BETHESDA, Md., Jan. 31, 2018 /PRNewswire/ -- AGNC Investment
Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today announced
financial results for the quarter ended December 31, 2017.
FOURTH QUARTER 2017 FINANCIAL HIGHLIGHTS
- $0.44 comprehensive income per
common share, comprised of:
-
- $0.96 net income per common
share
- $(0.52) other comprehensive loss
("OCI") per common share on investments marked-to-market through
OCI
- $0.63 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost 1
-
- Includes $0.20 per common share
of dollar roll income associated with the Company's $18.4 billion average net long position in
forward purchases and sales of Agency mortgage-backed securities
("MBS") in the "to-be-announced" ("TBA") market
- Excludes $(0.01) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $19.69 tangible net book value
per common share as of December 31, 2017
-
- Decreased $(0.09) per common
share, or -0.5%, from $19.78 per
common share as of September 30, 2017
- Excludes $551 million, or
$1.41 per common share, of goodwill
and other intangible assets as of December 31, 2017
- $0.54 dividends declared per
common share during the quarter
- 2.3% economic return on tangible common equity for the
quarter
-
- Comprised of $0.54 dividends per
common share and $(0.09) decrease in
tangible net book value per common share
OTHER FOURTH QUARTER HIGHLIGHTS
- $72.8 billion investment
portfolio as of December 31, 2017, comprised of:
-
- $56.2 billion Agency MBS
- $15.7 billion TBA mortgage
position
- $0.9 billion credit risk transfer
("CRT") and non-Agency securities
- 8.1x tangible net book value "at risk" leverage as of
December 31, 2017
-
- 8.1x average tangible net book value "at risk" leverage for the
quarter
- 10.1% portfolio CPR for the quarter
-
- 8.4% average projected portfolio life CPR as of
December 31, 2017
- 1.36% annualized net interest margin and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization cost
-
- Excludes -2 bps of "catch up" premium amortization cost due to
change in projected CPR estimates
- Decreased from 1.41% for the prior quarter, excluding -7 bps of
"catch-up" premium amortization cost
2017 FULL YEAR HIGHLIGHTS
- $2.19 comprehensive income per
common share, comprised of:
-
- $2.04 net income per common
share
- $0.15 OCI per common share
- $2.56 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost 1
-
- Includes $0.92 per common share
of dollar roll income
- Excludes $(0.10) per common share
of estimated "catch-up" premium amortization cost
- $2.16 dividends declared per
common share
- 12.1% economic return on tangible common equity, comprised
of:
-
- $2.16 dividends per common
share
- $0.19 increase in tangible net
book value per common share from $19.50 per common share as of December 31, 2016
- Over $1.5 billion of accretive
common and preferred equity raised during the year
-
- $173 million 8.00% Series A
Preferred Stock redeemed
- 23.7% total stock return
- Represents a non-GAAP measure. Please refer to a
reconciliation to the most applicable GAAP measure and additional
information regarding the use of non-GAAP financial information
later in this release.
MANAGEMENT REMARKS
"2017 was an excellent year for
AGNC," commented Gary Kain, the Company's Chief Executive
Officer, President and Chief Investment Officer. "The Company
generated a 12.1% economic return on tangible common equity,
consisting of $2.16 in dividends per
common share and a $0.19 increase in
tangible net book value per common share. AGNC's total stock
return for the year, assuming reinvestment of dividends, was
23.7%. Finally, AGNC's operating efficiency continued to lead
the industry in 2017 with total operating expenses, net of
management fees received from MTGE Investment Corp., representing
0.72% of average equity. In today's environment, a low fee
structure is a critical consideration for many investors, and we
believe our management structure is a significant competitive
advantage that will improve as we grow.
"Looking ahead, we will continue to focus on opportunities to
improve returns for our shareholders through careful asset
selection, disciplined risk management, and our operating cost
advantage. Within the mortgage investment landscape, we
continue to believe that Agency mortgage-backed securities ("Agency
MBS") provide very favorable risk-adjusted returns for levered
investors. As the Federal Reserve (the "Fed") reduces its balance
sheet and, specifically, its Agency MBS position, we anticipate
attractive opportunities will persist, and we strongly believe AGNC
is well-positioned to take advantage of these opportunities."
"AGNC's financial performance in 2017 is particularly notable
given our conservative risk profile throughout the year,"
added Peter Federico, the Company's Executive Vice President
and Chief Financial Officer. "In fact, our hedge ratio - the
ratio of our interest rate hedges to total borrowings and TBA
funded assets - exceeded 90% throughout the year. In
addition, we took advantage of favorable equity capital markets to
raise over $1.5 billion in accretive
capital, while redeeming some of our higher cost preferred
stock. As an internally-managed company, we do not have
additional management fees associated with new capital, and, as a
result, the incremental capital enhanced our net book value and
reduced our operating costs as a percentage of our equity."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of
December 31, 2017, the Company's tangible net book value per
common share was $19.69 per share, a
decrease of $(0.09) per common share,
or -0.5%, from $19.78 per common
share as of September 30, 2017. The Company's
tangible net book value per common share excludes $551 million, or $1.41 per common share, of goodwill and other
intangible assets as of December 31, 2017.
INVESTMENT PORTFOLIO
As of December 31, 2017,
the Company's investment portfolio totaled $72.8 billion, comprised of:
- $71.9 billion of Agency MBS and
TBA securities, including:
-
- $70.8 billion of fixed-rate
securities, comprised of:
-
- $45.4 billion 30-year fixed-rate
securities,
- $10.7 billion 30-year TBA
securities,
- $8.9 billion 15-year
securities,
- $5.0 billion 15-year TBA
securities, and
- $0.7 billion 20-year fixed-rate
securities;
- $0.9 billion of collateralized
mortgage obligations ("CMOs"), including principal and
interest-only strips; and
- $0.3 billion of adjustable-rate
securities;
- $0.9 billion of CRT and
non-Agency securities; and
- $29 million of investments in
REIT equity securities consisting of shares of MTGE Investment
Corp. common stock.
As of December 31, 2017, inclusive of TBA securities,
30-year and 15-year Agency MBS fixed rate securities represented
77% and 19% of the Company's investment portfolio, respectively,
largely unchanged from 76% and 20%, respectively, as of
September 30, 2017.
As of December 31, 2017, the Company's fixed-rate Agency
MBS, inclusive of TBA securities, had a weighted average coupon of
3.55%, compared to 3.54% as of September 30, 2017, comprised
of the following weighted average coupons:
- 3.65% for 30-year fixed-rate securities;
- 3.16% for 15-year fixed rate securities; and
- 3.48% for 20-year fixed-rate securities.
The Company accounts for TBA securities (or "dollar roll funded
assets") as derivative instruments and recognizes dollar roll
income in other gain (loss), net on the Company's financial
statements. As of December 31, 2017, the Company's net
TBA position had a total fair value of $15.7
billion and a GAAP net carrying value of $3 million reported in derivative
assets/(liabilities) on the Company's balance sheet, compared to a
total fair value of $19.4 billion and
a GAAP net carrying value of $(24)
million as of September 30, 2017.
CONSTANT PREPAYMENT RATES
The Company's investment
portfolio had a weighted average CPR of 10.1% for the fourth
quarter, compared to 12.1% for the prior quarter. The
weighted average projected CPR for the remaining life of the
Company's Agency securities held as of December 31, 2017 was
8.4%, compared to 8.5% as of September 30, 2017.
The weighted average cost basis of the Company's investment
portfolio was 104.9% of par value as of December 31,
2017. Net premium amortization cost on the Company's
investment portfolio for the fourth quarter was $(96) million, or $(0.25) per common share, which includes
"catch-up" premium amortization cost of $(3)
million, or $(0.01) per common
share, due to changes in the Company's projected CPR estimates for
securities acquired prior to the fourth quarter. This
compares to net premium amortization cost for the prior quarter of
$(97) million, or $(0.27) per common share, including "catch-up"
premium amortization cost of $(12)
million, or $(0.03) per common
share.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average asset yield on its investment
portfolio, excluding the net TBA position, was 2.84% for the fourth
quarter, an increase from 2.72% for the prior quarter.
Excluding "catch-up" premium amortization, the Company's average
asset yield was 2.86% for the fourth quarter, an increase from
2.82% for the prior quarter. The Company's average asset yield
including TBA securities and excluding "catch-up" premium
amortization was 2.88%, largely unchanged from 2.87% for the prior
quarter.
For the fourth quarter, the weighted average interest rate on
the Company's Agency repurchase agreements was 1.43%, compared to
1.34% for the prior quarter. The Company's average implied
TBA funding cost was 1.23% for the fourth quarter, compared to
1.12% for the prior quarter. Inclusive of interest rate swap
costs, the Company's combined average cost of funds for the fourth
quarter was 1.52%, an increase from 1.46% for the prior
quarter.
The Company's annualized net interest margin, including TBA
securities and interest rate swap costs, was 1.35% for the fourth
quarter, compared to 1.34% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's combined annualized
net interest margin for the fourth quarter was 1.36%, a decrease
from 1.41% for the prior quarter.
Net of other operating income and expenses, the Company
recognized $0.62 per common share of
net spread and dollar roll income (a non-GAAP financial measure)
for the fourth quarter, compared to $0.59 for the prior quarter. Excluding
"catch-up" premium amortization, the Company's net spread and
dollar roll income was $0.63 per
common share for the fourth quarter, an increase from $0.62 per common share for the prior
quarter. A reconciliation of the Company's net interest
income to net spread and dollar roll income and additional
information regarding the Company's use of non-GAAP measures are
included later in this release.
LEVERAGE
As of December 31, 2017, $50.3 billion of Agency repo, $0.4 billion of other debt and $15.7 billion of TBA dollar roll positions were
used to fund the Company's investment portfolio. Inclusive of
its net TBA position and net payable/(receivable) for unsettled
securities, the Company's tangible net book value "at risk"
leverage ratio was 8.1x as of December 31, 2017, compared to
8.0x as of September 30, 2017.
As of December 31, 2017, the Company's Agency repurchase
agreements had a weighted average interest rate of 1.57%, an
increase from 1.36% as of September 30, 2017, and a weighted
average remaining days to maturity of 116 days, compared to 129
days as of September 30, 2017. As of December 31,
2017, $16.6 billion, or 33%, of the
Company's Agency repurchase agreements were funded through the
Company's captive broker-dealer subsidiary, Bethesda Securities,
LLC, compared to $13.8 billion, or
30%, as of September 30, 2017.
As of December 31, 2017, the Company's Agency repurchase
agreements had remaining maturities of:
- $35.9 billion of three months or
less;
- $7.3 billion from three to six
months;
- $2.6 billion from six to twelve
months;
- $3.9 billion from one to three
years; and
- $0.6 billion from three to five
years.
HEDGING ACTIVITIES
As of December 31, 2017, 97%
of the Company's outstanding balance of Agency repurchase
agreements, other debt and net TBA position was hedged with
interest rate swaps, swaptions and U.S. Treasury positions,
compared to 92% as of September 30, 2017.
As of December 31, 2017, the Company's interest rate swap
position totaled $43.7 billion in
notional amount, compared to $42.2
billion as of September 30, 2017. The Company's
interest rate swap position as of December 31, 2017 included
$4.6 billion of forward starting
swaps, with an average forward start date of 0.3 years, compared to
$3.4 billion and 0.4 years,
respectively, as of September 30, 2017. Including
forward starting swaps, the Company's interest rate swap portfolio
had an average fixed pay rate of 1.74%, an average receive rate of
1.44% and an average maturity of 4.5 years as of December 31,
2017, compared to 1.66%, 1.31% and 4.5 years, respectively, as of
September 30, 2017. Excluding forward starting swaps,
the Company's interest rate swap portfolio had an average fixed pay
rate of 1.68% as of December 31, 2017, compared to 1.61% as of
September 30, 2017.
The Company also utilizes payer swaptions and U.S. Treasury
securities and futures to further mitigate exposure to changes in
interest rates. As of December 31, 2017, the Company had
payer swaptions outstanding totaling $6.7
billion, compared to $5.0
billion as of September 30, 2017, and short U.S.
Treasury positions outstanding totaling $14.0 billion, compared to $12.7 billion as of September 30, 2017.
OTHER GAIN (LOSS), NET
For the fourth quarter, the
Company recorded a net gain of $193
million in other gain (loss), net, or $0.49 per common share, compared to a net gain of
$125 million, or $0.34 per common share, for the prior
quarter. Other gain (loss), net for the fourth quarter was
comprised of:
- $(16) million of net realized
losses on sales of investment securities;
- $(65) million of net unrealized
losses on investment securities measured at fair value through net
income;
- $(21) million of interest rate
swap periodic costs;
- $246 million of net gains on
interest rate swaps;
- $(20) million of net losses on
interest rate swaptions;
- $97 million of net gains on U.S.
Treasury positions;
- $78 million of TBA dollar roll
income;
- $(108) million of net
mark-to-market losses on TBA mortgage positions;
- $3 million of management fee
income; and
- $(1) million of other net
miscellaneous losses.
OTHER COMPREHENSIVE LOSS
During the fourth quarter,
the Company recorded an other comprehensive loss of $(205) million, or $(0.52) per common share, consisting of net
unrealized losses on the Company's Agency securities recognized
through OCI, compared to $90.0
million, or $0.25 per common
share, of other comprehensive income for the prior quarter.
Starting in fiscal year 2017, the Company elected to recognize
unrealized gains and losses on Agency securities acquired after
fiscal year 2016 through net income. Unrealized gains and
losses on Agency securities acquired prior to fiscal year 2017 will
continue to be recognized through OCI until the Company receives
full repayment of principal or disposes of the security.
FOURTH QUARTER 2017 DIVIDEND DECLARATIONS
During the
fourth quarter, the Company's Board of Directors declared dividends
of $0.18 per share to common
stockholders of record as of October
31, November 30 and
December 29, 2017, respectively,
totaling $0.54 per share for the
quarter, which were paid on November
9 and December 8, 2017 and
January 9, 2018, respectively.
Since its May 2008 initial public
offering through the fourth quarter of 2017, the Company has
declared a total of $7.5 billion in
common stock dividends, or $37.16 per
common share.
On December 12, 2017, the Company's Board of Directors
declared a fourth quarter dividend on its 7.750% Series B
Cumulative Redeemable Preferred Stock of $0.484375 per depositary share and on its Series
C Preferred Stock of $0.43750 per
depositary share. The dividends were paid on January 16, 2018
to preferred stockholders of record as of January 1, 2018.
The Company also announced the tax characteristics of its 2017
common and preferred stock dividends. The Company's distributions
of $2.16 per common share for
dividends declared during the twelve month period ended
November 30, 2017 consisted of
$0.813744 ordinary dividend
distributions and $1.346256
non-dividend distributions (also known as "return of capital") per
common share for federal income tax purposes. The dividend of
$0.18 per common share declared on
December 12, 2017, which was paid on
January 9, 2018, will be reported as
a 2018 distribution for federal income tax purposes. The Company's
distributions of $1.8330 per Series A
preferred share, $1.93750 per Series
B depository share and $0.257640 per
Series C depository share for dividends paid during the twelve
months ended December 31, 2017
consisted of ordinary dividend distributions for federal income tax
purposes. Stockholders should receive an IRS Form 1099-DIV
containing this information from their brokers, transfer agents or
other institutions. For additional detail please visit the
Company's website at www.AGNC.com.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO
STATISTICS
The following measures of operating performance
include net spread and dollar roll income; net spread and dollar
roll income, excluding "catch-up" premium amortization; economic
interest income; economic interest expense; estimated taxable
income; and the related per common share measures and financial
metrics derived from such information, which are non-GAAP financial
measures. Please refer to "Use of Non-GAAP Financial
Information" later in this release for further discussion of
non-GAAP measures.
AGNC INVESTMENT
CORP.
|
CONSOLIDATED BALANCE
SHEETS
|
(in millions, except
per share data)
|
|
|
|
|
|
|
|
|
|
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
December
31,
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
|
2016
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency
securities, at fair value (including pledged securities of
$53,055, $47,997, $41,263, $41,587 and $43,943,
respectively)
|
$
55,506
|
|
$
51,638
|
|
$
45,226
|
|
$
43,856
|
|
$
45,393
|
Agency
securities transferred to consolidated variable interest
entities,
at fair value (pledged securities)
|
662
|
|
700
|
|
737
|
|
777
|
|
818
|
Credit
risk transfer securities, at fair value
|
876
|
|
717
|
|
572
|
|
383
|
|
164
|
Non-Agency
securities, at fair value (including pledged securities of $0,
$0, $0, $0 and $90, respectively)
|
36
|
|
36
|
|
31
|
|
31
|
|
124
|
U.S. Treasury
securities, at fair value (including pledged securities of
$0, $0, $0, $0 and $173, respectively)
|
-
|
|
-
|
|
-
|
|
-
|
|
182
|
REIT equity
securities, at fair value
|
29
|
|
4
|
|
4
|
|
-
|
|
-
|
Cash and
cash equivalents
|
1,046
|
|
1,098
|
|
1,122
|
|
1,073
|
|
1,208
|
Restricted cash
|
317
|
|
294
|
|
261
|
|
219
|
|
74
|
Derivative
assets, at fair value
|
205
|
|
183
|
|
214
|
|
205
|
|
355
|
Receivable for
securities sold (including pledged securities of $0, $149,
$348, $537 and $21, respectively)
|
-
|
|
521
|
|
353
|
|
688
|
|
21
|
Receivable
under reverse repurchase agreements
|
10,961
|
|
9,226
|
|
7,489
|
|
8,908
|
|
7,716
|
Goodwill and
other intangible assets, net
|
551
|
|
552
|
|
553
|
|
554
|
|
554
|
Other
assets
|
187
|
|
521
|
|
149
|
|
144
|
|
271
|
Total assets
|
$
70,376
|
|
$
65,490
|
|
$
56,711
|
|
$
56,838
|
|
$
56,880
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
50,296
|
|
$
45,505
|
|
$
39,058
|
|
$
39,375
|
|
$
37,858
|
Debt of
consolidated variable interest entities, at fair value
|
357
|
|
380
|
|
405
|
|
434
|
|
460
|
Federal Home
Loan Bank advances
|
-
|
|
-
|
|
-
|
|
-
|
|
3,037
|
Payable
for securities purchased
|
95
|
|
1,373
|
|
2,005
|
|
693
|
|
-
|
Derivative
liabilities, at fair value
|
28
|
|
62
|
|
73
|
|
69
|
|
256
|
Dividends
payable
|
80
|
|
77
|
|
71
|
|
66
|
|
66
|
Obligation to
return securities borrowed under reverse
repurchase agreements, at fair value
|
10,467
|
|
9,119
|
|
7,221
|
|
8,792
|
|
7,636
|
Accounts
payable and other liabilities
|
299
|
|
183
|
|
133
|
|
117
|
|
211
|
Total
liabilities
|
61,622
|
|
56,699
|
|
48,966
|
|
49,546
|
|
49,524
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred
stock - aggregate liquidation preference of $500, $500,
$348, $348 and $348, respectively
|
484
|
|
484
|
|
336
|
|
336
|
|
336
|
Common
stock - $0.01 par value; 600.0 shares authorized;
|
|
|
|
|
|
|
|
|
|
391.3,
391.3, 355.6, 331.0 and 331.0 shares issued and outstanding,
respectively
|
4
|
|
4
|
|
4
|
|
3
|
|
3
|
Additional paid-in capital
|
11,173
|
|
11,172
|
|
10,435
|
|
9,932
|
|
9,932
|
Retained
deficit
|
(2,562)
|
|
(2,729)
|
|
(2,800)
|
|
(2,628)
|
|
(2,518)
|
Accumulated other comprehensive
loss
|
(345)
|
|
(140)
|
|
(230)
|
|
(351)
|
|
(397)
|
Total stockholders'
equity
|
8,754
|
|
8,791
|
|
7,745
|
|
7,292
|
|
7,356
|
Total liabilities and
stockholders' equity
|
$
70,376
|
|
$
65,490
|
|
$
56,711
|
|
$
56,838
|
|
$
56,880
|
|
|
|
|
|
|
|
|
|
|
Tangible net book
value per common share
|
$
19.69
|
|
$
19.78
|
|
$
19.25
|
|
$
19.31
|
|
$
19.50
|
AGNC INVESTMENT
CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
December
31,
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
386
|
|
$
318
|
|
$
293
|
|
$
296
|
|
$
1,293
|
Interest
expense
|
174
|
|
140
|
|
112
|
|
98
|
|
524
|
Net interest
income
|
212
|
|
178
|
|
181
|
|
198
|
|
769
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized
gain (loss) on sale of investment securities, net
|
(16)
|
|
22
|
|
15
|
|
(84)
|
|
(63)
|
Unrealized gain (loss) on investment
securities measured at fair value
through net income, net
|
(65)
|
|
(31)
|
|
9
|
|
16
|
|
(71)
|
Gain
(loss) on derivative instruments and other securities,
net
|
271
|
|
131
|
|
(169)
|
|
(40)
|
|
193
|
Management fee income
|
3
|
|
3
|
|
4
|
|
3
|
|
13
|
Total
other gain (loss), net
|
193
|
|
125
|
|
(141)
|
|
(105)
|
|
72
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation and benefits
|
12
|
|
10
|
|
10
|
|
10
|
|
42
|
Other
operating expenses
|
8
|
|
7
|
|
6
|
|
7
|
|
28
|
Total
operating expenses
|
20
|
|
17
|
|
16
|
|
17
|
|
70
|
Net
income
|
385
|
|
286
|
|
24
|
|
76
|
|
771
|
Dividend
on preferred stock
|
9
|
|
9
|
|
7
|
|
7
|
|
32
|
Issuance
costs of redeemed preferred stock
|
-
|
|
6
|
|
-
|
|
-
|
|
6
|
Net income
available to common stockholders
|
$
376
|
|
$
271
|
|
$
17
|
|
$
69
|
|
$
733
|
|
|
|
|
|
|
|
|
|
|
Net
income
|
$
385
|
|
$
286
|
|
$
24
|
|
$
76
|
|
$
771
|
Unrealized gain (loss) on investment
securities measured at fair value
through other comprehensive income (loss),
net
|
(205)
|
|
90
|
|
121
|
|
46
|
|
52
|
Comprehensive
income
|
180
|
|
376
|
|
145
|
|
122
|
|
823
|
Dividend
on preferred stock
|
9
|
|
9
|
|
7
|
|
7
|
|
32
|
Issuance
costs of redeemed preferred stock
|
-
|
|
6
|
|
-
|
|
-
|
|
6
|
Comprehensive
income available to common stockholders
|
$
171
|
|
$
361
|
|
$
138
|
|
$
115
|
|
$
785
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
391.3
|
|
364.7
|
|
346.4
|
|
331.0
|
|
358.6
|
Weighted average
number of common shares outstanding - diluted
|
391.5
|
|
364.9
|
|
346.5
|
|
331.1
|
|
358.7
|
Net income per
common share - basic and diluted
|
$
0.96
|
|
$
0.74
|
|
$
0.05
|
|
$
0.21
|
|
$
2.04
|
Comprehensive
income per common share - basic and diluted
|
$
0.44
|
|
$
0.99
|
|
$
0.40
|
|
$
0.35
|
|
$
2.19
|
Dividends declared
per common share
|
$
0.54
|
|
$
0.54
|
|
$
0.54
|
|
$
0.54
|
|
$
2.16
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF
GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME
1
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
386
|
|
$
318
|
|
$
293
|
|
$
296
|
|
$
1,293
|
Interest
expense
|
174
|
|
140
|
|
112
|
|
98
|
|
524
|
GAAP net interest
income
|
212
|
|
178
|
|
181
|
|
198
|
|
769
|
TBA dollar roll
income, net 2,3
|
78
|
|
87
|
|
93
|
|
71
|
|
329
|
Interest rate swap
periodic costs 2,4
|
(21)
|
|
(26)
|
|
(35)
|
|
(45)
|
|
(127)
|
Dividend income from
REIT equity securities 2
|
1
|
|
-
|
|
-
|
|
-
|
|
1
|
Adjusted net interest
and dollar roll income
|
270
|
|
239
|
|
239
|
|
224
|
|
972
|
Other operating
income (expense):
|
|
|
|
|
|
|
|
|
|
Management fee
income
|
3
|
|
3
|
|
4
|
|
3
|
|
13
|
Operating
expenses
|
(20)
|
|
(17)
|
|
(16)
|
|
(17)
|
|
(70)
|
Total operating
income (expense), net
|
(17)
|
|
(14)
|
|
(12)
|
|
(14)
|
|
(57)
|
Net spread and dollar
roll income
|
253
|
|
225
|
|
227
|
|
210
|
|
915
|
Dividend on preferred
stock
|
9
|
|
9
|
|
7
|
|
7
|
|
32
|
Net spread and dollar
roll income available to common stockholders
|
244
|
|
216
|
|
220
|
|
203
|
|
883
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in
CPR forecast 5
|
3
|
|
12
|
|
13
|
|
9
|
|
37
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, available to common stockholders
|
$
247
|
|
$
228
|
|
$
233
|
|
$
212
|
|
$
920
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
391.3
|
|
364.7
|
|
346.4
|
|
331.0
|
|
358.6
|
Weighted average
number of common shares outstanding - diluted
|
391.5
|
|
364.9
|
|
346.5
|
|
331.1
|
|
358.7
|
Net spread and dollar
roll income per common share - basic
|
$
0.62
|
|
$
0.59
|
|
$
0.64
|
|
$
0.61
|
|
$
2.46
|
Net spread and dollar
roll income per common share - diluted
|
$
0.62
|
|
$
0.59
|
|
$
0.63
|
|
$
0.61
|
|
$
2.46
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - basic
|
$
0.63
|
|
$
0.63
|
|
$
0.67
|
|
$
0.64
|
|
$
2.57
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - diluted
|
$
0.63
|
|
$
0.62
|
|
$
0.67
|
|
$
0.64
|
|
$
2.56
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME 1
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
December
31,
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
Net income
|
$
385
|
|
$
286
|
|
$
24
|
|
$
76
|
|
$
771
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium
amortization, net
|
(7)
|
|
(3)
|
|
4
|
|
(3)
|
|
(9)
|
Realized
gain/loss, net
|
(262)
|
|
(112)
|
|
99
|
|
(379)
|
|
(654)
|
Net
capital loss/(utilization of net capital loss carryforward)
8
|
20
|
|
(159)
|
|
(232)
|
|
276
|
|
(95)
|
Unrealized gain/(loss), net
|
(55)
|
|
41
|
|
160
|
|
77
|
|
223
|
Other
|
1
|
|
(2)
|
|
(2)
|
|
(10)
|
|
(13)
|
Total
book to tax differences
|
(303)
|
|
(235)
|
|
29
|
|
(39)
|
|
(548)
|
Estimated REIT
taxable income
|
82
|
|
51
|
|
53
|
|
37
|
|
223
|
Dividend
on preferred stock
|
9
|
|
9
|
|
7
|
|
7
|
|
32
|
Estimated REIT
taxable income, net of preferred stock dividend
|
$
73
|
|
$
42
|
|
$
46
|
|
$
30
|
|
$
191
|
Weighted average
number of common shares outstanding - basic
|
391.3
|
|
364.7
|
|
346.4
|
|
331.0
|
|
358.6
|
Weighted average
number of common shares outstanding - diluted
|
391.5
|
|
364.9
|
|
346.5
|
|
331.1
|
|
358.7
|
Estimated REIT
taxable income per common share - basic and diluted
|
$
0.19
|
|
$
0.12
|
|
$
0.13
|
|
$
0.09
|
|
$
0.53
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible net capital loss
|
$
337
|
|
$
496
|
|
$
728
|
|
$
452
|
|
$
452
|
Net capital
loss/(utilization of net capital loss carryforward)
|
20
|
|
(159)
|
|
(232)
|
|
276
|
|
(95)
|
Ending cumulative
non-deductible net capital loss
|
$
357
|
|
$
337
|
|
$
496
|
|
$
728
|
|
$
357
|
Ending cumulative
non-deductible net capital loss per common share
|
$
0.91
|
|
$
0.86
|
|
$
1.39
|
|
$
2.20
|
|
$
0.91
|
AGNC INVESTMENT
CORP.
|
NET INTEREST MARGIN
COMPONENTS BY FUNDING SOURCE 1
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
December
31,
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
Adjusted net
interest and dollar roll income, excluding "catch-up"
premium amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment
securities - GAAP interest income 9
|
$
386
|
|
$
318
|
|
$
293
|
|
$
296
|
|
$
1,293
|
Estimated
"catch-up" premium amortization cost due to change in CPR
forecast
5
|
3
|
|
12
|
|
13
|
|
9
|
|
37
|
TBA
dollar roll income - implied interest income
2,3,6
|
134
|
|
139
|
|
130
|
|
90
|
|
493
|
Economic interest income,
excluding "catch-up" premium amortization
|
523
|
|
469
|
|
436
|
|
395
|
|
1,823
|
Economic interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements and other debt - GAAP interest expense
|
(174)
|
|
(140)
|
|
(112)
|
|
(98)
|
|
(524)
|
TBA
dollar roll income - implied interest expense
2,3,6
|
(56)
|
|
(52)
|
|
(37)
|
|
(19)
|
|
(164)
|
Interest
rate swap periodic costs 2,4
|
(21)
|
|
(26)
|
|
(35)
|
|
(45)
|
|
(127)
|
Economic interest
expense
|
(251)
|
|
(218)
|
|
(184)
|
|
(162)
|
|
(815)
|
Dividend
income from REIT equity securities 2
|
1
|
|
-
|
|
-
|
|
-
|
|
1
|
Adjusted net interest and
dollar roll income, excluding "catch-up"
premium amortization
|
$
273
|
|
$
251
|
|
$
252
|
|
$
233
|
|
$
1,009
|
|
|
|
|
|
|
|
|
|
|
Net interest
margin, excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment
securities - average asset yield
|
2.84%
|
|
2.72%
|
|
2.66%
|
|
2.68%
|
|
2.73%
|
Estimated
"catch-up" premium amortization cost due to change in CPR
forecast
|
0.02%
|
|
0.10%
|
|
0.12%
|
|
0.08%
|
|
0.08%
|
Investment
securities average asset yield, excluding "catch-up" premium
amortization
|
2.86%
|
|
2.82%
|
|
2.78%
|
|
2.76%
|
|
2.81%
|
TBA
securities - average implied asset yield 6
|
2.93%
|
|
2.99%
|
|
3.08%
|
|
2.81%
|
|
2.96%
|
Average asset yield,
excluding "catch-up" premium amortization
|
2.88%
|
|
2.87%
|
|
2.86%
|
|
2.77%
|
|
2.65%
|
Average total cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements and other debt - average funding cost
|
1.43%
|
|
1.34%
|
|
1.15%
|
|
1.01%
|
|
1.25%
|
TBA
securities - average implied funding cost
|
1.23%
|
|
1.12%
|
|
0.88%
|
|
0.70%
|
|
1.01%
|
Average
cost of funds, before interest rate swap cost of funds
|
1.39%
|
|
1.28%
|
|
1.07%
|
|
0.92%
|
|
0.96%
|
Interest
rate swap cost of funds 7
|
0.13%
|
|
0.18%
|
|
0.24%
|
|
0.34%
|
|
0.22%
|
Average total cost of funds
15
|
1.52%
|
|
1.46%
|
|
1.31%
|
|
1.26%
|
|
1.18%
|
Average net interest margin,
excluding "catch-up" premium amortization
|
1.36%
|
|
1.41%
|
|
1.55%
|
|
1.51%
|
|
1.47%
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
December
31,
|
2017
|
|
2017
|
|
2017
|
|
2017
|
|
2016
|
Investment
securities: 9
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency MBS,
at fair value - as of period end
|
$
55,026
|
|
$
51,104
|
|
$
44,643
|
|
$
43,232
|
|
$
44,736
|
Other Agency MBS, at
fair value - as of period end
|
$
1,142
|
|
$
1,234
|
|
$
1,320
|
|
$
1,401
|
|
$
1,475
|
Credit risk transfer
securities, at fair value - as of period end
|
$
876
|
|
$
717
|
|
$
572
|
|
$
383
|
|
$
164
|
Non-Agency MBS, at fair
value - as of period end
|
$
36
|
|
$
36
|
|
$
31
|
|
$
31
|
|
$
124
|
Total investment
securities, at fair value - as of period end
|
$
57,080
|
|
$
53,091
|
|
$
46,566
|
|
$
45,047
|
|
$
46,499
|
Total investment
securities, at cost - as of period end
|
$
57,466
|
|
$
53,206
|
|
$
46,744
|
|
$
45,354
|
|
$
46,866
|
Total investment
securities, at par - as of period end
|
$
54,804
|
|
$
50,795
|
|
$
44,593
|
|
$
43,298
|
|
$
44,749
|
Average investment
securities, at cost
|
$
54,406
|
|
$
46,808
|
|
$
43,992
|
|
$
44,215
|
|
$
45,885
|
Average investment
securities, at par
|
$
51,914
|
|
$
44,672
|
|
$
41,986
|
|
$
42,218
|
|
$
43,802
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio - as
of period end, at fair value
|
$
15,742
|
|
$
19,409
|
|
$
17,271
|
|
$
14,447
|
|
$
11,165
|
Net TBA portfolio - as
of period end, at cost
|
$
15,739
|
|
$
19,433
|
|
$
17,283
|
|
$
14,377
|
|
$
11,312
|
Net TBA portfolio - as
of period end, carrying value
|
$
3
|
|
$
(24)
|
|
$
(12)
|
|
$
70
|
|
$
(147)
|
Average net TBA
portfolio, at cost
|
$
18,355
|
|
$
18,616
|
|
$
16,931
|
|
$
13,460
|
|
$
14,141
|
Average repurchase
agreements and other debt 10
|
$
48,122
|
|
$
41,406
|
|
$
38,945
|
|
$
39,203
|
|
$
41,031
|
Average stockholders'
equity 11
|
$
8,741
|
|
$
8,134
|
|
$
7,552
|
|
$
7,310
|
|
$
7,604
|
Tangible net book
value per common share 12
|
$
19.69
|
|
$
19.78
|
|
$
19.25
|
|
$
19.31
|
|
$
19.50
|
Tangible net book
value "at risk" leverage - average 13
|
8.1:1
|
|
7.9:1
|
|
8.0:1
|
|
7.8:1
|
|
7.8:1
|
Tangible net book
value "at risk" leverage - as of period end
14
|
8.1:1
|
|
8.0:1
|
|
8.1:1
|
|
8.0:1
|
|
7.7:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 9
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.71%
|
|
3.72%
|
|
3.70%
|
|
3.65%
|
|
3.63%
|
Average asset
yield
|
2.84%
|
|
2.72%
|
|
2.66%
|
|
2.68%
|
|
3.43%
|
Average asset yield,
excluding "catch-up" premium amortization
|
2.86%
|
|
2.82%
|
|
2.78%
|
|
2.76%
|
|
2.68%
|
Average coupon - as of
period end
|
3.71%
|
|
3.67%
|
|
3.70%
|
|
3.67%
|
|
3.61%
|
Average asset yield -
as of period end
|
2.89%
|
|
2.85%
|
|
2.84%
|
|
2.83%
|
|
2.77%
|
Average actual CPR for
securities held during the period
|
10%
|
|
12%
|
|
11%
|
|
11%
|
|
14%
|
Average forecasted CPR
- as of period end
|
8%
|
|
9%
|
|
9%
|
|
8%
|
|
8%
|
Total premium
amortization, net
|
$
(96)
|
|
$
(97)
|
|
$
(96)
|
|
$
(89)
|
|
$
(6)
|
TBA securities -
average implied asset yield 6
|
2.93%
|
|
2.99%
|
|
3.08%
|
|
2.81%
|
|
2.30%
|
Combined investment
and TBA securities - average asset yield, excluding
"catch-up" premium amortization
|
2.88%
|
|
2.87%
|
|
2.86%
|
|
2.77%
|
|
2.60%
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements -
average funding cost
|
1.43%
|
|
1.34%
|
|
1.15%
|
|
1.01%
|
|
0.95%
|
TBA securities -
average implied funding cost 6
|
1.23%
|
|
1.12%
|
|
0.88%
|
|
0.70%
|
|
0.38%
|
Interest rate swaps -
average cost of funds 7
|
0.13%
|
|
0.18%
|
|
0.24%
|
|
0.34%
|
|
0.35%
|
Average total cost of
funds, inclusive of TBAs and interest rate swap periodic costs
15
|
1.52%
|
|
1.46%
|
|
1.31%
|
|
1.26%
|
|
1.15%
|
Repurchase agreements -
average funding cost as of period end
|
1.57%
|
|
1.36%
|
|
1.27%
|
|
1.05%
|
|
0.98%
|
Interest rate swaps -
average net pay/(receive) rate as of period end
16
|
0.30%
|
|
0.35%
|
|
0.41%
|
|
0.46%
|
|
0.56%
|
Net interest
margin:
|
|
|
|
|
|
|
|
|
|
Combined investment and
TBA securities average net interest margin
|
1.35%
|
|
1.34%
|
|
1.46%
|
|
1.44%
|
|
2.02%
|
Combined investment and
TBA securities average net interest margin, excluding
"catch-up" premium amortization
|
1.36%
|
|
1.41%
|
|
1.55%
|
|
1.51%
|
|
1.45%
|
Expenses % of average
stockholders' equity - annualized
|
0.92%
|
|
0.84%
|
|
0.85%
|
|
0.93%
|
|
0.89%
|
Economic return
(loss) on tangible common equity - unannualized
17
|
2.3%
|
|
5.6%
|
|
2.5%
|
|
1.8%
|
|
(5.6)%
|
*Except as noted below, average numbers for each period are
weighted based on days on the Company's books and records. All
percentages are annualized, unless otherwise noted.
Numbers in financial tables may not total due to rounding.
- Table includes non-GAAP financial measures and/or amounts
derived from non-GAAP measures. Refer to "Use of Non-GAAP
Financial Information" for additional discussion of non-GAAP
financial measures.
- Amount reported in gain (loss) on derivatives instruments and
other securities, net in the accompanying consolidated statements
of operations.
- Amount is net of TBAs used for hedging purposes. Amount
excludes TBA mark-to-market adjustments.
- Represents periodic interest costs/income on the Company's
interest rate swap portfolio. Amount excludes interest rate
swap termination fees and mark-to-market adjustments.
- "Catch-up" premium amortization (cost)/benefit is reported in
interest income on the accompanying consolidated statements of
operations.
- TBA implied cost of funds is derived from the Company's
executed TBA roll levels and TBA delivery assumptions sourced from
Barclays for the associated weighted average coupon, weighted
average maturity, and 1-month projected CPR. TBA implied
asset yields derived from the implied funding costs and gross
executed TBA roll levels.
- Interest rate swap cost of funds represents interest rate swap
periodic costs measured as a percent of total mortgage funding
(Agency repurchase agreements, other debt and TBA securities).
- Capital losses in excess of capital gains are not deductible
from the Company's ordinary taxable income, but may be carried
forward for up to five years from the year of loss and applied
against future net capital gains.
- Investment securities include Agency MBS, CRT and non-Agency
securities. Amounts exclude TBA securities.
- Average repurchase agreements and other debt includes Agency
repo, FHLB advances and debt of consolidated VIE's. Amount
excludes U.S. Treasury repurchase agreements.
- Average stockholders' equity calculated as the average
month-ended stockholders' equity during the quarter.
- Tangible net book value per common share excludes preferred
stock liquidation preference and goodwill and other intangible
assets, net.
- Average tangible net book value "at risk" leverage during the
period was calculated by dividing the sum of the daily weighted
average Agency repurchase agreements, other debt and net TBA
position (at cost) outstanding for the period by the sum of average
stockholders' equity adjusted to exclude investments in REIT equity
securities and goodwill and other intangible assets. Leverage
excludes U.S. Treasury repurchase agreements.
- Tangible net book value "at risk" leverage as of period end was
calculated by dividing the sum of the amount outstanding under
Agency repurchase agreements, other debt, net TBA position (at
cost) and net receivable / payable for unsettled investment
securities outstanding by the sum of total stockholders' equity
adjusted to exclude investments in REIT equity securities and
goodwill and other intangible assets at period end. Leverage
excludes U.S. Treasury repurchase agreements.
- Cost of funds excludes swap termination fees, forward starting
swaps and costs associated with other supplemental hedges (such as
swaptions, U.S. Treasury positions and U.S. Treasury repurchase
agreements). Average cost of funds for the period was
calculated by dividing the total Agency repurchase agreements,
other debt, and implied TBA cost of funds and periodic interest
rate swap costs by the average Agency repurchase agreement, other
debt and TBA balance (at cost) outstanding for the
period.
- Includes forward starting swaps not yet in effect as of
reported period-end.
- Economic return (loss) on tangible common equity represents the
sum of the change in tangible net book value per common share and
dividends declared on common stock during the period over the
beginning tangible net book value per common share.
STOCKHOLDER CALL
AGNC invites stockholders,
prospective stockholders and analysts to attend the AGNC
stockholder call on February 1, 2018 at 8:30 am ET. Interested persons who do not
plan on asking a question and have internet access are encouraged
to utilize the free live webcast at www.AGNC.com. Those who
plan on participating in the Q&A or do not have internet
available may access the call by dialing (877) 300-5922 (U.S.
domestic) or (412) 902-6621 (international). Please advise the
operator you are dialing in for the AGNC Investment Corp.
stockholder call.
A slide presentation will accompany the call and will be
available at www.AGNC.com. Select the Q4 2017 Earnings
Presentation link to download and print the presentation in advance
of the stockholder call.
An archived audio of the stockholder call combined with the
slide presentation will be available on the AGNC website after the
call on February 1, 2018. In addition, there will be a
phone recording available one hour after the live call on
February 1, 2018 through February 15,
2018. Those who are interested in hearing the recording of
the presentation, can access it by dialing (877) 344-7529 (U.S.
domestic) or (412) 317-0088 (international), passcode 10115477.
For further information, 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 ("REIT") 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, 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 or
new information, or otherwise.
USE OF NON-GAAP FINANCIAL INFORMATION
In addition to the results presented in accordance with GAAP,
the Company's results of operations discussed in this release
include certain non-GAAP financial information, including "net
spread and dollar roll income," "net spread and dollar roll income,
excluding 'catch-up' premium amortization," "economic interest
income" and "economic interest expense" (both components of
"net spread and dollar roll income"), "estimated taxable income"
and the related per common share measures and certain financial
metrics derived from such non-GAAP information, such as "cost of
funds" and "net interest margin.""Net spread and dollar roll
income" is measured as (i) net interest income (GAAP measure)
adjusted to include TBA dollar roll income, interest rate swap
periodic costs and dividend income from REIT equity securities
(referred to as "adjusted net interest and dollar roll income"),
plus (ii) management fee income (GAAP measure) and less (iii) total
operating expense (GAAP measure). "Net spread and dollar roll
income, excluding 'catch-up' premium amortization," further
excludes retrospective "catch-up" adjustments to premium
amortization cost or benefit due to changes in projected CPR
estimates. Related amounts available to common stockholders
exclude non-recurring issuance costs of redeemed preferred
stock.
By providing users of the Company's financial information with
such measures in addition to the related GAAP measures, the Company
believes users will have greater transparency into the information
used by the Company's management in its financial and operational
decision-making. The Company also believes that it is
important for users of its financial information to consider
information related to the Company's current financial performance
without the effects of certain transactions that are not
necessarily indicative of its current investment portfolio
performance and operations.
Specifically, in the case of "adjusted net interest and dollar
roll income," the Company believes the inclusion of TBA dollar roll
income is meaningful as TBAs, which are accounted for under GAAP as
derivative instruments with gains and losses recognized in other
gain (loss) in the Company's statement of operations, are
economically equivalent to holding and financing generic Agency MBS
using short-term repurchase agreements. Similarly, the
Company believes that the inclusion of periodic interest rate swap
settlements in such measure, which are recognized under GAAP in
other gain (loss), is meaningful as interest rate swaps are the
primary instrument the Company uses to economically hedge against
fluctuations in the Company's borrowing costs and inclusion of
periodic interest rate swap settlement costs is more indicative of
the Company's total cost of funds than interest expense
alone. In the case of "net spread and dollar roll income,
excluding 'catch-up' premium amortization," the Company believes
the exclusion of "catch-up" adjustments to premium amortization
cost or benefit is meaningful as it excludes the cumulative effect
from prior reporting periods due to current changes in future
prepayment expectations and, therefore, exclusion of such cost or
benefit is more indicative of the current earnings potential of the
Company's investment portfolio. The Company also believes the
exclusion of issuance costs of redeemed preferred stock reported as
a reduction to net income available to common stockholders under
GAAP is meaningful as they represent non-recurring costs associated
capital transactions and are not representative of ongoing
costs. In the case of estimated taxable income, the Company
believes it is meaningful information as it is directly related to
the amount of dividends the Company is required to distribute in
order to maintain its REIT qualification status.
However, because such measures are incomplete measures of the
Company's financial performance and involve differences from
results computed in accordance with GAAP, they should be considered
as supplementary to, and not as a substitute for, results computed
in accordance with GAAP. In addition, because not all
companies use identical calculations, the Company's presentation of
such non-GAAP measures may not be comparable to other
similarly-titled measures of other companies. Furthermore,
estimated taxable income can include certain information that is
subject to potential adjustments up to the time of filing the
Company's income tax returns, which occurs after the end of its
fiscal year.
A reconciliation of GAAP net interest income to non-GAAP "net
spread and dollar roll income, excluding 'catch-up' premium
amortization" and a reconciliation of GAAP net income to non-GAAP
"estimated taxable income" is included in this release.
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9303
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SOURCE AGNC Investment Corp.