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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2014
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Note 4. Investment Securities
As of September 30, 2014 and December 31, 2013, our investment portfolio consisted of $51.7 billion and $65.9 billion of agency MBS, respectively, and a $17.7 billion and $2.3 billion net long TBA position, at fair value, respectively.
Our TBA positions are reported at their net carrying value of $(21) million and $(5) million, respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position 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. (See Notes 3 and 6 for further details of our net TBA position as of September 30, 2014 and December 31, 2013.)
As of September 30, 2014 and December 31, 2013, the net unamortized premium balance on our agency MBS was $2.3 billion and $3.0 billion, respectively, including interest and principal-only strips.
The following tables summarize our investments in agency MBS as of September 30, 2014 and December 31, 2013 (dollars in millions):
 
 
September 30, 2014
Agency MBS
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Fair Value
Fixed rate
 
$
49,236

 
$
407

 
$
(473
)
 
$
49,170

Adjustable rate
 
902

 
20

 

 
922

CMO
 
1,206

 
19

 
(1
)
 
1,224

Interest-only and principal-only strips
 
386

 
31

 
(3
)
 
414

Total agency MBS
 
$
51,730

 
$
477

 
$
(477
)
 
$
51,730


 
 
December 31, 2013
Agency MBS
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Fair Value
Fixed rate
 
$
64,057

 
$
242

 
$
(1,338
)
 
$
62,961

Adjustable rate
 
1,223

 
15

 
(3
)
 
1,235

CMO
 
1,313

 
3

 
(8
)
 
1,308

Interest-only and principal-only strips
 
432

 
16

 
(11
)
 
437

Total agency MBS
 
$
67,025

 
$
276

 
$
(1,360
)
 
$
65,941



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