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


 
 
December 31, 2013
Agency MBS Classified as 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%
 
$
11,189

 
$
11,400

 
101.9%
 
$
11,109

 
31%
 
2.96%
 
2.11%
 
14
 
6%
3.0%
 
6,037

 
6,220

 
103.0%
 
6,166

 
69%
 
3.48%
 
2.34%
 
21
 
7%
3.5%
 
14,049

 
14,632

 
104.2%
 
14,716

 
51%
 
3.93%
 
2.52%
 
31
 
9%
4.0%
 
5,700

 
5,981

 
104.9%
 
6,056

 
88%
 
4.40%
 
2.78%
 
37
 
9%
4.5%
 
588

 
619

 
105.3%
 
631

 
99%
 
4.87%
 
3.15%
 
40
 
10%
≥ 5.0%
 
8

 
9

 
104.5%
 
9

 
23%
 
6.49%
 
4.40%
 
73
 
14%
Total ≤ 15-Year
 
37,571

 
38,861

 
103.4%
 
38,687

 
55%
 
3.66%
 
2.42%
 
25
 
8%
20-Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
350

 
347

 
99.2%
 
346

 
28%
 
3.55%
 
3.10%
 
7
 
5%
3.5%
 
770

 
788

 
102.4%
 
785

 
63%
 
4.05%
 
3.11%
 
10
 
6%
4%
 
93

 
97

 
105.0%
 
97

 
47%
 
4.53%
 
3.10%
 
28
 
7%
4.5%
 
116

 
125

 
107.3%
 
124

 
97%
 
4.89%
 
3.20%
 
37
 
8%
≥ 5.0%
 
6

 
7

 
106.7%
 
7

 
—%
 
5.89%
 
3.39%
 
67
 
16%
Total 20-Year:
 
1,335

 
1,364

 
102.2%
 
1,359

 
56%
 
4.05%
 
3.11%
 
13
 
6%
30-Year:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 ≤ 3.0%
 
231

 
236

 
101.8%
 
220

 
69%
 
3.69%
 
2.78%
 
11
 
5%
3.5%
 
8,530

 
9,051

 
106.1%
 
8,477

 
99%
 
4.02%
 
2.76%
 
19
 
5%
4%
 
9,077

 
9,669

 
106.5%
 
9,359

 
92%
 
4.46%
 
3.14%
 
22
 
6%
4.5%
 
4,075

 
4,355

 
106.9%
 
4,332

 
88%
 
4.95%
 
3.53%
 
33
 
7%
5.0%
 
211

 
226

 
106.6%
 
229

 
65%
 
5.46%
 
3.84%
 
69
 
10%
≥ 5.5%
 
271

 
295

 
108.8%
 
298

 
36%
 
6.25%
 
3.46%
 
84
 
19%
Total 30-Year
 
22,395

 
23,832

 
106.4%
 
22,915

 
93%
 
4.41%
 
3.08%
 
24
 
6%
Total Fixed Rate
 
61,301

 
64,057

 
104.5%
 
62,961

 
69%
 
3.95%
 
2.68%
 
24
 
7%
Adjustable Rate
 
1,196

 
1,223

 
102.2%
 
1,235

 
—%
 
2.58%
 
2.41%
 
26
 
17%
CMO
 
1,280

 
1,313

 
102.6%
 
1,308

 
—%
 
4.30%
 
2.88%
 
21
 
7%
Total / Weighted Average
 
$
63,777

 
$
66,593

 
104.4%
 
$
65,504

 
66%
 
3.93%
 
2.68%
 
24
 
7%
 
 
December 31, 2013
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
 
$
1,379

 
$
223

 
$
232

 
5.50%
 
7.63%
 
45
 
11%
Principal-Only Strips
 
271

 
209

 
205

 
—%
 
3.84%
 
25
 
8%
Total / Weighted Average
 
$
1,650

 
$
432

 
$
437

 
4.59%
 
5.80%
 
35
 
9%
______________________
1.
The weighted average coupon on our agency MBS classified as "AFS" held as of December 31, 2013 was 3.47% and the weighted average coupon on our total agency MBS portfolio, including agency MBS remeasured at fair value through earnings, held as of December 31, 2013 was 3.58%.
2.
Lower loan balance securities represent pools backed by an original loan balance of up to ≤ $150,000. Our lower loan balance securities had a weighted average original loan balance of $100,000 and $95,000 for 15-year and 30-year securities, respectively, as of December 31, 2013.
3.
HARP securities are defined as pools backed by100% refinance loans with LTVs ≥ 80%. Our HARP securities had a weighted average LTV of 106% and 105% for 15-year and 30-year securities, respectively, as of December 31, 2013.
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 December 31, 2013.

34


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