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SEC Filings

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


Market Information
The following table summarizes interest rates and prices of generic fixed rate Agency RMBS as of each date presented below:
Interest Rate/Security Price 1
 
Mar. 31, 2017
 
June 30, 2017
 
Sept. 30, 2017
 
Dec. 31, 2017
 
Mar. 31, 2018
 
Mar. 31, 2018
vs
Dec. 31, 2017
LIBOR:
 
 
 
 
 
 
 
 
 
 
 
 
 
1-Month
 
0.98%
 
1.22%
 
1.23%
 
1.56%
 
1.88%
 
+0.32

bps
3-Month
 
1.15%
 
1.30%
 
1.33%
 
1.69%
 
2.31%
 
+0.62

bps
6-Month
 
1.42%
 
1.45%
 
1.51%
 
1.84%
 
2.45%
 
+0.61

bps
U.S. Treasury Security Rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
2-Year U.S. Treasury
 
1.26%
 
1.38%
 
1.48%
 
1.89%
 
2.27%
 
+0.38

bps
3-Year U.S. Treasury
 
1.50%
 
1.55%
 
1.61%
 
1.98%
 
2.39%
 
+0.41

bps
5-Year U.S. Treasury
 
1.93%
 
1.89%
 
1.93%
 
2.21%
 
2.57%
 
+0.36

bps
10-Year U.S. Treasury
 
2.39%
 
2.30%
 
2.33%
 
2.41%
 
2.74%
 
+0.33

bps
30-Year U.S. Treasury
 
3.02%
 
2.84%
 
2.86%
 
2.74%
 
2.97%
 
+0.23

bps
Interest Rate Swap Rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
2-Year Swap
 
1.62%
 
1.61%
 
1.73%
 
2.08%
 
2.58%
 
+0.50

bps
3-Year Swap
 
1.81%
 
1.74%
 
1.84%
 
2.17%
 
2.65%
 
+0.48

bps
5-Year Swap
 
2.06%
 
1.95%
 
2.00%
 
2.24%
 
2.71%
 
+0.47

bps
10-Year Swap
 
2.39%
 
2.27%
 
2.28%
 
2.40%
 
2.78%
 
+0.38

bps
30-Year Swap
 
2.65%
 
2.53%
 
2.52%
 
2.53%
 
2.82%
 
+0.29

bps
30-Year Fixed Rate Agency Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
$99.15
 
$99.88
 
$100.33
 
$100.02
 
$97.52
 
-$2.50
3.5%
 
$102.29
 
$102.70
 
$103.09
 
$102.70
 
$100.20
 
-$2.50
4.0%
 
$104.90
 
$105.12
 
$105.27
 
$104.59
 
$102.61
 
-$1.98
4.5%
 
$107.24
 
$107.27
 
$107.33
 
$106.40
 
$104.70
 
-$1.70
15-Year Fixed Rate Agency Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$100.03
 
$100.53
 
$100.69
 
$99.88
 
$97.98
 
-$1.90
3.0%
 
$102.51
 
$102.64
 
$102.75
 
$101.88
 
$99.88
 
-$2.00
3.5%
 
$104.06
 
$104.06
 
$104.14
 
$103.23
 
$101.94
 
-$1.29
4.0%
 
$103.29
 
$103.44
 
$103.13
 
$102.72
 
$102.63
 
-$0.09
________________________________
1.
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Prices and interest rates in the table above were obtained from Barclays. LIBOR rates were obtained from Bloomberg.


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