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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
 
 
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 LTVs ≥ 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.
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, 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%.

30


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