Company Quick10K Filing
AGNC Investment
Price16.02 EPS-2
Shares546 P/E-9
MCap8,753 P/FCF11
Net Debt-1,640 EBIT1,099
TEV7,113 TEV/EBIT6
TTM 2019-09-30, in MM, except price, ratios
10-Q 2020-03-31 Filed 2020-05-11
10-K 2019-12-31 Filed 2020-02-25
10-Q 2019-09-30 Filed 2019-11-05
10-Q 2019-06-30 Filed 2019-08-05
10-Q 2019-03-31 Filed 2019-05-03
10-K 2018-12-31 Filed 2019-02-22
10-Q 2018-09-30 Filed 2018-11-05
10-Q 2018-06-30 Filed 2018-08-06
10-Q 2018-03-31 Filed 2018-05-07
10-K 2017-12-31 Filed 2018-02-26
10-Q 2017-09-30 Filed 2017-11-03
10-Q 2017-06-30 Filed 2017-08-03
10-Q 2017-03-31 Filed 2017-05-08
10-K 2016-12-31 Filed 2017-02-27
10-Q 2016-09-30 Filed 2016-11-07
10-Q 2016-06-30 Filed 2016-08-05
10-Q 2016-03-31 Filed 2016-05-05
10-K 2015-12-31 Filed 2016-02-23
10-Q 2015-09-30 Filed 2015-11-06
10-Q 2015-06-30 Filed 2015-08-05
10-Q 2015-03-31 Filed 2015-05-06
10-K 2014-12-31 Filed 2015-02-25
10-Q 2014-09-30 Filed 2014-11-06
10-Q 2014-06-30 Filed 2014-08-07
10-Q 2014-03-31 Filed 2014-05-09
10-K 2013-12-31 Filed 2014-02-27
10-Q 2013-09-30 Filed 2013-11-07
10-Q 2013-06-30 Filed 2013-08-08
10-Q 2013-03-31 Filed 2013-05-09
10-K 2012-12-31 Filed 2013-02-27
10-Q 2012-09-30 Filed 2012-11-08
10-Q 2012-06-30 Filed 2012-08-09
10-Q 2012-03-31 Filed 2012-05-10
10-K 2011-12-31 Filed 2012-02-23
10-Q 2011-09-30 Filed 2011-11-07
10-Q 2011-06-30 Filed 2011-08-09
10-Q 2011-03-31 Filed 2011-05-06
10-K 2010-12-31 Filed 2011-02-25
10-Q 2010-09-30 Filed 2010-11-08
10-Q 2010-06-30 Filed 2010-08-06
10-K 2009-12-31 Filed 2010-02-24
10-Q 2009-12-31 Filed 2010-05-03
8-K 2020-04-29 Earnings, Exhibits
8-K 2020-04-24 Shareholder Vote
8-K 2020-04-08 Earnings, Exhibits
8-K 2020-03-31 Regulation FD, Exhibits
8-K 2020-02-14 Officers
8-K 2020-02-11 Other Events
8-K 2020-02-06 Other Events
8-K 2020-01-29 Earnings, Exhibits
8-K 2019-12-13 Amend Bylaw
8-K 2019-10-30 Earnings, Exhibits
8-K 2019-10-25 Other Events
8-K 2019-10-03 Other Events
8-K 2019-09-30 Other Events
8-K 2019-09-12 Officers
8-K 2019-09-09 Regulation FD
8-K 2019-07-24 Earnings, Exhibits
8-K 2019-04-24 Earnings, Exhibits
8-K 2019-04-19 Enter Agreement, Shareholder Vote
8-K 2019-03-29 Officers
8-K 2019-03-06 Other Events
8-K 2019-02-27 Other Events
8-K 2019-01-30 Earnings, Exhibits
8-K 2019-01-25 Officers
8-K 2018-12-03 Officers
8-K 2018-11-19 Enter Agreement, Exhibits
8-K 2018-10-24 Earnings, Exhibits
8-K 2018-08-03 Enter Agreement, Exhibits
8-K 2018-07-25 Earnings, Exhibits
8-K 2018-06-14 Enter Agreement, Exhibits
8-K 2018-05-29 Enter Agreement, Exhibits
8-K 2018-04-25 Earnings, Exhibits
8-K 2018-04-20 Shareholder Vote
8-K 2018-01-31 Earnings, Exhibits

AGNC 10Q Quarterly Report

Part I. Financial Information
Item 1. Financial Statements
Note 1. Basis of Presentation
Note 2. Organization
Note 3. Summary of Significant Accounting Policies
Note 4. Investment Securities
Note 5. Repurchase Agreements and Reverse Repurchase Agreements
Note 6. Derivative and Other Hedging Instruments
Note 7. Pledged Assets
Note 8. Fair Value Measurements
Note 9. Net Income (Loss) per Common Share
Note 10. Stockholders' Equity
Note 11. Subsequent Events
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 4. Controls and Procedures
Part II. Other Information
Item 1. Legal Proceedings
Item 1A. Risk Factors
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Item 3. Defaults Upon Senior Securities
Item 4. Mine Safety Disclosures
Item 5. Other Information
Item 6. Exhibits and Financial Statement Schedules
EX-3.1 agncexhibit313312010-q.htm
EX-31.1 agncexhibit3113312010-q.htm
EX-31.2 agncexhibit3123312010-q.htm
EX-32 agncexhibit323312010-q.htm

AGNC Investment Earnings 2020-03-31

Balance SheetIncome StatementCash Flow

Document
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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 March 31, 2020
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number 001-34057
agnclogowhitespacinginv1a01.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 filer
 
Accelerated filer
Non-accelerated filer
 
Smaller 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 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 7.000% 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
Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
 
AGNCP
 
The Nasdaq Global Select Market

The number of shares of the issuer's common stock, $0.01 par value, outstanding as of April 30, 2020 was 559,356,584.

 




AGNC INVESTMENT CORP.
TABLE OF CONTENTS
 


1



PART I. FINANCIAL INFORMATION
Item 1. Financial Statements

AGNC INVESTMENT CORP.
CONSOLIDATED BALANCE SHEETS
(in millions, except per share data)

 
March 31, 2020
 
December 31, 2019
 
(Unaudited)
 
 
Assets:
 
 
 
Agency securities, at fair value (including pledged securities of $64,154 and $92,608, respectively)
$
70,292

 
$
98,516

Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)
358

 
371

Credit risk transfer securities, at fair value (including pledged securities of $360 and $309, respectively)
574

 
976

Non-Agency securities, at fair value (including pledged securities of $437 and $0, respectively)
552

 
579

U.S. Treasury securities, at fair value (pledged securities)
3,721

 
97

Cash and cash equivalents
1,289

 
831

Restricted cash
1,978

 
451

Derivative assets, at fair value
664

 
190

Receivable for investment securities sold

 

Receivable under reverse repurchase agreements
4,938

 
10,181

Goodwill
526

 
526

Other assets
245

 
364

Total assets
$
85,137

 
$
113,082

Liabilities:
 
 
 
Repurchase agreements
$
66,540

 
$
89,182

Debt of consolidated variable interest entities, at fair value
214

 
228

Payable for investment securities purchased
3,273

 
2,554

Derivative liabilities, at fair value
138

 
6

Dividends payable
113

 
104

Obligation to return securities borrowed under reverse repurchase agreements, at fair value
4,886

 
9,543

Accounts payable and other liabilities
175

 
424

Total liabilities
75,339

 
102,041

Stockholders' equity:
 
 
 
Preferred Stock - aggregate liquidation preference of $1,538 and $963, respectively
1,489

 
932

Common stock - $0.01 par value; 900 shares authorized; 567.7 and 540.9 shares issued and outstanding, respectively
6

 
5

Additional paid-in capital
14,334

 
13,893

Retained deficit
(6,592
)
 
(3,886
)
Accumulated other comprehensive income (loss)
561

 
97

Total stockholders' equity
9,798

 
11,041

Total liabilities and stockholders' equity
$
85,137

 
$
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 March 31,
 
2020
 
2019
Interest income:
 
 
 
Interest income
$
491

 
$
705

Interest expense
426

 
541

Net interest income
65

 
164

Other gain (loss), net:
 
 
 
Gain on sale of investment securities, net
494

 
60

Unrealized gain on investment securities measured at fair value through net income, net
197

 
1,060

Loss on derivative instruments and other securities, net
(3,154
)
 
(1,000
)
Total other gain (loss), net:
(2,463
)
 
120

Expenses:
 
 
 
Compensation and benefits
13

 
10

Other operating expense
10

 
9

Total operating expense
23

 
19

Net income (loss)
(2,421
)
 
265

Dividends on preferred stock
21

 
10

Net income (loss) available (attributable) to common stockholders
$
(2,442
)
 
$
255

 
 
 
 
Net income (loss)
$
(2,421
)
 
$
265

Unrealized gain on investment securities measured at fair value through other comprehensive income, net
464

 
400

Comprehensive income (loss)
(1,957
)
 
665

Dividends on preferred stock
21

 
10

Comprehensive income (loss) available (attributable) to common stockholders
$
(1,978
)
 
$
655

 
 
 
 
Weighted average number of common shares outstanding - basic
548.0

 
536.7

Weighted average number of common shares outstanding - diluted
548.0

 
537.2

Net income (loss) per common share - basic
$
(4.46
)
 
$
0.48

Net income (loss) per common share - diluted
$
(4.46
)
 
$
0.47

Dividends declared per common share
$
0.48

 
$
0.54

See accompanying notes to consolidated financial statements.

3


AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY
(Unaudited)
(in millions)
 
Preferred Stock
 
Common Stock
 
Additional
Paid-in
Capital
 
Retained
Deficit
 
Accumulated
Other
Comprehensive
Income (Loss)
 
Total
 
 
Shares
 
Amount
 
Balance, December 31, 2018
$
484

 
536.3

 
$
5

 
$
13,793

 
$
(3,433
)
 
$
(943
)
 
$
9,906

Net income

 

 

 

 
265

 

 
265

Other comprehensive income:
 
 
 
 
 
 
 
 
 
 
 
 


Unrealized gain on available-for-sale securities, net

 

 

 

 

 
400

 
400

Stock-based compensation

 

 

 
2

 

 

 
2

Issuance of preferred stock, net of offering cost
227

 

 

 

 

 

 
227

Preferred dividends declared

 

 

 

 
(10
)
 

 
(10
)
Common dividends declared

 

 

 

 
(289
)
 

 
(289
)
Balance, March 31, 2019
$
711

 
536.3

 
$
5

 
$
13,795

 
$
(3,467
)
 
$
(543
)
 
$
10,501

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2019
$
932

 
540.9

 
$
5

 
$
13,893

 
$
(3,886
)
 
$
97

 
$
11,041

Net loss

 

 

 

 
(2,421
)
 

 
(2,421
)
Other comprehensive income:
 
 
 
 
 
 
 
 
 
 
 
 
 
Unrealized gain on available-for-sale securities, net

 

 

 

 

 
464

 
464

Stock-based compensation

 
0.1

 

 
3

 

 

 
3

Issuance of preferred stock, net of offering cost
557

 

 

 

 

 

 
557

Issuance of common stock, net of offering cost

 
26.7

 
1

 
438

 

 

 
439

Preferred dividends declared

 

 

 

 
(21
)
 

 
(21
)
Common dividends declared

 

 

 

 
(264
)
 

 
(264
)
Balance, March 31, 2020
$
1,489

 
567.7

 
$
6

 
$
14,334

 
$
(6,592
)
 
$
561

 
$
9,798

See accompanying notes to consolidated financial statements.


4



AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
(in millions) 
 
Three Months Ended March 31,
 
2020
 
2019
Operating activities:
 
 
 
Net income (loss)
$
(2,421
)
 
$
265

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Amortization of premiums and discounts on mortgage-backed securities, net
384

 
142

Stock-based compensation
3

 
2

Gain on sale of investment securities, net
(494
)
 
(60
)
Unrealized gain on investment securities measured at fair value through net income, net
(197
)
 
(1,060
)
Loss on derivative instruments and other securities, net
3,154

 
1,000

(Increase) decrease in other assets
78

 
(35
)
Increase (decrease) in accounts payable and other accrued liabilities
(160
)
 
75

Net cash provided by operating activities
347

 
329

Investing activities:
 
 
 
Purchases of Agency mortgage-backed securities
(23,339
)
 
(16,038
)
Purchases of credit risk transfer and non-Agency securities
(347
)
 
(499
)
Proceeds from sale of Agency mortgage-backed securities
49,596

 
4,694

Proceeds from sale of credit risk transfer and non-Agency securities
492

 
297

Principal collections on Agency mortgage-backed securities
3,743

 
1,889

Principal collections on credit risk transfer and non-Agency securities
11

 
5

Payments on U.S. Treasury securities
(17,907
)
 
(7,550
)
Proceeds from U.S. Treasury securities
8,795

 
5,103

Net proceeds from reverse repurchase agreements
5,275

 
1,526

Net payments on derivative instruments
(2,742
)
 
(714
)
Net cash provided by (used in) investing activities
23,577

 
(11,287
)
Financing activities:
 
 
 
Proceeds from repurchase arrangements
1,162,934

 
930,289

Payments on repurchase agreements
(1,185,576
)
 
(919,321
)
Payments on debt of consolidated variable interest entities
(16
)
 
(13
)
Net proceeds from preferred stock issuances
557

 
227

Net proceeds from common stock issuances
439

 

Cash dividends paid
(277
)
 
(298
)
Net cash provided by (used in) financing activities
(21,939
)
 
10,884

Net change in cash, cash equivalents and restricted cash
1,985

 
(74
)
Cash, cash equivalents and restricted cash at beginning of period
1,282

 
1,520

Cash, cash equivalents and restricted cash at end of period
$
3,267

 
$
1,446

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 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

6



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. For the three months ended March 31, 2020 and 2019, we have not recognized any impairment losses on our available-for-sale securities through net income.
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.
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.

7



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 Overnight Index Swap Rate ("OIS"), Secured Overnight Financing Rate ("SOFR") 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 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.

8



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 March 31, 2020 and December 31, 2019, our investment portfolio consisted of $71.8 billion and $100.4 billion of investment securities, at fair value, respectively, and $21.2 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 $574 million and $25 million as of March 31, 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 March 31, 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 March 31, 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.
 
 
March 31, 2020
 
December 31, 2019
Investment Securities
 
Amortized
Cost
 
Fair Value
 
Amortized
Cost
 
Fair Value
Agency RMBS:
 
 
 
 
 
 
 
 
Fixed rate
 
$
67,284

 
$
69,901

 
$
96,375

 
$
98,074

Adjustable rate
 
118

 
120

 
160

 
163

CMO
 
406

 
422

 
441

 
447

Interest-only and principal-only strips
 
138

 
165

 
146

 
164

Multifamily
 
37

 
42

 
37

 
39

Total Agency RMBS
 
67,983

 
70,650

 
97,159

 
98,887

Non-Agency RMBS
 
225

 
204

 
198

 
209

CMBS
 
360

 
348

 
352

 
370

CRT securities
 
775

 
574

 
961

 
976

Total investment securities
 
$
69,343

 
$
71,776

 
$
98,670

 
$
100,442


 
 
March 31, 2020
 
 
Agency RMBS
 
Non-Agency
 
 
 
 
Investment Securities
 
Fannie Mae
 
Freddie Mac
 
Ginnie
Mae
 
RMBS
 
CMBS
 
CRT
 
Total
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Par value
 
$
13,566

 
$
4,547

 
$
17

 
$

 
$

 
$

 
$
18,130

Unamortized discount
 
(8
)
 
(1
)
 

 

 

 

 
(9
)
Unamortized premium
 
600

 
232

 

 

 

 

 
832

Amortized cost
 
14,158

 
4,778

 
17

 

 

 

 
18,953

Gross unrealized gains
 
441

 
122

 
1

 

 

 

 
564

Gross unrealized losses
 
(3
)
 

 

 

 

 

 
(3
)
Total available-for-sale securities, at fair value
 
14,596

 
4,900

 
18

 

 

 

 
19,514

Securities remeasured at fair value through earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Par value
 
27,214

 
20,042

 
4

 
232

 
356

 
757

 
48,605

Unamortized discount
 
(24
)
 
(2
)
 

 
(10
)
 
(3
)
 
(3
)
 
(42
)
Unamortized premium
 
997

 
798

 

 
4

 
7

 
21

 
1,827

Amortized cost
 
28,187

 
20,838

 
4

 
226

 
360

 
775

 
50,390

Gross unrealized gains
 
1,223

 
890

 

 

 
6

 
1

 
2,120

Gross unrealized losses
 
(3
)
 
(3
)
 

 
(22
)
 
(18
)
 
(202
)
 
(248
)
Total securities remeasured at fair value through earnings
 
29,407

 
21,725