BETHESDA, Md., April 26,
2021 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or the
"Company") (Nasdaq: AGNC) today announced financial results for the
quarter ended March 31, 2021.
FIRST QUARTER 2021 FINANCIAL HIGHLIGHTS
- $1.33 comprehensive income per
common share, comprised of:
-
- $1.77 net income per common
share
- $(0.44) other comprehensive loss
("OCI") per common share on investments marked-to-market through
OCI
- $0.76 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization benefit 1
-
- Includes $0.29 per common share
of dollar roll income associated with the Company's $32.0 billion average net long position in
forward purchases and sales of Agency mortgage-backed securities
("MBS") in the "to-be-announced" ("TBA") market
- Excludes $0.40 per common share
of estimated "catch-up" premium amortization benefit due to change
in projected constant prepayment rate ("CPR") estimates
- $17.72 tangible net book value
per common share as of March 31,
2021
-
- Increased $1.01 per common share,
or 6.0%, from $16.71 per common share
as of December 31, 2020
- $0.36 dividends declared per
common share for the first quarter
- 8.2% economic return on tangible common equity for the
quarter
-
- Comprised of $0.36 dividends per
common share and $1.01 increase in
tangible net book value per common share
OTHER FIRST QUARTER HIGHLIGHTS
- $90.3 billion investment
portfolio as of March 31, 2021,
comprised of:
-
- $63.6 billion Agency MBS
- $24.8 billion net TBA mortgage
position
- $1.9 billion credit risk transfer
("CRT") and non-Agency securities
- 7.7x tangible net book value "at risk" leverage as of
March 31, 2021
-
- 8.0x average tangible net book value "at risk" leverage for the
quarter
- Cash and unencumbered Agency MBS totaled approximately
$5.2 billion as of March 31, 2021
-
- Excludes unencumbered CRT and non-Agency securities and assets
held at the Company's broker-dealer subsidiary, Bethesda
Securities
- 24.6% portfolio CPR for the quarter
-
- 11.3% average projected portfolio CPR as of March 31, 2021
- 2.00% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization benefit
-
- Excludes 95 bps of "catch-up" premium amortization benefit due
to change in projected CPR estimates
- 13.4 million shares, or $215
million, of common stock repurchased during the quarter
2
-
- Represents 2.5% of common stock outstanding as of December 31, 2020
- $16.05 per share average
repurchase price, inclusive of transaction 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.
|
2.
|
Excludes shares
repurchased in December 2020 that settled in January
2021.
|
MANAGEMENT REMARKS
"AGNC's 8.2% economic return in the
first quarter of 2021 represented our fourth consecutive quarter of
unannualized economic returns of 7.5% or more, and, at $17.72 per common share, our tangible net book
value per common share now exceeds the pre-COVID level of
$17.66 as of December 31, 2019," said Gary Kain, the Company's Chief Executive Officer
and Chief Investment Officer. "Importantly, we achieved this
result despite a significant increase in longer term interest rates
during the quarter, again highlighting the importance and value of
AGNC's disciplined investment framework and high quality risk
management.
"From its low in August 2020, the
ten-year Treasury yield increased nearly 125 basis points to the
first quarter high of 1.74%. AGNC's asset portfolio, which
included a combination of lower coupon generic securities and
higher coupon specified pools, performed very well during the
quarter. Our higher coupon specified pools were only
marginally lower in price during the quarter, as the benefits of
slower projected prepayments outweighed the duration impact
associated with higher discount rates. Additionally, our
hedge portfolio, which was comprised mainly of intermediate and
longer-term hedges, contributed to our positive results, with hedge
gains exceeding the aggregate price declines on our asset
portfolio.
"With interest rates now meaningfully higher, a significant amount
of mortgage duration extension has already occurred. At this
higher rate level, prepayment speeds for Agency MBS should moderate
in the coming months, which we expect will improve the realized
carry on our higher coupon specified pool positions as well as
benefit the broader mortgage market through reduced supply."
"AGNC also generated strong earnings in the first quarter, with net
spread and dollar roll income totaling $0.76 per common share," said Peter Federico, the Company's President and
Chief Operating Officer. "The catalysts for AGNC's earnings
were favorable short-term funding, attractive TBA dollar roll
opportunities, and beneficial hedging arrangements that we entered
into during last year's pandemic-related market disruptions.
Together, these components have enabled us to generate $2.90 per common share of net spread and dollar
roll income over the last twelve months. Over the same
period, AGNC generated an economic return of 40.7% for our
stockholders, comprised of $1.44 in
dividends per common share and $4.10
increase in our net tangible book value.
"Notably, our strong first quarter results were achieved with lower
incremental risk, as evidenced by lower average tangible 'at risk'
leverage of 8.0x, down from 8.4x the previous quarter, and a
substantial increase in our hedge ratio, which totaled 98% of our
funding liabilities at quarter end. Finally, we continued to
demonstrate our commitment to stockholder-friendly capital markets
activities by repurchasing $215
million, or 13.4 million shares, of our common stock during
the first quarter at accretive levels.
"Looking ahead, we continue to believe that the Fed will remain
accommodative, maintaining its asset purchase program and near-zero
interest rate policy until substantial further economic recovery is
achieved. This favorable backdrop provides an attractive
investment landscape for Agency MBS, particularly when viewed
relative to elevated valuations for nearly all other asset
classes."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of
March 31, 2021, the Company's
tangible net book value per common share was $17.72 per share, an increase of 6.0% for the
quarter, compared to $16.71 per share
as of December 31, 2020. The
Company's tangible net book value per common share excludes
$526 million, or $1.00 and $0.97 per
share, of goodwill as of March 31,
2021 and December 31, 2020,
respectively.
INVESTMENT PORTFOLIO
As of March 31, 2021, the Company's investment
portfolio totaled $90.3 billion,
comprised of:
- $88.3 billion of Agency MBS and
TBA securities, including:
-
- $87.9 billion of fixed-rate
securities, comprised of:
-
- $45.0 billion 30-year MBS,
- $27.1 billion 30-year TBA
securities,
- $15.5 billion 15-year MBS,
- $(2.4) billion 15-year TBA
securities, and
- $2.6 billion 20-year MBS;
and
- $0.4 billion of collateralized
mortgage obligations ("CMOs"), adjustable-rate and other Agency
securities; and
- $1.9 billion of CRT and
non-Agency securities.
As of March 31, 2021, 30-year and
15-year fixed-rate Agency securities represented 80% and 15%,
respectively, of the Company's investment portfolio, compared to
79% and 17%, respectively, as of December
31, 2020.
As of March 31, 2021, the Company's
fixed-rate securities' weighted average coupon was 2.95%, compared
to 2.89% as of December 31, 2020,
comprised of the following weighted average coupons:
- 3.10% for 30-year fixed-rate securities;
- 2.22% for 15-year fixed rate securities; and
- 2.49% 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,
2021, the Company's TBA position had a fair value of
$24.8 billion and a GAAP net carrying
value of $(576) million reported in
derivative assets/(liabilities) on the Company's balance sheet,
compared to $31.5 billion and
$275 million, respectively, as of
December 31, 2020.
CONSTANT PREPAYMENT RATES
The Company's investment portfolio
had a weighted average CPR of 24.6% for the first quarter, compared
to 27.6% for the prior quarter. Due to the significant increase in
primary mortgage rates during the first quarter of approximately 50
basis points, the weighted average projected CPR for the remaining
life of the Company's Agency securities held as of March 31, 2021 decreased to 11.3% from 17.6% as
of December 31, 2020.
The weighted average cost basis of the Company's investment
portfolio was 104.1% of par value as of March 31, 2021. Premium amortization on the
Company's investment portfolio for the first quarter was a net
benefit of $76 million, or
$0.14 per common share, which
includes a "catch-up" premium amortization benefit of $213 million, or $0.40 per common share, due to a decline 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 $(266)
million, or $(0.49) per common
share, including a "catch-up" premium amortization cost of
$(107) million, or $(0.20) 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 TBA position, was 3.78% for the first
quarter, compared to 1.64% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's average asset yield
was 2.33% for the first quarter, compared to 2.39% for the prior
quarter. Including the TBA position and excluding "catch-up"
premium amortization, the Company's average asset yield for the
first quarter was 2.02%, compared to 2.07% for the prior
quarter.
For the first quarter, the weighted average interest rate on the
Company's repurchase agreements was 0.21%, compared to 0.38% for
the prior quarter. For the first quarter, the Company's TBA
position had an implied financing benefit of (0.48)%, compared to a
benefit of (0.54)% for the prior quarter. Inclusive of
interest rate swaps, the Company's combined average cost of funds
for the first quarter was 0.02%, compared to 0.05% for the prior
quarter.
The Company's annualized net interest spread, including the TBA
position and interest rate swaps and excluding "catch-up" premium
amortization, for the first quarter was 2.00%, compared to 2.02%
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 $0.76 per common share, excluding $0.40 per common share of "catch-up" premium
amortization benefit, compared to $0.75 per common share for the prior quarter,
excluding $(0.20) per common share of
"catch-up" premium amortization cost.
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,
2021, $55.1 billion of
repurchase agreements, $25.4 billion
of TBA dollar roll positions (at cost) and $0.2 billion of other debt were used to fund the
Company's investment portfolio. Inclusive of its TBA position
and net payable/(receivable) for unsettled investment securities,
the Company's tangible net book value "at risk" leverage ratio was
7.7x as of March 31, 2021, compared
to 8.5x as of December 31,
2020. The Company's average "at risk" leverage for the first
quarter was 8.0x tangible net book value, compared to 8.4x for the
prior quarter.
As of March 31, 2021, the Company's
repurchase agreements had a weighted average interest rate of
0.15%, compared to 0.24% as of December 31,
2020, and a weighted average remaining maturity of 73 days,
compared to 54 days as of December
31, 2020. As of March 31,
2021, $24.7 billion, or 45%,
of the Company's repurchase agreements were funded through the
Company's captive broker-dealer subsidiary, Bethesda Securities,
LLC.
As of March 31, 2021, the Company's
repurchase agreements had remaining maturities of:
- $42.6 billion of three months or
less;
- $5.6 billion from three to six
months;
- $6.3 billion from six to twelve
months; and
- $0.6 billion from twelve to
thirty-six months.
HEDGING ACTIVITIES
As of March
31, 2021, interest rate swaps, swaptions and U.S. Treasury
positions equaled 98% of the Company's outstanding balance of
repurchase agreements, TBA position and other debt, compared to 80%
as of December 31, 2020.
As of March 31, 2021, the Company's
interest rate swap position totaled $49.7
billion in notional amount, compared to $43.2 billion as of December 31, 2020. As of March 31, 2021, the Company's interest rate swap
portfolio had an average fixed pay rate of 0.18%, an average
receive rate of 0.02% and an average maturity of 4.7 years,
compared to 0.15%, 0.08% and 5.1 years, respectively, as of
December 31, 2020. As of
March 31, 2021, 74% and 26% of the
Company's interest rate swap portfolio were linked to the Secured
Overnight Financing Rate ("SOFR") and Overnight Index Swap Rate
("OIS"), respectively, compared to 71% and 29%, respectively, as of
December 31, 2020.
As of March 31, 2021, the Company had
payer swaptions outstanding totaling $13.2
billion, compared to $10.4
billion as of December 31,
2020. As of March 31, 2021, the
Company had net short U.S. Treasury positions outstanding totaling
$16.4 billion, compared to
$13.1 billion as of December 31, 2020.
OTHER GAIN (LOSS), NET
For the first quarter, the
Company recorded a net gain of $471
million in other gain (loss), net, or $0.88 per common share, compared to a net gain of
$617 million, or $1.13 per common share, for the prior
quarter. Other gain (loss), net for the first quarter was
comprised of:
- $(13) million of net realized
losses on sales of investment securities;
- $(955) million of net unrealized
losses on investment securities measured at fair value through net
income;
- $(12) million of interest rate
swap periodic costs;
- $1,136 million of net gains on
interest rate swaps;
- $387 million of net gains on
interest rate swaptions;
- $858 million of net gains on U.S.
Treasury positions;
- $154 million of TBA dollar roll
income;
- $(1,080) million of net
mark-to-market losses on TBA securities; and
- $(4) million of other
miscellaneous losses.
OTHER COMPREHENSIVE LOSS
During the first quarter, the
Company recorded an other comprehensive loss of $(237) million, or $(0.44) per common share, consisting of net
unrealized losses on the Company's Agency securities recognized
through OCI, compared to $(115)
million, or $(0.21) per common
share, of other comprehensive loss for the prior quarter.
COMMON STOCK DIVIDENDS
During the first quarter, the
Company declared dividends of $0.12
per share to common stockholders of record as of January 29, February
26, and March 31, 2021,
respectively, totaling $0.36 per
share for the quarter, which were paid on February 9, March
9, and April 12, 2021,
respectively. Since its May
2008 initial public offering through the first quarter of
2021, the Company has declared a total of $10.6 billion in common stock dividends, or
$43.24 per common share.
STOCK REPURCHASE PROGRAM
During the first quarter, the
Company repurchased 13.4 million shares, or $215 million, of its common stock for an average
repurchase price of $16.05 per common
share, inclusive of transaction costs. As of March 31, 2021, $0.7
billion of common stock remained available for repurchase
pursuant to its stock repurchase program through December 31, 2021.
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,
|
|
2021
|
|
2020
|
|
2020
|
|
2020
|
|
2020
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency
securities, at fair value (including pledged securities of
$56,343, $53,698, $55,711, $69,956 and $64,154,
respectively)
|
$
63,286
|
|
$
64,836
|
|
$
66,556
|
|
$
75,488
|
|
$
70,292
|
Agency
securities transferred to consolidated variable interest
entities,
at fair value (pledged securities)
|
270
|
|
295
|
|
323
|
|
344
|
|
358
|
Credit risk
transfer securities, at fair value (including pledged
securities
of $406,
$455, $413, $479 and $360, respectively)
|
1,073
|
|
737
|
|
653
|
|
712
|
|
574
|
Non-Agency
securities, at fair value (including pledged securities of
$414, $458, $455, $511 and $437, respectively)
|
868
|
|
546
|
|
512
|
|
599
|
|
552
|
U.S. Treasury
securities, at fair value (including pledged securities of
$0, $0, $0, $1,136 and $3,721, respectively)
|
-
|
|
-
|
|
-
|
|
1,181
|
|
3,721
|
Cash and cash
equivalents
|
963
|
|
1,017
|
|
857
|
|
859
|
|
1,289
|
Restricted
cash
|
813
|
|
1,307
|
|
1,557
|
|
1,306
|
|
1,978
|
Derivative
assets, at fair value
|
698
|
|
391
|
|
130
|
|
140
|
|
664
|
Receivable for
investment securities sold (including pledged securities
of $0, $207, $10, $480 and $0, respectively)
|
50
|
|
210
|
|
10
|
|
489
|
|
-
|
Receivable
under reverse repurchase agreements
|
16,803
|
|
11,748
|
|
8,625
|
|
7,944
|
|
4,938
|
Goodwill
|
526
|
|
526
|
|
526
|
|
526
|
|
526
|
Other
assets
|
195
|
|
204
|
|
219
|
|
265
|
|
245
|
Total
assets
|
$
85,545
|
|
$
81,817
|
|
$
79,968
|
|
$
89,853
|
|
$
85,137
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
55,056
|
|
$
52,366
|
|
$
54,566
|
|
$
69,685
|
|
$
66,540
|
Debt of
consolidated variable interest entities, at fair value
|
165
|
|
177
|
|
192
|
|
204
|
|
214
|
Payable for
investment securities purchased
|
2,512
|
|
6,157
|
|
5,887
|
|
1,468
|
|
3,273
|
Derivative
liabilities, at fair value
|
589
|
|
2
|
|
13
|
|
3
|
|
138
|
Dividends
payable
|
88
|
|
90
|
|
90
|
|
92
|
|
113
|
Obligation to
return securities borrowed under reverse repurchase
agreements, at fair value
|
15,090
|
|
11,727
|
|
8,372
|
|
7,929
|
|
4,886
|
Accounts
payable and other liabilities
|
681
|
|
219
|
|
128
|
|
122
|
|
175
|
Total
liabilities
|
74,181
|
|
70,738
|
|
69,248
|
|
79,503
|
|
75,339
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred
Stock - aggregate liquidation preference of $1,538
|
1,489
|
|
1,489
|
|
1,489
|
|
1,489
|
|
1,489
|
Common stock -
$0.01 par value; 524.9, 539.5, 545.2, 555.5 and 567.7
shares issued and outstanding, respectively
|
5
|
|
5
|
|
5
|
|
6
|
|
6
|
Additional
paid-in capital
|
13,736
|
|
13,972
|
|
14,053
|
|
14,191
|
|
14,334
|
Retained
deficit
|
(4,348)
|
|
(5,106)
|
|
(5,661)
|
|
(6,100)
|
|
(6,592)
|
Accumulated
other comprehensive income
|
482
|
|
719
|
|
834
|
|
764
|
|
561
|
Total stockholders'
equity
|
11,364
|
|
11,079
|
|
10,720
|
|
10,350
|
|
9,798
|
Total liabilities and
stockholders' equity
|
$
85,545
|
|
$
81,817
|
|
$
79,968
|
|
$
89,853
|
|
$
85,137
|
|
|
|
|
|
|
|
|
|
|
Tangible net book
value per common share 1
|
$
17.72
|
|
$
16.71
|
|
$
15.88
|
|
$
14.92
|
|
$
13.62
|
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,
|
|
2021
|
|
2020
|
|
2020
|
|
2020
|
|
2020
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
557
|
|
$
235
|
|
$
364
|
|
$
429
|
|
$
491
|
Interest
expense
|
29
|
|
52
|
|
62
|
|
134
|
|
426
|
Net
interest income
|
528
|
|
183
|
|
302
|
|
295
|
|
65
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized gain
(loss) on sale of investment securities, net
|
(13)
|
|
133
|
|
346
|
|
153
|
|
494
|
Unrealized
gain (loss) on investment securities measured at fair value
through
net income, net
|
(955)
|
|
(192)
|
|
(365)
|
|
679
|
|
197
|
Gain (loss) on
derivative instruments and other securities, net
|
1,439
|
|
676
|
|
400
|
|
(385)
|
|
(3,154)
|
Total other gain (loss), net
|
471
|
|
617
|
|
381
|
|
447
|
|
(2,463)
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation
and benefits
|
16
|
|
17
|
|
13
|
|
13
|
|
13
|
Other
operating expense
|
8
|
|
8
|
|
8
|
|
11
|
|
10
|
Total
operating expense
|
24
|
|
25
|
|
21
|
|
24
|
|
23
|
Net income
(loss)
|
975
|
|
775
|
|
662
|
|
718
|
|
(2,421)
|
Dividend on
preferred stock
|
25
|
|
25
|
|
25
|
|
25
|
|
21
|
Net income (loss)
available (attributable) to common stockholders
|
$
950
|
|
$
750
|
|
$
637
|
|
$
693
|
|
$
(2,442)
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
975
|
|
$
775
|
|
$
662
|
|
$
718
|
|
$
(2,421)
|
Unrealized
gain (loss) on investment securities measured at fair value
through
other comprehensive income (loss), net
|
(237)
|
|
(115)
|
|
70
|
|
203
|
|
464
|
Comprehensive
income
|
738
|
|
660
|
|
732
|
|
921
|
|
(1,957)
|
Dividend on
preferred stock
|
25
|
|
25
|
|
25
|
|
25
|
|
21
|
Comprehensive
income (loss) available (attributable) to common
stockholders
|
$
713
|
|
$
635
|
|
$
707
|
|
$
896
|
|
$
(1,978)
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
533.7
|
|
544.8
|
|
553.2
|
|
560.3
|
|
548.0
|
Weighted average
number of common shares outstanding - diluted
|
535.6
|
|
546.4
|
|
554.3
|
|
560.8
|
|
548.0
|
Net income (loss)
per common share - basic
|
$
1.78
|
|
$
1.38
|
|
$
1.15
|
|
$
1.24
|
|
$
(4.46)
|
Net income (loss)
per common share - diluted
|
$
1.77
|
|
$
1.37
|
|
$
1.15
|
|
$
1.24
|
|
$
(4.46)
|
Comprehensive
income (loss) per common share - basic
|
$
1.34
|
|
$
1.17
|
|
$
1.28
|
|
$
1.60
|
|
$
(3.61)
|
Comprehensive
income (loss) per common share - diluted
|
$
1.33
|
|
$
1.16
|
|
$
1.28
|
|
$
1.60
|
|
$
(3.61)
|
Dividends declared
per common share
|
$
0.36
|
|
$
0.36
|
|
$
0.36
|
|
$
0.36
|
|
$
0.48
|
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,
|
|
2021
|
|
2020
|
|
2020
|
|
2020
|
|
2020
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
557
|
|
$
235
|
|
$
364
|
|
$
429
|
|
$
491
|
Interest
expense
|
29
|
|
52
|
|
62
|
|
134
|
|
426
|
GAAP net
interest income
|
528
|
|
183
|
|
302
|
|
295
|
|
65
|
TBA dollar roll
income, net 3,4
|
154
|
|
176
|
|
155
|
|
78
|
|
16
|
Interest rate
swap periodic (cost) income, net 3,8
|
(12)
|
|
(7)
|
|
(13)
|
|
(59)
|
|
31
|
Other interest
and dividend income 3
|
-
|
|
-
|
|
-
|
|
1
|
|
2
|
Adjusted net
interest and dollar roll income
|
670
|
|
352
|
|
444
|
|
315
|
|
114
|
Operating
expense
|
(24)
|
|
(25)
|
|
(21)
|
|
(24)
|
|
(23)
|
Net spread and dollar
roll income
|
646
|
|
327
|
|
423
|
|
291
|
|
91
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
21
|
Net spread and dollar
roll income available to common stockholders
|
621
|
|
302
|
|
398
|
|
266
|
|
70
|
Estimated
"catch-up" premium amortization cost (benefit) due to change in
CPR forecast 11
|
(213)
|
|
107
|
|
50
|
|
57
|
|
243
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization,
available to common stockholders
|
$
408
|
|
$
409
|
|
$
448
|
|
$
323
|
|
$
313
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
533.7
|
|
544.8
|
|
553.2
|
|
560.3
|
|
548.0
|
Weighted average
number of common shares outstanding - diluted
|
535.6
|
|
546.4
|
|
554.3
|
|
560.8
|
|
549.2
|
Net spread and dollar
roll income per common share - basic
|
$
1.16
|
|
$
0.55
|
|
$
0.72
|
|
$
0.47
|
|
$
0.13
|
Net spread and dollar
roll income per common share - diluted
|
$
1.16
|
|
$
0.55
|
|
$
0.72
|
|
$
0.47
|
|
$
0.13
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization,
per common share - basic
|
$
0.76
|
|
$
0.75
|
|
$
0.81
|
|
$
0.58
|
|
$
0.57
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization,
per common share - diluted
|
$
0.76
|
|
$
0.75
|
|
$
0.81
|
|
$
0.58
|
|
$
0.57
|
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,
|
|
2021
|
|
2020
|
|
2020
|
|
2020
|
|
2020
|
Net
income/(loss)
|
$
975
|
|
$
775
|
|
$
662
|
|
$
718
|
|
$
(2,421)
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium
amortization, net
|
(269)
|
|
44
|
|
(11)
|
|
22
|
|
237
|
Realized
gain/loss, net
|
(1,494)
|
|
(548)
|
|
(472)
|
|
-
|
|
2,555
|
Net capital
loss/(utilization of net capital loss carryforward)
|
89
|
|
-
|
|
-
|
|
(426)
|
|
32
|
Unrealized
(gain)/loss, net
|
545
|
|
(121)
|
|
354
|
|
(291)
|
|
(263)
|
Other
|
(10)
|
|
5
|
|
-
|
|
(2)
|
|
(8)
|
Total
book to tax differences
|
(1,139)
|
|
(620)
|
|
(129)
|
|
(697)
|
|
2,553
|
REIT taxable income
(loss)
|
(164)
|
|
155
|
|
533
|
|
21
|
|
132
|
REIT taxable
income attributed to preferred stock
|
-
|
|
25
|
|
25
|
|
25
|
|
21
|
REIT taxable income
(loss), attributed to common stock
|
$
(164)
|
|
$
130
|
|
$
508
|
|
$
(4)
|
|
$
111
|
Weighted average
common shares outstanding - basic
|
533.7
|
|
544.8
|
|
553.2
|
|
560.3
|
|
548.0
|
Weighted average
common shares outstanding - diluted
|
533.7
|
|
546.4
|
|
554.3
|
|
560.3
|
|
549.2
|
REIT taxable income
(loss) per common share - basic
|
$
(0.31)
|
|
$
0.24
|
|
$
0.92
|
|
$ (0.01)
|
|
$
0.20
|
REIT taxable income
(loss) per common share - diluted
|
$
(0.31)
|
|
$
0.24
|
|
$
0.92
|
|
$ (0.01)
|
|
$
0.20
|
|
|
|
|
|
|
|
|
|
|
Beginning net capital
loss carryforward
|
$
-
|
|
$
-
|
|
$
-
|
|
$
426
|
|
$
394
|
Increase (decrease)
in net capital loss carryforward
|
89
|
|
-
|
|
-
|
|
(426)
|
|
32
|
Ending net capital
loss carryforward
|
$
89
|
|
$
-
|
|
$
-
|
|
$
-
|
|
$
426
|
Ending net capital
loss carryforward per common share
|
$
0.17
|
|
$
-
|
|
$
-
|
|
$
-
|
|
$
0.75
|
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,
|
|
2021
|
|
2020
|
|
2020
|
|
2020
|
|
2020
|
Adjusted net
interest and dollar roll income, excluding "catch-up"
premium amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment
securities - GAAP interest income 12
|
$
557
|
|
$
235
|
|
$
364
|
|
$
429
|
|
$
491
|
Estimated
"catch-up" premium amortization cost (benefit) due to change
in CPR forecast 11
|
(213)
|
|
107
|
|
50
|
|
57
|
|
243
|
TBA dollar roll
income - implied interest income 3,6
|
116
|
|
129
|
|
114
|
|
74
|
|
48
|
Economic interest
income, excluding "catch-up" premium amortization
|
460
|
|
471
|
|
528
|
|
560
|
|
782
|
Economic interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements and other debt - GAAP interest expense
|
(29)
|
|
(52)
|
|
(62)
|
|
(134)
|
|
(426)
|
TBA dollar roll
income - implied interest benefit (expense)
3,5
|
38
|
|
47
|
|
41
|
|
4
|
|
(32)
|
Interest rate
swap periodic (cost) income, net 3,8
|
(12)
|
|
(7)
|
|
(13)
|
|
(59)
|
|
31
|
Economic interest
expense
|
(3)
|
|
(12)
|
|
(34)
|
|
(189)
|
|
(427)
|
Other interest
and dividend income 3
|
-
|
|
-
|
|
-
|
|
1
|
|
2
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
457
|
|
$
459
|
|
$
494
|
|
$
372
|
|
$
357
|
|
|
|
|
|
|
|
|
|
|
Net interest
spread, excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment
securities - average asset yield
|
3.78%
|
|
1.64%
|
|
2.28%
|
|
2.39%
|
|
2.01%
|
Estimated
"catch-up" premium amortization cost (benefit) due to change in
CPR forecast
|
(1.45)%
|
|
0.75%
|
|
0.31%
|
|
0.32%
|
|
0.99%
|
Investment
securities average asset yield, excluding "catch-up" premium
amortization
|
2.33%
|
|
2.39%
|
|
2.59%
|
|
2.71%
|
|
3.00%
|
TBA securities
- average implied asset yield 6
|
1.44%
|
|
1.53%
|
|
1.64%
|
|
1.90%
|
|
2.54%
|
Average asset yield,
excluding "catch-up" premium amortization 7
|
2.02%
|
|
2.07%
|
|
2.30%
|
|
2.56%
|
|
2.97%
|
Average total cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements and other debt - average funding cost
|
0.21%
|
|
0.38%
|
|
0.40%
|
|
0.76%
|
|
1.80%
|
TBA securities
- average implied funding (benefit) cost 5
|
(0.48)%
|
|
(0.54)%
|
|
(0.58)%
|
|
(0.09)%
|
|
1.67%
|
Average cost of
funds, before interest rate swap periodic cost (income), net
7
|
(0.04)%
|
|
0.02%
|
|
0.09%
|
|
0.61%
|
|
1.79%
|
Interest rate
swap periodic cost (income), net 10
|
0.06%
|
|
0.03%
|
|
0.06%
|
|
0.27%
|
|
(0.12)%
|
Average total cost of
funds 9
|
0.02%
|
|
0.05%
|
|
0.15%
|
|
0.88%
|
|
1.67%
|
Average net interest
spread, excluding "catch-up" premium amortization
|
2.00%
|
|
2.02%
|
|
2.15%
|
|
1.68%
|
|
1.30%
|
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,
|
2021
|
|
2020
|
|
2020
|
|
2020
|
|
2020
|
Investment
securities:12
|
|
|
|
|
|
|
|
|
|
Fixed-rate
Agency MBS, at fair value - as of period end
|
$ 63,122
|
|
$
64,615
|
|
$
66,278
|
|
$ 75,165
|
|
$ 69,901
|
Other Agency
MBS, at fair value - as of period end
|
$
434
|
|
$
516
|
|
$
601
|
|
$
667
|
|
$
749
|
Credit risk
transfer securities, at fair value - as of period end
|
$
1,073
|
|
$
737
|
|
$
653
|
|
$
712
|
|
$
574
|
Non-Agency
MBS, at fair value - as of period end
|
$
868
|
|
$
546
|
|
$
512
|
|
$
599
|
|
$
552
|
Total
investment securities, at fair value - as of period end
|
$ 65,497
|
|
$
66,414
|
|
$
68,044
|
|
$ 77,143
|
|
$ 71,776
|
Total
investment securities, at cost - as of period end
|
$ 63,975
|
|
$
63,701
|
|
$
65,024
|
|
$ 73,828
|
|
$ 69,343
|
Total
investment securities, at par - as of period end
|
$ 61,454
|
|
$
61,270
|
|
$
62,449
|
|
$ 70,878
|
|
$ 66,735
|
Average
investment securities, at cost
|
$ 58,948
|
|
$
57,194
|
|
$
63,893
|
|
$ 71,787
|
|
$ 97,889
|
Average
investment securities, at par
|
$ 56,641
|
|
$
54,983
|
|
$
61,398
|
|
$ 68,994
|
|
$ 94,933
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Net TBA
portfolio - as of period end, at fair value
|
$ 24,779
|
|
$
31,479
|
|
$
29,536
|
|
$ 20,543
|
|
$ 21,222
|
Net TBA
portfolio - as of period end, at cost
|
$ 25,355
|
|
$
31,204
|
|
$
29,460
|
|
$ 20,413
|
|
$ 20,648
|
Net TBA
portfolio - as of period end, carrying value
|
$
(576)
|
|
$
275
|
|
$
76
|
|
$
130
|
|
$
574
|
Average net
TBA portfolio, at cost
|
$ 32,022
|
|
$
33,753
|
|
$
27,785
|
|
$ 15,662
|
|
$
7,487
|
Average repurchase
agreements and other debt 13
|
$ 54,602
|
|
$
53,645
|
|
$
61,008
|
|
$ 69,552
|
|
$ 93,538
|
Average stockholders'
equity 14
|
$ 11,312
|
|
$
10,918
|
|
$
10,527
|
|
$ 10,262
|
|
$ 10,735
|
Tangible net book
value per common share 1
|
$
17.72
|
|
$
16.71
|
|
$
15.88
|
|
$
14.92
|
|
$
13.62
|
Tangible net book
value "at risk" leverage - average 15
|
8.0:1
|
|
8.4:1
|
|
8.9:1
|
|
8.8:1
|
|
9.9:1
|
Tangible net book
value "at risk" leverage - as of period end
16
|
7.7:1
|
|
8.5:1
|
|
8.8:1
|
|
9.2:1
|
|
9.4:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.40%
|
|
3.64%
|
|
3.73%
|
|
3.77%
|
|
3.68%
|
Average asset
yield
|
3.78%
|
|
1.64%
|
|
2.28%
|
|
2.39%
|
|
2.01%
|
Average asset
yield, excluding "catch-up" premium amortization
|
2.33%
|
|
2.39%
|
|
2.59%
|
|
2.71%
|
|
3.00%
|
Average coupon
- as of period end
|
3.23%
|
|
3.39%
|
|
3.59%
|
|
3.71%
|
|
3.84%
|
Average asset
yield - as of period end
|
2.39%
|
|
2.33%
|
|
2.56%
|
|
2.64%
|
|
2.93%
|
Average actual
CPR for securities held during the period
|
24.6%
|
|
27.6%
|
|
24.3%
|
|
19.9%
|
|
12.2%
|
Average
forecasted CPR - as of period end
|
11.3%
|
|
17.6%
|
|
15.9%
|
|
16.6%
|
|
14.5%
|
Total premium
amortization (cost) benefit, net
|
$
76
|
|
$
(266)
|
|
$
(209)
|
|
$
(223)
|
|
$
(384)
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Average coupon
- as of period end 17
|
2.35%
|
|
1.98%
|
|
2.06%
|
|
2.41%
|
|
3.02%
|
Average
implied asset yield 6
|
1.44%
|
|
1.53%
|
|
1.64%
|
|
1.90%
|
|
2.54%
|
Combined investment
and TBA securities - average asset yield, excluding "catch-
up" premium amortization 7
|
2.02%
|
|
2.07%
|
|
2.30%
|
|
2.56%
|
|
2.97%
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements - average funding cost
|
0.21%
|
|
0.38%
|
|
0.40%
|
|
0.76%
|
|
1.80%
|
TBA securities
- average implied funding cost (benefit) 5
|
(0.48)%
|
|
(0.54)%
|
|
(0.58)%
|
|
(0.09)%
|
|
1.67%
|
Interest rate
swaps - average periodic expense (income), net
10
|
0.06%
|
|
0.03%
|
|
0.06%
|
|
0.27%
|
|
(0.12)%
|
Average total
cost of funds, inclusive of TBAs and interest rate swap
periodic
expense (income), net 7,9
|
0.02%
|
|
0.05%
|
|
0.15%
|
|
0.88%
|
|
1.67%
|
Repurchase
agreements - average funding cost as of period end
|
0.15%
|
|
0.24%
|
|
0.37%
|
|
0.41%
|
|
1.36%
|
Interest rate
swaps - average net pay/(receive) rate as of period end
18
|
0.16%
|
|
0.07%
|
|
0.07%
|
|
0.26%
|
|
0.79%
|
Net interest
spread:
|
|
|
|
|
|
|
|
|
|
Combined
investment and TBA securities average net interest
spread
|
2.95%
|
|
1.55%
|
|
1.94%
|
|
1.42%
|
|
0.37%
|
Combined
investment and TBA securities average net interest spread,
excluding
"catch-up" premium amortization
|
2.00%
|
|
2.02%
|
|
2.15%
|
|
1.68%
|
|
1.30%
|
Expenses % of average
stockholders' equity - annualized
|
0.85%
|
|
0.92%
|
|
0.80%
|
|
0.94%
|
|
0.86%
|
Economic return
(loss) on tangible common equity - unannualized
19
|
8.2%
|
|
7.5%
|
|
8.8%
|
|
12.2%
|
|
(20.2)%
|
*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/benefit 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/benefit 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 cost/income 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 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
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 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 27, 2021 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 2021 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 27, 2021. In addition, there will be a
phone recording available one hour after the call on April 27,
2021 through May 11, 2021. 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 10153567.
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 within the
meaning of the Private Securities Litigation Reform Act.
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 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.