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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/27/2014
Entire Document
 


FINANCIAL CONDITION
As of December 31, 2013 and 2012, our investment portfolio consisted of $65.9 billion and $85.2 billion of agency MBS, respectively, and a $2.3 billion and $12.9 billion net long TBA position, at fair value, respectively.
Our TBA positions are recorded as derivative instruments in our accompanying consolidated financial statements, with the TBA dollar roll transactions representing a form of off-balance sheet financing. As of December 31, 2013 and 2012, our net TBA position had a net carrying value of $(5) million and $95 million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value represents the difference between the fair value of the underlying agency security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying agency security.
The following tables summarize certain characteristics of our agency MBS investment portfolio and our net TBA position as of December 31, 2013 and 2012 (dollars in millions): 
 
 
December 31, 2013
 
Agency MBS Classified as Available-for-Sale ("AFS")
 
Par Value
 
Amortized
Cost
 
Amortized
Cost Basis
 
Fair Value
 
% Lower Loan Balance & HARP 2,3
 
Weighted Average
 
Projected Life
CPR 5
 
WAC 4
 
Yield 5
 
Age (Months)
Investments By Issuer:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
 
$
50,914

 
$
53,099

 
104.3%
 
$
52,289

 
62%
 
3.89%
 
2.64%
 
24
 
7%
Freddie Mac
 
12,640

 
13,264

 
104.9%
 
12,980

 
81%
 
4.08%
 
2.85%
 
27
 
7%
Ginnie Mae
 
223

 
230

 
103.1%
 
235

 
—%
 
3.94%
 
1.66%
 
27
 
21%
Total / Weighted Average
 
$
63,777

 
$
66,593

 
104.4%
 
$
65,504

 
66%
 
3.93%
 
2.68%
 
24
 
7%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investments By Coupon: 1
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed-Rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 2.5%
 
$
11,189

 
$
11,400

 
101.9%
 
$
11,109

 
31%
 
2.96%
 
2.11%
 
14
 
6%
3.0%
 
6,037

 
6,220

 
103.0%
 
6,166

 
69%
 
3.48%
 
2.34%
 
21
 
7%
3.5%
 
14,049

 
14,632

 
104.2%
 
14,716

 
51%
 
3.93%
 
2.52%
 
31
 
9%
4.0%
 
5,700

 
5,981

 
104.9%
 
6,056

 
88%
 
4.40%
 
2.78%
 
37
 
9%
4.5%
 
588

 
619

 
105.3%
 
631

 
99%
 
4.87%
 
3.15%
 
40
 
10%
≥ 5.0%
 
8

 
9

 
104.5%
 
9

 
23%
 
6.49%
 
4.40%
 
73
 
14%
Total ≤ 15-Year
 
37,571

 
38,861

 
103.4%
 
38,687

 
55%
 
3.66%
 
2.42%
 
25
 
8%
20-Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
350

 
347

 
99.2%
 
346

 
28%
 
3.55%
 
3.10%
 
7
 
5%
3.5%
 
770

 
788

 
102.4%
 
785

 
63%
 
4.05%
 
3.11%
 
10
 
6%
4.0%
 
93

 
97

 
105.0%
 
97

 
47%
 
4.53%
 
3.10%
 
28
 
7%
4.5%
 
116

 
125

 
107.3%
 
124

 
97%
 
4.89%
 
3.20%
 
37
 
8%
≥ 5.0%
 
6

 
7

 
106.7%
 
7

 
—%
 
5.89%
 
3.39%
 
67
 
16%
Total 20-Year:
 
1,335

 
1,364

 
102.2%
 
1,359

 
56%
 
4.05%
 
3.11%
 
13
 
6%
30-Year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
231

 
236

 
101.8%
 
220

 
69%
 
3.69%
 
2.78%
 
11
 
5%
3.5%
 
8,530

 
9,051

 
106.1%
 
8,477

 
99%
 
4.02%
 
2.76%
 
19
 
5%
4.0%
 
9,077

 
9,669

 
106.5%
 
9,359

 
92%
 
4.46%
 
3.14%
 
22
 
6%
4.5%
 
4,075

 
4,355

 
106.9%
 
4,332

 
88%
 
4.95%
 
3.53%
 
33
 
7%
5.0%
 
211

 
226

 
106.6%
 
229

 
65%
 
5.46%
 
3.84%
 
69
 
10%
≥ 5.5%
 
271

 
295

 
108.8%
 
298

 
36%
 
6.25%
 
3.46%
 
84
 
19%
Total 30-Year
 
22,395

 
23,832

 
106.4%
 
22,915

 
93%
 
4.41%
 
3.08%
 
24
 
6%
Total Fixed-Rate
 
61,301

 
64,057

 
104.5%
 
62,961

 
69%
 
3.95%
 
2.68%
 
24
 
7%
Adjustable-Rate
 
1,196

 
1,223

 
102.2%
 
1,235

 
—%
 
2.58%
 
2.41%
 
26
 
17%
CMO
 
1,280

 
1,313

 
102.6%
 
1,308

 
—%
 
4.30%
 
2.88%
 
21
 
7%
Total / Weighted Average
 
$
63,777

 
$
66,593

 
104.4%
 
$
65,504

 
66%
 
3.93%
 
2.68%
 
24
 
7%


45


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