BETHESDA, Md.,
April 29, 2020 /PRNewswire/ -- AGNC
Investment Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today
announced financial results for the quarter ended March 31,
2020.
FIRST QUARTER 2020 FINANCIAL HIGHLIGHTS
- $(3.61) comprehensive loss per
common share, comprised of:
-
- $(4.46) net loss per common
share
- $0.85 other comprehensive income
("OCI") per common share on investments marked-to-market through
OCI
- $0.57 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost 1
-
- Includes $0.03 per common share
of dollar roll income associated with the Company's $7.5 billion average net long position in forward
purchases and sales of Agency mortgage-backed securities ("MBS") in
the "to-be-announced" ("TBA") market
- Excludes $(0.44) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $13.62 tangible net book value
per common share as of March 31,
2020
-
- Decreased $(4.04) per common
share, or -22.9%, from $17.66 per
common share as of December 31,
2019
- $0.48 dividends declared per
common share for the first quarter
- -20.2% economic return on tangible common equity for the
quarter
-
- Comprised of $0.48 dividends per
common share and $(4.04) decrease in
tangible net book value per common share
OTHER FIRST QUARTER HIGHLIGHTS
- $93.0 billion investment
portfolio as of March 31, 2020,
comprised of:
-
- $70.7 billion Agency MBS
- $21.2 billion net TBA mortgage
position
- $1.1 billion credit risk transfer
("CRT") and non-Agency securities
- 9.4x tangible net book value "at risk" leverage as of
March 31, 2020
-
- 9.9x average tangible net book value "at risk" leverage for the
quarter
- Cash and unencumbered Agency MBS totaled approximately
$3.5 billion as of March 31, 2020
-
- Excludes approximately $1.2
billion of capital and excess margin held at the Company's
broker-dealer subsidiary, Bethesda Securities, and $0.3 billion of unencumbered CRT and non-Agency
securities
- 12.2% portfolio CPR for the quarter
-
- 14.5% average projected portfolio CPR as of March 31, 2020
- 1.30% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization cost
-
- Excludes -92 bps of "catch-up" premium amortization cost due to
change in projected CPR estimates
- $1.0 billion of accretive capital
transactions during the quarter
-
- $575 million of 6.125%
fixed-to-floating rate preferred equity issued
- $439 million of At-the-Market
common equity offerings, net of offering costs
______
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
"As we mentioned in our recent
company update, market conditions were extremely challenging in
March. The speed and severity of the financial market dislocations
were unprecedented by historical standards as markets reacted to
the human and economic impacts of the COVID-19 pandemic," said
Gary Kain, the Company's Chief
Executive Officer and Chief Investment Officer. "Against this
backdrop, the Federal Reserve took unprecedented actions to support
the Agency MBS and U.S. Treasury markets, as well as many other
asset classes within the broader fixed income complex. These
Fed initiatives, together with significant actions taken by the
Company to manage risk, allowed AGNC to close the quarter with
leverage and liquidity at normal operating levels. Since
quarter end, market conditions have continued to improve, as the
Fed's asset acquisitions have provided ongoing support to both
Agency MBS and the broader financial markets. As a result, we
estimate that our tangible net book value per common share has
increased approximately 8% in April, and this performance gives us
greater confidence that the worst is behind us as we begin to
navigate the next phase of this crisis.
"Looking ahead, we believe liquidity concerns will give way to
fundamental performance metrics, with prepayments and funding being
key determinants of AGNC's prospective returns. As market
fundamentals once again drive valuations, we feel that AGNC is
uniquely positioned given our asset composition. In the
current environment, credit and operational headwinds should
persist for the foreseeable future, likely causing meaningful
disruptions to the mortgage origination and refinance
process. We would expect these disruptions to mitigate
increases in aggregate prepayment speeds resulting from today's
very low interest rate environment. This more favorable
prepayment outlook, coupled with historically low funding costs,
forms the foundation for very attractive risk-adjusted returns for
AGNC over the intermediate term."
"Given the turbulent market conditions in March, we prioritized
liquidity and risk management," said Peter
Federico, the Company's President and Chief Operating
Officer. "Despite our actions, AGNC's economic return in the
first quarter was negative 20%. Importantly, however, we
begin the second quarter with a portfolio that we believe is
well-suited for the current environment. Our higher coupon
specified pool position, which negatively impacted book value in
the first quarter, has already outperformed generic Agency MBS and
our hedges to date in April. We believe these assets provide
a particularly attractive earnings profile in light of reduced
prepayment expectations and greater stability of cash flows
relative to generic Agency MBS. With the Fed's support of the
Agency MBS market and the GSE's guarantee of timely principal and
interest payments, we are optimistic in our ability to generate
attractive returns for our stockholders despite the considerable
uncertainty that exists regarding the broader economy."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of
March 31, 2020, the Company's tangible net book value per
common share was $13.62 per share, a
decrease of -22.9% compared to $17.66
per share as of December 31, 2019. The decline in the
Company's net book value per common share was largely due to the
underperformance of mortgage assets relative to interest rate
hedges, with lower valuation premiums for its higher coupon
specified pool holdings accounting for about half of the
decline.
The Company's tangible net book value per common share excludes
$526 million, or $0.93 and $0.97 per
share, of goodwill as of March 31, 2020 and December 31,
2019, respectively.
INVESTMENT PORTFOLIO
As of March 31, 2020, the
Company's investment portfolio totaled $93.0
billion, comprised of:
- $91.9 billion of Agency MBS and
net TBA securities, including:
-
- $91.1 billion of fixed-rate
securities, comprised of:
-
- $62.9 billion 30-year fixed-rate
securities,
- $21.1 billion 30-year TBA
securities, net,
- $5.8 billion 15-year
securities,
- $0.1 billion 15-year TBA
securities, net, and
- $1.1 billion 20-year fixed-rate
securities; and
- $0.7 billion of collateralized
mortgage obligations ("CMOs"), adjustable-rate and other Agency
securities; and
- $1.1 billion of CRT and
non-Agency securities.
As of March 31, 2020, 30-year and 15-year fixed-rate Agency
securities represented 90% and 6%, respectively, of the Company's
investment portfolio, compared to 89% and 8%, respectively, as of
December 31, 2019.
As of March 31, 2020, the Company's fixed-rate securities'
weighted average coupon was 3.62%, compared to 3.60% as of
December 31, 2019, comprised of the following weighted average
coupons:
- 3.64% for 30-year fixed-rate securities;
- 3.26% for 15-year fixed rate securities; and
- 3.50% 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 March 31, 2020, the Company's net TBA
position had a fair value of $21.2
billion, consisting of $21.5
billion long and $(0.3)
billion short TBA securities, and a GAAP net carrying value
of $574 million reported in
derivative assets/(liabilities) on the Company's balance
sheet. As of December 31, 2019, the Company's net TBA
position had a fair value of $7.4
billion, consisting of $9.0
billion long and $(1.6)
billion short TBA securities, and a GAAP net carrying value
of $25 million.
CONSTANT PREPAYMENT RATES
The Company's investment
portfolio had a weighted average CPR of 12.2% for the first
quarter, compared to 15.4% for the prior quarter. The
weighted average projected CPR for the remaining life of the
Company's Agency securities held as of March 31, 2020
increased to 14.5%, from 10.8% as of December 31, 2019, due to
the decline in long-term interest rates during the quarter.
The weighted average cost basis of the Company's investment
portfolio was 103.9% of par value as of March 31, 2020.
Net premium amortization cost on the Company's investment portfolio
for the first quarter was $(384)
million, or $(0.70) per common
share, which includes "catch-up" premium amortization cost of
$(243) million, or $(0.44) per common share, due to changes in the
Company's projected CPR estimates for securities acquired prior to
the first quarter. This compares to net premium amortization
cost for the prior quarter of $(84)
million, or $(0.16) per common
share, including a "catch-up" premium amortization benefit of
$48 million, or $0.09 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 2.01% for the first
quarter, compared to 3.28% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's average asset yield
was 3.00% for the first quarter, compared to 3.08% for the prior
quarter. Including the net TBA position and excluding "catch-up"
premium amortization, the Company's average asset yield for the
first quarter was 2.97%, compared to 3.09% for the prior
quarter.
For the first quarter, the weighted average interest rate on the
Company's Agency repurchase agreements was 1.80%, compared to 2.12%
for the prior quarter. The Company's average implied TBA
funding cost was 1.67% for the first quarter, compared to 1.88% for
the prior quarter. Inclusive of interest rate swaps, the
Company's combined average cost of funds for the first quarter was
1.67%, compared to 1.76% for the prior quarter.
The Company's annualized net interest spread, including the net
TBA position and interest rate swaps and excluding "catch-up"
premium amortization benefit/cost, for the first quarter was 1.30%,
compared to 1.33% for the prior quarter.
NET SPREAD AND DOLLAR ROLL INCOME
The Company
recognized net spread and dollar roll income (a non-GAAP financial
measure) for the first quarter of $0.57 per common share, excluding $(0.44) per common share of "catch-up" premium
amortization cost, compared to $0.57
per common share for the prior quarter, excluding $0.09 per common share of "catch-up" premium
amortization benefit.
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 March 31, 2020, $63.0 billion of Agency repurchase agreements,
$20.6 billion of net TBA dollar roll
positions (at cost) and $0.2 billion
of other debt were used to fund the Company's investment
portfolio. The remainder, or approximately $3.5 billion, of the Company's repurchase
agreements was used to fund purchases of U.S. Treasury securities
("U.S. Treasury repo") and is not included in the Company's
leverage measurements. Inclusive of its net TBA position and
net payable/(receivable) for unsettled investment securities, the
Company's tangible net book value "at risk" leverage ratio was 9.4x
as of March 31, 2020, unchanged from December 31,
2019. The Company's average "at risk" leverage for the first
quarter was 9.9x tangible net book value, compared to 9.5x in the
prior quarter.
As of March 31, 2020, the Company's Agency repurchase
agreements had a weighted average interest rate of 1.36%, compared
to 2.17% as of December 31, 2019, and a weighted average
remaining maturity of 93 days, compared to 55 days as of
December 31, 2019. As of March 31, 2020,
$35.4 billion, or 56%, of the
Company's Agency repurchase agreements were funded through the
Company's captive broker-dealer subsidiary, Bethesda Securities,
LLC.
As of March 31, 2020, the Company's Agency repurchase
agreements had remaining maturities of:
- $49.0 billion of three months or
less;
- $5.5 billion from three to six
months;
- $4.9 billion from six to twelve
months; and
- $3.7 billion from one to three
years.
HEDGING ACTIVITIES
As of March 31, 2020, interest
rate swaps, swaptions and U.S. Treasury positions equaled 70% of
the Company's outstanding balance of Agency repurchase agreements,
net TBA position and other debt, compared to 102% as of
December 31, 2019.
As of March 31, 2020, the Company's interest rate swap
position totaled $46.5 billion in
notional amount, compared to $79.1
billion as of December 31, 2019. As of
March 31, 2020, the Company's interest rate swap portfolio had
an average fixed pay rate of 0.94%, an average receive rate of
0.15% and an average maturity of 4.5 years, compared to 1.29%,
1.59% and 2.7 years, respectively, as of December 31,
2019. As of March 31, 2020, 69%, 26% and 5% of the
Company's interest rate swap portfolio was linked to the Overnight
Index Swap Rate ("OIS"), Secured Overnight Financing Rate ("SOFR")
and three-month London Interbank Offered Rate ("LIBOR"),
respectively, compared to 86%, 3% and 11%, respectively, as of
December 31, 2019.
As of March 31, 2020, the Company had payer swaptions
outstanding totaling $9.6 billion,
compared to $8.9 billion as of
December 31, 2019. As of March 31, 2020, the
Company had net short U.S. Treasury positions outstanding totaling
$2.6 billion, compared to
$10.7 billion as of December 31,
2019.
OTHER GAIN (LOSS), NET
For the first quarter, the
Company recorded a net loss of $(2,463)
million in other gain (loss), net, or $(4.49) per common share, compared to a net gain
of $609 million, or $1.12 per common share, for the prior
quarter. Other gain (loss), net for the first quarter was
comprised of:
- $494 million of net realized
gains on sales of investment securities;
- $197 million of net unrealized
gains on investment securities measured at fair value through net
income;
- $31 million of interest rate swap
periodic income;
- $(2,827) million of net losses on
interest rate swaps;
- $(134) million of net losses on
interest rate swaptions;
- $(944) million of net losses on
U.S. Treasury positions;
- $16 million of TBA dollar roll
income;
- $677 million of net
mark-to-market gains on TBA securities; and
- $27 million of other
miscellaneous gains.
OTHER COMPREHENSIVE INCOME
During the first quarter,
the Company recorded other comprehensive income of $464 million, or $0.85 per common share, consisting of net
unrealized gains on the Company's Agency securities recognized
through OCI, compared to a $15
million, or $0.03 per common
share, of other comprehensive income for the prior quarter.
COMMON STOCK DIVIDENDS
During the first quarter, the
Company declared dividends of $0.16
per share to common stockholders of record as of January 31, February
28 and March 31, 2020,
respectively, totaling $0.48 per
share for the quarter, which were paid on February 11, March
10 and April 9, 2020,
respectively. Since its May
2008 initial public offering through the first quarter of
2020, the Company has declared a total of $9.9 billion in common stock dividends, or
$41.80 per common share.
The Company previously announced on April
8, 2020 its revised monthly dividend level of $0.12 per common share, commencing with its
declaration of its April dividend to stockholders of record as of
April 30, 2020, which will be paid on
May 11, 2020.
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)
|
|
|
|
|
|
|
|
|
|
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
|
2019
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at
fair value (including pledged securities of
$64,154, $92,608, $93,688, $87,582 and $89,471,
respectively)
|
$
70,292
|
|
$
98,516
|
|
$
98,577
|
|
$
91,140
|
|
$
93,044
|
Agency securities
transferred to consolidated variable interest
entities, at fair value (pledged securities)
|
358
|
|
371
|
|
393
|
|
411
|
|
425
|
Credit risk transfer
securities, at fair value (including pledged
securities of $360, $309, $358, $269 and $142,
respectively)
|
574
|
|
976
|
|
1,134
|
|
1,117
|
|
1,129
|
Non-Agency
securities, at fair value (including pledged securities of
$437, $0, $0, $0 and $45, respectively)
|
552
|
|
579
|
|
579
|
|
603
|
|
672
|
U.S. Treasury
securities, at fair value (including pledged securities of
$3,721, $97, $162, $1,152 and $121, respectively)
|
3,721
|
|
97
|
|
215
|
|
1,152
|
|
121
|
Cash and cash
equivalents
|
1,289
|
|
831
|
|
906
|
|
870
|
|
929
|
Restricted
cash
|
1,978
|
|
451
|
|
734
|
|
789
|
|
517
|
Derivative assets, at
fair value
|
664
|
|
190
|
|
175
|
|
116
|
|
253
|
Receivable for
investment securities sold (including pledged
securities of $0, $0, $105, $673 and $439, respectively)
|
-
|
|
-
|
|
105
|
|
679
|
|
439
|
Receivable under
reverse repurchase agreements
|
4,938
|
|
10,181
|
|
6,093
|
|
8,848
|
|
20,430
|
Goodwill
|
526
|
|
526
|
|
526
|
|
526
|
|
526
|
Other
assets
|
245
|
|
364
|
|
324
|
|
325
|
|
322
|
Total
assets
|
$
85,137
|
|
$
113,082
|
|
$
109,761
|
|
$
106,576
|
|
$
118,807
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
66,540
|
|
$
89,182
|
|
$
90,612
|
|
$
86,266
|
|
$
86,685
|
Debt of consolidated
variable interest entities, at fair value
|
214
|
|
228
|
|
238
|
|
251
|
|
266
|
Payable for
investment securities purchased
|
3,273
|
|
2,554
|
|
3,094
|
|
878
|
|
1,125
|
Derivative
liabilities, at fair value
|
138
|
|
6
|
|
22
|
|
63
|
|
53
|
Dividends
payable
|
113
|
|
104
|
|
100
|
|
101
|
|
107
|
Obligation to return
securities borrowed under reverse repurchase
agreements, at fair value
|
4,886
|
|
9,543
|
|
5,114
|
|
7,754
|
|
19,275
|
Accounts payable and
other liabilities
|
175
|
|
424
|
|
368
|
|
917
|
|
795
|
Total
liabilities
|
75,339
|
|
102,041
|
|
99,548
|
|
96,230
|
|
108,306
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred Stock -
aggregate liquidation preference of $1,538, $963,
$735, $735 and $735, respectively)
|
1,489
|
|
932
|
|
711
|
|
711
|
|
711
|
Common stock - $0.01
par value; 567.7, 540.9, 540.9, 547.8 and
536.3 shares issued and outstanding, respectively
|
6
|
|
5
|
|
5
|
|
5
|
|
5
|
Additional paid-in
capital
|
14,334
|
|
13,893
|
|
13,888
|
|
13,988
|
|
13,795
|
Retained
deficit
|
(6,592)
|
|
(3,886)
|
|
(4,473)
|
|
(4,194)
|
|
(3,467)
|
Accumulated other
comprehensive income (loss)
|
561
|
|
97
|
|
82
|
|
(164)
|
|
(543)
|
Total stockholders'
equity
|
9,798
|
|
11,041
|
|
10,213
|
|
10,346
|
|
10,501
|
Total liabilities and
stockholders' equity
|
$
85,137
|
|
$
113,082
|
|
$
109,761
|
|
$
106,576
|
|
$
118,807
|
|
|
|
|
|
|
|
|
|
|
Tangible net book
value per common share 1
|
$
13.62
|
|
$
17.66
|
|
$
16.55
|
|
$
16.58
|
|
$
17.23
|
AGNC INVESTMENT
CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
|
2019
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
491
|
|
$
768
|
|
$
676
|
|
$
693
|
|
$
705
|
Interest
expense
|
426
|
|
481
|
|
557
|
|
570
|
|
541
|
Net interest
income
|
65
|
|
287
|
|
119
|
|
123
|
|
164
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized gain on sale
of investment securities, net
|
494
|
|
107
|
|
89
|
|
132
|
|
60
|
Unrealized gain
(loss) on investment securities measured at fair value
through net income, net
|
197
|
|
(160)
|
|
355
|
|
759
|
|
1,060
|
Gain (loss) on
derivative instruments and other securities, net
|
(3,154)
|
|
662
|
|
(548)
|
|
(1,438)
|
|
(1,000)
|
Total other gain
(loss), net
|
(2,463)
|
|
609
|
|
(104)
|
|
(547)
|
|
120
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
13
|
|
16
|
|
10
|
|
11
|
|
10
|
Other operating
expense
|
10
|
|
9
|
|
9
|
|
9
|
|
9
|
Total operating
expense
|
23
|
|
25
|
|
19
|
|
20
|
|
19
|
Net income
(loss)
|
(2,421)
|
|
871
|
|
(4)
|
|
(444)
|
|
265
|
Dividend on preferred
stock
|
21
|
|
18
|
|
13
|
|
13
|
|
10
|
Issuance costs of
redeemed preferred stock
|
-
|
|
6
|
|
-
|
|
-
|
|
-
|
Net income (loss)
available (attributable) to common stockholders
|
$
(2,442)
|
|
$
847
|
|
$
(17)
|
|
$
(457)
|
|
$
255
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
(2,421)
|
|
$
871
|
|
$
(4)
|
|
$
(444)
|
|
$
265
|
Unrealized gain on
investment securities measured at fair value
through other comprehensive income (loss), net
|
464
|
|
15
|
|
246
|
|
379
|
|
400
|
Comprehensive
income (loss)
|
(1,957)
|
|
886
|
|
242
|
|
(65)
|
|
665
|
Dividend on preferred
stock
|
21
|
|
18
|
|
13
|
|
13
|
|
10
|
Issuance costs of
redeemed preferred stock
|
-
|
|
6
|
|
-
|
|
-
|
|
-
|
Comprehensive
income (loss) available (attributable) to common
stockholders
|
$
(1,978)
|
|
$
862
|
|
$
229
|
|
$
(78)
|
|
$
655
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
548.0
|
|
541.4
|
|
546.4
|
|
537.8
|
|
536.7
|
Weighted average
number of common shares outstanding - diluted
|
548.0
|
|
542.6
|
|
546.4
|
|
537.8
|
|
537.2
|
Net income (loss)
per common share - basic
|
$
(4.46)
|
|
$
1.56
|
|
$
(0.03)
|
|
$
(0.85)
|
|
$
0.48
|
Net income (loss)
per common share - diluted
|
$
(4.46)
|
|
$
1.56
|
|
$
(0.03)
|
|
$
(0.85)
|
|
$
0.47
|
Comprehensive
income (loss) per common share - basic
|
$
(3.61)
|
|
$
1.59
|
|
$
0.42
|
|
$
(0.15)
|
|
$
1.22
|
Comprehensive
income (loss) per common share - diluted
|
$
(3.61)
|
|
$
1.59
|
|
$
0.42
|
|
$
(0.15)
|
|
$
1.22
|
Dividends declared
per common share
|
$
0.48
|
|
$
0.48
|
|
$
0.48
|
|
$
0.50
|
|
$
0.54
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF
GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME
(NON-GAAP MEASURE) 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
|
2019
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
491
|
|
$
768
|
|
$
676
|
|
$
693
|
|
$
705
|
Interest
expense
|
426
|
|
481
|
|
557
|
|
570
|
|
541
|
GAAP net interest
income
|
65
|
|
287
|
|
119
|
|
123
|
|
164
|
TBA dollar roll income,
net 3,4
|
16
|
|
24
|
|
29
|
|
22
|
|
19
|
Interest rate swap
periodic income, net 3,8
|
31
|
|
85
|
|
146
|
|
88
|
|
83
|
Other interest and
dividend income 3
|
2
|
|
3
|
|
4
|
|
4
|
|
3
|
Adjusted net interest
and dollar roll income
|
114
|
|
399
|
|
298
|
|
237
|
|
269
|
Operating
expense
|
(23)
|
|
(25)
|
|
(19)
|
|
(20)
|
|
(19)
|
Net spread and dollar
roll income
|
91
|
|
374
|
|
279
|
|
217
|
|
250
|
Dividend on preferred
stock
|
21
|
|
18
|
|
13
|
|
13
|
|
10
|
Net spread and dollar
roll income available to common stockholders
|
70
|
|
356
|
|
266
|
|
204
|
|
240
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in
CPR forecast 11
|
243
|
|
(48)
|
|
55
|
|
58
|
|
39
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, available to common stockholders
|
$
313
|
|
$
308
|
|
$
321
|
|
$
262
|
|
$
279
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
548.0
|
|
541.4
|
|
546.4
|
|
537.8
|
|
536.7
|
Weighted average
number of common shares outstanding - diluted
|
549.2
|
|
542.6
|
|
547.1
|
|
538.4
|
|
537.2
|
Net spread and dollar
roll income per common share - basic
|
$
0.13
|
|
$
0.66
|
|
$
0.49
|
|
$
0.38
|
|
$
0.45
|
Net spread and dollar
roll income per common share - diluted
|
$
0.13
|
|
$
0.66
|
|
$
0.49
|
|
$
0.38
|
|
$
0.45
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - basic
|
$
0.57
|
|
$
0.57
|
|
$
0.59
|
|
$
0.49
|
|
$
0.52
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - diluted
|
$
0.57
|
|
$
0.57
|
|
$
0.59
|
|
$
0.49
|
|
$
0.52
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME (NON-GAAP MEASURE)
2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
|
2019
|
Net
income/(loss)
|
$
(2,421)
|
|
$
871
|
|
$
(4)
|
|
$
(444)
|
|
$
265
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
237
|
|
(77)
|
|
47
|
|
67
|
|
54
|
Realized gain/loss,
net
|
2,555
|
|
(504)
|
|
521
|
|
886
|
|
627
|
Net capital
loss/(utilization of net capital loss carryforward)
|
32
|
|
(130)
|
|
34
|
|
320
|
|
(12)
|
Unrealized
(gain)/loss, net
|
(263)
|
|
(47)
|
|
(428)
|
|
(644)
|
|
(719)
|
Other
|
(8)
|
|
2
|
|
(1)
|
|
(1)
|
|
(9)
|
Total book to tax
differences
|
2,553
|
|
(756)
|
|
173
|
|
628
|
|
(59)
|
Estimated REIT
taxable income
|
132
|
|
115
|
|
169
|
|
184
|
|
206
|
Dividend on preferred
stock
|
21
|
|
18
|
|
13
|
|
13
|
|
10
|
Estimated REIT
taxable income, net of preferred stock dividend
|
$
111
|
|
$
97
|
|
$
156
|
|
$
171
|
|
$
196
|
Weighted average
number of common shares outstanding - basic
|
548.0
|
|
541.4
|
|
546.4
|
|
537.8
|
|
536.7
|
Weighted average
number of common shares outstanding - diluted
|
549.2
|
|
542.6
|
|
547.1
|
|
538.4
|
|
537.2
|
Estimated REIT
taxable income per common share - basic
|
$
0.20
|
|
$
0.18
|
|
$
0.29
|
|
$
0.32
|
|
$
0.37
|
Estimated REIT
taxable income per common share - diluted
|
$
0.20
|
|
$
0.18
|
|
$
0.29
|
|
$
0.32
|
|
$
0.36
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible net capital loss
|
$
394
|
|
$
524
|
|
$
490
|
|
$
170
|
|
$
182
|
Increase (decrease)
in net capital loss carryforward
|
32
|
|
(130)
|
|
34
|
|
320
|
|
(12)
|
Ending cumulative
non-deductible net capital loss
|
$
426
|
|
$
394
|
|
$
524
|
|
$
490
|
|
$
170
|
Ending cumulative
non-deductible net capital loss per common share
|
$
0.75
|
|
$
0.73
|
|
$
0.97
|
|
$
0.89
|
|
$
0.32
|
AGNC INVESTMENT
CORP.
|
NET INTEREST SPREAD
COMPONENTS BY FUNDING SOURCE 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
|
2019
|
Adjusted net
interest and dollar roll income, excluding "catch-up"
premium amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment securities
- GAAP interest income 12
|
$
491
|
|
$
768
|
|
$
676
|
|
$
693
|
|
$
705
|
Estimated "catch-up"
premium amortization cost (benefit) due to change
in CPR forecast 11
|
243
|
|
(48)
|
|
55
|
|
58
|
|
39
|
TBA dollar roll
income - implied interest income 3,6
|
48
|
|
58
|
|
81
|
|
96
|
|
71
|
Economic interest
income, excluding "catch-up" premium amortization
|
782
|
|
778
|
|
812
|
|
847
|
|
815
|
Economic interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - GAAP interest expense
|
(426)
|
|
(481)
|
|
(557)
|
|
(570)
|
|
(541)
|
TBA dollar roll
income - implied interest expense 3,5
|
(32)
|
|
(34)
|
|
(52)
|
|
(74)
|
|
(52)
|
Interest rate swap
periodic income, net 3,8
|
31
|
|
85
|
|
146
|
|
88
|
|
83
|
Economic interest
expense
|
(427)
|
|
(430)
|
|
(463)
|
|
(556)
|
|
(510)
|
Other interest and
dividend income 3
|
2
|
|
3
|
|
4
|
|
4
|
|
3
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
357
|
|
$
351
|
|
$
353
|
|
$
295
|
|
$
308
|
|
|
|
|
|
|
|
|
|
|
Net interest
spread, excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities
- average asset yield
|
2.01%
|
|
3.28%
|
|
2.91%
|
|
2.99%
|
|
3.14%
|
Estimated "catch-up"
premium amortization cost (benefit) due to change
in CPR forecast
|
0.99%
|
|
(0.20)%
|
|
0.24%
|
|
0.25%
|
|
0.17%
|
Investment securities
average asset yield, excluding "catch-up" premium
amortization
|
3.00%
|
|
3.08%
|
|
3.15%
|
|
3.24%
|
|
3.31%
|
TBA securities -
average implied asset yield 6
|
2.54%
|
|
3.29%
|
|
3.19%
|
|
3.21%
|
|
3.55%
|
Average asset yield,
excluding "catch-up" premium amortization 7
|
2.97%
|
|
3.09%
|
|
3.16%
|
|
3.24%
|
|
3.33%
|
Average total cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - average funding cost
|
1.80%
|
|
2.12%
|
|
2.48%
|
|
2.62%
|
|
2.64%
|
TBA securities -
average implied funding cost 5
|
1.67%
|
|
1.88%
|
|
2.00%
|
|
2.47%
|
|
2.60%
|
Average cost of
funds, before interest rate swap periodic income, net
7
|
1.79%
|
|
2.10%
|
|
2.43%
|
|
2.60%
|
|
2.64%
|
Interest rate swap
periodic income, net 10
|
(0.12)%
|
|
(0.34)%
|
|
(0.58)%
|
|
(0.36)%
|
|
(0.37)%
|
Average total cost of
funds 9
|
1.67%
|
|
1.76%
|
|
1.85%
|
|
2.24%
|
|
2.27%
|
Average net interest
spread, excluding "catch-up" premium amortization
|
1.30%
|
|
1.33%
|
|
1.31%
|
|
1.00%
|
|
1.06%
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
2020
|
|
2019
|
|
2019
|
|
2019
|
|
2019
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency
MBS, at fair value - as of period end
|
$
69,901
|
|
$
98,074
|
|
$
98,090
|
|
$
90,627
|
|
$
92,502
|
Other Agency MBS, at
fair value - as of period end
|
$
749
|
|
$
813
|
|
$
880
|
|
$
924
|
|
$
967
|
Credit risk transfer
securities, at fair value - as of period end
|
$
574
|
|
$
976
|
|
$
1,134
|
|
$
1,117
|
|
$
1,129
|
Non-Agency MBS, at
fair value - as of period end
|
$
552
|
|
$
579
|
|
$
579
|
|
$
603
|
|
$
672
|
Total investment
securities, at fair value - as of period end
|
$
71,776
|
|
$
100,442
|
|
$
100,683
|
|
$
93,271
|
|
$
95,270
|
Total investment
securities, at cost - as of period end
|
$
69,343
|
|
$
98,670
|
|
$
98,763
|
|
$
91,953
|
|
$
95,090
|
Total investment
securities, at par - as of period end
|
$
66,735
|
|
$
95,561
|
|
$
95,629
|
|
$
88,880
|
|
$
92,091
|
Average investment
securities, at cost
|
$
97,889
|
|
$
93,606
|
|
$
92,764
|
|
$
92,610
|
|
$
89,952
|
Average investment
securities, at par
|
$
94,933
|
|
$
90,586
|
|
$
89,741
|
|
$
89,586
|
|
$
87,021
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio -
as of period end, at fair value
|
$
21,222
|
|
$
7,429
|
|
$
1,867
|
|
$
11,170
|
|
$
6,955
|
Net TBA portfolio -
as of period end, at cost
|
$
20,648
|
|
$
7,404
|
|
$
1,820
|
|
$
11,086
|
|
$
6,885
|
Net TBA portfolio -
as of period end, carrying value
|
$
574
|
|
$
25
|
|
$
47
|
|
$
84
|
|
$
70
|
Average net TBA
portfolio, at cost
|
$
7,487
|
|
$
7,038
|
|
$
10,146
|
|
$
11,864
|
|
$
8,002
|
Average repurchase
agreements and other debt 13
|
$
93,538
|
|
$
88,677
|
|
$
87,938
|
|
$
86,147
|
|
$
82,070
|
Average stockholders'
equity 14
|
$
10,735
|
|
$
10,594
|
|
$
10,347
|
|
$
10,371
|
|
$
10,186
|
Tangible net book
value per common share 1
|
$
13.62
|
|
$
17.66
|
|
$
16.55
|
|
$
16.58
|
|
$
17.23
|
Tangible net book
value "at risk" leverage - average 15
|
9.9:1
|
|
9.5:1
|
|
10.0:1
|
|
10.0:1
|
|
9.3:1
|
Tangible net book
value "at risk" leverage - as of period end
16
|
9.4:1
|
|
9.4:1
|
|
9.8:1
|
|
9.8:1
|
|
9.4:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.68%
|
|
3.76%
|
|
3.87%
|
|
3.88%
|
|
3.87%
|
Average asset
yield
|
2.01%
|
|
3.28%
|
|
2.91%
|
|
2.99%
|
|
3.14%
|
Average asset yield,
excluding "catch-up" premium amortization
|
3.00%
|
|
3.08%
|
|
3.15%
|
|
3.24%
|
|
3.31%
|
Average coupon - as
of period end
|
3.84%
|
|
3.68%
|
|
3.76%
|
|
3.88%
|
|
3.88%
|
Average asset yield -
as of period end
|
2.93%
|
|
3.07%
|
|
3.08%
|
|
3.21%
|
|
3.29%
|
Average actual CPR
for securities held during the period
|
12.2%
|
|
15.4%
|
|
13.5%
|
|
10.0%
|
|
6.3%
|
Average forecasted
CPR - as of period end
|
14.5%
|
|
10.8%
|
|
13.4%
|
|
12.4%
|
|
10.5%
|
Total premium
amortization cost, net
|
$
(384)
|
|
$
(84)
|
|
$
(192)
|
|
$
(183)
|
|
$
(142)
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Average coupon - as
of period end 17
|
3.02%
|
|
3.10%
|
|
2.99%
|
|
3.29%
|
|
3.64%
|
Average implied asset
yield 6
|
2.54%
|
|
3.29%
|
|
3.19%
|
|
3.21%
|
|
3.55%
|
Combined investment
and TBA securities - average asset yield,
excluding "catch-up" premium amortization 7
|
2.97%
|
|
3.09%
|
|
3.16%
|
|
3.24%
|
|
3.33%
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
- average funding cost
|
1.80%
|
|
2.12%
|
|
2.48%
|
|
2.62%
|
|
2.64%
|
TBA securities -
average implied funding cost 5
|
1.67%
|
|
1.88%
|
|
2.00%
|
|
2.47%
|
|
2.60%
|
Interest rate swaps -
average periodic income, net 10
|
(0.12)%
|
|
(0.34)%
|
|
(0.58)%
|
|
(0.36)%
|
|
(0.37)%
|
Average total cost of
funds, inclusive of TBAs and interest rate swap
periodic income, net 7,9
|
1.67%
|
|
1.76%
|
|
1.85%
|
|
2.24%
|
|
2.27%
|
Repurchase agreements
- average funding cost as of period end
|
1.36%
|
|
2.17%
|
|
2.48%
|
|
2.64%
|
|
2.82%
|
Interest rate swaps -
average net pay/(receive) rate as of period end
18
|
0.79%
|
|
(0.30)%
|
|
(0.63)%
|
|
(0.74)%
|
|
(0.68)%
|
Net interest
spread:
|
|
|
|
|
|
|
|
|
|
Combined investment
and TBA securities average net interest spread
|
0.37%
|
|
1.52%
|
|
1.09%
|
|
0.78%
|
|
0.90%
|
Combined investment
and TBA securities average net interest
spread, excluding "catch-up" premium amortization
|
1.30%
|
|
1.33%
|
|
1.31%
|
|
1.00%
|
|
1.06%
|
Expenses % of average
stockholders' equity - annualized
|
0.86%
|
|
0.94%
|
|
0.73%
|
|
0.77%
|
|
0.75%
|
Economic return
(loss) on tangible common equity - unannualized
19
|
(20.2)%
|
|
9.6%
|
|
2.7%
|
|
(0.9)%
|
|
7.3%
|
*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.
- 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 includes dollar
roll income (loss) on long and short TBA securities. Amount
excludes TBA mark-to-market adjustments.
- The implied funding cost of TBA dollar roll transactions is
determined using the "price drop" (Note 4) 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 5) to the net dollar roll yield. The net dollar
roll yield is calculated by dividing dollar roll income (Note 4) by
the average net TBA balance (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.
- Cost of funds excludes other supplemental hedges used to hedge
a portion of the Company's interest rate risk (such as swaptions
and U.S. Treasury positions) and U.S. Treasury repurchase
agreements.
- Represents interest rate swap periodic income/cost measured as
a percent of total mortgage funding (Agency repurchase agreements,
other debt and net 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 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, forward settling
investment securities and net TBA position (at cost) outstanding
for the period by the sum of average stockholders' equity adjusted
to exclude goodwill. 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 goodwill. Leverage excludes U.S. Treasury
repurchase agreements.
- Average TBA coupon, as of March 31,
2020 and December 31,
September 30 and June 30, 2019, is for the long TBA position
only.
- 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 April 30, 2020 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 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 Q1 2020 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 April 30, 2020. In addition, there will be a
phone recording available one hour after the call on April 30,
2020 through May 14, 2020. 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 10141434.
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 other interest
and dividend income (referred to as "adjusted net interest and
dollar roll income") less (ii) 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.
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. 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.