BETHESDA, Md., March 31, 2020 /PRNewswire/ -- AGNC Investment
Corp. (Nasdaq: AGNC) ("AGNC" or the "Company") today announced the
following updates with respect to its business operations and
portfolio management.
"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
Gary Kain, the Company's Chief
Executive Officer and Chief Investment Officer.
"Specifically, the volatility and lack of liquidity we experienced
in mid-March in Agency mortgage-backed securities ("Agency MBS")
reached levels I had never witnessed over the span of my 30-year
career. Starting in late February and throughout March, the
Company took aggressive actions to counter these extremely
challenging market conditions in an effort to strengthen our
liquidity position and mitigate risk. Importantly, the
unprecedented actions by the Federal Reserve over the last several
weeks, in particular its substantial acquisitions of Agency MBS,
have significantly improved valuations and stabilized the broader
mortgage market.
"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 March 27, 2020:
- Tangible net book value per common share is estimated to be
between $12.35 and $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
billion of capital plus excess margin held at our
broker-dealer subsidiary Bethesda Securities or $0.3 billion of 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 billion of
To-Be-Announced ("TBA") Agency MBS and $1.1
billion of 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 Bethesda Securities,
and non-Agency securities; "at risk" leverage; and portfolio size
and composition, including total TBA and non-Agency securities, are
unaudited and have not been verified or reviewed by any third
party. Management's estimates are derived from third party
pricing service estimates as of March
27, 2020. Intra-period estimates, including those
derived from daily pricing services, are subject to inherent
uncertainties, especially in light of recent market volatility and
reduced pricing transparency for some assets. Actual amounts
may be materially different and are subject to change over
time. The Company undertakes no obligation to update or
revise these estimates.
For further information or questions, please contact Investor
Relations at (301) 968-9300 or IR@AGNC.com.
ABOUT AGNC INVESTMENT CORP.
AGNC Investment Corp. is
an internally-managed real estate investment trust 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. 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 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.
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 US Treasury repurchase agreements.
CONTACT:
Investor Relations - (301) 968-9300
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SOURCE AGNC Investment Corp.