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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/07/2018
Entire Document
 


 
 
December 31, 2017
 
 
Agency RMBS
 
Non-Agency
 
 
 
 
Investment Securities
 
Fannie 
Mae
 
Freddie Mac
 
Ginnie 
Mae
 
RMBS
 
CMBS
 
CRT
 
Total
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Par value
 
$
24,200

 
$
8,219

 
$
34

 
$
7

 
$

 
$

 
$
32,460

Unamortized discount
 
(25
)
 
(3
)
 

 

 

 

 
(28
)
Unamortized premium
 
1,119

 
447

 

 

 

 

 
1,566

Amortized cost
 
25,294

 
8,663

 
34

 
7

 

 

 
33,998

Gross unrealized gains
 
98

 
22

 
1

 

 

 

 
121

Gross unrealized losses
 
(325
)
 
(141
)
 

 

 

 

 
(466
)
Total available-for-sale securities, at fair value
 
25,067

 
8,544

 
35

 
7

 

 

 
33,653

Securities remeasured at fair value through earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Par value
 
13,558

 
7,956

 

 

 
29

 
801

 
22,344

Unamortized discount
 
(34
)
 

 

 

 
(1
)
 

 
(35
)
Unamortized premium
 
711

 
415

 

 

 

 
33

 
1,159

Amortized cost
 
14,235

 
8,371

 

 

 
28

 
834

 
23,468

Gross unrealized gains
 
26

 
2

 

 

 
1

 
42

 
71

Gross unrealized losses
 
(70
)
 
(42
)
 

 

 

 

 
(112
)
Total securities remeasured at fair value through earnings
 
14,191

 
8,331

 

 

 
29

 
876

 
23,427

Total securities, at fair value
 
$
39,258

 
$
16,875

 
$
35

 
$
7

 
$
29

 
$
876

 
$
57,080

Weighted average coupon as of December 31, 2017
 
3.67
%
 
3.73
%
 
2.84
%
 
2.50
%
 
6.55
%
 
5.26
%
 
3.71
%
Weighted average yield as of December 31, 2017 1
 
2.84
%
 
2.87
%
 
2.02
%
 
3.08
%
 
7.30
%
 
5.19
%
 
2.89
%
 ________________________________
1.
Incorporates a weighted average future constant prepayment rate assumption of 8.4% based on forward rates as of December 31, 2017.

As of March 31, 2018 and December 31, 2017, our investments in CRT and non-Agency securities had the following credit ratings:
 
 
March 31, 2018
 
December 31, 2017
CRT and Non-Agency Security Credit Ratings 1
 
CRT
 
RMBS
 
CMBS
 
CRT
 
RMBS
 
CMBS
AAA
 
$

 
$
7

 
$

 
$

 
$
7

 
$

BBB
 
26

 

 
29

 
20

 

 
29

BB
 
139

 

 

 
136

 

 

B
 
698

 

 

 
691

 

 

Not Rated
 
21

 

 

 
29

 

 

Total
 
$
884

 
$
7

 
$
29

 
$
876

 
$
7

 
$
29

 ________________________________
1.
Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date.

Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards. As of March 31, 2018, our CRT securities had floating and fixed rate coupons ranging from 3.7% to 8.8%, referenced to loans originated between 2012 and 2018 with weighted average coupons ranging from 3.6% to 4.4%. As of December 31, 2017, our CRT securities had floating rate coupons ranging from 3.9% to 8.5%, referenced to loans originated between 2012 and 2017 with weighted average coupons ranging from 3.6% to 4.4%.

The actual maturities of our investment securities are generally shorter than their stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic contractual principal payments and principal prepayments. As of March 31, 2018 and December 31, 2017, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate investment portfolio was 7.6% and 8.4%, respectively. Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs. The following table summarizes our investments as of March 31, 2018 and December 31, 2017 according to their estimated weighted average life classification (dollars in millions):

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