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10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/06/2018
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The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBAs, as of June 30, 2018 and December 31, 2017 (dollars in millions):
 
 
June 30, 2018
 
 
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%
 
$
1,583

 
$
1,589

 
$
1,551

 
56%
 
101.2%
 
2.98%
 
2.11%
 
68
 
9%
3.0%
 
4,569

 
4,593

 
4,551

 
47%
 
101.9%
 
3.50%
 
2.43%
 
51
 
9%
3.5%
 
3,789

 
3,857

 
3,836

 
36%
 
103.3%
 
4.01%
 
2.57%
 
45
 
9%
4.0%
 
1,807

 
1,872

 
1,855

 
77%
 
103.9%
 
4.40%
 
2.65%
 
89
 
11%
4.5%
 
186

 
194

 
192

 
98%
 
104.2%
 
4.87%
 
3.01%
 
93
 
11%
≥ 5.0%
 
3

 
3

 
3

 
24%
 
102.6%
 
6.59%
 
4.62%
 
129
 
13%
Total ≤ 15-year
 
11,937

 
12,108

 
11,988

 
50%
 
102.5%
 
3.75%
 
2.47%
 
62
 
9%
20-year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
182

 
181

 
180

 
31%
 
99.4%
 
3.55%
 
3.10%
 
61
 
8%
3.5%
 
338

 
345

 
341

 
74%
 
102.1%
 
4.05%
 
3.00%
 
64
 
10%
4.0%
 
149

 
154

 
153

 
83%
 
103.7%
 
4.44%
 
3.22%
 
26
 
10%
4.5%
 
105

 
111

 
111

 
100%
 
105.9%
 
4.97%
 
3.19%
 
44
 
11%
≥ 5.0%
 
2

 
2

 
2

 
—%
 
106.0%
 
5.96%
 
3.33%
 
123
 
16%
Total 20-year:
 
776

 
793

 
787

 
69%
 
102.3%
 
4.15%
 
3.09%
 
53
 
10%
30-year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
6,069

 
5,956

 
5,894

 
2%
 
100.2%
 
3.58%
 
2.96%
 
48
 
6%
3.5%
 
23,165

 
24,060

 
23,166

 
60%
 
104.3%
 
4.04%
 
2.92%
 
39
 
6%
4.0%
 
25,238

 
26,472

 
25,868

 
59%
 
105.9%
 
4.46%
 
3.16%
 
32
 
7%
4.5%
 
6,927

 
7,238

 
7,233

 
22%
 
106.3%
 
4.96%
 
3.54%
 
39
 
8%
5.0%
 
88

 
94

 
95

 
64%
 
107.1%
 
5.45%
 
3.71%
 
122
 
8%
≥ 5.5%
 
85

 
94

 
91

 
36%
 
110.5%
 
6.17%
 
3.38%
 
140
 
12%
Total 30-year
 
61,572

 
63,914

 
62,347

 
50%
 
104.8%
 
4.24%
 
3.06%
 
37
 
7%
Total fixed rate
 
$
74,285

 
$
76,815

 
$
75,122

 
50%
 
104.5%
 
4.18%
 
2.98%
 
40
 
7%
________________________________
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 $100,000 and $109,000 for 15-year and 30-year securities, respectively, as of June 30, 2018.
2.
HARP securities are defined as pools backed by 100% refinance loans with LTV ≥ 80%. Our HARP securities had a weighted average LTV of 115% and 136% for 15-year and 30-year securities, respectively, as of June 30, 2018.
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 June 30, 2018.



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