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SEC Filings

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


FINANCIAL CONDITION
As of June 30, 2017 and December 31, 2016, our investment portfolio consisted of $46.6 billion and $46.5 billion of investment securities, at fair value, respectively, and $17.3 billion and $11.2 billion of TBA securities, at fair value, respectively. The following table is a summary of our investment portfolio as of June 30, 2017 and December 31, 2016 (dollars in millions):
 
 
June 30, 2017
 
December 31, 2016
Investment Portfolio (Includes TBAs) 1
 
Amortized Cost
 
Fair Value
 
Average Coupon
 
%
 
Amortized Cost
 
Fair Value
 
Average Coupon
 
%
Fixed rate Agency RMBS and TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-year RMBS
 
$
10,444

 
$
10,520

 
3.33
%
 
17
%
 
$
12,794

 
$
12,867

 
3.26
%
 
22
%
15-year TBA securities
 
2,630

 
2,629

 
2.75
%
 
4
%
 
2,188

 
2,172

 
2.57
%
 
4
%
Total ≤ 15-year
 
13,074

 
13,149

 
3.21
%
 
21
%
 
14,982

 
15,039

 
3.16
%
 
26
%
20-year RMBS
 
736

 
753

 
3.48
%
 
1
%
 
801

 
817

 
3.49
%
 
1
%
30-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30-year RMBS
 
33,703

 
33,370

 
3.71
%
 
52
%
 
31,553

 
31,052

 
3.63
%
 
54
%
30-year TBA securities
 
14,653

 
14,642

 
3.52
%
 
23
%
 
9,124

 
8,993

 
3.58
%
 
16
%
Total 30-year
 
48,356

 
48,012

 
3.65
%
 
75
%
 
40,677

 
40,045

 
3.62
%
 
70
%
Total fixed rate Agency RMBS and TBA securities
 
62,166

 
61,914

 
3.56
%
 
97
%
 
56,460

 
55,901

 
3.49
%
 
97
%
Adjustable rate Agency RMBS
 
327

 
334

 
2.94
%
 
%
 
371

 
379

 
2.96
%
 
1
%
CMO Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CMO
 
714

 
722

 
3.43
%
 
1
%
 
796

 
801

 
3.41
%
 
2
%
Interest-only strips
 
115

 
133

 
4.66
%
 
%
 
132

 
151

 
5.03
%
 
%
Principal-only strips
 
125

 
131

 
%
 
%
 
136

 
144

 
%
 
%
Total CMO Agency RMBS
 
954

 
986

 
3.71
%
 
2
%
 
1,064

 
1,096

 
3.89
%
 
2
%
Total Agency RMBS and TBA securities
 
63,447

 
63,234

 
3.56
%
 
99
%
 
57,895

 
57,376

 
3.50
%
 
100
%
Non-Agency RMBS
 
8

 
8

 
2.50
%
 
%
 
102

 
101

 
3.42
%
 
%
CMBS
 
23

 
23

 
6.55
%
 
%
 
23

 
23

 
6.55
%
 
%
CRT
 
549

 
572

 
5.14
%
 
1
%
 
161

 
164

 
5.25
%
 
%
Total investment portfolio
 
$
64,027

 
$
63,837

 
3.57
%
 
100
%
 
$
58,181

 
$
57,664

 
3.51
%
 
100
%
_______________________
1.
TBA securities are presented net of long and short positions. For further details of our TBA securities refer to Note 6 of the accompanying consolidated financial statements.
Our TBA securities are recorded as derivative instruments in our accompanying consolidated financial statements; consequently, our TBA dollar roll transactions represent a form of off-balance sheet financing. As of June 30, 2017 and December 31, 2016, our TBA positions had a net carrying value of $(12) million and $(147) million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value represents the difference between the fair value of the underlying Agency security in the TBA contract and the contract price to be paid or received for the underlying Agency security.
As of June 30, 2017 and December 31, 2016, the weighted average yield on our investment securities (excluding TBAs) was 2.84% and 2.77%, respectively.

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