Adding in "other comprehensive income" such as net unrealized gains on marked-to-market investments yields $0.45 comprehensive income per share. Q2 dividend was $0.80 per share. Estimated undistributed taxable income falls to $0.57 per share from $1.07.
Book value per share of $25.27 off 0.9% from $25.51 at the end of Q2, and vs. this afternoon's close of $23.89, putting the shares at a 5.5% discount.
Net interest spread of 1.20% is down 29 basis points from Q2. Including estimated TBA dollar roll income/loss, net interest spread of 1.14% is off 72 bps from Q2.
$77.8B portfolio at end of quarter with 7.2x "at risk" leverage, down from 8.5x at end of Q2.
CIO Kain: "We continued to migrate the portfolio into shorter maturity securities, lowered leverage somewhat, and maintained relatively high hedge ratios ... We have gradually been increasing our duration gap and begun to transition in the direction of a more normal balance between risk and return."
11.9M shares repurchased during Q at average price of $22.16 each - an approximate 13% discount to net book value.
Earnings call tomorrow at 11 ET.
AGNC -4.8% AH.