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SEC Filings

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


FINANCIAL CONDITION
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 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 September 30, 2014 and December 31, 2013, our TBA position had a net carrying value of $(21) million and $(5) 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 September 30, 2014 and December 31, 2013 (dollars in millions):
 
 
September 30, 2014
 
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 Coupon: 1
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed Rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 15-Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 2.5%
 
$
6,357

 
$
6,488

 
102.1%
 
$
6,413

 
39%
 
2.96%
 
2.03%
 
23
 
8%
3.0%
 
4,413

 
4,546

 
103.0%
 
4,561

 
75%
 
3.49%
 
2.28%
 
31
 
8%
3.5%
 
5,697

 
5,898

 
103.5%
 
6,008

 
83%
 
3.93%
 
2.60%
 
40
 
9%
4.0%
 
4,874

 
5,105

 
104.7%
 
5,212

 
88%
 
4.40%
 
2.74%
 
46
 
10%
4.5%
 
508

 
534

 
105.1%
 
544

 
97%
 
4.87%
 
3.09%
 
49
 
11%
≥ 5.0%
 
7

 
7

 
104.3%
 
7

 
26%
 
6.47%
 
4.45%
 
81
 
13%
Total ≤ 15-Year
 
21,856

 
22,578

 
103.3%
 
22,745

 
70%
 
3.69%
 
2.42%
 
35
 
9%
20-Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
331

 
329

 
99.2%
 
336

 
28%
 
3.55%
 
3.11%
 
16
 
6%
3.5%
 
718

 
734

 
102.2%
 
747

 
63%
 
4.05%
 
3.07%
 
19
 
9%
4.0%
 
84

 
88

 
104.7%
 
90

 
47%
 
4.53%
 
3.03%
 
37
 
9%
4.5%
 
105

 
112

 
107.0%
 
114

 
99%
 
4.89%
 
3.09%
 
46
 
10%
≥ 5.0%
 
5

 
5

 
106.2%
 
6

 
—%
 
5.91%
 
3.35%
 
76
 
19%
Total 20-Year:
 
1,243

 
1,268

 
102.0%
 
1,293

 
55%
 
4.04%
 
3.08%
 
22
 
8%
30-Year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
1,661

 
1,642

 
98.9%
 
1,640

 
10%
 
3.58%
 
3.13%
 
16
 
5%
3.5%
 
9,197

 
9,699

 
105.5%
 
9,440

 
96%
 
4.03%
 
2.78%
 
27
 
6%
4.0%
 
10,406

 
11,054

 
106.2%
 
10,994

 
74%
 
4.37%
 
3.14%
 
26
 
7%
4.5%
 
2,389

 
2,552

 
106.8%
 
2,602

 
91%
 
4.96%
 
3.48%
 
42
 
8%
5.0%
 
188

 
201

 
106.6%
 
209

 
65%
 
5.45%
 
3.82%
 
77
 
10%
≥ 5.5%
 
221

 
242

 
109.4%
 
247

 
36%
 
6.23%
 
3.49%
 
93
 
16%
Total 30-Year
 
24,062

 
25,390

 
105.5%
 
25,132

 
79%
 
4.27%
 
3.05%
 
29
 
7%
Total Fixed Rate
 
47,161

 
49,236

 
104.4%
 
49,170

 
75%
 
4.00%
 
2.76%
 
31
 
8%
Adjustable Rate
 
887

 
902

 
101.7%
 
922

 
—%
 
3.75%
 
2.32%
 
37
 
21%
CMO
 
1,177

 
1,206

 
102.5%
 
1,224

 
—%
 
4.28%
 
2.86%
 
30
 
7%
Total / Weighted Average
 
$
49,225

 
$
51,344

 
104.3%
 
$
51,316

 
71%
 
4.00%
 
2.76%
 
31
 
8%


32


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