Print Page     Close Window     

SEC Filings

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


 
 
December 31, 2013
TBA Securities
 
Notional 
Amount
Long / (Short) 1
 
Cost Basis 2
 
Market
Value 3
 
Net Carrying Value 4
15-Year TBA securities
 
 
 
 
 
 
 
 
2.0%
 
$
(1,184
)
 
$
(1,174
)
 
$
(1,171
)
 
$
3

2.5%
 
(2,429
)
 
(2,481
)
 
(2,475
)
 
6

3.0%
 
(428
)
 
(450
)
 
(447
)
 
3

3.5%
 
(50
)
 
(53
)
 
(53
)
 

Total 15-Year TBAs
 
(4,091
)
 
(4,158
)
 
(4,146
)
 
12

30-Year TBA securities
 
 
 
 
 
 
 
 
3.0%
 
54

 
52

 
52

 

3.5%
 
600

 
598

 
598

 

4.0%
 
4,131

 
4,274

 
4,256

 
(18
)
4.5%
 
1,425

 
1,510

 
1,511

 
1

Total 30-Year TBAs
 
6,210

 
6,434

 
6,417

 
(17
)
Total net TBA securities
 
$
2,119

 
$
2,276

 
$
2,271

 
$
(5
)
 ________________________
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.

As of September 30, 2014 and December 31, 2013, the combined weighted average yield of our agency MBS portfolio, inclusive of interest and principal-only strips, was 2.78% and 2.70%, respectively.
The stated contractual final maturity of the mortgage loans underlying our agency MBS portfolio ranges up to 40 years. As of September 30, 2014 and December 31, 2013, the weighted average final contractual maturity of our agency MBS portfolio was 21 and 19 years, respectively.
The actual maturities of agency MBS are generally shorter than their stated contractual maturities primarily as a result of prepayments of principal of the underlying mortgages. The weighted average expected maturity of our agency MBS portfolio was 6.8 and 6.5 years as of September 30, 2014 and December 31, 2013, respectively. In determining the estimated weighted average years to maturity of our agency MBS and the yield on our agency MBS, we have assumed a weighted average CPR over the remaining life of our agency MBS portfolio of 8% and 7% as of September 30, 2014 and December 31, 2013, respectively. We amortize or accrete premiums and discounts associated with purchases of our agency MBS into interest income over the estimated life of our securities based on actual and projected CPRs, using the effective yield method. Since the weighted average cost basis of our agency MBS portfolio, including principal and interest-only strips, was 104.6% of par value as of September 30, 2014, slower actual and projected prepayments can have a meaningful positive impact on our asset yields, while faster actual or projected prepayments can have a meaningful negative impact on our asset yields.
The following table summarizes our agency MBS classified as available-for-sale, at fair value, according to their estimated weighted average life classifications as of September 30, 2014 and December 31, 2013 (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.

35


© AGNC Investment Corp All Rights Reserved