Print Page     Close Window     

SEC Filings

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



 
 
March 31, 2018
 
December 31, 2017
Estimated Weighted Average Life of Investment Securities
 
Fair Value
 
Amortized
Cost
 
Weighted
Average
Coupon
 
Weighted
Average
Yield
 
Fair Value
 
Amortized
Cost
 
Weighted
Average
Coupon
 
Weighted
Average
Yield
≥ 1 year and ≤ 3 years
 
$
2,671

 
$
2,683

 
3.91%
 
2.61%
 
$
2,712

 
$
2,693

 
3.90%
 
2.67%
> 3 years and ≤ 5 years
 
6,283

 
6,395

 
3.23%
 
2.36%
 
7,499

 
7,518

 
3.31%
 
2.39%
> 5 years and ≤10 years
 
42,171

 
43,513

 
3.75%
 
2.98%
 
45,977

 
46,398

 
3.75%
 
2.95%
> 10 years
 
4,557

 
4,620

 
3.79%
 
3.52%
 
892

 
857

 
4.87%
 
4.74%
Total
 
$
55,682

 
$
57,211

 
3.70%
 
2.93%
 
$
57,080

 
$
57,466

 
3.71%
 
2.89%

The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2018 and December 31, 2017 (in millions):
 
 
Unrealized Loss Position For
 
 
Less than 12 Months
 
12 Months or More
 
Total
Securities Classified as Available-for-Sale
 
Fair
Value
 
Unrealized
Loss
 

Fair Value
 
Unrealized
Loss
 
Fair
Value
 
Unrealized
Loss
March 31, 2018
 
$
9,782

 
$
(133
)
 
$
18,946

 
$
(853
)
 
$
28,728

 
$
(986
)
December 31, 2017
 
$
3,582

 
$
(15
)
 
$
20,577

 
$
(451
)
 
$
24,159

 
$
(466
)

We did not recognize OTTI charges on our investment securities for the three months ended March 31, 2018 and 2017. As of the end of each respective reporting period, a decision had not been made to sell any of our securities in an unrealized loss position and we did not believe it was more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. The unrealized losses on our securities were not due to credit losses given the GSE or U.S. Government agency guarantees, but rather were due to changes in interest rates and prepayment expectations. However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our investment securities upon selecting specific securities to sell.

Gains and Losses on Sale of Investment Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2018 and 2017 by investment classification of accounting (in millions):
 
 
Three Months Ended March 31,
 
 
2018
 
2017
Investment Securities
 
Available-for-Sale
Securities 2
Fair Value Option Securities
Total
 
Available-for-Sale
Securities 2
Fair Value Option Securities
Total
Investment securities sold, at cost
 
$
(387
)
$
(1,003
)
$
(1,390
)
 
$
(5,149
)
$
(219
)
$
(5,368
)
Proceeds from investment securities sold 1
 
388

1,000

1,388

 
5,065

219

5,284

Net gain (loss) on sale of investment securities
 
$
1

$
(3
)
$
(2
)
 
$
(84
)
$

$
(84
)
 
 
 
 
 
 
 
 
 
Gross gain on sale of investment securities
 
$
3

$
7

$
10

 
$
4

$

$
4

Gross loss on sale of investment securities
 
(2
)
(10
)
(12
)
 
(88
)

(88
)
Net gain (loss) on sale of investment securities
 
$
1

$
(3
)
$
(2
)
 
$
(84
)
$

$
(84
)
  ________________________________
1.
Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.
2.
See Note 10 for a summary of changes in accumulated OCI.  
Securitizations and Variable Interest Entities
As of March 31, 2018 and December 31, 2017, we held investments in CMO trusts, which are VIEs. We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate Agency RMBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support.

13


© AGNC Investment Corp All Rights Reserved