Print Page     Close Window     

SEC Filings

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


The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBAs, as of June 30, 2017 and December 31, 2016 (dollars in millions):
 
 
June 30, 2017
 
 
Includes Net TBA Position
 
Excludes Net TBA Position
Fixed Rate Agency RMBS and TBA 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%
 
$
3,178

 
$
3,204

 
$
3,206

 
34%
 
101.2%
 
2.98%
 
2.14%
 
57
 
9%
3.0%
 
3,928

 
4,040

 
4,040

 
53%
 
102.9%
 
3.49%
 
2.18%
 
58
 
10%
3.5%
 
3,033

 
3,134

 
3,165

 
89%
 
103.3%
 
3.95%
 
2.50%
 
66
 
11%
4.0%
 
2,340

 
2,433

 
2,472

 
89%
 
104.0%
 
4.40%
 
2.68%
 
78
 
12%
4.5%
 
248

 
259

 
262

 
98%
 
104.5%
 
4.87%
 
3.02%
 
82
 
12%
≥ 5.0%
 
3

 
4

 
4

 
21%
 
103.1%
 
6.63%
 
4.67%
 
118
 
13%
Total ≤ 15-year
 
12,730

 
13,074

 
13,149

 
65%
 
103.0%
 
3.79%
 
2.41%
 
66
 
10%
20-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
210

 
209

 
215

 
30%
 
99.4%
 
3.55%
 
3.10%
 
49
 
9%
3.5%
 
400

 
408

 
417

 
75%
 
102.1%
 
4.06%
 
3.00%
 
52
 
11%
4.0%
 
50

 
52

 
53

 
50%
 
104.3%
 
4.54%
 
2.96%
 
70
 
11%
4.5%
 
61

 
65

 
66

 
99%
 
106.5%
 
4.89%
 
2.96%
 
79
 
11%
≥ 5.0%
 
2

 
2

 
2

 
—%
 
106.0%
 
5.92%
 
3.34%
 
109
 
17%
Total 20-year:
 
723

 
736

 
753

 
62%
 
101.9%
 
4.03%
 
3.02%
 
55
 
10%
30-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
6,906

 
6,902

 
6,902

 
2%
 
100.2%
 
3.58%
 
2.96%
 
37
 
6%
3.5%
 
19,971

 
20,833

 
20,585

 
56%
 
105.2%
 
4.06%
 
2.76%
 
44
 
7%
4.0%
 
18,036

 
19,167

 
19,053

 
47%
 
106.6%
 
4.50%
 
2.97%
 
32
 
9%
4.5%
 
1,138

 
1,222

 
1,236

 
87%
 
107.5%
 
4.97%
 
3.26%
 
71
 
9%
5.0%
 
107

 
114

 
117

 
66%
 
106.7%
 
5.45%
 
3.70%
 
110
 
10%
≥ 5.5%
 
107

 
118

 
119

 
38%
 
109.8%
 
6.19%
 
3.37%
 
128
 
14%
Total 30-year
 
46,265

 
48,356

 
48,012

 
45%
 
105.4%
 
4.25%
 
2.90%
 
40
 
8%
Total fixed rate
 
$
59,718

 
$
62,166

 
$
61,914

 
49%
 
104.7%
 
4.14%
 
2.79%
 
46
 
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 $101,000 for 15-year and 30-year securities, respectively, as of June 30, 2017.
2.
HARP securities are defined as pools backed by 100% refinance loans with LTV ≥ 80%. Our HARP securities had a weighted average LTV of 114% and 136% for 15-year and 30-year securities, respectively, as of June 30, 2017.
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 June 30, 2017.



33


© AGNC Investment Corp All Rights Reserved