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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

__________________________________________________ 

FORM 8-K

 __________________________________________________

 CURRENT REPORT

Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): October 30, 2019

__________________________________________________

AGNC INVESTMENT CORP.

(Exact name of registrant as specified in its charter)

__________________________________________________

Delaware	001-34057	26-1701984
(State or Other Jurisdiction of Incorporation or Organization)	(Commission File Number)	(I.R.S. Employer Identification No.)

2 Bethesda Metro Center, 12th Floor

Bethesda, Maryland 20814

(Address of principal executive offices)

Registrant’s telephone number, including area code:

(301) 968-9300

N/A

(Former name or former address, if changed since last report)

 __________________________________________________

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions: 

☐		Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐		Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐		Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐		Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class		Trading Symbol(s)		Name of Exchange on Which Registered
Common Stock, par value $0.01 per share		AGNC		The Nasdaq Global Select Market
Depositary shares of 7.750% Series B Cumulative Redeemable Preferred Stock		AGNCB		The Nasdaq Global Select Market
Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock		AGNCN		The Nasdaq Global Select Market
Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock		AGNCM		The Nasdaq Global Select Market
Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock		AGNCO		The Nasdaq Global Select Market

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging Growth Company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.     o

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Item 2.02 Results of Operations and Financial Condition

On October 30, 2019, AGNC Investment Corp. issued a press release announcing its financial results for the quarter ended September 30, 2019. The text of the press release is included as exhibit 99.1 to this Form 8-K. Pursuant to the rules and regulations of the Securities and Exchange Commission, such exhibit and the information set forth therein and herein shall not be deemed to be filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), and shall not be deemed to be incorporated by reference in any filing under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such a filing.

Item 9.01 Financial Statements and Exhibits

(a) None.

(b) None.

(c) Exhibits

 

Exhibit No.		Description
99.1		Press Release dated	October 30, 2019

 

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SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

 

			AGNC INVESTMENT CORP.
Dated:	October 30, 2019	By:	/s/ BERNICE E. BELL
			Bernice E. Bell
			Senior Vice President and Chief Financial Officer

•	$0.42 comprehensive income per common share, comprised of:

◦	$(0.03) net loss per common share

◦	$0.45 other comprehensive income ("OCI") per common share on investments marked-to-market through OCI

•	$0.59 net spread and dollar roll income per common share, excluding estimated "catch-up" premium amortization cost 1

◦	Includes $0.05 per common share of dollar roll income associated with the Company's $10.1 billion average net long position in forward purchases and sales of Agency mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA") market

◦	Excludes $(0.10) per common share of estimated "catch-up" premium amortization cost due to change in projected constant prepayment rate ("CPR") estimates

•	$16.55 tangible net book value per common share as of September 30, 2019

◦	Decreased $(0.03) per common share, or -0.2%, from $16.58 per common share as of June 30, 2019

•	$0.48 dividends declared per common share for the third quarter

•	2.7% economic return on tangible common equity for the quarter

◦	Comprised of $0.48 dividends per common share and $(0.03) decrease in tangible net book value per common share

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•	$102.6 billion investment portfolio as of September 30, 2019, comprised of:

◦	$99.0 billion Agency MBS

◦	$1.9 billion net TBA mortgage position

◦	$1.7 billion credit risk transfer ("CRT") and non-Agency securities

•	9.8x tangible net book value "at risk" leverage as of September 30, 2019

◦	10.0x average tangible net book value "at risk" leverage for the quarter

•	13.5% portfolio CPR for the quarter

◦	13.4% average projected portfolio CPR as of September 30, 2019

•	1.31% annualized net interest spread and TBA dollar roll income for the quarter, excluding estimated "catch-up" premium amortization cost

◦	Excludes -21 bps of "catch-up" premium amortization cost due to change in projected CPR estimates

•	6.9 million shares, or $103 million, of common stock repurchased during the quarter

◦	Represents 1.3% of common stock outstanding as of June 30, 2019

◦	$14.90 per share average repurchase price, inclusive of transaction costs

•	$403 million of 6.50% fixed-to-floating rate preferred equity issued in October 2019

◦	$390 million of proceeds from offering, net of offering costs

◦	Announced $175 million redemption of 7.750% Series B preferred stock

1.	Represents a non-GAAP measure. Please refer to a reconciliation to the most applicable GAAP measure and additional information regarding the use of non-GAAP financial information later in this release.

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•	$100.9 billion of Agency MBS and net TBA securities, including:

◦	$100.0 billion of fixed-rate securities, comprised of:

•	$90.1 billion 30-year fixed-rate securities,

•	$0.1 billion 30-year TBA securities, net,

•	$7.2 billion 15-year securities,

•	$1.8 billion 15-year TBA securities, net, and

•	$0.8 billion 20-year fixed-rate securities;

◦	$0.9 billion of collateralized mortgage obligations ("CMOs"), adjustable-rate and other Agency securities;

•	$1.7 billion of CRT and non-Agency securities.

•	3.69% for 30-year fixed-rate securities;

•	3.28% for 15-year fixed rate securities; and

•	3.87% for 20-year fixed-rate securities.

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•	$66.5 billion of three months or less;

•	$17.0 billion from three to six months;

•	$4.1 billion from six to twelve months; and

•	$2.5 billion from one to three years.

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•	$89 million of net realized gains on sales of investment securities;

•	$355 million of net unrealized gains on investment securities measured at fair value through net income;

•	$146 million of interest rate swap periodic income;

•	$(628) million of net losses on interest rate swaps;

•	$(19) million of net losses on interest rate swaptions;

•	$(189) million of net losses on U.S. Treasury positions;

•	$29 million of TBA dollar roll income;

•	$115 million of net mark-to-market gains on TBA securities; and

•	$(2) million of other miscellaneous losses.

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1.	Tangible net book value per common share excludes preferred stock liquidation preference and goodwill.

2.	Table includes non-GAAP financial measures and/or amounts derived from non-GAAP measures. Refer to "Use of Non-GAAP Financial Information" for additional discussion of non-GAAP financial measures.

3.	Amount reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.

4.	Dollar roll income represents the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement.  Amount includes dollar roll income (loss) on long and short TBA securities. Amount excludes TBA mark-to-market adjustments.

5.	Includes decrease in net capital loss carryforwards due to expiration of unutilized net capital loss carryforwards from prior years.

6.

The implied funding cost of TBA dollar roll transactions is determined using the "price drop" (Note 4) and market based assumptions regarding the "cheapest-to-deliver" collateral that can be delivered to satisfy the TBA contract, such as the anticipated collateral’s weighted average coupon, weighted average maturity and projected 1-month CPR.  The average implied funding cost for all TBA transactions is weighted based on the Company’s daily average TBA balance outstanding for the period.

7.	The average implied asset yield for TBA dollar roll transactions is extrapolated by adding the average TBA implied funding cost (Note 6) to the net dollar roll yield. The net dollar roll yield is calculated by dividing dollar roll income (Note 4) by the average net TBA cost basis outstanding for the period.

8.	Amount calculated on a weighted average basis based on average balances outstanding during the period and their respective asset yield/funding cost.

9.	Represents periodic interest rate swap settlements. Amount excludes interest rate swap termination fees and mark-to-market adjustments.

10.	Represents interest rate swap periodic income/cost measured as a percent of total mortgage funding (Agency repurchase agreements, other debt and net TBA securities).

11.	"Catch-up" premium amortization cost/benefit is reported in interest income on the accompanying consolidated statements of operations

12.	Investment securities include Agency MBS, CRT and non-Agency securities. Amounts exclude TBA securities.

13.	Average repurchase agreements and other debt excludes U.S. Treasury repurchase agreements.

14.	Average stockholders' equity calculated as the average month-ended stockholders' equity during the quarter.

15.

Average tangible net book value "at risk" leverage during the period was calculated by dividing the sum of the daily weighted average Agency repurchase agreements, other debt, forward settling investment securities and net TBA position (at cost) outstanding for the period by the sum of average stockholders' equity adjusted to exclude goodwill. Leverage excludes U.S. Treasury repurchase agreements.

16.	Tangible net book value "at risk" leverage as of period end was calculated by dividing the sum of the amount outstanding under Agency repurchase agreements, other debt, net TBA position (at cost) and net receivable / payable for unsettled investment securities outstanding by the sum of total stockholders' equity adjusted to exclude goodwill. Leverage excludes U.S. Treasury repurchase agreements.

17.	Average TBA coupon, as of September 30, 2019 and June 30, 2019, is for the long TBA position only.

18.	Includes forward starting swaps not yet in effect as of reported period-end.

19.	Annualized Q4 2018 and Q3 2018 operating expenses exclude the non-recurring write-off of the intangible asset and other expenses associated with sale of MTGE Investment Corp. and the resulting termination of the Company's management agreement with MTGE.

20.	Economic return (loss) on tangible common equity represents the sum of the change in tangible net book value per common share and dividends declared on common stock during the period over the beginning tangible net book value per common share.

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