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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2014
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Affordable Refinance Program, or “HARP”, and mortgage pools backed by lower loan balances), providing our portfolio with a significant amount of prepayment protection in a lower rate environment. In a rising rate environment, agency MBS valuations should benefit from lower supply dynamics. In addition, we believe that the Fed will remain a significant purchaser of agency MBS given its stated policy to reinvest paydowns on its portfolio into new agency MBS holdings for a considerable time following the conclusion of QE3 in the fourth quarter of 2014. Finally, we believe TBA dollar roll financing will remain attractive for some period of time, even if funding rates were to rise above, or become less “special” than, levels experienced during the first three quarters of 2014.
However, if conditions change resulting in higher interest rates and/or wider mortgage spreads, it would likely have an adverse impact on our net book value, assuming we took no further portfolio rebalancing actions. (For the estimated impact of changes in interests rates and mortgage spreads on our net book value please refer to Quantitative and Qualitative Disclosures about Market Risk in this Form 10-Q.) Furthermore, since we employ an active management strategy, the size and composition of our assets, liabilities and hedges will evolve based on our Manager’s view of the current market environment and relative risks and rewards and, consequently, the actual impact of changes in interest rates and mortgage spreads could differ materially from our estimates.
The following table summarizes interest rates and prices of generic fixed rate agency mortgage-backed securities as of each date presented below:
Interest Rate/Security Price 1
 
Sept 30, 2013
 
Dec. 31, 2013
 
Mar. 31, 2014
 
June 30, 2014
 
Sept 30, 2014
 
Sept 30, 2014
vs.
June 30, 2014
 
Sept 30, 2014
vs.
Dec. 31, 2013
LIBOR:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1-Month
 
0.18%
 
0.17%
 
0.15%
 
0.16%
 
0.16%
 

bps
 
--0.01

bps
3-Month
 
0.25%
 
0.25%
 
0.23%
 
0.23%
 
0.24%
 
+0.01

bps
 
--0.01

bps
6-Month
 
0.37%
 
0.35%
 
0.33%
 
0.33%
 
0.33%
 

bps
 
--0.02

bps
U.S. Treasury Security Rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
 


 
2-Year U.S. Treasury
 
0.32%
 
0.38%
 
0.42%
 
0.46%
 
0.57%
 
+0.11

bps
 
+0.19

bps
3-Year U.S. Treasury
 
0.63%
 
0.78%
 
0.90%
 
0.87%
 
1.04%
 
+0.17

bps
 
+0.26

bps
5-Year U.S. Treasury
 
1.38%
 
1.74%
 
1.72%
 
1.63%
 
1.76%
 
+0.13

bps
 
+0.02

bps
10-Year U.S. Treasury
 
2.61%
 
3.03%
 
2.72%
 
2.53%
 
2.49%
 
--0.04

bps
 
--0.54

bps
30-Year U.S. Treasury
 
3.69%
 
3.96%
 
3.56%
 
3.36%
 
3.20%
 
--0.16

bps
 
--0.76

bps
Interest Rate Swap Rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2-Year Swap
 
0.46%
 
0.49%
 
0.55%
 
0.58%
 
0.82%
 
+0.24

bps
 
+0.33

bps
3-Year Swap
 
0.76%
 
0.88%
 
0.99%
 
1.00%
 
1.30%
 
+0.30

bps
 
+0.42

bps
5-Year Swap
 
1.54%
 
1.79%
 
1.80%
 
1.70%
 
1.93%
 
+0.23

bps
 
+0.14

bps
10-Year Swap
 
2.77%
 
3.09%
 
2.84%
 
2.63%
 
2.64%
 
+0.01

bps
 
--0.45

bps
30-Year Swap
 
3.66%
 
3.93%
 
3.54%
 
3.33%
 
3.19%
 
--0.14

bps
 
--0.74

bps
30-Year Fixed Rate MBS Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
$97.70
 
$95.11
 
$96.53
 
$98.77
 
$98.59
 
-$0.18
 
+$3.48
3.5%
 
$101.83
 
$99.48
 
$100.59
 
$102.92
 
$102.23
 
-$0.69
 
+$2.75
4.0%
 
$104.86
 
$103.11
 
$103.94
 
$106.11
 
$105.41
 
-$0.70
 
+$2.30
4.5%
 
$106.80
 
$106.06
 
$106.69
 
$108.30
 
$107.91
 
-$0.39
 
+$1.85
15-Year Fixed Rate MBS Price:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$100.61
 
$99.00
 
$99.92
 
$101.59
 
$100.55
 
-$1.04
 
+$1.55
3.0%
 
$103.53
 
$102.05
 
$102.72
 
$103.88
 
$102.98
 
-$0.90
 
+$0.93
3.5%
 
$105.58
 
$104.58
 
$104.83
 
$105.98
 
$105.11
 
-$0.87
 
+$0.53
4.0%
 
$106.25
 
$105.94
 
$105.78
 
$106.17
 
$105.69
 
-$0.48
 
-$0.25
 ________________________
1.
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information can vary by source. Prices in the table above were obtained from a combination of Bloomberg and dealer indications. Interest rates were obtained from Bloomberg.

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