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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/23/2012
Entire Document
 


 
As of December 31, 2011
 
Agency MBS Classified as Available-for-Sale ("AFS")
Par Value
 
Amortized
Cost
 
Amortized
Cost Basis
 
Fair Value
 
Weighted Average
 
December 2011 Projected Life CPR (2)
Coupon
 
Yield (1)
AFS Investments By Issuer:
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
37,231,304

 
$
38,890,535

 
104.5%
 
$
39,566,680

 
4.07%
 
3.02%
 
14%
Freddie Mac
13,736,342

 
14,342,009

 
104.4%
 
14,663,937

 
4.21%
 
3.16%
 
14%
Ginnie Mae
258,227

 
270,423

 
104.7%
 
273,456

 
3.74%
 
1.71%
 
25%
Total / Weighted Average AFS Securities
$
51,225,873

 
$
53,502,967

 
104.4%
 
$
54,504,073

 
4.11%
 
3.05%
 
14%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS Investments By Security Type:
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed-Rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15 Year
 
 
 
 
 
 
 
 
 
 
 
 
 
Lower Loan Balance (3)
$
16,033,016

 
$
16,625,990

 
103.7%
 
$
17,027,945

 
3.81%
 
2.84%
 
12%
HARP (4)
1,159,841

 
1,208,205

 
104.2%
 
1,234,612

 
3.93%
 
2.87%
 
12%
Other (5)
1,813,850

 
1,872,584

 
103.2%
 
1,897,920

 
3.54%
 
2.58%
 
15%
Total ≤ 15 Year
19,006,707

 
19,706,779

 
103.7%
 
20,160,477

 
3.79%
 
2.82%
 
13%
Total 20 Year:
5,461,992

 
5,659,206

 
103.6%
 
5,710,090

 
3.71%
 
2.72%
 
16%
30 Year: (6)
 
 
 
 
 
 
 
 
 
 
 
 
 
Lower Loan Balance (3)
4,577,052

 
4,847,710

 
105.9%
 
4,926,657

 
4.48%
 
3.40%
 
11%
HARP (4)
11,676,316

 
12,318,400

 
105.5%
 
12,591,358

 
4.48%
 
3.50%
 
11%
Other (2009-2011 Vintage)
6,986,660

 
7,306,535

 
104.6%
 
7,380,138

 
4.24%
 
3.17%
 
15%
Other (Pre 2009 Vintage)
655,228

 
696,656

 
106.3%
 
714,846

 
5.59%
 
3.37%
 
25%
Total 30 Year
23,895,256

 
25,169,301

 
105.3%
 
25,612,999

 
4.44%
 
3.38%
 
12%
Total Fixed-Rate
48,363,955

 
50,535,286

 
104.5%
 
51,483,566

 
4.10%
 
3.09%
 
13%
Adjustable-Rate
2,626,614

 
2,725,072

 
103.7%
 
2,773,639

 
4.29%
 
2.58%
 
32%
CMO
235,304

 
242,609

 
103.1%
 
246,868

 
3.74%
 
1.69%
 
29%
Total / Weighted Average
$
51,225,873

 
$
53,502,967

 
104.4%
 
$
54,504,073

 
4.11%
 
3.05%
 
14%
 
As of 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 (2)
Coupon
 
Yield (1)
Interest-Only Strips
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
686,361

 
$
89,151

 
$
85,886

 
5.55%
 
6.62%
 
31%
Freddie Mac
453,163

 
66,382

 
55,881

 
5.48%
 
10.35%
 
25%
Principal-Only Strips
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
40,289

 
35,171

 
36,877

 
—%
 
5.40%
 
31%
Total / Weighted Average
$
1,179,813

 
$
190,704

 
$
178,644

 
5.33%
 
7.70%
 
29%
_______________________
(1)
Incorporates a weighted average future constant prepayment rate ("CPR") assumption of 14% based on forward rates as of December 31, 2011 and an average reset rate for adjustable rate securities of 2.71%, which is equal to a weighted average underlying index rate of 0.94% based on the current spot rate in effect as of the date we acquired the securities and a weighted average margin of 1.77%.
(2)
Weighted average projected life CPR based on forward rate assumptions as of December 31, 2011.
(3)
Lower loan balance securities represent pools backed by a maximum original loan balance of up to $150 thousand. Our lower loan balance securities had a weighted average original loan balance of $102 thousand and $108 thousand for 15 year and 30 year securities, respectively, as of December 31, 2011.
(4)
HARP securities are defined as pools backed by100% refinance loans with loan-to-values ("LTV") between 80% and 125%. 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.
(5)
Other 15-year securities include $687 million of securities backed by loans with original loan balances ≤ $175 thousand.
(6)
30-year securities include $84 million of 40-year securities.
Interest-only agency MBS strips represent the right to receive a specified portion of the contractual interest flows of the underlying unamortized principal balance (“UPB” or “par value”) of specific agency CMO securities. Principal-only agency MBS strips represent the right to receive contractual principal flows of the UPB of specific agency CMO securities. As of December 31, 2011, the combined weighted average yield of our agency MBS portfolio was 3.07%.

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