"The market disruption and dislocations arising out of the global COVID-19 pandemic have been unprecedented, significantly reducing liquidity in virtually every asset class," said
"As a result of the improvement in Agency MBS valuations and our actions, AGNC's leverage and liquidity levels have returned to recent norms. As such, we believe that the worst is behind us for our Agency MBS portfolio, which allows us to focus on positioning the portfolio to benefit from the opportunities presented by the current market environment."
AGNC today announced the following updates as of close of business on
- Tangible net book value per common share is estimated to be between
$12.35and $13.25, after deductions for common and preferred dividends declared through March 31, 2020, a year-to-date decline of approximately 25 - 30%.
- AGNC has had access to Agency MBS repurchase agreement ("repo") funding without interruption and has timely met all margin calls received.
- Cash and unencumbered Agency MBS are estimated to be approximately
$3.7 billion, which does not include approximately $1.3 billionof capital plus excess margin held at our broker-dealer subsidiary Bethesda Securitiesor $0.3 billionof unencumbered non-Agency securities.
- AGNC's "at risk" leverage is estimated to be approximately 9.7x, which is within our typical operating range, and AGNC's on-balance sheet leverage is estimated to be approximately 7.4x.1
- AGNC's total investment portfolio is estimated to be approximately
$91 billion, which includes approximately $21 billionof To-Be-Announced ("TBA") Agency MBS and $1.1 billionof non-Agency securities.
- The Company has fully implemented a remote work environment to address the operating risks associated with the global COVID-19 pandemic.
The estimates for tangible net book value; cash, unencumbered Agency MBS, capital and excess margin held at
For further information or questions, please contact Investor Relations at (301) 968-9300 or IR@AGNC.com.
This press release contains forward-looking statements. 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 (including the levels of market volatility and transaction price discovery), 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
1 "At risk" leverage is calculated as the sum of Agency and non-Agency repurchase agreements, net TBA position (at cost), and net receivable/payable for unsettled investment securities divided by total stockholders' equity, adjusted to exclude goodwill. AGNC's on-balance sheet leverage includes the components above, except for the Company's net TBA position. Both leverage ratios exclude
Investor Relations - (301) 968-9300