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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/06/2018
Entire Document
 



 
 
June 30, 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
 
$
2,075

 
$
2,099

 
4.24%
 
2.61%
 
$
2,712

 
$
2,693

 
3.90%
 
2.67%
> 3 years and ≤ 5 years
 
4,986

 
5,104

 
3.13%
 
2.37%
 
7,499

 
7,518

 
3.31%
 
2.39%
> 5 years and ≤10 years
 
41,174

 
42,591

 
3.79%
 
3.05%
 
45,977

 
46,398

 
3.75%
 
2.95%
> 10 years
 
8,872

 
9,081

 
3.72%
 
3.40%
 
892

 
857

 
4.87%
 
4.74%
Total
 
$
57,107

 
$
58,875

 
3.74%
 
3.03%
 
$
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 June 30, 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
June 30, 2018
 
$
9,159

 
$
(176
)
 
$
17,885

 
$
(943
)
 
$
27,044

 
$
(1,119
)
December 31, 2017
 
$
3,582

 
$
(15
)
 
$
20,577

 
$
(451
)
 
$
24,159

 
$
(466
)
We did not recognize OTTI charges on our investment securities during any of the periods presented herein. As of the end of each respective reporting period, a decision had not been made to sell 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 and six months ended June 30, 2018 and 2017 by investment classification of accounting (in millions):
 
 
Three Months Ended June 30,
 
 
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
 
$
(1,449
)
$
(1,975
)
$
(3,424
)
 
$
(586
)
$
(2,401
)
$
(2,987
)
Proceeds from investment securities sold 1
 
1,429

1,921

3,350

 
582

2,420

3,002

Net gain (loss) on sale of investment securities
 
$
(20
)
$
(54
)
$
(74
)
 
$
(4
)
$
19

$
15

 
 
 
 
 
 
 
 
 
Gross gain on sale of investment securities
 
$
2

$
3

$
5

 
$
2

$
20

$
22

Gross loss on sale of investment securities
 
(22
)
(57
)
(79
)
 
(6
)
(1
)
(7
)
Net gain (loss) on sale of investment securities
 
$
(20
)
$
(54
)
$
(74
)
 
$
(4
)
$
19

$
15


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