Print Page     Close Window     

SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2013
Entire Document
 




    
 
 
December 31, 2011
Agency MBS Classified as AFS
 
Par Value
 
Amortized
Cost
 
Amortized
Cost Basis
 
Fair Value
 
Weighted Average
 
December 2011 Projected Life CPR (1)
Coupon
 
Yield
 
Age (Months)
Investments By Issuer:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
 
$
37,232

 
$
38,891

 
104.5%
 
$
39,567

 
4.07%
 
3.02%
 
11
 
14%
Freddie Mac
 
13,736

 
14,342

 
104.4%
 
14,664

 
4.21%
 
3.16%
 
13
 
14%
Ginnie Mae
 
258

 
270

 
104.7%
 
273

 
3.74%
 
1.71%
 
12
 
25%
Total / Weighted Average
 
$
51,226

 
$
53,503

 
104.4%
 
$
54,504

 
4.11%
 
3.05%
 
12
 
14%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investments By Security Type:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed-Rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-Year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Lower Loan Balance (2)
 
$
16,033

 
$
16,626

 
103.7%
 
$
17,027

 
3.81%
 
2.84%
 
12
 
12%
HARP (3)
 
1,160

 
1,208

 
104.2%

1,235

 
3.93%
 
2.87%
 
10
 
12%
Other (4)
 
1,814

 
1,873

 
103.2%
 
1,898

 
3.54%
 
2.58%
 
10
 
15%
Total ≤ 15-Year
 
19,007

 
19,707

 
103.7%
 
20,160

 
3.79%
 
2.82%
 
12
 
13%
Total 20-Year:
 
5,462

 
5,659

 
103.6%
 
5,710

 
3.71%
 
2.72%
 
4
 
16%
30-Year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Lower Loan Balance (2)
 
4,577

 
4,847

 
105.9%
 
4,927

 
4.48%
 
3.40%
 
15
 
11%
HARP (3)
 
11,676

 
12,318

 
105.5%
 
12,591

 
4.48%
 
3.50%
 
9
 
11%
Other (2009-2011 Vintages)
 
6,987

 
7,307

 
104.6%
 
7,380

 
4.24%
 
3.17%
 
6
 
15%
Other (Pre 2009 Vintages)
 
655

 
697

 
106.3%
 
715

 
5.59%
 
3.37%
 
72
 
25%
Total 30-Year
 
23,895

 
25,169

 
105.3%
 
25,613

 
4.44%
 
3.38%
 
11
 
12%
Total Fixed-Rate
 
48,364

 
50,535

 
104.5%
 
51,483

 
4.10%
 
3.09%
 
11
 
13%
Adjustable-Rate
 
2,627

 
2,725

 
103.7%
 
2,774

 
4.29%
 
2.58%
 
31
 
32%
CMO
 
235

 
243

 
103.1%
 
247

 
3.74%
 
1.69%
 
56
 
29%
Total / Weighted Average
 
$
51,226

 
$
53,503

 
104.4%
 
$
54,504

 
4.11%
 
3.05%
 
12
 
14%
 
 
December 31, 2011
Agency MBS Remeasured at Fair Value Through Earnings
 
Underlying
Unamortized
Principal
Balance
 
Amortized
Cost
 
Fair Value
 
Weighted Average
 
December 2011 Projected Life CPR (1)
Coupon
 
Yield
 
Age (Months)
Interest-Only Strips
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
 
$
687

 
$
90

 
$
86

 
5.55%
 
6.62%
 
63
 
31%
Freddie Mac
 
453

 
66

 
56

 
5.48%
 
10.35%
 
79
 
25%
Principal-Only Strips
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
 
40

 
35

 
37

 
—%
 
5.40%
 
48
 
31%
Total / Weighted Average
 
$
1,180

 
$
191

 
$
179

 
5.33%
 
7.70%
 
65
 
29%
______________________
1.
Portfolio yield incorporates a projected life CPR assumption based on forward rate assumptions as of December 31, 2011.
2.
Lower loan balance securities represent pools backed by a maximum original loan balance of up to ≤ $150,000. Our lower loan balance securities had a weighted average original loan balance of $102,000 and $108,000 for 15-year and 30-year securities, respectively, as of December 31, 2011.
3.
HARP securities are defined as pools backed by100% refinance loans with LTVs ≥ 80%. Our HARP securities had a weighted average LTV of 98% and 97% for 15-year and 30-year securities, respectively, as of December 31, 2011.
4.
Other 15-year securities include $687 million of securities backed by loans with original loan balances ≤ $175,000.
As of December 31, 2012 and 2011, the combined weighted average yield of our agency MBS portfolio (inclusive of interest and principal-only strips) was 2.61% and 3.07%, respectively.

43


© AGNC Investment Corp All Rights Reserved