BETHESDA, Md, May 13, 2020 – AGNC Investment Corp. (NASDAQ: AGNC) reported that net premium amortization cost on the Company’s investment portfolio for the third quarter was $192.0M, or $(0.35) per common share, which includes a “catch-up” premium amortization cost of $55.0M, or $(0.10) per common share, because of changes in the Company’s projected CPR estimates for securities attained before the third quarter. This compares to net premium amortization cost for the prior quarter of $183.0M, or $(0.34) per common share, counting a “catch-up” premium amortization cost of $58.0M, or $0.11 per common share.
As of September 30, 2019, $90.20B of Agency repurchase agreements, $1.80B of net TBA dollar roll positions (at cost) and $0.20B of other debt were used to fund the Company’s investment portfolio. The remainder, or about $0.40B, of the Company’s repurchase agreements was used to fund purchases of U.S. Treasury securities (“U.S. Treasury repo”) and is not included in the Company’s leverage measurements. Inclusive of its net TBA position and net payable/(receivable) for unsettled investment securities, the Company’s tangible net book value “at risk” leverage ratio was 9.8x as of September 30, 2019, unchanged from June 30, 2019. The Company’s average “at risk” leverage for the third quarter was 10.0x tangible net book value, also unchanged from the prior quarter.
As of September 30, 2019, the Company’s Agency repurchase agreements had remaining maturities of:
- $66.50B of three months or less;
- $17.00B from three to six months;
- $4.10B from six to twelve months; and
- $2.50B from one to three years.
As of September 30, 2019, the Company’s interest rate swap position totaled $81.80B in notional amount, contrast to $75.00B as of June 30, 2019. As of September 30, 2019, the Company’s interest rate swap portfolio had an average fixed pay rate of 1.35%, an average receive rate of 1.98% and an average maturity of 2.8 years, contrast to 1.72%, 2.46% and 3.3 years, respectively, as of June 30, 2019. As of September 30, 2019, 79%, 14% and 7% of the Company’s interest rate swap portfolio was linked to the Overnight Index Swap Rate (“OIS”), three-month London Interbank Offered Rate (“LIBOR”) and Secured Overnight Financing Rate (“SOFR”), respectively, contrast to 58%, 42% and 0%, respectively, as of June 30, 2019.
As of September 30, 2019, the Company had payer swaptions outstanding totaling $8.70B, contrast to $4.40B as of June 30, 2019. As of September 30, 2019, the Company had net short U.S. Treasury positions outstanding totaling $6.20B, contrast to $8.70B as of June 30, 2019.
OTHER GAIN (LOSS), NET:
For the third quarter, the Company recorded a net loss of $104.0M in other gain (loss), net, or $(0.19) per common share, contrast to a net loss of $547.0M, or $(1.02) per common share, for the prior quarter. Other gain (loss), net for the third quarter was comprised of:
- $89.0M of net realized gains on sales of investment securities;
- $355.0M of net unrealized gains on investment securities measured at fair value through net income;
- $146.0M of interest rate swap periodic income;
- $628.0M of net losses on interest rate swaps;
- $19.0M of net losses on interest rate swaptions;
- $189.0M of net losses on U.S. Treasury positions;
- $29.0M of TBA dollar roll income;
- $115.0M of net mark-to-market gains on TBA securities; and
- $2.0M of other miscellaneous losses.
OTHER COMPREHENSIVE INCOME:
During the third quarter, the Company recorded other comprehensive income of $246.0M, or $0.45 per common share, consisting of net unrealized gains on the Company’s Agency securities recognized through OCI, contrast to a $379.0M, or $0.70 per common share, of other comprehensive income for the prior quarter.
STOCK REPURCHASE PROGRAM:
The Company’s Board of Directors has authorized it to repurchase up to $1.0B of its outstanding shares of common stock through December 31, 2020. During the third quarter, the Company repurchased 6.90M shares, or $103.0M, of its common stock for an average repurchase price of $14.90 per common share, inclusive of transaction costs. As of September 30, 2019, the Company had $0.90B of common stock remaining available for repurchase.