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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2020
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number 001-34057
https://cdn.kscope.io/18e580f48b374db331166ac622fe2ef0-agnc-20200930_g1.jpg
AGNC INVESTMENT CORP.
(Exact name of registrant as specified in its charter)
__________________________________________________
Delaware 26-1701984
(State or Other Jurisdiction of
Incorporation or Organization)
 (I.R.S. Employer
Identification No.)
2 Bethesda Metro Center, 12th Floor
Bethesda, Maryland 20814
(Address of principal executive offices)
(301) 968-9315
(Registrant’s telephone number, including area code)
 __________________________________________________
Indicate by check mark whether the registrant (1) has filed all reports to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).   Yes  x    No  ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.
Large accelerated filerAccelerated filer
Non-accelerated filerSmaller Reporting Company
Emerging growth company
If an emerging growth company, indicate by check mark if 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. ¨
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes      No  x
Securities registered pursuant to Section 12(b) of the Act:
Title of Each ClassTrading Symbol(s)Name of Exchange on Which Registered
Common Stock, par value $0.01 per shareAGNCThe Nasdaq Global Select Market
Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockAGNCNThe Nasdaq Global Select Market
Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred StockAGNCMThe Nasdaq Global Select Market
Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred StockAGNCOThe Nasdaq Global Select Market
Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred StockAGNCPThe Nasdaq Global Select Market
The number of shares of the issuer's common stock, $0.01 par value, outstanding as of October 31, 2020 was 545,211,569.



AGNC INVESTMENT CORP.
TABLE OF CONTENTS
 
Signatures
1


PART I. FINANCIAL INFORMATION
Item 1. Financial Statements

AGNC INVESTMENT CORP.
CONSOLIDATED BALANCE SHEETS
(in millions, except per share data)
 September 30, 2020December 31, 2019
(Unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $55,711 and $92,608, respectively)
$66,556 $98,516 
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)323 371 
Credit risk transfer securities, at fair value (including pledged securities of $413 and $309, respectively)
653 976 
Non-Agency securities, at fair value (including pledged securities of $455 and $0, respectively)
512 579 
U.S. Treasury securities, at fair value (including pledged securities of $0 and $97, respectively)
 97 
Cash and cash equivalents857 831 
Restricted cash1,557 451 
Derivative assets, at fair value130 190 
Receivable for investment securities sold (including pledged securities of $10 and $0, respectively)
10  
Receivable under reverse repurchase agreements8,625 10,181 
Goodwill526 526 
Other assets219 364 
Total assets$79,968 $113,082 
Liabilities:
Repurchase agreements$54,566 $89,182 
Debt of consolidated variable interest entities, at fair value192 228 
Payable for investment securities purchased5,887 2,554 
Derivative liabilities, at fair value13 6 
Dividends payable90 104 
Obligation to return securities borrowed under reverse repurchase agreements, at fair value8,372 9,543 
Accounts payable and other liabilities128 424 
Total liabilities69,248 102,041 
Stockholders' equity:
Preferred Stock - aggregate liquidation preference of $1,538 and $963, respectively
1,489 932 
Common stock - $0.01 par value; 1,500 and 900 shares authorized, respectively; 545.2 and 540.9 shares issued and outstanding, respectively
5 5 
Additional paid-in capital14,053 13,893 
Retained deficit(5,661)(3,886)
Accumulated other comprehensive income
834 97 
Total stockholders' equity10,720 11,041 
Total liabilities and stockholders' equity$79,968 $113,082 
See accompanying notes to consolidated financial statements.
2


AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(Unaudited)
(in millions, except per share data)
 
Three Months Ended September 30,Nine Months Ended September 30,
 2020201920202019
Interest income:
Interest income$364 $676 $1,284 $2,074 
Interest expense62 557 622 1,668 
Net interest income302 119 662 406 
Other gain (loss), net:
Gain on sale of investment securities, net346 89 993 281 
Unrealized gain (loss) on investment securities measured at fair value through net income, net(365)355 511 2,174 
Gain (loss) on derivative instruments and other securities, net400 (548)(3,139)(2,986)
Total other gain (loss), net:381 (104)(1,635)(531)
Expenses:
Compensation and benefits13 10 39 31 
Other operating expense8 9 29 27 
Total operating expense21 19 68 58 
Net income (loss)662 (4)(1,041)(183)
Dividends on preferred stock25 13 71 36 
Net income (loss) available (attributable) to common stockholders$637 $(17)$(1,112)$(219)
Net income (loss)$662 $(4)$(1,041)$(183)
Unrealized gain on investment securities measured at fair value through other comprehensive income, net70 246 737 1,025 
Comprehensive income (loss)732 242 (304)842 
Dividends on preferred stock
25 13 71 36 
Comprehensive income (loss) available (attributable) to common stockholders$707 $229 $(375)$806 
Weighted average number of common shares outstanding - basic
553.2 546.4 553.8 540.3 
Weighted average number of common shares outstanding - diluted
554.3 546.4 553.8 540.3 
Net income (loss) per common share - basic$1.15 $(0.03)$(2.01)$(0.41)
Net income (loss) per common share - diluted$1.15 $(0.03)$(2.01)$(0.41)
Dividends declared per common share$0.36 $0.48 $1.20 $1.52 
See accompanying notes to consolidated financial statements.
3


AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
(Unaudited)
(in millions)
Preferred StockCommon StockAdditional
Paid-in
Capital
Retained
Deficit
Accumulated
Other
Comprehensive
Income (Loss)
Total
SharesAmount
Balance, June 30, 2019$711 547.8 $5 $13,988 $(4,194)$(164)$10,346 
Net loss— — — — (4)— (4)
Other comprehensive income:
Unrealized gain on available-for-sale securities, net — — — — — 246 246 
Stock-based compensation—  — 3 — — 3 
Repurchase of common stock— (6.9)— (103)— — (103)
Preferred dividends declared— — — — (13)— (13)
Common dividends declared— — — — (262)— (262)
Balance, September 30, 2019$711 540.9 $5 $13,888 $(4,473)$82 $10,213 
Balance, June 30, 2020$1,489 555.5 $6 $14,191 $(6,100)$764 $10,350 
Net income— — — — 662 — 662 
Other comprehensive income:
Unrealized gain on available-for-sale securities, net — — — — — 70 70 
Stock-based compensation— — — 5 — — 5 
Repurchase of common stock— (10.3)(1)(143)— — (144)
Preferred dividends declared— — — — (25)— (25)
Common dividends declared— — — — (198)— (198)
Balance, September 30, 2020$1,489 545.2 $5 $14,053 $(5,661)$834 $10,720 
Balance, December 31, 2018$484 536.3 $5 $13,793 $(3,433)$(943)$9,906 
Net loss— — — — (183)— (183)
Other comprehensive income:
Unrealized gain on available-for-sale securities, net — — — — — 1,025 1,025 
Stock-based compensation— 0.1 — 8 — — 8 
Issuance of common stock, net of offering cost— 11.4 — 190 — — 190 
Repurchase of common stock— (6.9)— (103)— — (103)
Issuance of preferred stock, net of offering cost227 — — — — — 227 
Preferred dividends declared— — — — (36)— (36)
Common dividends declared— — — — (821)— (821)
Balance, September 30, 2019$711 540.9 $5 $13,888 $(4,473)$82 $10,213 
Balance, December 31, 2019$932 540.9 $5 $13,893 $(3,886)$97 $11,041 
Net loss— — — — (1,041)— (1,041)
Other comprehensive income:
Unrealized gain on available-for-sale securities, net — — — — — 737 737 
Stock-based compensation— 0.1 — 12 — — 12 
Issuance of preferred stock, net of offering cost557 — — — — — 557 
Issuance of common stock, net of offering cost— 26.7 1 438 — — 439 
Repurchase of common stock— (22.5)(1)(290)— — (291)
Preferred dividends declared— — — — (71)— (71)
Common dividends declared— — — — (663)— (663)
Balance, September 30, 2020$1,489 545.2 $5 $14,053 $(5,661)$834 $10,720 
See accompanying notes to consolidated financial statements.

4


AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
(in millions) 
Nine Months Ended September 30,
 20202019
Operating activities:
Net loss$(1,041)$(183)
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net816 517 
Stock-based compensation12 8 
Gain on sale of investment securities, net(993)(281)
Unrealized gain on investment securities measured at fair value through net income, net(511)(2,174)
Loss on derivative instruments and other securities, net3,139 2,986 
(Increase) decrease in other assets104 (35)
Decrease in accounts payable and other accrued liabilities(189)(31)
Net cash provided by operating activities1,337 807 
Investing activities:
Purchases of Agency mortgage-backed securities(44,753)(37,199)
Purchases of credit risk transfer and non-Agency securities(609)(1,233)
Proceeds from sale of Agency mortgage-backed securities68,920 17,620 
Proceeds from sale of credit risk transfer and non-Agency securities838 1,130 
Principal collections on Agency mortgage-backed securities12,635 8,508 
Principal collections on credit risk transfer and non-Agency securities115 15 
Payments on U.S. Treasury securities(22,090)(26,169)
Proceeds from U.S. Treasury securities20,112 8,313 
Net proceeds from reverse repurchase agreements1,590 16,014 
Net payments on derivative instruments(2,260)(1,990)
Net cash provided by (used in) investing activities34,498 (14,991)
Financing activities:
Proceeds from repurchase arrangements2,651,280 3,251,916 
Payments on repurchase agreements(2,685,896)(3,237,021)
Payments on debt of consolidated variable interest entities(44)(42)
Net proceeds from preferred stock issuances557 227 
Net proceeds from common stock issuances439 190 
Payments for common stock repurchases(291)(103)
Cash dividends paid(748)(863)
Net cash provided by (used in) financing activities(34,703)14,304 
Net change in cash, cash equivalents and restricted cash1,132 120 
Cash, cash equivalents and restricted cash at beginning of period1,282 1,520 
Cash, cash equivalents and restricted cash at end of period$2,414 $1,640 
See accompanying notes to consolidated financial statements.
5


AGNC INVESTMENT CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
Note 1. Basis of Presentation
The unaudited interim consolidated financial statements of AGNC Investment Corp. (referred throughout this report as the "Company," "we," "us" and "our") are prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.
Our unaudited interim consolidated financial statements include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated.

Note 2. Organization
We were organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC."
We are internally managed, and our principal objective is to provide our stockholders with attractive risk-adjusted returns through a combination of monthly dividends and tangible net book value accretion. We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities.
We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code"). As a REIT, we are required to distribute annually 90% of our taxable income, and we will generally not be subject to U.S. federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100% of our taxable income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year.
We invest primarily in Agency residential mortgage-backed securities ("Agency RMBS") for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise ("GSE") or a U.S. Government agency. We also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency, and in other investments in, or related to, the housing, mortgage or real estate markets. We fund our investments primarily through borrowings structured as repurchase agreements.

Note 3. Summary of Significant Accounting Policies
Investment Securities
Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").
CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool
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of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.
Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS.
All of our securities are reported at fair value on our consolidated balance sheet. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities, requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for securities pursuant to ASC Topic 825, Financial Instruments. Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"), whereas unrealized gains and losses on securities for which we elected the fair value option, or are classified as trading, are reported in net income through other gain (loss). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments.
We generally recognize gains or losses through net income on available-for-sale securities only if the security is sold; however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair in net income as a component of other gain (loss). Since all of our available-for-sale designated securities consist of Agency RMBS, we do not have an allowance for credit losses. We have not recognized impairment losses on our available-for-sale securities through net income for the periods presented in our consolidated financial statements.
Interest Income
Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments, using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs.
We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, primary to secondary mortgage rate spreads, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service for reasonableness with consideration given to both historical prepayment speeds and current market conditions. If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape, such as during periods of elevated market uncertainty or unique market conditions, we may make adjustments to the models. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date through the reporting date.
At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment adjusted for credit impairments, if any.
7


Repurchase Agreements 
We finance the acquisition of securities for our investment portfolio primarily through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing, we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year but may extend up to five years or more.
Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements
We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less.
Derivative Instruments
We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS.
We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section.
Interest rate swap agreements
We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the Secured Overnight Financing Rate ("SOFR"), Overnight Index Swap Rate ("OIS") or three-month London Interbank Offered Rate ("LIBOR"). Our interest rate swaps typically have terms from one to 10 years but may extend up to 20 years or more. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability.
Interest rate swaptions
We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our interest rate swaption agreements are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in
8


our consolidated balance sheets. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid.
TBA securities
A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent of interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing.
We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions.
U.S. Treasury securities
We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying U.S. Treasury security as of the reporting date. Gains and losses associated with U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Recent Accounting Pronouncements
In June 2016 the Financial Account Standards Board ("FASB") issued Accounting Standards Update 2016-13, Financial Instruments - Credit Losses (Topic 326), which replaces the incurred loss impairment methodology in prior GAAP with a methodology that better reflects expected credit losses. For financial instruments carried at amortized cost, impairment will be measured as a current estimate of expected lifetime credit losses. For available-for-sale investment securities with changes in fair value recorded in accumulated other comprehensive income, the FASB made targeted improvements eliminating the write-down of available-for-sale securities under the "other-than-temporary" impairment model replacing it with an allowance for credit loss model. We adopted ASU 2016-13 effective January 1, 2020, which had no material effect on our financial results.
We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption.

Note 4. Investment Securities
As of September 30, 2020 and December 31, 2019, our investment portfolio consisted of $68.0 billion and $100.4 billion of investment securities, at fair value, respectively, and $29.5 billion and $7.4 billion of net TBA securities, at fair value, respectively. Our net TBA position is reported at its net carrying value of $76 million and $25 million as of September 30, 2020 and December 31, 2019, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying Agency security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying Agency security.
As of September 30, 2020 and December 31, 2019, our investment securities had a net unamortized premium balance of $2.6 billion and $3.1 billion, respectively.
9


The following tables summarize our investment securities as of September 30, 2020 and December 31, 2019, excluding TBA securities, (dollars in millions). Details of our TBA securities as of each of the respective dates are included in Note 6.
 September 30, 2020December 31, 2019
Investment SecuritiesAmortized
Cost
Fair ValueAmortized
Cost
Fair Value
Agency RMBS:
Fixed rate$63,307 $66,278 $96,375 $98,074 
Adjustable rate96 99 160 163 
CMO327 341 441 447 
Interest-only and principal-only strips117 142 146 164 
Multifamily17 19 37 39 
Total Agency RMBS63,864 66,879 97,159 98,887 
Non-Agency RMBS172 177 198 209 
CMBS310 335 352 370 
CRT securities678 653 961 976 
Total investment securities$65,024 $68,044 $98,670 $100,442 
 September 30, 2020
Agency RMBSNon-Agency
Investment SecuritiesFannie MaeFreddie MacGinnie
Mae
RMBSCMBSCRTTotal
Available-for-sale securities:
Par value
$10,703 $4,046 $14 $ $ $ $14,763 
Unamortized discount
(6)(1)    (7)
Unamortized premium
479 204     683 
Amortized cost
11,176 4,249 14    15,439 
Gross unrealized gains
618 215 1    834 
Gross unrealized losses
       
Total available-for-sale securities, at fair value11,794 4,464 15    16,273 
Securities remeasured at fair value through earnings:
Par value
31,624 14,891 3 181 309 678 47,686 
Unamortized discount
(20)(1) (11)(4)(12)(48)
Unamortized premium
1,285 641  3 6 12 1,947 
Amortized cost
32,889 15,531 3 173 311 678 49,585 
Gross unrealized gains
1,411 782  8 28 3 2,232 
Gross unrealized losses
(7)(3) (4)(4)(28)(46)
Total securities remeasured at fair value through earnings34,293 16,310 3 177 335 653 51,771 
Total securities, at fair value$46,087 $20,774 $18 $177 $335 $653 $68,044 
Weighted average coupon as of September 30, 2020
3.49 %3.79 %3.58 %4.20 %4.13 %3.31 %3.59 %
Weighted average yield as of September 30, 2020 1