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10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/03/2017
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The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBAs, as of September 30, 2017 and December 31, 2016 (dollars in millions):
 
 
September 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%
 
$
3,261

 
$
3,294

 
$
3,289

 
31%
 
101.2%
 
2.98%
 
2.13%
 
60
 
9%
3.0%
 
5,550

 
5,708

 
5,706

 
36%
 
102.8%
 
3.49%
 
2.18%
 
59
 
10%
3.5%
 
2,858

 
2,952

 
2,989

 
89%
 
103.3%
 
3.95%
 
2.49%
 
69
 
11%
4.0%
 
2,191

 
2,277

 
2,302

 
89%
 
103.9%
 
4.40%
 
2.68%
 
81
 
12%
4.5%
 
231

 
241

 
243

 
98%
 
104.4%
 
4.87%
 
3.02%
 
85
 
12%
≥ 5.0%
 
3

 
4

 
4

 
20%
 
103.2%
 
6.64%
 
4.64%
 
121
 
14%
Total ≤ 15-year
 
14,094

 
14,476

 
14,533

 
55%
 
103.0%
 
3.78%
 
2.40%
 
68
 
11%
20-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
202

 
201

 
207

 
31%
 
99.4%
 
3.55%
 
3.10%
 
52
 
9%
3.5%
 
382

 
386

 
398

 
75%
 
102.1%
 
4.05%
 
3.00%
 
55
 
11%
4.0%
 
48

 
50

 
51

 
51%
 
104.2%
 
4.55%
 
2.95%
 
73
 
12%
4.5%
 
57

 
61

 
62

 
99%
 
106.5%
 
4.89%
 
2.95%
 
82
 
11%
≥ 5.0%
 
2

 
2

 
2

 
—%
 
106.0%
 
5.93%
 
3.33%
 
113
 
17%
Total 20-year:
 
691

 
700

 
720

 
62%
 
101.8%
 
4.02%
 
3.02%
 
58
 
11%
30-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
7,671

 
7,720

 
7,709

 
1%
 
100.2%
 
3.58%
 
2.96%
 
40
 
6%
3.5%
 
24,566

 
25,626

 
25,431

 
51%
 
104.7%
 
4.04%
 
2.84%
 
32
 
7%
4.0%
 
19,322

 
20,553

 
20,466

 
49%
 
106.8%
 
4.49%
 
2.94%
 
33
 
9%
4.5%
 
1,317

 
1,415

 
1,431

 
71%
 
107.4%
 
4.97%
 
3.24%
 
76
 
9%
5.0%
 
102

 
109

 
112

 
65%
 
106.6%
 
5.45%
 
3.70%
 
113
 
11%
≥ 5.5%
 
100

 
110

 
111

 
36%
 
109.8%
 
6.19%
 
3.35%
 
131
 
14%
Total 30-year
 
53,078

 
55,533

 
55,260

 
44%
 
105.2%
 
4.20%
 
2.90%
 
35
 
8%
Total fixed rate
 
$
67,863

 
$
70,709

 
$
70,513

 
47%
 
104.7%
 
4.12%
 
2.80%
 
41
 
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 $106,000 for 15-year and 30-year securities, respectively, as of September 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 September 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 September 30, 2017.



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