fair value through earnings
 
8,071

 
870

 

 

 
23

 
572

 
9,536

Total securities, at fair value
 
$
36,069

 
$
9,854

 
$
40

 
$
8

 
$
23

 
$
572

 
$
46,566

Weighted average coupon as of June 30, 2017
 
3.68
%
 
3.70
%
 
2.76
%
 
2.50
%
 
6.55
%
 
5.14
%
 
3.70
%
Weighted average yield as of June 30, 2017 1
 
2.83
%
 
2.74
%
 
2.00
%
 
3.00
%
 
7.53
%
 
5.31
%
 
2.84
%
 ________________________
1.
Incorporates a weighted average future constant prepayment rate assumption of 9% based on forward rates as of June 30, 2017.

 
 
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
 
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 1
 
2.77
%
 
2.72
%
 
2.00
%
 
3.27
%
 
7.54
%
 
6.28
%
 
2.77
%
 ________________________
1.
Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of December 31, 2016.


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