AGNC Investment Corp. Announces Fourth Quarter 2020 Financial Results

BETHESDA, Md., Jan. 25, 2021 /PRNewswire/ — AGNC Investment Corp. (“AGNC” or the “Company”) (Nasdaq:…

BETHESDA, Md., Jan. 25, 2021 /PRNewswire/ — AGNC Investment Corp. (“AGNC” or the “Company”) (Nasdaq: AGNC) today announced financial results for the quarter ended December 31, 2020.

FOURTH QUARTER 2020 FINANCIAL HIGHLIGHTS

  • $1.16 comprehensive income per common share, comprised of:
    • $1.37 net income per common share
    • $(0.21) other comprehensive loss (“OCI”) per common share on investments marked-to-market through OCI

  • $0.75 net spread and dollar roll income per common share, excluding estimated “catch-up” premium amortization cost 1
    • Includes $0.32 per common share of dollar roll income associated with the Company’s $33.8 billion average net long position in forward purchases and sales of Agency mortgage-backed securities (“MBS”) in the “to-be-announced” (“TBA”) market
    • Excludes $(0.20) per common share of estimated “catch-up” premium amortization cost due to change in projected constant prepayment rate (“CPR”) estimates

  • $16.71 tangible net book value per common share as of December 31, 2020
    • Increased $0.83 per common share, or 5.2%, from $15.88 per common share as of September 30, 2020

  • $0.36 dividends declared per common share for the fourth quarter
  • 7.5% economic return on tangible common equity for the quarter
    • Comprised of $0.36 dividends per common share and $0.83 increase in tangible net book value per common share

OTHER FOURTH QUARTER HIGHLIGHTS

  • $97.9 billion investment portfolio as of December 31, 2020, comprised of:
    • $65.1 billion Agency MBS
    • $31.5 billion net TBA mortgage position
    • $1.3 billion credit risk transfer (“CRT”) and non-Agency securities

  • 8.5x tangible net book value “at risk” leverage as of December 31, 2020
    • 8.4x average tangible net book value “at risk” leverage for the quarter

  • Cash and unencumbered Agency MBS totaled approximately $5.4 billion as of December 31, 2020
    • Excludes unencumbered CRT and non-Agency securities and assets held at the Company’s broker-dealer subsidiary, Bethesda Securities

  • 27.6% portfolio CPR for the quarter
    • 17.6% average projected portfolio CPR as of December 31, 2020

  • 2.02% annualized net interest spread and TBA dollar roll income for the quarter, excluding estimated “catch-up” premium amortization cost
    • Excludes -47 bps of “catch-up” premium amortization cost due to change in projected CPR estimates

  • 6.6 million shares, or $101 million, of common stock repurchased during the quarter 2
    • Represents 1.2% of common stock outstanding as of September 30, 2020
    • $15.32 per share average repurchase price, inclusive of transaction costs

2020 FULL YEAR HIGHLIGHTS

  • $0.47 comprehensive income per common share, comprised of:
    • $(0.66) net loss per common share
    • $1.13 OCI per common share

  • $2.70 net spread and dollar roll income per common share, excluding estimated “catch-up” premium amortization cost 1
    • Includes $0.77 per common share of dollar roll income
    • Excludes $(0.83) per common share of estimated “catch-up” amortization cost

  • $1.56 in dividends declared per common share
  • 3.5% economic return on tangible common equity for the year, comprised of:
    • $1.56 dividends per common share
    • $(0.95) decrease in tangible net book value per common share, or (5.4)%, from $17.66 per common share as of December 31, 2019

  • (1.6)% total stock return
  • $1.4 billion of accretive capital transactions during the year
    • $439 million of At-the-Market common equity offerings, net of offering costs
    • $402 million of common share repurchases, net of repurchase costs
    • $575 million of 6.125% fixed-to-floating rate preferred equity issued in February

___________

MANAGEMENT REMARKS
“In the fourth quarter, AGNC maintained the positive momentum of the prior two quarters, generating a 7.5% economic return on tangible common equity for our shareholders,” said Gary Kain, the Company’s Chief Executive Officer and Chief Investment Officer. “This strong performance drove an economic return for the year ended December 31, 2020 of 3.5%, a remarkable result considering the extraordinarily difficult market conditions that we faced in March as a result of the COVID-19 pandemic. These results once again demonstrate the importance and value of AGNC’s disciplined investment framework and best-in-class risk management. Moreover, the experience of 2020 clearly illustrates the unique value of a predominately Agency MBS portfolio. In times of significant market stress, the Federal Reserve (the “Fed”) has repeatedly shown a commitment to support and stabilize the U.S. housing finance system, and 2020 was no exception, as the Fed purchased $1.5 trillion of Agency MBS during the year. Against this backdrop, the active management of our portfolio ultimately facilitated the recovery of substantially all of the tangible net asset value decline experienced in the first quarter.

“Although economic headwinds associated with the pandemic remain, longer-term interest rates increased modestly during the fourth quarter, and the yield curve steepened. The yield on the 10-year U.S. Treasury ended the quarter at 0.92%, an increase of 23 basis points from the prior quarter and 41 basis points above the intra-year low, while two-year Treasury rates remained relatively unchanged. This uptick in longer term interest rates, should it continue, will ultimately lead to a more benign prepayment environment for mortgages. While Agency MBS have appreciated along with the vast majority of financial assets over the past several quarters, significant Fed purchases, the potential for slower prepayments, and attractive funding levels that will likely remain for an extended period of time should continue to support the risk/return equation for levered investors in Agency MBS.”

“The favorable earnings environment for levered Agency MBS investments continued during the quarter, as evidenced by AGNC’s strong economic returns and our $0.75 of net spread and dollar roll income, excluding ‘catch-up’ amortization cost,” said Peter Federico, the Company’s President and Chief Operating Officer. “Mortgage supply dynamics, together with the Fed’s significant purchase activity, continued to result in attractive return opportunities in the TBA dollar roll market, though the incremental benefit of these positions has begun to revert to levels more in line with historical averages. Importantly, AGNC generated this strong net spread and dollar roll income despite operating with lower average tangible ‘at risk’ leverage during the quarter of 8.4x, down from 8.9x in the third quarter. In addition, consistent with our commitment to disciplined risk management, our hedge ratio increased further in the fourth quarter, ending the year at 80%, a very meaningful increase from the intra-year low of 66% at the end of the second quarter.

“Finally, we repurchased $101 million, or over 6.6 million shares, of our common stock during the fourth quarter at accretive levels. For the full year, our common stock repurchases totaled approximately $402 million, or nearly 30 million shares, demonstrating our commitment to shareholder-friendly capital markets activities.”

TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of December 31, 2020, the Company’s tangible net book value per common share was $16.71 per share, an increase of 5.2% for the quarter, compared to $15.88 per share as of September 30, 2020. The Company’s tangible net book value per common share excludes $526 million, or $0.97 and $0.96 per share, of goodwill as of December 31, 2020 and September 30, 2020, respectively.

INVESTMENT PORTFOLIO
As of December 31, 2020, the Company’s investment portfolio totaled $97.9 billion, comprised of:

  • $96.6 billion of Agency MBS and TBA securities, including:
    • $96.1 billion of fixed-rate securities, comprised of:
      • $52.7 billion 30-year MBS,
      • $24.5 billion 30-year TBA securities,
      • $9.5 billion 15-year MBS,
      • $7.0 billion 15-year TBA securities, and
      • $2.5 billion 20-year MBS; and

    • $0.5 billion of collateralized mortgage obligations (“CMOs”), adjustable-rate and other Agency securities; and

  • $1.3 billion of CRT and non-Agency securities.

As of December 31, 2020, 30-year and 15-year fixed-rate Agency securities represented 79% and 17%, respectively, unchanged as of September 30, 2020.

As of December 31, 2020, the Company’s fixed-rate securities’ weighted average coupon was 2.89%, compared to 3.08% as of September 30, 2020, comprised of the following weighted average coupons:

  • 3.06% for 30-year fixed-rate securities;
  • 2.16% for 15-year fixed rate securities; and
  • 2.58% for 20-year fixed-rate securities.

The Company accounts for TBA securities (or “dollar roll funded assets”) as derivative instruments and recognizes dollar roll income in other gain (loss), net on the Company’s financial statements. As of December 31, 2020, the Company’s TBA position had a fair value of $31.5 billion and a GAAP net carrying value of $275 million reported in derivative assets/(liabilities) on the Company’s balance sheet, compared to $29.5 billion and $76 million, respectively, as of September 30, 2020.

CONSTANT PREPAYMENT RATES
The Company’s investment portfolio had a weighted average CPR of 27.6% for the fourth quarter, compared to 24.3% for the prior quarter. The weighted average projected CPR for the remaining life of the Company’s Agency securities held as of December 31, 2020 increased to 17.6% from 15.9% as of September 30, 2020 largely due to lower primary mortgage rates.

The weighted average cost basis of the Company’s investment portfolio was 104.0% of par value as of December 31, 2020. Net premium amortization cost on the Company’s investment portfolio for the fourth quarter was $(266) million, or $(0.49) per common share, which includes “catch-up” premium amortization cost of $(107) million, or $(0.20) per common share, due to changes in the Company’s projected CPR estimates for securities acquired prior to the fourth quarter. This compares to net premium amortization cost for the prior quarter of $(209) million, or $(0.38) per common share, including a “catch-up” premium amortization cost of $(50) million, or $(0.09) per common share.

ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
The Company’s average asset yield on its investment portfolio, excluding the TBA position, was 1.64% for the fourth quarter, compared to 2.28% for the prior quarter. Excluding “catch-up” premium amortization, the Company’s average asset yield was 2.39% for the fourth quarter, compared to 2.59% for the prior quarter. Including the TBA position and excluding “catch-up” premium amortization, the Company’s average asset yield for the fourth quarter was 2.07%, compared to 2.30% for the prior quarter.

For the fourth quarter, the weighted average interest rate on the Company’s Agency repurchase agreements was 0.38%, compared to 0.40% for the prior quarter. For the fourth quarter, the Company’s TBA position had an implied financing benefit of (0.54)%, compared to a benefit of (0.58)% for the prior quarter. Inclusive of interest rate swaps, the Company’s combined average cost of funds for the fourth quarter was 0.05%, compared to 0.15% for the prior quarter.

The Company’s annualized net interest spread, including the TBA position and interest rate swaps and excluding “catch-up” premium amortization, for the fourth quarter was 2.02%, compared to 2.15% for the prior quarter.

NET SPREAD AND DOLLAR ROLL INCOME
The Company recognized net spread and dollar roll income (a non-GAAP financial measure) for the fourth quarter of $0.75 per common share, excluding $(0.20) per common share of “catch-up” premium amortization cost, compared to $0.81 per common share for the prior quarter, excluding $(0.09) per common share of “catch-up” premium amortization cost.

A reconciliation of the Company’s net interest income to net spread and dollar roll income and additional information regarding the Company’s use of non-GAAP measures are included later in this release.

LEVERAGE
As of December 31, 2020, $52.4 billion of Agency repurchase agreements, $31.2 billion of TBA dollar roll positions (at cost) and $0.2 billion of other debt were used to fund the Company’s investment portfolio. Inclusive of its TBA position and net payable/(receivable) for unsettled investment securities, the Company’s tangible net book value “at risk” leverage ratio was 8.5x as of December 31, 2020, compared to 8.8x as of September 30, 2020. The Company’s average “at risk” leverage for the fourth quarter was 8.4x tangible net book value, compared to 8.9x for the prior quarter.

As of December 31, 2020, the Company’s Agency repurchase agreements had a weighted average interest rate of 0.24%, compared to 0.37% as of September 30, 2020, and a weighted average remaining maturity of 54 days, compared to 55 days as of September 30, 2020. As of December 31, 2020, $24.6 billion, or 47%, of the Company’s Agency repurchase agreements were funded through the Company’s captive broker-dealer subsidiary, Bethesda Securities, LLC.

As of December 31, 2020, the Company’s Agency repurchase agreements had remaining maturities of:

  • $42.9 billion of three months or less;
  • $7.3 billion from three to six months; and
  • $2.1 billion from six to twelve months.

HEDGING ACTIVITIES
As of December 31, 2020, interest rate swaps, swaptions and U.S. Treasury positions equaled 80% of the Company’s outstanding balance of Agency repurchase agreements, TBA position and other debt, compared to 71% as of September 30, 2020.

As of December 31, 2020, the Company’s interest rate swap position totaled $43.2 billion in notional amount, compared to $43.0 billion as of September 30, 2020. As of December 31, 2020, the Company’s interest rate swap portfolio had an average fixed pay rate of 0.15%, an average receive rate of 0.08% and an average maturity of 5.1 years, compared to 0.15%, 0.08% and 5.3 years, respectively, as of September 30, 2020. As of December 31, 2020, 71% and 29% of the Company’s interest rate swap portfolio were linked to the Secured Overnight Financing Rate (“SOFR”) and Overnight Index Swap Rate (“OIS”), respectively, compared to 69% and 31%, respectively, as of September 30, 2020.

As of December 31, 2020, the Company had payer swaptions outstanding totaling $10.4 billion, compared to $6.9 billion as of September 30, 2020. As of December 31, 2020, the Company had net short U.S. Treasury positions outstanding totaling $13.1 billion, compared to $9.8 billion as of September 30, 2020.

OTHER GAIN (LOSS), NET
For the fourth quarter, the Company recorded a net gain of $617 million in other gain (loss), net, or $1.13 per common share, compared to a net gain of $381 million, or $0.69 per common share, for the prior quarter. Other gain (loss), net for the fourth quarter was comprised of:

  • $133 million of net realized gains on sales of investment securities;
  • $(192) million of net unrealized losses on investment securities measured at fair value through net income;
  • $(7) million of interest rate swap periodic costs;
  • $276 million of net gains on interest rate swaps;
  • $(7) million of net losses on interest rate swaptions;
  • $117 million of net gains on U.S. Treasury positions;
  • $176 million of TBA dollar roll income;
  • $125 million of net mark-to-market gains on TBA securities; and
  • $(4) million of other miscellaneous losses.

OTHER COMPREHENSIVE LOSS
During the fourth quarter, the Company recorded an other comprehensive loss of $(115) million, or $(0.21) per common share, consisting of net unrealized losses on the Company’s Agency securities recognized through OCI, compared to $70 million, or $0.13 per common share, of other comprehensive income for the prior quarter.

COMMON STOCK DIVIDENDS
During the fourth quarter, the Company declared dividends of $0.12 per share to common stockholders of record as of October 30, November 30 and December 31, 2020, respectively, totaling $0.36 per share for the quarter, which were paid on November 10 and December 9, 2020 and January 12, 2021, respectively. Since its May 2008 initial public offering through the fourth quarter of 2020, the Company has declared a total of $10.4 billion in common stock dividends, or $42.88 per common share.

The Company also announced the tax characteristics of its 2020 common stock dividends. The Company’s distributions of $1.72 per common share for dividends declared during December 2019 and the twelve-month period ended December 31, 2020 consisted of $0.560492 ordinary dividend distributions and $1.159508 capital gain distributions per common share for federal income tax purposes. Pursuant to rules promulgated under the Internal Revenue Code, the dividend distributions to common stockholders of record as of December 31, 2019 and December 31, 2020 of $0.16 and $0.12 per common share, respectively, which were paid on January 10, 2020 and January 12, 2021, respectively, are both reported as 2020 distributions for federal income tax purposes. Stockholders should receive an IRS Form 1099-DIV containing this information from their brokers, transfer agents or other institutions. For additional details, including the tax characteristics of the Company’s distributions for dividends paid during the twelve month period ended December 31, 2020 on each series of its preferred stock, please visit the Company’s website at www.AGNC.com.

STOCK REPURCHASE PROGRAM
During the fourth quarter, the Company repurchased 6.6 million shares, or $101 million, of its common stock for an average repurchase price of $15.32 per common share, inclusive of transaction costs. As of December 31, 2020, $0.9 billion of common stock remained available for repurchase pursuant to its stock repurchase program through December 31, 2021.

The Company may repurchase shares in the open market or privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended. The Company intends to repurchase shares of its common stock under the stock repurchase program only when the repurchase price is less than its then-current estimate of its tangible net book value per common share.

FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO STATISTICS
The following measures of operating performance include net spread and dollar roll income; net spread and dollar roll income, excluding “catch-up” premium amortization; economic interest income; economic interest expense; estimated taxable income; and the related per common share measures and financial metrics derived from such information, which are non-GAAP financial measures. Please refer to “Use of Non-GAAP Financial Information” later in this release for further discussion of non-GAAP measures.









































AGNC INVESTMENT CORP.

CONSOLIDATED BALANCE SHEETS

(in millions, except per share data)

December 31,

September 30,

June 30,

March 31,

December 31,

2020

2020

2020

2020

2019

(unaudited)

(unaudited)

(unaudited)

(unaudited)

Assets:

Agency securities, at fair value (including pledged securities of
$53,698, $55,711, $69,956, $64,154 and $92,608, respectively)

$ 64,836

$ 66,556

$ 75,488

$ 70,292

$ 98,516

Agency securities transferred to consolidated variable interest entities,
at fair value (pledged securities)

295

323

344

358

371

Credit risk transfer securities, at fair value (including pledged securities
of $455, $413, $479, $360 and $309, respectively)

737

653

712

574

976

Non-Agency securities, at fair value (including pledged securities of
$458, $455, $511, $437 and $0, respectively)

546

512

599

552

579

U.S. Treasury securities, at fair value (including pledged securities of
$0, $0, $1,136, $3,721 and $97, respectively)

1,181

3,721

97

Cash and cash equivalents

1,017

857

859

1,289

831

Restricted cash

1,307

1,557

1,306

1,978

451

Derivative assets, at fair value

391

130

140

664

190

Receivable for investment securities sold (including pledged securities
of $207, $10, $480, $0 and $0, respectively)

210

10

489

Receivable under reverse repurchase agreements

11,748

8,625

7,944

4,938

10,181

Goodwill

526

526

526

526

526

Other assets

204

219

265

245

364

Total assets

$ 81,817

$ 79,968

$ 89,853

$ 85,137

$ 113,082

Liabilities:

Repurchase agreements

$ 52,366

$ 54,566

$ 69,685

$ 66,540

$ 89,182

Debt of consolidated variable interest entities, at fair value

177

192

204

214

228

Payable for investment securities purchased

6,157

5,887

1,468

3,273

2,554

Derivative liabilities, at fair value

2

13

3

138

6

Dividends payable

90

90

92

113

104

Obligation to return securities borrowed under reverse repurchase
agreements, at fair value

11,727

8,372

7,929

4,886

9,543

Accounts payable and other liabilities

219

128

122

175

424

Total liabilities

70,738

69,248

79,503

75,339

102,041

Stockholders’ equity:

Preferred Stock – aggregate liquidation preference of $1,538, $1,538,
$1,538, $1,538 and $963, respectively)

1,489

1,489

1,489

1,489

932

Common stock – $0.01 par value; 539.5, 545.2, 555.5, 567.7 and 540.9
shares issued and outstanding, respectively

5

5

6

6

5

Additional paid-in capital

13,972

14,053

14,191

14,334

13,893

Retained deficit

(5,106)

(5,661)

(6,100)

(6,592)

(3,886)

Accumulated other comprehensive income

719

834

764

561

97

Total stockholders’ equity

11,079

10,720

10,350

9,798

11,041

Total liabilities and stockholders’ equity

$ 81,817

$ 79,968

$ 89,853

$ 85,137

$ 113,082

Tangible net book value per common share 1

$ 16.71

$ 15.88

$ 14.92

$ 13.62

$ 17.66







































AGNC INVESTMENT CORP.

CONSOLIDATED STATEMENTS OF OPERATIONS

(in millions, except per share data)

(unaudited)

Three Months Ended

Year Ended

December 31,

September 30,

June 30,

March 31,

December 31,

2020

2020

2020

2020

2019

Interest income:

Interest income

$ 235

$ 364

$ 429

$ 491

$ 1,519

Interest expense

52

62

134

426

674

Net interest income

183

302

295

65

845

Other gain (loss), net:

Realized gain on sale of investment securities, net

133

346

153

494

1,126

Unrealized gain (loss) on investment securities measured at fair value through
net income, net

(192)

(365)

679

197

319

Gain (loss) on derivative instruments and other securities, net

676

400

(385)

(3,154)

(2,463)

Total other gain (loss), net

617

381

447

(2,463)

(1,018)

Expenses:

Compensation and benefits

17

13

13

13

56

Other operating expense

8

8

11

10

37

Total operating expense

25

21

24

23

93

Net income (loss)

775

662

718

(2,421)

(266)

Dividend on preferred stock

25

25

25

21

96

Net income (loss) available (attributable) to common stockholders

$ 750

$ 637

$ 693

$ (2,442)

$ (362)

Net income (loss)

$ 775

$ 662

$ 718

$ (2,421)

$ (266)

Unrealized gain (loss) on investment securities measured at fair value through
other comprehensive income (loss), net

(115)

70

203

464

622

Comprehensive income (loss)

660

732

921

(1,957)

356

Dividend on preferred stock

25

25

25

21

96

Comprehensive income (loss) available (attributable) to common
stockholders

$ 635

$ 707

$ 896

$ (1,978)

$ 260

Weighted average number of common shares outstanding – basic

544.8

553.2

560.3

548.0

551.6

Weighted average number of common shares outstanding – diluted

546.4

554.3

560.8

548.0

551.6

Net income (loss) per common share – basic

$ 1.38

$ 1.15

$ 1.24

$ (4.46)

$ (0.66)

Net income (loss) per common share – diluted

$ 1.37

$ 1.15

$ 1.24

$ (4.46)

$ (0.66)

Comprehensive income (loss) per common share – basic

$ 1.17

$ 1.28

$ 1.60

$ (3.61)

$ 0.47

Comprehensive income (loss) per common share – diluted

$ 1.16

$ 1.28

$ 1.60

$ (3.61)

$ 0.47

Dividends declared per common share

$ 0.36

$ 0.36

$ 0.36

$ 0.48

$ 1.56






























AGNC INVESTMENT CORP.

RECONCILIATION OF GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME (NON-GAAP MEASURE) 2

(in millions, except per share data)

(unaudited)

Three Months Ended

Year Ended

December 31,

September 30,

June 30,

March 31,

December 31,

2020

2020

2020

2020

2019

GAAP net interest income:

Interest income

$ 235

$ 364

$ 429

$ 491

$ 1,519

Interest expense

52

62

134

426

674

GAAP net interest income

183

302

295

65

845

TBA dollar roll income, net 3,4

176

155

78

16

425

Interest rate swap periodic (cost) income, net 3,8

(7)

(13)

(59)

31

(48)

Other interest and dividend income 3

1

2

3

Adjusted net interest and dollar roll income

352

444

315

114

1,225

Operating expense

(25)

(21)

(24)

(23)

(93)

Net spread and dollar roll income

327

423

291

91

1,132

Dividend on preferred stock

25

25

25

21

96

Net spread and dollar roll income available to common stockholders

302

398

266

70

1,036

Estimated “catch-up” premium amortization cost due to change in CPR
forecast 11

107

50

57

243

457

Net spread and dollar roll income, excluding “catch-up” premium amortization,
available to common stockholders

$ 409

$ 448

$ 323

$ 313

$ 1,493

Weighted average number of common shares outstanding – basic

544.8

553.2

560.3

548.0

551.6

Weighted average number of common shares outstanding – diluted

546.4

554.3

560.8

549.2

552.7

Net spread and dollar roll income per common share – basic

$ 0.55

$ 0.72

$ 0.47

$ 0.13

$ 1.88

Net spread and dollar roll income per common share – diluted

$ 0.55

$ 0.72

$ 0.47

$ 0.13

$ 1.87

Net spread and dollar roll income, excluding “catch-up” premium amortization,
per common share – basic

$ 0.75

$ 0.81

$ 0.58

$ 0.57

$ 2.71

Net spread and dollar roll income, excluding “catch-up” premium amortization,
per common share – diluted

$ 0.75

$ 0.81

$ 0.58

$ 0.57

$ 2.70





























AGNC INVESTMENT CORP.

RECONCILIATION OF GAAP NET INCOME TO ESTIMATED TAXABLE INCOME (NON-GAAP MEASURE) 2

(in millions, except per share data)

(unaudited)

Three Months Ended

Year Ended

December 31,

September 30,

June 30,

March 31,

December 31,

2020

2020

2020

2020

2019

Net income/(loss)

$ 775

$ 662

$ 718

$ (2,421)

$ (266)

Book to tax differences:

Premium amortization, net

44

(11)

22

237

292

Realized gain/loss, net

(548)

(472)

2,555

1,535

Net capital loss/(utilization of net capital loss carryforward)

(426)

32

(394)

Unrealized (gain)/loss, net

(121)

354

(291)

(263)

(321)

Other

5

(2)

(8)

(5)

Total book to tax differences

(620)

(129)

(697)

2,553

1,107

Estimated REIT taxable income

155

533

21

132

841

Dividend on preferred stock

25

25

25

21

96

Estimated REIT taxable income (loss), net of preferred stock dividend

$ 130

$ 508

$ (4)

$ 111

$ 745

Weighted average number of common shares outstanding – basic

544.8

553.2

560.3

548.0

551.6

Weighted average number of common shares outstanding – diluted

546.4

554.3

560.3

549.2

552.7

Estimated REIT taxable income (loss) per common share – basic

$ 0.24

$ 0.92

$ (0.01)

$ 0.20

$ 1.35

Estimated REIT taxable income (loss) per common share – diluted

$ 0.24

$ 0.92

$ (0.01)

$ 0.20

$ 1.35

Beginning cumulative non-deductible net capital loss

$ –

$ –

$ 426

$ 394

$ 394

Increase (decrease) in net capital loss carryforward

(426)

32

(394)

Ending cumulative non-deductible net capital loss

$ –

$ –

$ –

$ 426

$ –

Ending cumulative non-deductible net capital loss per common share

$ –

$ –

$ –

$ 0.75

$ –





































AGNC INVESTMENT CORP.

NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE 2

(in millions, except per share data)

(unaudited)

Three Months Ended

Year Ended

December 31,

September 30,

June 30,

March 31,

December 31,

2020

2020

2020

2020

2019

Adjusted net interest and dollar roll income, excluding “catch-up”
premium amortization:

Economic interest income:

Investment securities – GAAP interest income 12

$ 235

$ 364

$ 429

$ 491

$ 1,519

Estimated “catch-up” premium amortization cost due to change in CPR
forecast 11

107

50

57

243

457

TBA dollar roll income – implied interest income 3,6

129

114

74

48

365

Economic interest income, excluding “catch-up” premium amortization

471

528

560

782

2,341

Economic interest expense:

Repurchase agreements and other debt – GAAP interest expense

(52)

(62)

(134)

(426)

(674)

TBA dollar roll income – implied interest benefit (expense) 3,5

47

41

4

(32)

60

Interest rate swap periodic (cost) income, net 3,8

(7)

(13)

(59)

31

(48)

Economic interest expense

(12)

(34)

(189)

(427)

(662)

Other interest and dividend income 3

1

2

3

Adjusted net interest and dollar roll income, excluding “catch-up” premium
amortization

$ 459

$ 494

$ 372

$ 357

$ 1,682

Net interest spread, excluding “catch-up” amortization:

Average asset yield:

Investment securities – average asset yield

1.64%

2.28%

2.39%

2.01%

2.09%

Estimated “catch-up” premium amortization cost due to change in CPR
forecast

0.75%

0.31%

0.32%

0.99%

0.63%

Investment securities average asset yield, excluding “catch-up” premium
amortization

2.39%

2.59%

2.71%

3.00%

2.72%

TBA securities – average implied asset yield 6

1.53%

1.64%

1.90%

2.54%

1.73%

Average asset yield, excluding “catch-up” premium amortization 7

2.07%

2.30%

2.56%

2.97%

2.50%

Average total cost of funds:

Repurchase agreements and other debt – average funding cost

0.38%

0.40%

0.76%

1.80%

0.96%

TBA securities – average implied funding (benefit) cost 5

(0.54)%

(0.58)%

(0.09)%

1.67%

(0.27)%

Average cost of funds, before interest rate swap periodic cost (income), net 7

0.02%

0.09%

0.61%

1.79%

0.67%

Interest rate swap periodic cost (income), net 10

0.03%

0.06%

0.27%

(0.12)%

0.05%

Average total cost of funds 9

0.05%

0.15%

0.88%

1.67%

0.72%

Average net interest spread, excluding “catch-up” premium amortization

2.02%

2.15%

1.68%

1.30%

1.78%
























































AGNC INVESTMENT CORP.

KEY STATISTICS*

(in millions, except per share data)

(unaudited)

Three Months Ended

Key Balance Sheet Statistics:

December 31,

September 30,

June 30,

March 31,

December 31,

2020

2020

2020

2020

2019

Investment securities:12

Fixed-rate Agency MBS, at fair value – as of period end

$ 64,615

$ 66,278

$ 75,165

$ 69,901

$ 98,074

Other Agency MBS, at fair value – as of period end

$ 516

$ 601

$ 667

$ 749

$ 813

Credit risk transfer securities, at fair value – as of period end

$ 737

$ 653

$ 712

$ 574

$ 976

Non-Agency MBS, at fair value – as of period end

$ 546

$ 512

$ 599

$ 552

$ 579

Total investment securities, at fair value – as of period end

$ 66,414

$ 68,044

$ 77,143

$ 71,776

$ 100,442

Total investment securities, at cost – as of period end

$ 63,701

$ 65,024

$ 73,828

$ 69,343

$ 98,670

Total investment securities, at par – as of period end

$ 61,270

$ 62,449

$ 70,878

$ 66,735

$ 95,561

Average investment securities, at cost

$ 57,194

$ 63,893

$ 71,787

$ 97,889

$ 93,606

Average investment securities, at par

$ 54,983

$ 61,398

$ 68,994

$ 94,933

$ 90,586

TBA securities:

Net TBA portfolio – as of period end, at fair value

$ 31,479

$ 29,536

$ 20,543

$ 21,222

$ 7,429

Net TBA portfolio – as of period end, at cost

$ 31,204

$ 29,460

$ 20,413

$ 20,648

$ 7,404

Net TBA portfolio – as of period end, carrying value

$ 275

$ 76

$ 130

$ 574

$ 25

Average net TBA portfolio, at cost

$ 33,753

$ 27,785

$ 15,662

$ 7,487

$ 7,038

Average repurchase agreements and other debt 13

$ 53,645

$ 61,008

$ 69,552

$ 93,538

$ 88,677

Average stockholders’ equity 14

$ 10,918

$ 10,527

$ 10,262

$ 10,735

$ 10,594

Tangible net book value per common share 1

$ 16.71

$ 15.88

$ 14.92

$ 13.62

$ 17.66

Tangible net book value “at risk” leverage – average 15

8.4:1

8.9:1

8.8:1

9.9:1

9.5:1

Tangible net book value “at risk” leverage – as of period end 16

8.5:1

8.8:1

9.2:1

9.4:1

9.4:1

Key Performance Statistics:

Investment securities: 12

Average coupon

3.64%

3.73%

3.77%

3.68%

3.76%

Average asset yield

1.64%

2.28%

2.39%

2.01%

3.28%

Average asset yield, excluding “catch-up” premium amortization

2.39%

2.59%

2.71%

3.00%

3.08%

Average coupon – as of period end

3.39%

3.59%

3.71%

3.84%

3.68%

Average asset yield – as of period end

2.33%

2.56%

2.64%

2.93%

3.07%

Average actual CPR for securities held during the period

27.6%

24.3%

19.9%

12.2%

15.4%

Average forecasted CPR – as of period end

17.6%

15.9%

16.6%

14.5%

10.8%

Total premium amortization cost, net

$ (266)

$ (209)

$ (223)

$ (384)

$ (84)

TBA securities:

Average coupon – as of period end 17

1.98%

2.06%

2.41%

3.02%

3.10%

Average implied asset yield 6

1.53%

1.64%

1.90%

2.54%

3.29%

Combined investment and TBA securities – average asset yield, excluding “catch-
up” premium amortization 7

2.07%

2.30%

2.56%

2.97%

3.09%

Cost of funds:

Repurchase agreements – average funding cost

0.38%

0.40%

0.76%

1.80%

2.12%

TBA securities – average implied funding cost (benefit) 5

(0.54)%

(0.58)%

(0.09)%

1.67%

1.88%

Interest rate swaps – average periodic expense (income), net 10

0.03%

0.06%

0.27%

(0.12)%

(0.34)%

Average total cost of funds, inclusive of TBAs and interest rate swap periodic
expense (income), net 7,9

0.05%

0.15%

0.88%

1.67%

1.76%

Repurchase agreements – average funding cost as of period end

0.24%

0.37%

0.41%

1.36%

2.17%

Interest rate swaps – average net pay/(receive) rate as of period end 18

0.07%

0.07%

0.26%

0.79%

(0.30)%

Net interest spread:

Combined investment and TBA securities average net interest spread

1.55%

1.94%

1.42%

0.37%

1.52%

Combined investment and TBA securities average net interest spread, excluding
“catch-up” premium amortization

2.02%

2.15%

1.68%

1.30%

1.33%

Expenses % of average stockholders’ equity – annualized

0.92%

0.80%

0.94%

0.86%

0.94%

Economic return (loss) on tangible common equity – unannualized 19

7.5%

8.8%

12.2%

(20.2)%

9.6%

*Except as noted below, average numbers for each period are weighted based on days on the Company’s books and records. All percentages are annualized, unless otherwise noted.

Numbers in financial tables may not total due to rounding.

STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and analysts to attend the AGNC stockholder call on January 26, 2021 at 8:30 am ET. Interested persons who do not plan on asking a question and have internet access are encouraged to utilize the free webcast at www.AGNC.com. Those who plan on participating in the Q&A or do not have internet available may access the call by dialing (877) 300-5922 (U.S. domestic) or (412) 902-6621 (international). Please advise the operator you are dialing in for the AGNC Investment Corp. stockholder call.

A slide presentation will accompany the call and will be available at www.AGNC.com. Select the Q4 2020 Earnings Presentation link to download and print the presentation in advance of the stockholder call.

An archived audio of the stockholder call combined with the slide presentation will be available on the AGNC website after the call on January 26, 2021. In addition, there will be a phone recording available one hour after the call on January 26, 2021 through February 9, 2021. Those who are interested in hearing the recording of the presentation, can access it by dialing (877) 344-7529 (U.S. domestic) or (412) 317-0088 (international), passcode 10150712.

For further information, please contact Investor Relations at (301) 968-9300 or [email protected].

ABOUT AGNC INVESTMENT CORP.
AGNC Investment Corp. is an internally-managed real estate investment trust (“REIT”) that invests primarily in residential mortgage-backed securities for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise or a U.S. Government agency. For further information, please refer to www.AGNC.com.

FORWARD LOOKING STATEMENTS
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act. Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of the Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results could differ materially from those projected in these forward-looking statements due to a variety of important factors, including, without limitation, changes in interest rates, changes in the yield curve, changes in prepayment rates, the availability and terms of financing, changes in the market value of the Company’s assets, general economic conditions, market conditions, conditions in the market for Agency securities, and legislative and regulatory changes that could adversely affect the business of the Company. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements, are included in the Company’s periodic reports filed with the Securities and Exchange Commission (“SEC”). Copies are available on the SEC’s website, www.sec.gov. The Company disclaims any obligation to update or revise any forward-looking statements based on the occurrence of future events, the receipt of new information, or otherwise.

USE OF NON-GAAP FINANCIAL INFORMATION
In addition to the results presented in accordance with GAAP, the Company’s results of operations discussed in this release include certain non-GAAP financial information, including “net spread and dollar roll income,” “net spread and dollar roll income, excluding ‘catch-up’ premium amortization,” “economic interest income” and “economic interest expense” (both components of “net spread and dollar roll income”), “estimated taxable income” and the related per common share measures and certain financial metrics derived from such non-GAAP information, such as “cost of funds” and “net interest spread.”

“Net spread and dollar roll income” is measured as (i) net interest income (GAAP measure) adjusted to include TBA dollar roll income, interest rate swap periodic income/cost and other interest and dividend income (referred to as “adjusted net interest and dollar roll income”) less (ii) total operating expense (GAAP measure). “Net spread and dollar roll income, excluding ‘catch-up’ premium amortization,” further excludes retrospective “catch-up” adjustments to premium amortization cost due to changes in projected CPR estimates.

By providing users of the Company’s financial information with such measures in addition to the related GAAP measures, the Company believes users will have greater transparency into the information used by the Company’s management in its financial and operational decision-making. The Company also believes that it is important for users of its financial information to consider information related to the Company’s current financial performance without the effects of certain transactions that are not necessarily indicative of its current investment portfolio performance and operations.

Specifically, in the case of “adjusted net interest and dollar roll income,” the Company believes the inclusion of TBA dollar roll income is meaningful as TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain (loss) in the Company’s statement of operations, are economically equivalent to holding and financing generic Agency MBS using short-term repurchase agreements. Similarly, the Company believes that the inclusion of periodic interest rate swap settlements in such measure, which are recognized under GAAP in other gain (loss), is meaningful as interest rate swaps are the primary instrument the Company uses to economically hedge against fluctuations in the Company’s borrowing costs and inclusion of periodic interest rate swap settlements is more indicative of the Company’s total cost of funds than interest expense alone. In the case of “net spread and dollar roll income, excluding ‘catch-up’ premium amortization,” the Company believes the exclusion of “catch-up” adjustments to premium amortization cost is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such “catch-up” cost or benefit is more indicative of the current earnings potential of the Company’s investment portfolio. In the case of estimated taxable income, the Company believes it is meaningful information as it is directly related to the amount of dividends the Company is required to distribute in order to maintain its REIT qualification status.

However, because such measures are incomplete measures of the Company’s financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP. In addition, because not all companies use identical calculations, the Company’s presentation of such non-GAAP measures may not be comparable to other similarly-titled measures of other companies. Furthermore, estimated taxable income can include certain information that is subject to potential adjustments up to the time of filing the Company’s income tax returns, which occurs after the end of its fiscal year.

A reconciliation of GAAP net interest income to non-GAAP “net spread and dollar roll income, excluding ‘catch-up’ premium amortization” and a reconciliation of GAAP net income to non-GAAP “estimated taxable income” is included in this release.

CONTACT:
Investors – (301) 968-9300
Media – (301) 968-9303

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SOURCE AGNC Investment Corp.