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SEC Filings

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


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, 2013.
3.
Incorporates a weighted average future constant prepayment rate assumption of 7% based on forward rates as of December 31, 2013.

The actual maturities of our agency MBS are generally shorter than the stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic contractual principal payments and principal prepayments. As of September 30, 2014 and December 31, 2013, our weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate agency MBS portfolio was 8% and 7%, respectively. Our estimates differ materially for different types of securities and thus individual holdings have a wide range of projected CPRs. We estimate long-term prepayment assumptions for different securities using a third-party service and market data. The third-party service estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates and mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate reasonableness. As market conditions may change rapidly, we may make adjustments for different securities based on our Manager's judgment. Various market participants could use materially different assumptions.

The following table summarizes our agency MBS classified as available-for-sale as of September 30, 2014 and December 31, 2013 according to their estimated weighted average life classification (dollars in millions):

 
 
September 30, 2014
 
December 31, 2013
Estimated Weighted Average Life of Agency MBS Classified as Available-for-Sale 1
 
Fair Value
 
Amortized
Cost
 
Weighted
Average
Coupon
 
Weighted
Average
Yield
 
Fair Value
 
Amortized
Cost
 
Weighted
Average
Coupon
 
Weighted
Average
Yield
≤ 1 year
 
$

 
$


—%
 
—%
 
$
129

 
$
129

 
3.07%
 
2.53%
> 1 year and ≤ 3 years
 
252

 
243

 
4.19%
 
2.44%
 
498

 
491

 
4.08%
 
2.25%
> 3 years and ≤ 5 years
 
19,885

 
19,687

 
3.39%
 
2.46%
 
24,471

 
24,342

 
3.59%
 
2.57%
> 5 years and ≤10 years
 
29,536

 
29,769

 
3.65%
 
2.93%
 
38,522

 
39,635

 
3.39%
 
2.73%
> 10 years
 
1,643

 
1,645

 
3.11%
 
3.16%
 
1,884

 
1,996

 
3.66%
 
2.96%
Total
 
$
51,316

 
$
51,344

 
3.53%
 
2.76%
 
$
65,504

 
$
66,593

 
3.47%
 
2.68%
 _______________________
1.
Excludes interest and principal-only strips.

The weighted average life of our interest-only strips was 6.5 and 6.3 years as of September 30, 2014 and December 31, 2013, respectively. The weighted average life of our principal-only strips was 8.7 and 8.6 years as of September 30, 2014 and December 31, 2013, respectively.

Our agency securities classified as available-for-sale are reported at fair value, with unrealized gains and losses excluded from earnings and reported in accumulated OCI. The following table summarizes changes in accumulated OCI, a separate component of stockholders' equity, for our available-for-sale securities for the three and nine months ended September 30, 2014 and 2013 (in millions): 

Agency Securities Classified as
Available-for-Sale
 
Beginning Accumulated OCI
Balance
 
Unrealized
Gains and (Losses), Net
 
Reversal of 
Unrealized
(Gains) and Losses,
Net on Realization
 
Ending
Accumulated
OCI
Balance
Three months ended September 30, 2014
 
$
225

 
(239
)
 
(14
)
 
$
(28
)
Three months ended September 30, 2013
 
$
(1,610
)
 
100

 
733

 
$
(777
)
Nine months ended September 30, 2014
 
$
(1,087
)
 
1,076

 
(17
)
 
$
(28
)
Nine months ended September 30, 2013
 
$
2,040

 
(3,559
)
 
742

 
$
(777
)

The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2014 and December 31, 2013 (in millions):


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