BETHESDA, Md., July 25,
2018 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or the
"Company") (Nasdaq: AGNC) today announced financial results for the
quarter ended June 30, 2018.
SECOND QUARTER 2018 FINANCIAL HIGHLIGHTS
- $0.34 comprehensive income per
common share, comprised of:
-
- $0.70 net income per common
share
- $(0.36) 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 benefit
1
-
- Includes $0.17 per common share
of dollar roll income associated with the Company's $16.9 billion average net long position in
forward purchases and sales of Agency mortgage-backed securities
("MBS") in the "to-be-announced" ("TBA") market
- Excludes $0.03 per common share
of estimated "catch-up" premium amortization benefit due to change
in projected constant prepayment rate ("CPR") estimates
- $18.41 tangible net book value
per common share as of June 30, 2018
-
- Decreased $(0.22) per common
share, or -1.2%, from $18.63 per
common share as of March 31, 2018
- Excludes $550 million, or
$1.27 per common share, of goodwill
and other intangible assets as of June 30, 2018
- $0.54 dividends declared per
common share during the quarter
- 1.7% economic return on tangible common equity for the
quarter
-
- Comprised of $0.54 dividends per
common share and $(0.22) decrease in
tangible net book value per common share
OTHER SECOND QUARTER HIGHLIGHTS
- $77.1 billion investment
portfolio as of June 30, 2018, comprised of:
-
- $56.1 billion Agency MBS
- $20.0 billion TBA mortgage
position
- $1.0 billion credit risk transfer
("CRT") and non-Agency securities
- 8.3x tangible net book value "at risk" leverage as of
June 30, 2018
-
- 8.0x average tangible net book value "at risk" leverage for the
quarter
- 9.7% portfolio CPR for the quarter
-
- 7.1% average projected portfolio life CPR as of June 30,
2018
- 1.35% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization benefit
-
- Excludes 7 bps of "catch up" premium amortization benefit due
to change in projected CPR estimates
- Increased from 1.26% for the prior quarter, excluding 12 bps of
"catch-up" premium amortization benefit
- $0.8 billion of common equity
raised during the quarter, net of offering costs
-
- $633 million follow-on
offering
- $155 million At-the-Market equity
offerings
|
|
|
|
|
|
|
1.
|
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
"Despite increasing global trade tensions, financial market
volatility declined in the second quarter and equity markets
recovered somewhat from the weakness experienced during the first
quarter of 2018. The U.S. economy continued to perform very
well, but there were some signs that the global synchronous growth
story was losing momentum. Interest rates increased modestly,
and the yield curve flattened further as the Federal Reserve
continued to slowly increase short-term rates while longer-term
rates remained relatively well supported," said Gary Kain, the Company's Chief Executive Officer
and Chief Investment Officer.
"Against this backdrop, AGNC generated a 1.7% economic return on
tangible common equity for the quarter, consisting of $0.54 in dividends and a $0.22 decline in tangible net book value per
common share."
"In addition, the favorable funding dynamic between our repo
funding rate and the LIBOR rate we receive on our pay-fixed swaps
benefited our second quarter financial results," commented
Peter Federico, the Company's
President and Chief Operating Officer. "AGNC also enhanced
its scale, liquidity and operating efficiency by raising nearly
$800 million in common equity during
the second quarter through a follow-on offering and our
At-the-Market equity offering program."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of June 30, 2018, the Company's tangible net book value
per common share was $18.41 per
share, a decline of $(0.22) per
common share, or -1.2%, compared to $18.63 per share as of March 31, 2018.
The Company's tangible net book value per common share excludes
$550 million, or $1.27 per common share, of goodwill and other
intangible assets as of June 30, 2018.
INVESTMENT PORTFOLIO
As of June 30, 2018, the Company's investment portfolio
totaled $77.1 billion, comprised
of:
- $76.1 billion of Agency MBS and
TBA securities, including:
-
- $75.1 billion of fixed-rate
securities, comprised of:
-
- $47.0 billion 30-year fixed-rate
securities,
- $15.3 billion 30-year TBA
securities,
- $7.3 billion 15-year
securities,
- $4.7 billion 15-year TBA
securities, and
- $0.8 billion 20-year fixed-rate
securities;
- $0.7 billion of collateralized
mortgage obligations ("CMOs"); and
- $0.2 billion of adjustable-rate
securities;
- $1.0 billion of CRT and
non-Agency securities; and
- $46 million of MTGE Investment
Corp. common stock.
As of June 30, 2018, inclusive of TBA securities, 30-year
and 15-year Agency MBS fixed rate securities represented 81% and
16% of the Company's investment portfolio, respectively, compared
to 78% and 18%, respectively, as of March 31, 2018.
As of June 30, 2018, the Company's fixed-rate Agency MBS,
inclusive of TBA securities, had a weighted average coupon of
3.69%, compared to 3.57% as of March 31, 2018, comprised of
the following weighted average coupons:
- 3.77% for 30-year fixed-rate securities;
- 3.27% for 15-year fixed rate securities; and
- 3.62% 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 June 30, 2018, the Company's net TBA
position had a total fair value of $20.0
billion and a GAAP net carrying value of $105 million reported in derivative
assets/(liabilities) on the Company's balance sheet, compared to a
total fair value of $13.6 billion and
a GAAP net carrying value of $82
million as of March 31, 2018.
CONSTANT PREPAYMENT RATES
The Company's investment portfolio had a weighted average CPR of
9.7% for the second quarter, compared to 8.6% for the prior
quarter. The weighted average projected CPR for the remaining
life of the Company's Agency securities held as of June 30,
2018 was 7.1%, compared to 7.6% as of March 31, 2018.
The weighted average cost basis of the Company's investment
portfolio was 104.5% of par value as of June 30, 2018.
Net premium amortization cost on the Company's investment portfolio
for the second quarter was $(74)
million, or $(0.18) per common
share, which includes a "catch-up" premium amortization benefit of
$12 million, or $0.03 per common share, due to changes in the
Company's projected CPR estimates for securities acquired prior to
the second quarter. This compares to net premium amortization
cost for the prior quarter of $(69)
million, or $(0.18) per common
share, including a "catch-up" premium amortization benefit of
$21 million, or $0.05 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 2.99% for the second quarter,
compared to 3.05% for the prior quarter. Excluding "catch-up"
premium amortization, the Company's average asset yield was 2.91%
for the second quarter, compared to 2.90% for the prior quarter.
The Company's average asset yield including TBA securities and
excluding "catch-up" premium amortization for the second quarter
was 3.02%, an increase from 2.94% for the prior quarter.
For the second quarter, the weighted average interest rate on
the Company's Agency repurchase agreements was 1.99%, compared to
1.69% for the prior quarter. The Company's average implied
TBA funding cost was 1.75% for the second quarter, compared to
1.49% for the prior quarter. Inclusive of interest rate
swaps, the Company's combined average cost of funds for the second
quarter was 1.67%, compared to 1.68% for the prior quarter.
The Company's annualized net interest spread, including TBA
securities and interest rate swaps, was 1.42% for the second
quarter, compared to 1.38% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's combined annualized
net interest spread for the second quarter was 1.35%, compared to
1.26% for the prior quarter.
NET SPREAD AND DOLLAR ROLL INCOME
The Company recognized $0.66 per
common share of net spread and dollar roll income (a non-GAAP
financial measure) for the second quarter, compared to $0.65 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 second quarter, an increase from $0.60 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 June 30, 2018, $48.8
billion of Agency repo, $19.9
billion of TBA dollar roll positions (at cost) and
$0.3 billion of other debt 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 8.3x as of June 30, 2018, up slightly from
8.2x as of March 31, 2018, while its average "at risk"
leverage for the second quarter was down slightly at 8.0x tangible
net book value, compared to 8.2x for the prior quarter.
As of June 30, 2018, the Company's Agency repurchase
agreements had a weighted average interest rate of 2.18%, an
increase from 1.82% as of March 31, 2018, and a weighted
average remaining days to maturity of 101 days, compared to 109
days as of March 31, 2018. As of June 30, 2018,
$21.2 billion, or 43%, of the
Company's Agency repurchase agreements were funded through the
Company's captive broker-dealer subsidiary, Bethesda Securities,
LLC, compared to $18.8 billion, or
38%, as of March 31, 2018.
As of June 30, 2018, the Company's Agency repurchase
agreements had remaining maturities of:
- $36.0 billion of three months or
less;
- $0.7 billion from three to six
months;
- $8.9 billion from six to twelve
months; and
- $3.2 billion from one to three
years.
HEDGING ACTIVITIES
As of June 30, 2018, 99% 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 103% as of March 31, 2018.
As of June 30, 2018, the Company's interest rate swap
position totaled $47.9 billion in
notional amount, compared to $45.3
billion as of March 31, 2018. The Company's
interest rate swap position as of June 30, 2018 included
$4.4 billion of forward starting
swaps, with an average forward start date of 0.4 years, compared to
$2.5 billion and 0.4 years,
respectively, as of March 31, 2018. Including
forward starting swaps, the Company's interest rate swap portfolio
had an average fixed pay rate of 1.93%, an average receive rate of
2.34% and an average maturity of 4.6 years as of June 30,
2018, compared to 1.82%, 1.90% and 4.5 years, respectively, as of
March 31, 2018. Excluding forward starting swaps, the
Company's interest rate swap portfolio had an average fixed pay
rate of 1.83% as of June 30, 2018, compared to 1.77% as of
March 31, 2018.
As of June 30, 2018, the Company had payer swaptions
outstanding totaling $5.6 billion,
compared to $6.8 billion as of
March 31, 2018. During the second quarter, the Company
exercised $1.2 billion of swaptions
with an average fixed pay rate of 2.44%, swap term of 9.9 years and
a total cost basis of $30 million,
compared to $0.5 billion exercised
during the prior quarter with an average pay rate of 2.34%,
swap term of 9.7 years and cost basis of $11
million. As of June 30, 2018, the Company had
short U.S. Treasury positions outstanding totaling $14.9 billion, compared to $13.0 billion as of March 31, 2018.
OTHER GAIN (LOSS), NET
For the second quarter, the Company recorded a net gain of
$134 million in other gain (loss),
net, or $0.33 per common share,
compared to a net gain of $217
million, or $0.55 per common
share, for the prior quarter. Other gain (loss), net for the
second quarter was comprised of:
- $(74) million of net realized
losses on sales of investment securities;
- $(94) million of net unrealized
losses on investment securities measured at fair value through net
income;
- $41 million of interest rate swap
periodic income;
- $175 million of net gains on
interest rate swaps;
- $34 million of net gains on
interest rate swaptions;
- $56 million of net gains on U.S.
Treasury positions;
- $70 million of TBA dollar roll
income;
- $(84) million of net
mark-to-market losses on TBA mortgage positions;
- $4 million of management fee
income; and
- $6 million of other miscellaneous
gains.
OTHER COMPREHENSIVE LOSS
During the second quarter, the Company recorded an other
comprehensive loss of $(145) million,
or $(0.36) per common share,
consisting of net unrealized losses on the Company's Agency
securities recognized through OCI, compared to a $(621) million, or $(1.59) per common share, other comprehensive
loss for the prior quarter.
SECOND QUARTER 2018 DIVIDEND DECLARATIONS
During the second quarter, the Company's Board of Directors
declared dividends of $0.18 per share
to common stockholders of record as of April
30, May 31 and June 29, 2018, respectively, totaling
$0.54 per share for the quarter,
which were paid on May 9,
June 8 and July 9, 2018, respectively. Since its
May 2008 initial public offering
through the second quarter of 2018, the Company has declared a
total of $8.0 billion in common stock
dividends, or $38.24 per common
share.
On June 13, 2018, the Company's Board of Directors declared
a second 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 July 16, 2018 to
preferred stockholders of record as of July 1, 2018.
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)
|
|
|
|
|
|
|
|
|
|
|
|
June 30,
2018
|
|
March 31,
2018
|
|
December 31,
2017
|
|
September 30,
2017
|
|
June 30,
2017
|
|
(unaudited)
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at
fair value (including pledged securities of
$51,356, $51,434, $53,055, $47,997 and $41,263,
respectively)
|
$
|
55,524
|
|
|
$
|
54,141
|
|
|
$
|
55,506
|
|
|
$
|
51,638
|
|
|
$
|
45,226
|
|
Agency securities
transferred to consolidated variable interest entities,
at fair value (pledged securities)
|
587
|
|
|
621
|
|
|
662
|
|
|
700
|
|
|
737
|
|
Credit risk transfer
securities, at fair value
|
936
|
|
|
884
|
|
|
876
|
|
|
717
|
|
|
572
|
|
Non-Agency
securities, at fair value
|
60
|
|
|
36
|
|
|
36
|
|
|
36
|
|
|
31
|
|
U.S. Treasury
securities, at fair value
|
—
|
|
|
224
|
|
|
—
|
|
|
—
|
|
|
—
|
|
REIT equity
securities, at fair value
|
46
|
|
|
42
|
|
|
29
|
|
|
4
|
|
|
4
|
|
Cash and cash
equivalents
|
863
|
|
|
972
|
|
|
1,046
|
|
|
1,098
|
|
|
1,122
|
|
Restricted
cash
|
447
|
|
|
386
|
|
|
317
|
|
|
294
|
|
|
261
|
|
Derivative
assets, at fair value
|
458
|
|
|
410
|
|
|
205
|
|
|
183
|
|
|
214
|
|
Receivable for
investment securities sold (including pledged securities
of $0, $0, $0, $149 and $348, respectively)
|
31
|
|
|
—
|
|
|
—
|
|
|
521
|
|
|
353
|
|
Receivable
under reverse repurchase agreements
|
13,306
|
|
|
10,770
|
|
|
10,961
|
|
|
9,226
|
|
|
7,489
|
|
Goodwill and other
intangible assets, net
|
550
|
|
|
550
|
|
|
551
|
|
|
552
|
|
|
553
|
|
Other
assets
|
330
|
|
|
185
|
|
|
187
|
|
|
521
|
|
|
149
|
|
Total
assets
|
$
|
73,138
|
|
|
$
|
69,221
|
|
|
$
|
70,376
|
|
|
$
|
65,490
|
|
|
$
|
56,711
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
|
48,839
|
|
|
$
|
48,956
|
|
|
$
|
50,296
|
|
|
$
|
45,505
|
|
|
$
|
39,058
|
|
Debt of consolidated
variable interest entities, at fair value
|
313
|
|
|
336
|
|
|
357
|
|
|
380
|
|
|
405
|
|
Payable for
investment securities purchased
|
1,503
|
|
|
457
|
|
|
95
|
|
|
1,373
|
|
|
2,005
|
|
Derivative
liabilities, at fair value
|
6
|
|
|
32
|
|
|
28
|
|
|
62
|
|
|
73
|
|
Dividends
payable
|
87
|
|
|
80
|
|
|
80
|
|
|
77
|
|
|
71
|
|
Obligation to return
securities borrowed under reverse repurchase agreements, at fair value
|
12,898
|
|
|
10,352
|
|
|
10,467
|
|
|
9,119
|
|
|
7,221
|
|
Accounts
payable and other liabilities
|
450
|
|
|
670
|
|
|
299
|
|
|
183
|
|
|
133
|
|
Total
liabilities
|
64,096
|
|
|
60,883
|
|
|
61,622
|
|
|
56,699
|
|
|
48,966
|
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred stock -
aggregate liquidation preference of $500, $500, $500,
$500 and $348, respectively
|
484
|
|
|
484
|
|
|
484
|
|
|
484
|
|
|
336
|
|
Common stock - $0.01
par value;
434.1, 391.3, 391.3, 391.3 and 355.6 shares issued and
outstanding,
respectively
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
Additional paid-in
capital
|
11,964
|
|
|
11,174
|
|
|
11,173
|
|
|
11,172
|
|
|
10,435
|
|
Retained
deficit
|
(2,299)
|
|
|
(2,358)
|
|
|
(2,562)
|
|
|
(2,729)
|
|
|
(2,800)
|
|
Accumulated other
comprehensive loss
|
(1,111)
|
|
|
(966)
|
|
|
(345)
|
|
|
(140)
|
|
|
(230)
|
|
Total stockholders'
equity
|
9,042
|
|
|
8,338
|
|
|
8,754
|
|
|
8,791
|
|
|
7,745
|
|
Total liabilities and
stockholders' equity
|
$
|
73,138
|
|
|
$
|
69,221
|
|
|
$
|
70,376
|
|
|
$
|
65,490
|
|
|
$
|
56,711
|
|
|
|
|
|
|
|
|
|
|
|
Tangible net book
value per common share 1
|
$
|
18.41
|
|
|
$
|
18.63
|
|
|
$
|
19.69
|
|
|
$
|
19.78
|
|
|
$
|
19.25
|
|
AGNC INVESTMENT
CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
2018
|
|
March 31,
2018
|
|
December 31,
2017
|
|
September 30,
2017
|
|
June 30,
2017
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
|
414
|
|
|
$
|
431
|
|
|
$
|
386
|
|
|
$
|
318
|
|
|
$
|
293
|
|
Interest
expense
|
237
|
|
|
206
|
|
|
174
|
|
|
140
|
|
|
112
|
|
Net interest income
|
177
|
|
|
225
|
|
|
212
|
|
|
178
|
|
|
181
|
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized gain (loss)
on sale of investment securities, net
|
(74)
|
|
|
(2)
|
|
|
(16)
|
|
|
22
|
|
|
15
|
|
Unrealized gain
(loss) on investment securities measured at fair value
through net income, net
|
(94)
|
|
|
(523)
|
|
|
(65)
|
|
|
(31)
|
|
|
9
|
|
Gain (loss) on
derivative instruments and other securities, net
|
298
|
|
|
738
|
|
|
271
|
|
|
131
|
|
|
(169)
|
|
Management fee income
2
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
Total other gain
(loss), net
|
134
|
|
|
217
|
|
|
194
|
|
|
126
|
|
|
(141)
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
10
|
|
|
10
|
|
|
12
|
|
|
10
|
|
|
10
|
|
Other operating
expense 2
|
8
|
|
|
8
|
|
|
9
|
|
|
8
|
|
|
6
|
|
Total operating expense
|
18
|
|
|
18
|
|
|
21
|
|
|
18
|
|
|
16
|
|
Net
income
|
293
|
|
|
424
|
|
|
385
|
|
|
286
|
|
|
24
|
|
Dividend on preferred
stock
|
9
|
|
|
9
|
|
|
9
|
|
|
9
|
|
|
7
|
|
Issuance costs of
redeemed preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
Net income
available to common stockholders
|
$
|
284
|
|
|
$
|
415
|
|
|
$
|
376
|
|
|
$
|
271
|
|
|
$
|
17
|
|
|
|
|
|
|
|
|
|
|
|
Net
income
|
$
|
293
|
|
|
$
|
424
|
|
|
$
|
385
|
|
|
$
|
286
|
|
|
$
|
24
|
|
Unrealized gain
(loss) on investment securities measured at fair value
through other comprehensive income (loss), net
|
(145)
|
|
|
(621)
|
|
|
(205)
|
|
|
90
|
|
|
121
|
|
Comprehensive
income (loss)
|
148
|
|
|
(197)
|
|
|
180
|
|
|
376
|
|
|
145
|
|
Dividend on preferred
stock
|
9
|
|
|
9
|
|
|
9
|
|
|
9
|
|
|
7
|
|
Issuance costs of
redeemed preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
Comprehensive
income (loss) available (attributable) to common
stockholders
|
$
|
139
|
|
|
$
|
(206)
|
|
|
$
|
171
|
|
|
$
|
361
|
|
|
$
|
138
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
404.9
|
|
|
391.3
|
|
|
391.3
|
|
|
364.7
|
|
|
346.4
|
|
Weighted average
number of common shares outstanding - diluted
|
405.2
|
|
|
391.5
|
|
|
391.5
|
|
|
364.9
|
|
|
346.5
|
|
Net income per
common share - basic and diluted
|
$
|
0.70
|
|
|
$
|
1.06
|
|
|
$
|
0.96
|
|
|
$
|
0.74
|
|
|
$
|
0.05
|
|
Comprehensive
income (loss) per common share - basic and diluted
|
$
|
0.34
|
|
|
$
|
(0.53)
|
|
|
$
|
0.44
|
|
|
$
|
0.99
|
|
|
$
|
0.40
|
|
Dividends declared
per common share
|
$
|
0.54
|
|
|
$
|
0.54
|
|
|
$
|
0.54
|
|
|
$
|
0.54
|
|
|
$
|
0.54
|
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF
GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME
(NON-GAAP MEASURE) 3
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
2018
|
|
March 31,
2018
|
|
December 31,
2017
|
|
September 30,
2017
|
|
June 30,
2017
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
|
414
|
|
|
$
|
431
|
|
|
$
|
386
|
|
|
$
|
318
|
|
|
$
|
293
|
|
Interest
expense
|
237
|
|
|
206
|
|
|
174
|
|
|
140
|
|
|
112
|
|
GAAP net interest
income
|
177
|
|
|
225
|
|
|
212
|
|
|
178
|
|
|
181
|
|
TBA dollar roll
income, net 4,5
|
70
|
|
|
62
|
|
|
78
|
|
|
87
|
|
|
93
|
|
Interest rate swap
periodic income (cost) 4,9
|
41
|
|
|
(9)
|
|
|
(21)
|
|
|
(26)
|
|
|
(35)
|
|
Dividend income from
REIT equity securities 4
|
1
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
—
|
|
Adjusted net interest
and dollar roll income
|
289
|
|
|
279
|
|
|
270
|
|
|
239
|
|
|
239
|
|
Other operating
income (expense):
|
|
|
|
|
|
|
|
|
|
Management fee
income
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
Operating
expense
|
(18)
|
|
|
(18)
|
|
|
(21)
|
|
|
(18)
|
|
|
(16)
|
|
Total operating
income (expense), net
|
(14)
|
|
|
(14)
|
|
|
(17)
|
|
|
(14)
|
|
|
(12)
|
|
Net spread and dollar
roll income
|
275
|
|
|
265
|
|
|
253
|
|
|
225
|
|
|
227
|
|
Dividend on preferred
stock
|
9
|
|
|
9
|
|
|
9
|
|
|
9
|
|
|
7
|
|
Net spread and dollar
roll income available to common stockholders
|
266
|
|
|
256
|
|
|
244
|
|
|
216
|
|
|
220
|
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in
CPR forecast 11
|
(12)
|
|
|
(21)
|
|
|
3
|
|
|
12
|
|
|
13
|
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, available to common stockholders
|
$
|
254
|
|
|
$
|
235
|
|
|
$
|
247
|
|
|
$
|
228
|
|
|
$
|
233
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
404.9
|
|
|
391.3
|
|
|
391.3
|
|
|
364.7
|
|
|
346.4
|
|
Weighted average
number of common shares outstanding - diluted
|
405.2
|
|
|
391.5
|
|
|
391.5
|
|
|
364.9
|
|
|
346.5
|
|
Net spread and dollar
roll income per common share - basic
|
$
|
0.66
|
|
|
$
|
0.65
|
|
|
$
|
0.62
|
|
|
$
|
0.59
|
|
|
$
|
0.64
|
|
Net spread and dollar
roll income per common share - diluted
|
$
|
0.66
|
|
|
$
|
0.65
|
|
|
$
|
0.62
|
|
|
$
|
0.59
|
|
|
$
|
0.63
|
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - basic
|
$
|
0.63
|
|
|
$
|
0.60
|
|
|
$
|
0.63
|
|
|
$
|
0.63
|
|
|
$
|
0.67
|
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - diluted
|
$
|
0.63
|
|
|
$
|
0.60
|
|
|
$
|
0.63
|
|
|
$
|
0.62
|
|
|
$
|
0.67
|
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME (NON-GAAP MEASURE)
3
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
2018
|
|
March 31,
2018
|
|
December 31,
2017
|
|
September 30,
2017
|
|
June 30,
2017
|
Net income
|
$
|
293
|
|
|
$
|
424
|
|
|
$
|
385
|
|
|
$
|
286
|
|
|
$
|
24
|
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
(22)
|
|
|
(23)
|
|
|
(7)
|
|
|
(3)
|
|
|
4
|
|
Realized gain/loss,
net
|
(221)
|
|
|
(652)
|
|
|
(262)
|
|
|
(112)
|
|
|
99
|
|
Net capital
loss/(utilization of net capital loss carryforward)
|
109
|
|
|
245
|
|
|
20
|
|
|
(159)
|
|
|
(232)
|
|
Unrealized
gain/(loss), net
|
(46)
|
|
|
108
|
|
|
(55)
|
|
|
41
|
|
|
160
|
|
Other
|
—
|
|
|
(13)
|
|
|
1
|
|
|
(2)
|
|
|
(2)
|
|
Total book to tax
differences
|
(180)
|
|
|
(335)
|
|
|
(303)
|
|
|
(235)
|
|
|
29
|
|
Estimated REIT
taxable income
|
113
|
|
|
89
|
|
|
82
|
|
|
51
|
|
|
53
|
|
Dividend on preferred
stock
|
9
|
|
|
9
|
|
|
9
|
|
|
9
|
|
|
7
|
|
Estimated REIT
taxable income, net of preferred stock dividend
|
$
|
104
|
|
|
$
|
80
|
|
|
$
|
73
|
|
|
$
|
42
|
|
|
$
|
46
|
|
Weighted average
number of common shares outstanding - basic
|
404.9
|
|
|
391.3
|
|
|
391.3
|
|
|
364.7
|
|
|
346.4
|
|
Weighted average
number of common shares outstanding - diluted
|
405.2
|
|
|
391.5
|
|
|
391.5
|
|
|
364.9
|
|
|
346.5
|
|
Estimated REIT
taxable income per common share - basic and diluted
|
$
|
0.26
|
|
|
$
|
0.20
|
|
|
$
|
0.19
|
|
|
$
|
0.12
|
|
|
$
|
0.13
|
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible net capital loss
|
$
|
602
|
|
|
$
|
357
|
|
|
$
|
337
|
|
|
$
|
496
|
|
|
$
|
728
|
|
Net capital
loss/(utilization of net capital loss carryforward)
|
109
|
|
|
245
|
|
|
20
|
|
|
(159)
|
|
|
(232)
|
|
Ending cumulative
non-deductible net capital loss
|
$
|
711
|
|
|
$
|
602
|
|
|
$
|
357
|
|
|
$
|
337
|
|
|
$
|
496
|
|
Ending cumulative
non-deductible net capital loss per common share
|
$
|
1.64
|
|
|
$
|
1.54
|
|
|
$
|
0.91
|
|
|
$
|
0.86
|
|
|
$
|
1.39
|
|
AGNC INVESTMENT
CORP.
|
NET INTEREST SPREAD
COMPONENTS BY FUNDING SOURCE 3
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
2018
|
|
March 31,
2018
|
|
December 31,
2017
|
|
September 30,
2017
|
|
June 30,
2017
|
Adjusted net
interest and dollar roll income, excluding "catch-up"
premium amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment securities -
GAAP interest income 12
|
$
|
414
|
|
|
$
|
431
|
|
|
$
|
386
|
|
|
$
|
318
|
|
|
$
|
293
|
|
Estimated "catch-up"
premium amortization cost (benefit) due to change
in CPR forecast
11
|
(12)
|
|
|
(21)
|
|
|
3
|
|
|
12
|
|
|
13
|
|
TBA dollar roll income
- implied interest income 4,7
|
144
|
|
|
120
|
|
|
134
|
|
|
139
|
|
|
130
|
|
Economic interest
income, excluding "catch-up" premium amortization
|
546
|
|
|
530
|
|
|
523
|
|
|
469
|
|
|
436
|
|
Economic interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - GAAP interest expense
|
(237)
|
|
|
(206)
|
|
|
(174)
|
|
|
(140)
|
|
|
(112)
|
|
TBA dollar roll income
- implied interest expense 4,6
|
(74)
|
|
|
(58)
|
|
|
(56)
|
|
|
(52)
|
|
|
(37)
|
|
Interest rate swap
periodic income (cost) 4,9
|
41
|
|
|
(9)
|
|
|
(21)
|
|
|
(26)
|
|
|
(35)
|
|
Economic interest
expense
|
(270)
|
|
|
(273)
|
|
|
(251)
|
|
|
(218)
|
|
|
(184)
|
|
Dividend income from
REIT equity securities 4
|
1
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
—
|
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
|
277
|
|
|
$
|
258
|
|
|
$
|
273
|
|
|
$
|
251
|
|
|
$
|
252
|
|
|
|
|
|
|
|
|
|
|
|
Net
interest spread, excluding "catch-up"
amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities -
average asset yield
|
2.99
|
%
|
|
3.05
|
%
|
|
2.84
|
%
|
|
2.72
|
%
|
|
2.66
|
%
|
Estimated "catch-up"
premium amortization cost (benefit) due to change
in CPR forecast
|
(0.08)
|
%
|
|
(0.15)
|
%
|
|
0.02
|
%
|
|
0.10
|
%
|
|
0.12
|
%
|
Investment securities
average asset yield, excluding "catch-up" premium
amortization
|
2.91
|
%
|
|
2.90
|
%
|
|
2.86
|
%
|
|
2.82
|
%
|
|
2.78
|
%
|
TBA securities -
average implied asset yield 7
|
3.41
|
%
|
|
3.08
|
%
|
|
2.93
|
%
|
|
2.99
|
%
|
|
3.08
|
%
|
Average asset yield,
excluding "catch-up" premium amortization 8
|
3.02
|
%
|
|
2.94
|
%
|
|
2.88
|
%
|
|
2.87
|
%
|
|
2.86
|
%
|
Average total cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - average funding cost
|
1.99
|
%
|
|
1.69
|
%
|
|
1.43
|
%
|
|
1.34
|
%
|
|
1.15
|
%
|
TBA securities -
average implied funding cost 6
|
1.75
|
%
|
|
1.49
|
%
|
|
1.23
|
%
|
|
1.12
|
%
|
|
0.88
|
%
|
Average cost of funds,
before interest rate swap cost of funds 8
|
1.92
|
%
|
|
1.62
|
%
|
|
1.39
|
%
|
|
1.28
|
%
|
|
1.07
|
%
|
Interest rate swap
periodic income (cost) 10
|
(0.25)
|
%
|
|
0.06
|
%
|
|
0.13
|
%
|
|
0.18
|
%
|
|
0.24
|
%
|
Average total cost of
funds
|
1.67
|
%
|
|
1.68
|
%
|
|
1.52
|
%
|
|
1.46
|
%
|
|
1.31
|
%
|
Average net interest
spread, excluding "catch-up" premium amortization
|
1.35
|
%
|
|
1.26
|
%
|
|
1.36
|
%
|
|
1.41
|
%
|
|
1.55
|
%
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
June 30,
2018
|
|
March 31,
2018
|
|
December 31,
2017
|
|
September 30,
2017
|
|
June 30,
2017
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency MBS,
at fair value - as of period end
|
$
|
55,119
|
|
|
$
|
53,696
|
|
|
$
|
55,026
|
|
|
$
|
51,104
|
|
|
$
|
44,643
|
|
Other Agency MBS, at
fair value - as of period end
|
$
|
992
|
|
|
$
|
1,066
|
|
|
$
|
1,142
|
|
|
$
|
1,234
|
|
|
$
|
1,320
|
|
Credit risk transfer
securities, at fair value - as of period end
|
$
|
936
|
|
|
$
|
884
|
|
|
$
|
876
|
|
|
$
|
717
|
|
|
$
|
572
|
|
Non-Agency MBS, at
fair value - as of period end
|
$
|
60
|
|
|
$
|
36
|
|
|
$
|
36
|
|
|
$
|
36
|
|
|
$
|
31
|
|
Total investment
securities, at fair value - as of period end
|
$
|
57,107
|
|
|
$
|
55,682
|
|
|
$
|
57,080
|
|
|
$
|
53,091
|
|
|
$
|
46,566
|
|
Total investment
securities, at cost - as of period end
|
$
|
58,875
|
|
|
$
|
57,211
|
|
|
$
|
57,466
|
|
|
$
|
53,206
|
|
|
$
|
46,744
|
|
Total investment
securities, at par - as of period end
|
$
|
56,320
|
|
|
$
|
54,625
|
|
|
$
|
54,804
|
|
|
$
|
50,795
|
|
|
$
|
44,593
|
|
Average investment
securities, at cost
|
$
|
55,329
|
|
|
$
|
56,573
|
|
|
$
|
54,406
|
|
|
$
|
46,808
|
|
|
$
|
43,992
|
|
Average investment
securities, at par
|
$
|
52,856
|
|
|
$
|
53,986
|
|
|
$
|
51,914
|
|
|
$
|
44,672
|
|
|
$
|
41,986
|
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio - as
of period end, at fair value
|
$
|
20,003
|
|
|
$
|
13,611
|
|
|
$
|
15,742
|
|
|
$
|
19,409
|
|
|
$
|
17,271
|
|
Net TBA portfolio - as
of period end, at cost
|
$
|
19,898
|
|
|
$
|
13,529
|
|
|
$
|
15,739
|
|
|
$
|
19,433
|
|
|
$
|
17,283
|
|
Net TBA portfolio - as
of period end, carrying value
|
$
|
105
|
|
|
$
|
82
|
|
|
$
|
3
|
|
|
$
|
(24)
|
|
|
$
|
(12)
|
|
Average net TBA
portfolio, at cost
|
$
|
16,912
|
|
|
$
|
15,585
|
|
|
$
|
18,355
|
|
|
$
|
18,616
|
|
|
$
|
16,931
|
|
Average repurchase
agreements and other debt 13
|
$
|
47,823
|
|
|
$
|
49,567
|
|
|
$
|
48,122
|
|
|
$
|
41,406
|
|
|
$
|
38,945
|
|
Average stockholders'
equity 14
|
$
|
8,652
|
|
|
$
|
8,535
|
|
|
$
|
8,741
|
|
|
$
|
8,134
|
|
|
$
|
7,552
|
|
Tangible net book
value per common share 1
|
$
|
18.41
|
|
|
$
|
18.63
|
|
|
$
|
19.69
|
|
|
$
|
19.78
|
|
|
$
|
19.25
|
|
Tangible net book
value "at risk" leverage - average 15
|
8.0:1
|
|
8.2:1
|
|
8.1:1
|
|
7.9:1
|
|
8.0:1
|
Tangible net book
value "at risk" leverage - as of period end
16
|
8.3:1
|
|
8.2:1
|
|
8.1:1
|
|
8.0:1
|
|
8.1:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.69
|
%
|
|
3.70
|
%
|
|
3.71
|
%
|
|
3.72
|
%
|
|
3.70
|
%
|
Average asset
yield
|
2.99
|
%
|
|
3.05
|
%
|
|
2.84
|
%
|
|
2.72
|
%
|
|
2.66
|
%
|
Average asset yield,
excluding "catch-up" premium amortization
|
2.91
|
%
|
|
2.90
|
%
|
|
2.86
|
%
|
|
2.82
|
%
|
|
2.78
|
%
|
Average coupon - as of
period end
|
3.74
|
%
|
|
3.70
|
%
|
|
3.71
|
%
|
|
3.67
|
%
|
|
3.70
|
%
|
Average asset yield -
as of period end
|
3.03
|
%
|
|
2.93
|
%
|
|
2.89
|
%
|
|
2.85
|
%
|
|
2.84
|
%
|
Average actual CPR for
securities held during the period
|
10
|
%
|
|
9
|
%
|
|
10
|
%
|
|
12
|
%
|
|
11
|
%
|
Average forecasted CPR
- as of period end
|
7
|
%
|
|
8
|
%
|
|
8
|
%
|
|
9
|
%
|
|
9
|
%
|
Total premium
amortization, net
|
$
|
(74)
|
|
|
$
|
(69)
|
|
|
$
|
(96)
|
|
|
$
|
(97)
|
|
|
$
|
(96)
|
|
TBA securities -
average implied asset yield 7
|
3.41
|
%
|
|
3.08
|
%
|
|
2.93
|
%
|
|
2.99
|
%
|
|
3.08
|
%
|
Combined investment
and TBA securities - average asset yield, excluding
"catch-up" premium amortization 8
|
3.02
|
%
|
|
2.94
|
%
|
|
2.88
|
%
|
|
2.87
|
%
|
|
2.86
|
%
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
- average funding cost
|
1.99
|
%
|
|
1.69
|
%
|
|
1.43
|
%
|
|
1.34
|
%
|
|
1.15
|
%
|
TBA securities -
average implied funding cost 6
|
1.75
|
%
|
|
1.49
|
%
|
|
1.23
|
%
|
|
1.12
|
%
|
|
0.88
|
%
|
Interest rate swaps -
average periodic (income) cost of funds 10
|
(0.25)
|
%
|
|
0.06
|
%
|
|
0.13
|
%
|
|
0.18
|
%
|
|
0.24
|
%
|
Average total cost of
funds, inclusive of TBAs and interest rate swap
periodic (income) cost 8
|
1.67
|
%
|
|
1.68
|
%
|
|
1.52
|
%
|
|
1.46
|
%
|
|
1.31
|
%
|
Repurchase agreements
- average funding cost as of period end
|
2.18
|
%
|
|
1.82
|
%
|
|
1.57
|
%
|
|
1.36
|
%
|
|
1.27
|
%
|
Interest rate swaps -
average net pay/(receive) rate as of period end
17
|
(0.41)
|
%
|
|
(0.08)
|
%
|
|
0.30
|
%
|
|
0.35
|
%
|
|
0.41
|
%
|
Net interest
spread:
|
|
|
|
|
|
|
|
|
|
Combined investment
and TBA securities average net interest spread
|
1.42
|
%
|
|
1.38
|
%
|
|
1.35
|
%
|
|
1.34
|
%
|
|
1.46
|
%
|
Combined investment
and TBA securities average net interest spread,
excluding "catch-up" premium amortization
|
1.35
|
%
|
|
1.26
|
%
|
|
1.36
|
%
|
|
1.41
|
%
|
|
1.55
|
%
|
Expenses % of average
stockholders' equity - annualized 2
|
0.83
|
%
|
|
0.84
|
%
|
|
0.96
|
%
|
|
0.89
|
%
|
|
0.85
|
%
|
Economic return
(loss) on tangible common equity - unannualized
18
|
1.7
|
%
|
|
(2.6)
|
%
|
|
2.3
|
%
|
|
5.6
|
%
|
|
2.5
|
%
|
*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.
- Tangible net book value per common share excludes preferred
stock liquidation preference and goodwill and other intangible
assets, net.
- During Q1 2018, the Company adopted new accounting guidance on
revenue recognition, which resulted in reclassification of
expense reimbursements from MTGE Investment Corp. from an operating
expense offset to management fee income. Net income was not
impacted. Prior periods have been revised accordingly, as
applicable.
- 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.
- Dollar roll income represents the price differential, or "price
drop," between the TBA price for current month settlement versus
the TBA price for forward month settlement. Amount is net of
TBAs used for hedging purposes. Amount excludes TBA mark-to-market
adjustments.
- The implied funding cost of TBA dollar roll transactions is
determined using the "price drop" (Note 5) and market based
assumptions regarding the "cheapest-to-deliver" collateral that can
be delivered to satisfy the TBA contract, such as the anticipated
collateral's weighted average coupon, weighted average maturity and
projected 1-month CPR. The average implied funding cost for
all TBA transactions is weighted based on the Company's daily
average TBA balance outstanding for the period.
- The average implied asset yield for TBA dollar roll
transactions is extrapolated by adding the average TBA implied
funding cost (Note 6) to the net dollar roll yield. The net
dollar roll yield is calculated by dividing dollar roll income
(Note 5) by the average TBA cost basis outstanding for the
period.
- Amount calculated on a weighted average basis based on average
balances outstanding during the period and their respective asset
yield/funding cost.
- Represents periodic interest rate swap settlements.
Amount excludes interest rate swap termination fees and
mark-to-market adjustments.
- Represents interest rate swap periodic income/cost measured as
a percent of total mortgage funding (Agency repurchase agreements,
other debt and TBA securities).
- "Catch-up" premium amortization cost/benefit is reported in
interest income on the accompanying consolidated statements of
operations
- Investment securities include Agency MBS, CRT and non-Agency
securities. Amounts exclude TBA securities.
- Average repurchase agreements and other debt includes Agency
repo 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.
- 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.
- 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 July 26, 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 Q2 2018 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 July 26, 2018. In addition, there will be a
phone recording available one hour after the live call on
July 26, 2018 through August 9,
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
10122211.
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 of
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 spread."
"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 income/cost 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 settlements 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 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 'catch-up' 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.