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10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/26/2018
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The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBAs, as of December 31, 2017 and 2016 (dollars in millions):
 
 
December 31, 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%
 
$
3,041

 
$
3,061

 
$
3,046

 
32%
 
101.2%
 
2.98%
 
2.13%
 
63
 
9%
3.0%
 
5,616

 
5,749

 
5,724

 
33%
 
102.8%
 
3.49%
 
2.18%
 
62
 
10%
3.5%
 
2,710

 
2,804

 
2,804

 
75%
 
103.5%
 
3.96%
 
2.42%
 
69
 
11%
4.0%
 
2,054

 
2,134

 
2,145

 
89%
 
103.9%
 
4.40%
 
2.68%
 
84
 
11%
4.5%
 
215

 
224

 
225

 
98%
 
104.3%
 
4.87%
 
3.01%
 
88
 
12%
≥ 5.0%
 
4

 
4

 
4

 
17%
 
102.8%
 
6.56%
 
4.47%
 
125
 
44%
Total ≤ 15-year
 
13,640

 
13,976

 
13,948

 
51%
 
103.0%
 
3.77%
 
2.38%
 
70
 
10%
20-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
195

 
193

 
198

 
31%
 
99.4%
 
3.55%
 
3.10%
 
55
 
9%
3.5%
 
365

 
373

 
380

 
75%
 
102.1%
 
4.05%
 
3.00%
 
58
 
11%
4.0%
 
45

 
47

 
48

 
51%
 
104.2%
 
4.54%
 
2.96%
 
76
 
11%
4.5%
 
55

 
58

 
59

 
99%
 
106.5%
 
4.90%
 
2.95%
 
85
 
11%
≥ 5.0%
 
2

 
2

 
2

 
—%
 
106.0%
 
5.95%
 
3.32%
 
116
 
17%
Total 20-year:
 
662

 
673

 
687

 
62%
 
101.8%
 
4.02%
 
3.02%
 
61
 
10%
30-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
7,583

 
7,576

 
7,592

 
1%
 
100.2%
 
3.58%
 
2.96%
 
43
 
6%
3.5%
 
24,045

 
25,072

 
24,800

 
56%
 
104.6%
 
4.04%
 
2.84%
 
35
 
7%
4.0%
 
21,015

 
22,348

 
22,166

 
64%
 
106.5%
 
4.47%
 
2.99%
 
29
 
9%
4.5%
 
1,271

 
1,366

 
1,369

 
71%
 
107.4%
 
4.98%
 
3.18%
 
62
 
10%
5.0%
 
97

 
103

 
104

 
65%
 
106.6%
 
5.45%
 
3.69%
 
116
 
10%
≥ 5.5%
 
92

 
102

 
102

 
36%
 
110.0%
 
6.18%
 
3.34%
 
135
 
14%
Total 30-year
 
54,103

 
56,567

 
56,133

 
52%
 
105.2%
 
4.23%
 
2.93%
 
34
 
8%
Total fixed rate
 
$
68,405

 
$
71,216

 
$
70,768

 
52%
 
104.8%
 
4.15%
 
2.84%
 
40
 
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 $109,000 for 15-year and 30-year securities, respectively, as of December 31, 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 December 31, 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 December 31, 2017.



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