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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/23/2012
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Note 3. Investment Securities

The following tables summarize our investments in agency MBS as of December 31, 2011 (dollars in thousands):
 
As of December 31, 2011
Agency MBS
Fannie Mae
 
Freddie Mac
 
Ginnie Mae
 
Total
Available-for-sale agency MBS:
 
 
 
 
 
 
 
Agency MBS, par
$
37,231,304

 
$
13,736,342

 
$
258,227

 
$
51,225,873

Unamortized discount
(191
)
 
(70
)
 

 
(261
)
Unamortized premium
1,659,422

 
605,737

 
12,196

 
2,277,355

Amortized cost
38,890,535

 
14,342,009

 
270,423

 
53,502,967

Gross unrealized gains
679,557

 
324,201

 
3,058

 
1,006,816

Gross unrealized losses
(3,412
)
 
(2,273
)
 
(25
)
 
(5,710
)
Total available-for-sale agency MBS, at fair value
39,566,680

 
14,663,937

 
273,456

 
54,504,073

Agency MBS remeasured at fair value through earnings:
 
 
 
 
 
 
 
Interest-only and principal-only strips, amortized cost(1)
124,322

 
66,382

 

 
190,704

Gross unrealized gains
5,983

 
2,647

 

 
8,630

Gross unrealized losses
(7,541
)
 
(13,149
)
 

 
(20,690
)
Total agency MBS remeasured at fair value through earnings, at fair value
122,764

 
55,880

 

 
178,644

Total agency MBS, at fair value
$
39,689,444

 
$
14,719,817

 
$
273,456

 
$
54,682,717

Weighted average coupon as of December 31, 2011(2)
4.18
%
 
4.39
%
 
3.74
%
 
4.23
%
Weighted average yield as of December 31, 2011(3)
3.03
%
 
3.20
%
 
1.71
%
 
3.07
%
Weighted average yield for the year ended December 31, 2011(3)
3.19
%
 
3.20
%
 
2.05
%
 
3.19
%
 ________________________
(1)
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. The UPB of our interest-only agency MBS strips was $1.1 billion and the weighted average contractual interest we are entitled to receive was 5.52% of this amount as of December 31, 2011. The par value of our principal-only agency MBS strips was $40 million as of December 31, 2011.
(2)
The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed-rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of December 31, 2011.
(3)
Incorporates an average future constant prepayment rate assumption of 14% based on forward rates as of December 31, 2011 and a weighted 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%.

 
As of December 31, 2011
Agency MBS
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Fair Value
Fixed-Rate
$
50,535,286

 
$
952,295

 
$
(4,015
)
 
$
51,483,566

Adjustable-Rate
2,725,072

 
50,262

 
(1,695
)
 
2,773,639

CMO
242,609

 
4,259

 

 
246,868

Interest-only and principal-only strips
190,704

 
8,630

 
(20,690
)
 
178,644

Total agency MBS
$
53,693,671

 
$
1,015,446

 
$
(26,400
)
 
$
54,682,717











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