3 unchanged sentences
(in millions, except per share data)
−Removed: September 30, 2020 December 31, 2019
+Added: March 31, 2021 December 31, 2020
Agency securities, at fair value (including pledged securities of $ 56,343 and $ 53,698 , respectively)
3 unchanged sentences
Non-Agency securities, at fair value (including pledged securities of $ 414 and $ 458 , respectively)
−Removed: Treasury securities, at fair value (including pledged securities of $ 0 and $ 97 , respectively)
Cash and cash equivalents 963 1,017
15 unchanged sentences
Stockholders' equity:
−Removed: Preferred Stock - aggregate liquidation preference of $ 1,538 and $ 963 , respectively
+Added: Preferred Stock - aggregate liquidation preference of $ 1,538
Common stock - $ 0.01 par value;
−Removed: 1,500 and 900 shares authorized, respectively;
+Added: 1,500 shares authorized;
524.9 and 539.5 shares issued and outstanding, respectively
8 unchanged sentences
(in millions, except per share data)
−Removed: Three Months Ended September 30, Nine Months Ended September 30,
−Removed: 2020 2019 2020 2019
+Added: Three Months Ended March 31,
Interest income:
3 unchanged sentences
Other gain (loss), net:
−Removed: Gain on sale of investment securities, net 346 89 993 281
+Added: Gain (loss) on sale of investment securities, net ( 13 ) 494
Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 955 ) 197
9 unchanged sentences
Net income (loss) $ 975 $ ( 2,421 )
−Removed: Unrealized gain on investment securities measured at fair value through other comprehensive income, net 70 246 737 1,025
+Added: Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net ( 237 ) 464
Comprehensive income (loss) 738 ( 1,957 )
2 unchanged sentences
Weighted average number of common shares outstanding - basic
−Removed: 553.2 546.4 553.8 540.3
Weighted average number of common shares outstanding - diluted
−Removed: 554.3 546.4 553.8 540.3
Net income (loss) per common share - basic $ 1.78 $ ( 4.46 )
11 unchanged sentences
Shares Amount
−Removed: Balance, June 30, 2019 $ 711 547.8 $ 5 $ 13,988 $ ( 4,194 ) $ ( 164 ) $ 10,346
−Removed: Net loss — — — — ( 4 ) — ( 4 )
−Removed: Other comprehensive income:
−Removed: Unrealized gain on available-for-sale securities, net — — — — — 246 246
−Removed: Stock-based compensation — — — 3 — — 3
−Removed: Repurchase of common stock — (6.9) — (103) — — ( 103 )
−Removed: Preferred dividends declared — — — — ( 13 ) — ( 13 )
−Removed: Common dividends declared — — — — ( 262 ) — ( 262 )
−Removed: Balance, September 30, 2019 $ 711 540.9 $ 5 $ 13,888 $ ( 4,473 ) $ 82 $ 10,213
−Removed: Balance, June 30, 2020 $ 1,489 555.5 $ 6 $ 14,191 $ ( 6,100 ) $ 764 $ 10,350
−Removed: Net income — — — — 662 — 662
−Removed: Other comprehensive income:
−Removed: Unrealized gain on available-for-sale securities, net — — — — — 70 70
−Removed: Stock-based compensation — — — 5 — — 5
−Removed: Repurchase of common stock — ( 10.3 ) ( 1 ) ( 143 ) — — ( 144 )
−Removed: Preferred dividends declared — — — — ( 25 ) — ( 25 )
−Removed: Common dividends declared — — — — ( 198 ) — ( 198 )
−Removed: Balance, September 30, 2020 $ 1,489 545.2 $ 5 $ 14,053 $ ( 5,661 ) $ 834 $ 10,720
Balance, December 31, 2019 $ 932 540.9 $ 5 $ 13,893 $ ( 3,886 ) $ 97 $ 11,041
2 unchanged sentences
Unrealized gain on available-for-sale securities, net — — — — — 464 464
−Removed: Stock-based compensation — 0.1 — 8 — — 8
−Removed: Issuance of common stock, net of offering cost — 11.4 — 190 — — 190
−Removed: Repurchase of common stock — ( 6.9 ) — ( 103 ) — — (103)
+Added: Stock-based compensation, net — 0.1 — 3 — — 3
Issuance of preferred stock, net of offering cost 557 — — — — — 557
+Added: Issuance of common stock, net of offering cost — 26.7 1 438 — — 439
Preferred dividends declared — — — — ( 21 ) — ( 21 )
Common dividends declared — — — — ( 264 ) — ( 264 )
−Removed: Balance, September 30, 2019 $ 711 540.9 $ 5 $ 13,888 $ ( 4,473 ) $ 82 $ 10,213
+Added: Balance, March 31, 2020 $ 1,489 567.7 $ 6 $ 14,334 $ ( 6,592 ) $ 561 $ 9,798
Balance, December 31, 2020 $ 1,489 539.5 $ 5 $ 13,972 $ ( 5,106 ) $ 719 $ 11,079
−Removed: Net loss — — — — ( 1,041 ) — ( 1,041 )
−Removed: Other comprehensive income:
−Removed: Unrealized gain on available-for-sale securities, net — — — — — 737 737
−Removed: Stock-based compensation — 0.1 — 12 — — 12
−Removed: Issuance of preferred stock, net of offering cost 557 — — — — — 557
−Removed: Issuance of common stock, net of offering cost — 26.7 1 438 — — 439
+Added: Net income — — — — 975 — 975
+Added: Other comprehensive loss:
+Added: Unrealized loss on available-for-sale securities, net — — — — — ( 237 ) ( 237 )
+Added: Stock-based compensation, net — 0.4 — 3 — — 3
Repurchase of common stock — ( 15.0 ) — ( 239 ) — — ( 239 )
1 unchanged sentence
Common dividends declared — — — — ( 192 ) — ( 192 )
−Removed: Balance, September 30, 2020 $ 1,489 545.2 $ 5 $ 14,053 $ ( 5,661 ) $ 834 $ 10,720
+Added: Balance, March 31, 2021 $ 1,489 524.9 $ 5 $ 13,736 $ ( 4,348 ) $ 482 $ 11,364
See accompanying notes to consolidated financial statements.
2 unchanged sentences
(in millions)
−Removed: Nine Months Ended September 30,
+Added: Three Months Ended
Operating activities:
−Removed: Net loss $ ( 1,041 ) $ ( 183 )
−Removed: Adjustments to reconcile net income to net cash provided by operating activities:
+Added: Net income (loss) $ 975 $ ( 2,421 )
+Added: Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net ( 76 ) 384
−Removed: Stock-based compensation 12 8
−Removed: Gain on sale of investment securities, net ( 993 ) ( 281 )
−Removed: Unrealized gain on investment securities measured at fair value through net income, net ( 511 ) ( 2,174 )
−Removed: Loss on derivative instruments and other securities, net 3,139 2,986
−Removed: (Increase) decrease in other assets 104 ( 35 )
+Added: Stock-based compensation, net 3 3
+Added: (Gain) loss on sale of investment securities, net 13 ( 494 )
+Added: Unrealized (gain) loss on investment securities measured at fair value through net income, net 955 ( 197 )
+Added: (Gain) loss on derivative instruments and other securities, net ( 1,439 ) 3,154
+Added: Decrease in other assets 9 78
Decrease in accounts payable and other accrued liabilities ( 12 ) ( 160 )
11 unchanged sentences
Treasury securities 8,474 8,795
−Removed: Net proceeds from reverse repurchase agreements 1,590 16,014
−Removed: Net payments on derivative instruments ( 2,260 ) ( 1,990 )
+Added: Net proceeds from (payments on) reverse repurchase agreements ( 5,055 ) 5,275
+Added: Net proceeds from (payments on) derivative instruments 1,395 ( 2,742 )
Net cash provided by (used in) investing activities ( 3,196 ) 23,577
14 unchanged sentences
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
−Removed: Basis of Presentation
−Removed: The unaudited interim consolidated financial statements of AGNC Investment Corp.
−Removed: (referred throughout this report as the "Company," "we," "us" and "our") are prepared in accordance with U.S.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.
−Removed: 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.
−Removed: Significant intercompany accounts and transactions have been eliminated .
−Removed: We were organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering.
+Added: AGNC Investment Corp.
+Added: (referred throughout this report as the "Company," "we," "us" and "our") was 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."
−Removed: 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.
−Removed: 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.
−Removed: 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").
−Removed: As a REIT, we are required to distribute annually 90 % of our taxable income, and we will generally not be subject to U.S.
−Removed: federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis.
−Removed: 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.
2 unchanged sentences
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.
−Removed: Government agency, and in other investments in, or related to, the housing, mortgage or real estate markets.
−Removed: We fund our investments primarily through borrowings structured as repurchase agreements.
+Added: Government agency, and other assets related to the housing, mortgage or real estate markets.
+Added: We fund our investments primarily through collateralized borrowings structured as repurchase agreements.
+Added: 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").
+Added: As a REIT, we are required to distribute annually 90 % of our taxable income, and we will generally not be subject to U.S.
+Added: federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis.
+Added: 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.
+Added: We are internally managed with the principal objective of providing our stockholders with attractive risk-adjusted returns through a combination of monthly dividends and tangible net book value accretion.
+Added: 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.
Summary of Significant Accounting Policies
+Added: Basis of Presentation
+Added: Our accompanying consolidated financial statements and related notes have been prepared in accordance with U.S.
+Added: 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.
+Added: The accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary.
+Added: Significant intercompany accounts and transactions have been eliminated.
+Added: The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2020.
+Added: The preparation of consolidated 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 consolidated financial statements and the reported amounts of income and expenses during the reporting period.
+Added: In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of consolidated financial statements for the interim period have been included.
+Added: The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.
Investment Securities
34 unchanged sentences
Repurchase Agreements
−Removed: We finance the acquisition of securities for our investment portfolio primarily through repurchase transactions under master repurchase agreements.
−Removed: 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.
+Added: We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with financial institutions.
+Added: Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date.
+Added: We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments.
+Added: Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase agreements 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.
34 unchanged sentences
Our interest rate swaption agreements are not subject to central clearing.
−Removed: The premium paid for interest rate swaptions is reported as an asset in
−Removed: our consolidated balance sheets.
+Added: 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.
21 unchanged sentences
Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
+Added: Fair Value Measurements
+Added: We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date.
+Added: We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date.
+Added: We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement.
+Added: The three levels of valuation hierarchy are defined as follows:
+Added: • Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.
+Added: • Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets;
+Added: quoted prices for identical or similar instruments in markets that are not active;
+Added: and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
+Added: • Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.
+Added: The majority of our financial instruments are classified as Level 2 inputs.
+Added: The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument.
+Added: We typically obtain price estimates from multiple third-
+Added: party pricing sources, such as pricing services and dealers, or, if applicable, the registered clearing exchange.
+Added: We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity.
+Added: We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities and for consistency with market conditions observed as of the measurement date.
+Added: While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation procedures and our market knowledge and expertise that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price.
+Added: The following is a description of the valuation methodologies used for instruments measured at fair value on a recurring basis classified as Level 2 inputs.
+Added: These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis.
+Added: The liquidity of these markets and the similarity of our securities and derivative instruments to those actively traded enable our pricing sources and us to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements.
+Added: Investment securities - are valued based on prices obtained from multiple third-party pricing sources.
+Added: The pricing sources utilize various valuation approaches, including market and income approaches.
+Added: For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate.
+Added: For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value.
+Added: Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.
+Added: TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.
+Added: Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.
+Added: Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models.
+Added: The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any.
+Added: Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets.
+Added: None of our financial instruments are classified as Level 3 inputs.
Recent Accounting Pronouncements
−Removed: 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.
−Removed: For financial instruments carried at amortized cost, impairment will be measured as a current estimate of expected lifetime credit losses.
−Removed: 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.
−Removed: 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.
1 unchanged sentence
Investment Securities
−Removed: 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.
−Removed: 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.
+Added: As of March 31, 2021 and December 31, 2020, our investment portfolio consisted of $ 65.5 billion and $ 66.4 billion of investment securities, at fair value, respectively, and $ 24.8 billion and $ 31.5 billion of net TBA securities, at fair value, respectively.
+Added: Our net TBA position is reported at its net carrying value of $( 576 ) million and $ 275 million as of March 31, 2021 and December 31, 2020, 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.
−Removed: 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.
−Removed: The following tables summarize our investment securities as of September 30, 2020 and December 31, 2019, excluding TBA securities, (dollars in millions).
+Added: As of March 31, 2021 and December 31, 2020, our investment securities had a net unamortized premium balance of $ 2.5 billion and $ 2.4 billion, respectively.
+Added: The following tables summarize our investment securities as of March 31, 2021 and December 31, 2020, excluding TBA securities, (dollars in millions).
Details of our TBA securities as of each of the respective dates are included in Note 5.
−Removed: September 30, 2020 December 31, 2019
+Added: March 31, 2021 December 31, 2020
Investment Securities Amortized
11 unchanged sentences
Total investment securities $ 63,975 $ 65,497 $ 63,701 $ 66,414
−Removed: September 30, 2020
+Added: March 31, 2021
Agency RMBS Non-Agency
28 unchanged sentences
Total securities, at fair value $ 43,598 $ 19,953 $ 5 $ 495 $ 373 $ 1,073 $ 65,497
−Removed: Weighted average coupon as of September 30, 2020
+Added: Weighted average coupon as of March 31, 2021
3.20 % 3.27 % 4.71 % 3.16 % 4.06 % 3.30 % 3.23 %
−Removed: Weighted average yield as of September 30, 2020 1
+Added: Weighted average yield as of March 31, 2021 1
2.35 % 2.36 % 2.53 % 1.56 % 4.31 % 3.79 % 2.39 %
________________________________
−Removed: Incorporates a weighted average future constant prepayment rate assumption of 15.9 % based on forward rates as of September 30, 2020.
+Added: Incorporates a weighted average future constant prepayment rate assumption of 11.3 % based on forward rates as of March 31, 2021.
December 31, 2020
30 unchanged sentences
Incorporates a weighted average future constant prepayment rate assumption of 17.6 % based on forward rates as of December 31, 2020.
−Removed: As of September 30, 2020 and December 31, 2019, our investments in CRT and non-Agency securities had the following credit ratings:
−Removed: September 30, 2020 December 31, 2019
+Added: As of March 31, 2021 and December 31, 2020, our investments in CRT and non-Agency securities had the following credit ratings (in millions):
+Added: March 31, 2021 December 31, 2020
CRT and Non-Agency Security Credit Ratings 1
14 unchanged sentences
The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates.
−Removed: As of September 30, 2020 and December 31, 2019, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 15.9 % and 10.8 %, respectively.
+Added: As of March 31, 2021 and December 31, 2020, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 11.3 % and 17.6 %, respectively.
Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs.
−Removed: The following table summarizes our investments as of September 30, 2020 and December 31, 2019 according to their estimated weighted average life classification (dollars in millions):
−Removed: September 30, 2020 December 31, 2019
+Added: The following table summarizes our investments as of March 31, 2021 and December 31, 2020 according to their estimated weighted average life classification (dollars in millions):
+Added: March 31, 2021 December 31, 2020
Estimated Weighted Average Life of Investment Securities Fair Value Amortized
9 unchanged sentences
$ 65,497 $ 63,975 3.23 % 2.39 % $ 66,414 $ 63,701 3.39 % 2.33 %
−Removed: The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2020 and December 31, 2019 (in millions):
−Removed: Unrealized Loss Position For
−Removed: Less than 12 Months 12 Months or More Total
−Removed: Securities Classified as Available-for-Sale Fair
−Removed: Value Unrealized
−Removed: Fair Value Unrealized
−Removed: Value Unrealized
−Removed: September 30, 2020 $ 13 $ — $ — $ — $ 13 $ —
−Removed: December 31, 2019 $ 1,653 $ ( 12 ) $ 6,984 $ ( 63 ) $ 8,637 $ ( 75 )
Gains and Losses on Sale of Investment Securities
−Removed: The following table is a summary of our net gain (loss) from the sale of investment securities for the three and nine months ended September 30, 2020 and 2019 by investment classification of accounting (in millions):
−Removed: Three Months Ended June 30,
−Removed: Investment Securities Available-for-Sale
−Removed: Fair Value Option Securities Total Available-for-Sale
−Removed: Fair Value Option Securities Total
−Removed: Investment securities sold, at cost $ — $ ( 13,430 ) $ ( 13,430 ) $ — $ ( 5,048 ) $ ( 5,048 )
−Removed: Proceeds from investment securities sold 1
−Removed: — 13,776 13,776 — 5,137 5,137
−Removed: Net gain (loss) on sale of investment securities $ — $ 346 $ 346 $ — $ 89 $ 89
−Removed: Gross gain on sale of investment securities $ — $ 354 $ 354 $ — $ 90 $ 90
−Removed: Gross loss on sale of investment securities — ( 8 ) ( 8 ) — ( 1 ) ( 1 )
−Removed: Net gain (loss) on sale of investment securities $ — $ 346 $ 346 $ — $ 89 $ 89
−Removed: Nine Months Ended September 30,
+Added: The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2021 and 2020 by investment classification of accounting (in millions):
+Added: Three Months Ended March 31,
Investment Securities Available-for-Sale
14 unchanged sentences
We pledge our securities as collateral under our borrowings structured as repurchase agreements with financial institutions.
−Removed: Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which
−Removed: fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries.
+Added: Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries.
If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us.
−Removed: As of September 30, 2020, we had met all margin call requirements.
+Added: As of March 31, 2021, we had met all margin call requirements.
For additional information regarding our pledged assets, please refer to Note 6.
−Removed: As of September 30, 2020 and December 31, 2019, we had $ 54.6 billion and $ 89.2 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S.
−Removed: Treasury securities.
+Added: As of March 31, 2021 and December 31, 2020, we had $ 55.1 billion and $ 52.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio.
The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis.
Our repurchase agreements with original maturities greater than one year may have floating interest rates based on an index plus or minus a fixed spread.
−Removed: The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of September 30, 2020 and December 31, 2019 (dollars in millions):
−Removed: September 30, 2020 December 31, 2019
+Added: The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2021 and December 31, 2020 (dollars in millions):
+Added: March 31, 2021 December 31, 2020
Remaining Maturity Repurchase Agreements Weighted
8 unchanged sentences
> 12 to ≤ 24 months 625 0.19 % 406 — — % —
−Removed: > 24 to ≤ 36 months — — % — 1,700 2.45 % 833
−Removed: Total Agency repo
−Removed: 54,366 0.37 % 55 89,085 2.17 % 55
−Removed: Treasury repo:
−Removed: > 1 day to ≤ 1 month 200 0.10 % 1 97 1.63 % 2
Total $ 55,056 0.15 % 73 $ 52,366 0.24 % 54
−Removed: As of September 30, 2020 and December 31, 2019, $ 8.9 billion and $ 17.0 billion, respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand.
−Removed: As of September 30, 2020, we had $ 1.5 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 93 days and a weighted average interest rate of 0.25 %.
+Added: As of March 31, 2021 and December 31, 2020, $ 4.3 billion and $ 11.2 billion, respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand.
+Added: As of March 31, 2021, we had no forward commitments to enter into repurchase agreements.
As of December 31, 2020, we had $ 2.9 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 4 days and a weighted average interest rate of 0.12 %.
−Removed: As of September 30, 2020 and December 31, 2019, 48 % and 40 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").
−Removed: Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 48 % and 38 % of our repurchase agreement funding outstanding as of September 30, 2020 and December 31, 2019, respectively.
−Removed: During the nine months ended September 30, 2020, we terminated $ 3.7 billion of repurchase agreements with a weighted average interest rate of 2.11 % and a weighted average remaining maturity of 2.2 years.
−Removed: The terminated agreements were replaced with shorter duration repurchase agreements at lower prevailing market rates.
−Removed: We recognized losses on debt extinguishment of $ 146 million in other gain (loss), net for the nine months ended September 30, 2020 associated with the terminated repurchase agreements.
−Removed: We did not terminate any repurchase agreements during the three months ended September 30, 2020 or the prior year periods.
+Added: As of March 31, 2021 and December 31, 2020, 45 % and 47 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").
+Added: Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 44 % and 46 % of our repurchase agreement funding outstanding as of March 31, 2021 and December 31, 2020, respectively.
Reverse Repurchase Agreements
−Removed: As of September 30, 2020 and December 31, 2019, we had $8.6 billion and $10.2 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S.
+Added: As of March 31, 2021 and December 31, 2020, we had $16.8 billion and $11.7 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S.
Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $15.1 billion and $11.7 billion, respectively.
−Removed: As of September 30, 2020 and December 31, 2019, $ 3.6 billion and $ 5.4 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.
+Added: As of March 31, 2021 and December 31, 2020, $ 3.3 billion and $ 3.6 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.
Derivative and Other Hedging Instruments
5 unchanged sentences
Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
−Removed: The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of September 30, 2020 and December 31, 2019 (in millions):
−Removed: Derivative and Other Hedging Instruments Balance Sheet Location September 30,
+Added: The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2021 and December 31, 2020 (in millions):
+Added: Derivative and Other Hedging Instruments Balance Sheet Location March 31,
Interest rate swaps Derivative assets, at fair value $ 45 $ —
3 unchanged sentences
Total derivative assets, at fair value
−Removed: Interest rate swaps Derivative liabilities, at fair value $ — $ ( 2 )
TBA securities Derivative liabilities, at fair value ( 589 ) —
2 unchanged sentences
$ ( 589 ) $ ( 2 )
−Removed: Treasury securities - long U.S.
−Removed: Treasury securities, at fair value $ — $ 97
Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value ( 15,090 ) ( 11,727 )
1 unchanged sentence
$ ( 15,090 ) $ ( 11,727 )
−Removed: The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of September 30, 2020 and December 31, 2019 (dollars in millions):
−Removed: September 30, 2020 December 31, 2019
+Added: The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2021 and December 31, 2020 (dollars in millions):
+Added: March 31, 2021 December 31, 2020
Pay Fixed / Receive Variable Interest Rate Swaps Notional
8 unchanged sentences
Total $ 49,725 0.18 % 0.02 % 4.7 $ 43,225 0.15 % 0.08 % 5.1
−Removed: Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount) September 30, 2020 December 31, 2019
+Added: Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount) March 31,
+Added: December 31, 2020
SOFR 74 % 71 %
OIS 26 % 29 %
−Removed: 3M LIBOR — % 11 %
Total 100 % 100 %
4 unchanged sentences
Amount Average Fixed Pay
−Removed: September 30, 2020
+Added: March 31, 2021
≤ 1 year $ 116 $ 110 6 $ 5,400 2.17 % 9.0
> 1 year ≤ 2 years 62 182 20 2,750 1.39 % 10.0
+Added: > 2 year ≤ 3 years 129 292 33 4,750 1.96 % 10.0
+Added: > 3 year ≤ 4 years 8 23 37 250 1.43 % 10.0
Total $ 315 $ 607 19 $ 13,150 1.92 % 9.6
2 unchanged sentences
> 1 year ≤ 2 years 41 33 20 2,000 1.38 % 10.0
+Added: > 2 year ≤ 3 years 65 60 33 2,250 1.40 % 10.0
+Added: > 3 year ≤ 4 years 8 8 40 250 1.43 % 10.0
Total $ 237 $ 116 15 $ 10,400 1.84 % 9.5
________________________________
−Removed: As of September 30, 2020 and December 31, 2019, ≤ 1 year notional amount includes $ 700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.
−Removed: As of September 30, 2020, 71% and 29% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively, and, as of December 31, 2019, 100% of the underlying payer swap receive rates were tied to 3-Month LIBOR.
−Removed: Treasury Securities September 30, 2020 December 31, 2019
+Added: As of March 31, 2021 and December 31, 2020, ≤ 1 year notional amount includes $ 700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.
+Added: As of March 31, 2021, 20% and 80% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively.
+Added: As of December 31, 2020, 33% and 67% of the underlying payer swap receive rates were tied to 3-Month LIBOR and SOFR, respectively.
+Added: Treasury Securities March 31, 2021 December 31, 2020
Maturity Face Amount Long/(Short) Cost Basis 1
5 unchanged sentences
________________________________
−Removed: As of September 30, 2020 and December 31, 2019, short U.S.
−Removed: Treasury securities had a weighted average yield of 1.32 % and 2.19 %, respectively, and, as of December 31, 2019, long U.S.
−Removed: Treasury securities had a weighted average yield of 2.21 %.
−Removed: Treasury Futures September 30, 2020 December 31, 2019
+Added: As of March 31, 2021 and December 31, 2020, short U.S.
+Added: Treasury securities had a weighted average yield of 1.17 % and 1.20 %, respectively.
+Added: Treasury Futures March 31, 2021 December 31, 2020
Maturity Notional
8 unchanged sentences
Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
−Removed: September 30, 2020 December 31, 2019
+Added: March 31, 2021 December 31, 2020
TBA Securities by Coupon Notional
6 unchanged sentences
328 343 341 ( 2 ) 200 208 209 1
−Removed: — — — — 1,059 1,083 1,086 3
−Removed: — — — — 241 250 250 —
−Removed: — — — — 75 78 78 —
Total 15-Year TBA securities ( 2,256 ) ( 2,352 ) ( 2,358 ) ( 6 ) 6,740 6,916 6,980 64
4 unchanged sentences
401 426 423 ( 3 ) 124 131 131 —
−Removed: — — — — ( 1,507 ) ( 1,565 ) ( 1,568 ) ( 3 )
−Removed: — — — — 415 436 437 1
Total 30-Year TBA securities, net 26,774 27,707 27,137 ( 570 ) 23,624 24,288 24,499 211
3 unchanged sentences
Gain (Loss) From Derivative Instruments and Other Securities, Net
−Removed: The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and nine months ended September 30, 2020 and 2019 (in millions):
+Added: The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three months ended March 31, 2021 and 2020 (in millions):
Derivative and Other Hedging Instruments Beginning
4 unchanged sentences
on Derivative Instruments and Other Securities, Net 1
−Removed: Three months ended September 30, 2020:
−Removed: TBA securities, net $ 19,760 80,599 ( 71,838 ) $ 28,521 $ 283
−Removed: Interest rate swaps - payer $ 42,075 24,975 ( 24,075 ) $ 42,975 140
−Removed: Payer swaptions $ 9,350 — ( 2,450 ) $ 6,900 ( 1 )
−Removed: Treasury securities - short position $ ( 7,247 ) ( 2,735 ) 2,255 $ ( 7,727 ) ( 15 )
−Removed: Treasury securities - long position $ 1,132 — ( 1,133 ) $ ( 1 ) 1
−Removed: Treasury futures contracts - short position $ ( 1,000 ) ( 1,000 ) 1,000 $ ( 1,000 ) ( 5 )
−Removed: Three months ended September 30, 2019:
−Removed: TBA securities, net $ 11,043 24,305 ( 33,381 ) $ 1,967 $ 144
−Removed: Interest rate swaps - payer $ 74,950 82,625 ( 75,800 ) $ 81,775 ( 482 )
−Removed: Interest rate swaps - receiver $ — ( 175 ) 175 $ — —
−Removed: Payer swaptions $ 4,400 4,500 ( 250 ) $ 8,650 ( 19 )
−Removed: Treasury securities - short position $ ( 7,245 ) ( 98 ) 2,710 $ ( 4,633 ) ( 154 )
−Removed: Treasury securities - long position $ 1,134 353 ( 1,278 ) $ 209 5
−Removed: Treasury futures contracts - short position $ ( 1,650 ) ( 1,000 ) 1,650 $ ( 1,000 ) ( 40 )
−Removed: Nine months ended September 30, 2020:
+Added: Three months ended March 31, 2021:
TBA securities, net $ 30,364 93,336 ( 99,182 ) $ 24,518 $ ( 926 )
4 unchanged sentences
Treasury futures contracts - short position $ ( 1,000 ) ( 1,000 ) 1,000 $ ( 1,000 ) 61
−Removed: Nine months ended September 30, 2019:
+Added: Three months ended March 31, 2020:
TBA securities, net $ 7,322 37,750 ( 24,793 ) $ 20,279 $ 693
Interest rate swaps - payer $ 79,075 49,975 ( 82,575 ) $ 46,475 ( 2,795 )
−Removed: Interest rate swaps - receiver $ — ( 175 ) 175 $ — —
Payer swaptions $ 8,850 2,000 ( 1,300 ) $ 9,550 ( 134 )
3 unchanged sentences
________________________________
−Removed: Amounts exclude $ 146 million of losses on debt extinguishment for the nine months ended September 30, 2020 (see Note 5) and other miscellaneous gains and losses for all periods presented recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
+Added: Amounts exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Pledged Assets
1 unchanged sentence
Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract.
−Removed: We are typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value.
+Added: We are typically required to post initial margin upon execution of derivative transactions, such as under our
+Added: interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value.
Our brokerage and custody agreements and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits.
10 unchanged sentences
However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark-to-market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.
−Removed: As of September 30, 2020, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 2 % of our tangible stockholders' equity (measured as the excess of the value of collateral pledged over the amount of our repurchase liabilities).
−Removed: As of September 30, 2020, approximately 10 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.
+Added: As of March 31, 2021, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 2 % of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables).
+Added: As of March 31, 2021, approximately 9 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.
Assets Pledged to Counterparties
−Removed: The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of September 30, 2020 and December 31, 2019 (in millions):
−Removed: September 30, 2020
+Added: The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2021 and December 31, 2020 (in millions):
+Added: March 31, 2021
Assets Pledged to Counterparties 1
19 unchanged sentences
455 — — — 455
−Removed: Treasury securities - fair value
+Added: Non-Agency - fair value
458 — — — 458
5 unchanged sentences
Includes repledged assets received as collateral from counterparties and securities sold but not yet settled.
−Removed: Includes $ 131 million and $ 144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2020 and December 31, 2019, respectively.
+Added: Includes $ 106 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2021 and December 31, 2020, respectively.
Includes margin for TBAs cleared through prime brokers and other clearing deposits.
−Removed: The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of September 30, 2020 and December 31, 2019 (in millions).
+Added: The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of March 31, 2021 and December 31, 2020 (in millions).
For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 .
−Removed: September 30, 2020 December 31, 2019
+Added: March 31, 2021 December 31, 2020
Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2
9 unchanged sentences
________________________________
−Removed: Includes $ 131 million and $ 144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2020 and December 31, 2019, respectively.
−Removed: Excludes $ 200 million and $ 357 million of repledged U.S.
−Removed: Treasury securities received as collateral from counterparties as of September 30, 2020 and December 31, 2019, respectively.
+Added: Includes $ 106 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2021 and December 31, 2020, respectively.
+Added: Excludes $ 1.4 billion of repledged U.S.
+Added: Treasury securities received as collateral from counterparties as of March 31, 2021.
Assets Pledged from Counterparties
−Removed: As of September 30, 2020 and December 31, 2019, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).
−Removed: September 30, 2020 December 31, 2019
+Added: As of March 31, 2021 and December 31, 2020, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).
+Added: March 31, 2021 December 31, 2020
Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total
4 unchanged sentences
________________________________
−Removed: As of September 30, 2020 and December 31, 2019, $ 200 million and $ 357 million, respectively, of U.S.
−Removed: Treasury securities received from counterparties were repledged as collateral and $8.4 billion and $9.5 billion, respectively, were used to cover short sales of U.S.
+Added: As of March 31, 2021, $ 1.4 billion of U.S.
+Added: Treasury securities received from counterparties were repledged as collateral.
+Added: As of March 31, 2021 and December 31, 2020, $15.1 billion and $11.7 billion, respectively, of U.S.
+Added: Treasury securities received from counterparties were used to cover short sales of U.S.
Treasury securities.
2 unchanged sentences
We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets.
−Removed: The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of September 30, 2020 and December 31, 2019 (in millions):
+Added: The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2021 and December 31, 2020 (in millions):
Offsetting of Financial and Derivative Assets
2 unchanged sentences
Financial Instruments Collateral Received 2
−Removed: September 30, 2020
+Added: March 31, 2021
Interest rate swap and swaption agreements, at fair value 1
13 unchanged sentences
Financial Instruments Collateral Pledged 2
−Removed: September 30, 2020
−Removed: Interest rate swap agreements, at fair value 1
−Removed: $ — $ — $ — $ — $ — $ —
+Added: March 31, 2021
TBA securities, at fair value 589 — 589 ( 13 ) ( 576 ) —
2 unchanged sentences
December 31, 2020
−Removed: Interest rate swap agreements, at fair value 1
−Removed: $ 2 $ — $ 2 $ ( 2 ) $ — $ —
−Removed: TBA securities, at fair value 4 — 4 ( 4 ) — —
Repurchase agreements 52,366 — 52,366 ( 6,522 ) ( 45,844 ) —
7 unchanged sentences
Fair Value Measurements
−Removed: We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date.
−Removed: We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date.
−Removed: We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement.
−Removed: The three levels of valuation hierarchy are defined as follows:
−Removed: • Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.
−Removed: • Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets;
−Removed: quoted prices for identical or similar instruments in markets that are not active;
−Removed: and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
−Removed: • Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.
−Removed: We typically obtain price estimates from multiple third-party pricing services and dealers or, if applicable, the registered clearing exchange.
−Removed: The following is a description of the valuation methodologies used for instruments carried at fair value on a recurring basis.
−Removed: Treasury securities and futures prices - are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets.
−Removed: TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.
−Removed: Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.
−Removed: Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models.
−Removed: The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any.
−Removed: Investment securities - are valued based on prices obtained from multiple third-party pricing sources.
−Removed: The pricing sources utilize various valuation approaches, including market and income approaches.
−Removed: For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, which may include maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate.
−Removed: For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value.
−Removed: Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.
−Removed: The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument.
−Removed: We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity.
−Removed: We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities and for consistency with market conditions observed as of the measurement date.
−Removed: While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation
−Removed: procedures and our market knowledge and expertise that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price.
−Removed: The markets for interest rate swap, swaption and TBA derivatives and for the investment securities that we invest in are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis.
−Removed: The liquidity of these markets and the similarity of our securities and derivative instruments to those actively traded enable our pricing sources and us to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements.
−Removed: Consequently, we classify these instruments as Level 2 inputs in the fair value hierarchy.
−Removed: The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of September 30, 2020 and December 31, 2019, based on their categorization within the valuation hierarchy (in millions).
−Removed: There were no transfers between valuation hierarchy levels during the periods presented.
−Removed: September 30, 2020 December 31, 2019
+Added: The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2021 and December 31, 2020, based on their categorization within the valuation hierarchy (in millions).
+Added: There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.
+Added: March 31, 2021 December 31, 2020
Level 1 Level 2 Level 3 Level 1 Level 2 Level 3
7 unchanged sentences
— 868 — — 546 —
−Removed: Treasury securities
Interest rate swaps
— 607 — — 116 —
−Removed: — 5 — — 126 —
TBA securities
7 unchanged sentences
TBA securities
+Added: — 589 — — — —
Treasury futures
1 unchanged sentence
Excluded from the table above are financial instruments presented in our consolidated financial statements at cost.
−Removed: The fair value of our repurchase agreements approximated cost as of September 30, 2020 and December 31, 2019, as the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market.
−Removed: The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of September 30, 2020 and December 31, 2019 due to their short duration.
+Added: The fair value of our repurchase agreements approximated cost as of March 31, 2021 and December 31, 2020, as the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market.
+Added: The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of March 31, 2021 and December 31, 2020 due to their short duration.
We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs.
4 unchanged sentences
The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated (shares and dollars in millions):
−Removed: Three Months Ended
−Removed: September 30,
−Removed: Nine Months Ended September 30,
−Removed: 2020 2019 2020 2019
+Added: Three Months Ended March 31,
Weighted average number of common shares issued and outstanding 532.5 547.5
6 unchanged sentences
Net income (loss) per common share - diluted $ 1.77 $ ( 4.46 )
−Removed: For the nine months ended September 30, 2020 and for the three and nine months ended September 30, 2019, 1.0 million, 0.7 million and 0.6 million, respectively, of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.
+Added: For the three months ended March 31, 2020, 1.2 million of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.
Stockholders' Equity
1 unchanged sentence
We are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series.
−Removed: As of September 30, 2020, 13,800 , 10,350 , 16,100 and 23,000 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively).
−Removed: During February 2020, we issued $575 million, or 23,000 shares, of 6.125% Series F Preferred Stock, for net proceeds of $557 million.
−Removed: As of September 30, 2020, 13,000 , 9,400 , 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding, with an aggregate carrying value of $ 1,489 million and aggregate liquidation preference of $ 1,538 million.
+Added: As of March 31, 2021 and December 31, 2020, 13,800 , 10,350 , 16,100 and 23,000 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively).
+Added: As of March 31, 2021 and December 31, 2020, 13,000 , 9,400 , 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding.
Each share of preferred stock is represented by 1,000 depositary shares.
+Added: Each share of preferred stock has a liquidation preference of $25,000 per share (or $25 per depositary share).
Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company.
3 unchanged sentences
Beginning on each series' optional redemption date, we may redeem shares at $ 25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared), exclusively at our option.
−Removed: The following table includes a summary of preferred stock depositary shares issued and outstanding as of September 30, 2020 (dollars and shares in millions):
+Added: The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2021 (dollars and shares in millions):
Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1
17 unchanged sentences
We are authorized by our Board of Directors to enter into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to a maximum aggregate offering price of our common stock.
−Removed: During the nine months ended September 30, 2020, we sold 26.7 million shares of our common stock under the sales agreements for proceeds of $ 439 million, or $ 16.46 per common share, net of offering costs.
−Removed: As of September 30, 2020, shares of our common stock with an aggregate offering price of $ 26 million remained authorized for issuance under this program through June 14, 2021.
+Added: As of March 31, 2021, shares of our common stock with an aggregate offering price of $26 million remained authorized for issuance under this program through June 14, 2021.
Common Stock Repurchase Program
−Removed: From time-to-time we are authorized by our Board of Directors to repurchase shares of our common stock under certain conditions.
−Removed: In July 2019, our Board of Directors authorized the repurchase of up to $ 1 billion of our outstanding shares of common stock through December 31, 2020.
−Removed: During the three and nine months ended September 30, 2020, we repurchased 11.0 million and 23.3 million shares, or $ 154 million and $ 301 million, respectively, of our common stock for an average repurchase price of $ 13.95 and $ 12.92 per common share, respectively, including 0.7 million shares, or $10 million, of share repurchases settling in October 2020 and inclusive of transaction costs.
−Removed: As of September 30, 2020, we had $ 597 million of common stock remaining available for repurchase.
−Removed: See also Note 11.
−Removed: Subsequent Events for additional information pertaining to our common stock repurchase program.
+Added: In October 2020, our Board of Directors authorized the repurchase of up to $ 1 billion of our outstanding common stock through December 31, 2021.
+Added: During the three months ended March 31, 2021, we repurchased 15.0 million shares, or $ 239 million, of our common stock for an average repurchase price of $ 16.00 per common share, inclusive of transaction cost and including amounts repurchased in December 2020 that settled in January 2021.
+Added: As of March 31, 2021, we had $ 0.7 billion of common stock remaining available for repurchase through December 31, 2021.
+Added: We may repurchase shares in the open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the "Exchange Act").
+Added: We intend to repurchase shares under the stock repurchase program only when the repurchase price is less than our then-current estimate of our tangible net book value per common share.
Accumulated Other Comprehensive Income (Loss)
−Removed: The following table summarizes changes to accumulated OCI for the three and nine months ended September 30, 2020 and 2019 (in millions):
−Removed: Three Months Ended
−Removed: September 30,
−Removed: Nine Months Ended September 30,
+Added: The following table summarizes changes to accumulated OCI for the three months ended March 31, 2021 and 2020 (in millions):
+Added: Three Months Ended March 31,
Accumulated Other Comprehensive Income (Loss) 2021 2020
1 unchanged sentence
OCI before reclassifications
−Removed: 70 246 777 1,016
Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net ( 18 ) ( 1 )
Ending Balance $ 482 $ 561
−Removed: Subsequent Events
−Removed: Common Stock Dividend Declaration
−Removed: On October 8, 2020, our Board of Directors declared a monthly dividend of $ 0.12 per common share payable on November 11, 2020 to common stockholders of record as of October 31, 2020.
−Removed: Common Stock Repurchase Program
−Removed: On October 22, 2020 our Board of Directors terminated our existing stock repurchase plan (see Note 10) that was due to expire on December 31, 2020 and replaced it with a new plan authorizing us to repurchase up to $ 1 billion of common stock through December 31, 2021.
−Removed: Under the new plan, we may repurchase shares in the open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended.
−Removed: Our stock repurchase program may be limited or terminated at any time without prior notice.
−Removed: We intend to repurchase shares under the stock repurchase program only when the repurchase price is less than our then-current estimate of tangible net book value per common share.
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.