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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2014
Entire Document
 


 
 
September 30, 2014
Agency MBS
 
Fannie Mae
 
Freddie Mac
 
Ginnie Mae
 
Total
Available-for-sale agency MBS:
 
 
 
 
 
 
 
 
Agency MBS, par
 
$
38,757

 
$
10,289

 
$
176

 
$
49,222

Unamortized discount
 
(38
)
 
(5
)
 

 
(43
)
Unamortized premium
 
1,653

 
507

 
5

 
2,165

Amortized cost
 
40,372

 
10,791

 
181

 
51,344

Gross unrealized gains
 
334

 
108

 
4

 
446

Gross unrealized losses
 
(333
)
 
(141
)
 

 
(474
)
Total available-for-sale agency MBS, at fair value
 
40,373

 
10,758

 
185

 
51,316

Agency MBS remeasured at fair value through earnings:
 
 
 
 
 
 
 

Interest-only and principal-only strips, amortized cost 1
 
359

 
27

 

 
386

Gross unrealized gains
 
28

 
3

 

 
31

Gross unrealized losses
 
(2
)
 
(1
)
 

 
(3
)
Total agency MBS remeasured at fair value through earnings
 
385

 
29

 

 
414

Total agency MBS, at fair value
 
$
40,758

 
$
10,787

 
$
185

 
$
51,730

Weighted average coupon as of September 30, 2014 2
 
3.63
%
 
3.75
%
 
3.54
%
 
3.65
%
Weighted average yield as of September 30, 2014 3
 
2.78
%
 
2.81
%
 
1.64
%
 
2.78
%
Weighted average yield for the quarter ended September 30, 2014 3
 
2.69
%
 
2.77
%
 
1.48
%
 
2.71
%
 ________________________
1.
The underlying unamortized principal balance ("UPB" or "par value") of our interest-only agency MBS strips was $1.2 billion and the weighted average contractual interest we are entitled to receive was 5.48% of this amount as of September 30, 2014. The par value of our principal-only agency MBS strips was $250 million as of September 30, 2014.
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 September 30, 2014.
3.
Incorporates a weighted average future constant prepayment rate assumption of 8% based on forward rates as of September 30, 2014.

 
 
December 31, 2013
Agency MBS
 
Fannie Mae
 
Freddie Mac
 
Ginnie Mae
 
Total
Available-for-sale agency MBS:
 
 
 
 
 
 
 
 
Agency MBS, par
 
$
50,914

 
$
12,640

 
$
223

 
$
63,777

Unamortized discount
 
(25
)
 
(7
)
 

 
(32
)
Unamortized premium
 
2,210

 
631

 
7

 
2,848

Amortized cost
 
53,099

 
13,264

 
230

 
66,593

Gross unrealized gains
 
181

 
74

 
5

 
260

Gross unrealized losses
 
(991
)
 
(358
)
 

 
(1,349
)
Total available-for-sale agency MBS, at fair value
 
52,289

 
12,980

 
235

 
65,504

Agency MBS remeasured at fair value through earnings:
 
 
 
 
 
 
 
 
Interest-only and principal-only strips, amortized cost 1
 
400

 
32

 

 
432

Gross unrealized gains
 
13

 
3

 

 
16

Gross unrealized losses
 
(9
)
 
(2
)
 

 
(11
)
Total agency MBS remeasured at fair value through earnings
 
404

 
33

 

 
437

Total agency MBS, at fair value
 
$
52,693

 
$
13,013

 
$
235

 
$
65,941

Weighted average coupon as of December 31, 2013 2
 
3.53
%
 
3.78
%
 
3.56
%
 
3.58
%
Weighted average yield as of December 31, 2013 3
 
2.66
%
 
2.87
%
 
1.66
%
 
2.70
%
Weighted average yield for the year ended December 31, 2013 3
 
2.74
%
 
2.87
%
 
1.79
%
 
2.77
%
 ________________________
1.
The underlying UPB of our interest-only agency MBS strips was $1.4 billion and the weighted average contractual interest we are entitled to receive was 5.50% of this amount as of December 31, 2013. The par value of our principal-only agency MBS strips was $271 million as of December 31, 2013.

11


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