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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 Remeasured at Fair Value Through Earnings
 
Underlying
Unamortized
Principal
Balance
 
Amortized
Cost
 
Fair Value
 
Weighted Average
 
Projected Life
CPR 5
Coupon 1
 
Yield 5
 
Age (Months)
Interest-Only Strips
 
$
1,236

 
$
192

 
$
217

 
5.48%
 
10.16%
 
53
 
10%
Principal-Only Strips
 
250

 
194

 
197

 
—%
 
3.28%
 
33
 
7%
Total / Weighted Average
 
$
1,486

 
$
386

 
$
414

 
4.56%
 
6.71%
 
43
 
9%
_______________________
1.
The weighted average coupon on our agency MBS classified as "AFS" was 3.53% and the weighted average coupon on our total agency MBS portfolio, including agency MBS remeasured at fair value through earnings, was 3.65% as of September 30, 2014.
2.
Lower loan balance securities represent pools backed by an original loan balance of ≤ $150,000. Our lower loan balance securities had a weighted average original loan balance of $98,000 and $96,000 for 15-year and 30-year securities, respectively, as of September 30, 2014.
3.
HARP securities are defined as pools backed by100% refinance loans with LTV ≥ 80%. Our HARP securities had a weighted average LTV of 108% and 113% for 15-year and 30-year securities, respectively, as of September 30, 2014. Includes $938 million and $2.9 billion of 15-year and 30-year securities, respectively, with >105 LTV pools which are not deliverable into TBA securities.
4.
WAC represents the weighted average coupon of the underlying collateral.
5.
Portfolio yield incorporates a projected life CPR assumption based on forward rate assumptions as of September 30, 2014.

 
 
September 30, 2014
TBA Securities
 
Notional 
Amount - Long (Short) 1
 
Cost Basis 2
 
Market
Value 3
 
Net Carrying Value 4
15-Year TBA securities:
 
 
 
 
 
 
 
 
2.5%
 
$
(565
)
 
$
(570
)
 
$
(568
)
 
$
2

3.0%
 
365

 
377

 
376

 
(1
)
3.5%
 
(1,939
)
 
(2,038
)
 
(2,037
)
 
1

4.0%
 
(50
)
 
(53
)
 
(53
)
 

Total 15-Year TBAs
 
(2,189
)
 
(2,284
)
 
(2,282
)
 
2

30-Year TBA securities:
 
 
 
 
 
 
 
 
3.0%
 
3,097

 
3,051

 
3,047

 
(4
)
3.5%
 
6,342

 
6,473

 
6,460

 
(13
)
4.0%
 
10,300

 
10,842

 
10,837

 
(5
)
4.5%
 
(291
)
 
(313
)
 
(314
)
 
(1
)
Total 30-Year TBAs
 
19,448

 
20,053

 
20,030

 
(23
)
Total net TBA securities
 
$
17,259

 
$
17,769

 
$
17,748

 
$
(21
)
 ________________________
1.
Notional amount represents the par value (or principal balance) of the underlying agency security.
2.
Cost basis represents the forward price to be paid (received) for the underlying agency security.
3.
Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end.
4.
Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value on the accompanying consolidated balance sheets.

33


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