BETHESDA, Md., July 27,
2020 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or the
"Company") (Nasdaq: AGNC) today announced financial results for the
quarter ended June 30, 2020.
SECOND QUARTER 2020 FINANCIAL HIGHLIGHTS
- $1.60 comprehensive income per
common share, comprised of:
-
- $1.24 net income per common
share
- $0.36 other comprehensive income
("OCI") per common share on investments marked-to-market through
OCI
- $0.58 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost 1
-
- Includes $0.14 per common share
of dollar roll income associated with the Company's $15.7 billion average net long position in
forward purchases and sales of Agency mortgage-backed securities
("MBS") in the "to-be-announced" ("TBA") market
- Excludes $(0.10) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $14.92 tangible net book value
per common share as of June 30,
2020
-
- Increased $1.30 per common share,
or 9.5%, from $13.62 per common share
as of March 31, 2020
- $0.36 dividends declared per
common share for the second quarter
- 12.2% economic return on tangible common equity for the
quarter
-
- Comprised of $0.36 dividends per
common share and $1.30 increase in
tangible net book value per common share
OTHER SECOND QUARTER HIGHLIGHTS
- $97.7 billion investment
portfolio as of June 30, 2020,
comprised of:
-
- $75.8 billion Agency MBS
- $20.5 billion net TBA mortgage
position
- $1.3 billion credit risk transfer
("CRT") and non-Agency securities
- 9.2x tangible net book value "at risk" leverage as of
June 30, 2020
-
- 8.8x average tangible net book value "at risk" leverage for the
quarter
- Cash and unencumbered Agency MBS totaled approximately
$4.5 billion as of June 30, 2020
-
- Excludes unencumbered CRT and non-Agency securities and assets
held at the Company's broker-dealer subsidiary, Bethesda
Securities
- 19.9% portfolio CPR for the quarter
-
- 16.6% average projected portfolio CPR as of June 30, 2020
- 1.68% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization cost
-
- Excludes -26 bps of "catch-up" premium amortization cost due to
change in projected CPR estimates
- 12.2 million shares, or $147
million, of common stock repurchased during the quarter
-
- Represents 2.2% of common stock outstanding as of March 31, 2020
- $11.99 per share average
repurchase price, inclusive of transaction costs
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1.
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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.
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MANAGEMENT REMARKS
"We were very pleased with the
performance of our portfolio in the second quarter," said
Gary Kain, the Company's Chief
Executive Officer and Chief Investment Officer. "Market conditions
during the quarter improved significantly as a result of the
unprecedented domestic monetary and fiscal stimulus. Interest
rate volatility was muted as the Federal Reserve communicated its
intention to hold short-term rates at current levels for several
years. Against this favorable backdrop, risk assets rallied
dramatically during the quarter. Equity markets, along with
many credit centric fixed income sectors, recouped most of their
first quarter losses.
"The performance of Agency MBS was somewhat mixed during the
quarter. Lower coupon MBS outperformed higher coupon Agency
MBS, which were negatively impacted by prepayment concerns.
Importantly for AGNC, specified pools recovered a significant
portion of the price declines experienced in March. The
strong performance of specified pools was the primary driver of our
12% economic return for the quarter, which represented a recovery
of about half of the pandemic-related first quarter
loss."
"In addition to the significant book value gain in the second
quarter, AGNC's earnings power also remained robust, as evidenced
by our $0.58 per common share of net
spread and dollar roll income, excluding 'catch-up' premium
amortization cost," said Peter
Federico, the Company's President and Chief Operating
Officer. "The small increase in our net spread and dollar roll
income from the first quarter was encouraging given the reduction
in the overall size of the portfolio and the lower average
leverage. The broad availability of funding at rates near zero and
muted interest rate volatility create a very favorable environment
for the three primary components of our business – asset
performance, cost and availability of financing and risk
management. As such, we expect the earnings environment for Agency
MBS to remain favorable for the foreseeable future despite the
ongoing economic uncertainties associated with the COVID-19
pandemic."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of
June 30, 2020, the Company's tangible
net book value per common share was $14.92 per share, an increase of 9.5% for the
quarter, compared to $13.62 per share
as of March 31, 2020.
The Company's tangible net book value per common share excludes
$526 million, or $0.95 and $0.93 per
share, of goodwill as of June 30,
2020 and March 31, 2020,
respectively.
INVESTMENT PORTFOLIO
As of June
30, 2020, the Company's investment portfolio totaled
$97.7 billion, comprised of:
- $96.4 billion of Agency MBS and
net TBA securities, including:
-
- $95.7 billion of fixed-rate
securities, comprised of:
-
- $68.0 billion 30-year MBS,
- $12.9 billion 30-year TBA
securities, net,
- $4.4 billion 15-year MBS,
- $7.6 billion 15-year TBA
securities, and
- $2.8 billion 20-year MBS;
and
- $0.7 billion of collateralized
mortgage obligations ("CMOs"), adjustable-rate and other Agency
securities; and
- $1.3 billion of CRT and
non-Agency securities.
As of June 30, 2020, 30-year and
15-year fixed-rate Agency securities represented 83% and 12%,
respectively, of the Company's investment portfolio, compared to
90% and 6%, respectively, as of March 31,
2020.
As of June 30, 2020, the Company's
fixed-rate securities' weighted average coupon was 3.40%, compared
to 3.62% as of March 31, 2020,
comprised of the following weighted average coupons:
- 3.54% for 30-year fixed-rate securities;
- 2.56% for 15-year fixed rate securities; and
- 2.88% for 20-year fixed-rate securities.
The Company accounts for TBA securities (or "dollar roll funded
assets") as derivative instruments and recognizes dollar roll
income in other gain (loss), net on the Company's financial
statements. As of June 30,
2020, the Company's net TBA position had a fair value of
$20.5 billion, consisting of
$20.6 billion long and $(26) million short TBA securities, and a GAAP
net carrying value of $130 million
reported in derivative assets/(liabilities) on the Company's
balance sheet. 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.
CONSTANT PREPAYMENT RATES
The Company's investment
portfolio had a weighted average CPR of 19.9% for the second
quarter, compared to 12.2% for the prior quarter. The
weighted average projected CPR for the remaining life of the
Company's Agency securities held as of June
30, 2020 increased to 16.6%, from 14.5% as of March 31, 2020.
The weighted average cost basis of the Company's investment
portfolio was 104.2% of par value as of June
30, 2020. Net premium amortization cost on the
Company's investment portfolio for the second quarter was
$(223) million, or $(0.40) per common share, which includes
"catch-up" premium amortization cost of $(57) million, or $(0.10) per common share, due to changes in the
Company's projected CPR estimates for securities acquired prior to
the second quarter. This compares to net premium amortization
cost for the prior quarter of $(384)
million, or $(0.70) per common
share, including a "catch-up" premium amortization cost of
$(243) million, or $(0.44) 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 2.39% for the second
quarter, compared to 2.01% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's average asset yield
was 2.71% for the second quarter, compared to 3.00% for the prior
quarter. Including the net TBA position and excluding "catch-up"
premium amortization, the Company's average asset yield for the
second quarter was 2.56%, compared to 2.97% for the prior
quarter.
For the second quarter, the weighted average interest rate on
the Company's Agency repurchase agreements was 0.76%, compared to
1.80% for the prior quarter. For the second quarter, the
Company's TBA position had an implied financing benefit of -0.09%,
compared to an implied financing cost of 1.67% for the prior
quarter. Inclusive of interest rate swaps, the Company's
combined average cost of funds for the second quarter was 0.88%,
compared to 1.67% 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, for the second quarter was 1.68%, compared to
1.30% 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 second quarter of $0.58 per common share, excluding $(0.10) per common share of "catch-up" premium
amortization cost, compared to $0.57
per common share for the prior quarter, excluding $(0.44) 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 June 30,
2020, $69.2 billion of Agency
repurchase agreements, $20.4 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 $0.5 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 9.2x as of June 30,
2020, compared to 9.4x as of March
31, 2020. The Company's average "at risk" leverage for
the second quarter was 8.8x tangible net book value, compared to
9.9x in the prior quarter.
As of June 30, 2020, the Company's
Agency repurchase agreements had a weighted average interest rate
of 0.41%, compared to 1.36% as of March 31,
2020, and a weighted average remaining maturity of 60 days,
compared to 93 days as of March 31,
2020. As of June 30, 2020,
$33.3 billion, or 48%, of the
Company's Agency repurchase agreements were funded through the
Company's captive broker-dealer subsidiary, Bethesda Securities,
LLC.
During the second quarter, the Company terminated $3.7 billion of Agency repurchase agreements with
a weighted average interest rate of 2.11% and a weighted average
remaining maturity of 2.2 years. The terminated agreements were
replaced with shorter duration repurchase agreements at lower
prevailing market rates. The Company recognized losses on debt
extinguishment of $146 million in
other gain (loss), net for the quarter.
As of June 30, 2020, the Company's
Agency repurchase agreements had remaining maturities of:
- $54.9 billion of three months or
less;
- $2.6 billion from three to six
months; and
- $11.7 billion from six to twelve
months.
HEDGING ACTIVITIES
As of June
30, 2020, interest rate swaps, swaptions and U.S. Treasury
positions equaled 66% of the Company's outstanding balance of
Agency repurchase agreements, net TBA position and other debt,
compared to 70% as of March 31,
2020.
As of June 30, 2020, the Company's
interest rate swap position totaled $42.1
billion in notional amount, compared to $46.5 billion as of March
31, 2020. As of June 30,
2020, the Company's interest rate swap portfolio had an
average fixed pay rate of 0.39%, an average receive rate of 0.13%
and an average maturity of 5.1 years, compared to 0.94%, 0.15% and
4.5 years, respectively, as of March
31, 2020. As of June 30,
2020, 79%, 16% 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 69%,
26% and 5%, respectively, as of March 31,
2020.
As of June 30, 2020, the Company
had payer swaptions outstanding totaling $9.4 billion, compared to $9.6 billion as of March
31, 2020. As of June 30,
2020, the Company had net short U.S. Treasury positions
outstanding totaling $8.1 billion,
compared to $2.6 billion as of
March 31, 2020.
OTHER GAIN (LOSS), NET
For the second quarter, the
Company recorded a net gain of $447
million in other gain (loss), net, or $0.80 per common share, compared to a net loss of
$(2,463) million, or $(4.49) per common share, for the prior
quarter. Other gain (loss), net for the second quarter was
comprised of:
- $153 million of net realized
gains on sales of investment securities;
- $679 million of net unrealized
gains on investment securities measured at fair value through net
income;
- $(59) million of interest rate
swap periodic costs;
- $(320) million of net losses on
interest rate swaps;
- $(14) million of net losses on
interest rate swaptions;
- $(64) million of net losses on
U.S. Treasury positions;
- $78 million of TBA dollar roll
income;
- $142 million of net
mark-to-market gains on TBA securities;
- $(146) million of losses on debt
extinguishment; and
- $(2) million of other
miscellaneous losses.
OTHER COMPREHENSIVE INCOME
During the second quarter,
the Company recorded other comprehensive income of $203 million, or $0.36 per common share, consisting of net
unrealized gains on the Company's Agency securities recognized
through OCI, compared to a $464
million, or $0.85 per common
share, of other comprehensive income for the prior quarter.
COMMON STOCK DIVIDENDS
During the second quarter, the
Company declared dividends of $0.12
per share to common stockholders of record as of April 30, May 29
and June 30, 2020, respectively,
totaling $0.36 per share for the
quarter, which were paid on May 11,
June 9 and July 10, 2020, respectively. Since its
May 2008 initial public offering
through the second quarter of 2020, the Company has declared a
total of $10.1 billion in common
stock dividends, or $42.16 per common
share.
STOCK REPURCHASE PROGRAM
The Company's Board of
Directors has authorized it to repurchase up to $1 billion of its outstanding shares of common
stock through December 31,
2020. During the second quarter, the Company repurchased 12.2
million shares, or $147 million, of
its common stock for an average repurchase price of $11.99 per common share, inclusive of transaction
costs. As of June 30, 2020, the
Company had $750 million of common
stock remaining available for repurchase.
The Company may repurchase shares in the open market or
privately negotiated transactions or pursuant to a trading plan
that may be adopted in accordance with Rule 10b5-1 of the
Securities Exchange Act of 1934, as amended. The Company
intends to repurchase shares under the stock repurchase program
only when the repurchase price is less than its then-current
estimate of its tangible net book value per common share.
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.
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CONSOLIDATED BALANCE
SHEETS
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(in millions, except
per share data)
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June 30,
|
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March 31,
|
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December
31,
|
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September
30,
|
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June 30,
|
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2020
|
|
2020
|
|
2019
|
|
2019
|
|
2019
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(unaudited)
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(unaudited)
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(unaudited)
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(unaudited)
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Assets:
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Agency securities, at
fair value (including pledged securities of
$69,956, $64,154,
$92,608, $93,688 and $87,582, respectively)
|
$
75,488
|
|
$
70,292
|
|
$
98,516
|
|
$
98,577
|
|
$
91,140
|
Agency securities
transferred to consolidated variable interest
entities, at fair value
(pledged securities)
|
344
|
|
358
|
|
371
|
|
393
|
|
411
|
Credit risk transfer
securities, at fair value (including pledged
securities of $479,
$360, $309, $358 and $269, respectively)
|
712
|
|
574
|
|
976
|
|
1,134
|
|
1,117
|
Non-Agency securities,
at fair value (including pledged securities of
$511, $437, $0, $0 and
$0, respectively)
|
599
|
|
552
|
|
579
|
|
579
|
|
603
|
U.S. Treasury
securities, at fair value (including pledged securities
of
$1,136, $3,721, $97,
$162 and $1,152, respectively)
|
1,181
|
|
3,721
|
|
97
|
|
215
|
|
1,152
|
Cash and cash
equivalents
|
859
|
|
1,289
|
|
831
|
|
906
|
|
870
|
Restricted
cash
|
1,306
|
|
1,978
|
|
451
|
|
734
|
|
789
|
Derivative assets, at
fair value
|
140
|
|
664
|
|
190
|
|
175
|
|
116
|
Receivable for
investment securities sold (including pledged
securities of $480, $0,
$0, $105 and $673, respectively)
|
489
|
|
-
|
|
-
|
|
105
|
|
679
|
Receivable under
reverse repurchase agreements
|
7,944
|
|
4,938
|
|
10,181
|
|
6,093
|
|
8,848
|
Goodwill
|
526
|
|
526
|
|
526
|
|
526
|
|
526
|
Other assets
|
265
|
|
245
|
|
364
|
|
324
|
|
325
|
Total
assets
|
$
89,853
|
|
$
85,137
|
|
$
113,082
|
|
$
109,761
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$
106,576
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Liabilities:
|
|
|
|
|
|
|
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Repurchase
agreements
|
$
69,685
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|
$
66,540
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|
$
89,182
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$
90,612
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$
86,266
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Debt of consolidated
variable interest entities, at fair value
|
204
|
|
214
|
|
228
|
|
238
|
|
251
|
Payable for investment
securities purchased
|
1,468
|
|
3,273
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|
2,554
|
|
3,094
|
|
878
|
Derivative liabilities,
at fair value
|
3
|
|
138
|
|
6
|
|
22
|
|
63
|
Dividends
payable
|
92
|
|
113
|
|
104
|
|
100
|
|
101
|
Obligation to return
securities borrowed under reverse
repurchase agreements,
at fair value
|
7,929
|
|
4,886
|
|
9,543
|
|
5,114
|
|
7,754
|
Accounts payable and
other liabilities
|
122
|
|
175
|
|
424
|
|
368
|
|
917
|
Total
liabilities
|
79,503
|
|
75,339
|
|
102,041
|
|
99,548
|
|
96,230
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred Stock -
aggregate liquidation preference of $1,538,
$1,538,
$963, $735 and $735,
respectively)
|
1,489
|
|
1,489
|
|
932
|
|
711
|
|
711
|
Common stock - $0.01
par value; 555.5, 567.7, 540.9, 540.9 and
547.8 shares issued and
outstanding, respectively
|
6
|
|
6
|
|
5
|
|
5
|
|
5
|
Additional paid-in
capital
|
14,191
|
|
14,334
|
|
13,893
|
|
13,888
|
|
13,988
|
Retained
deficit
|
(6,100)
|
|
(6,592)
|
|
(3,886)
|
|
(4,473)
|
|
(4,194)
|
Accumulated other
comprehensive income (loss)
|
764
|
|
561
|
|
97
|
|
82
|
|
(164)
|
Total
stockholders' equity
|
10,350
|
|
9,798
|
|
11,041
|
|
10,213
|
|
10,346
|
Total
liabilities and stockholders' equity
|
$
89,853
|
|
$
85,137
|
|
$
113,082
|
|
$
109,761
|
|
$
106,576
|
|
|
|
|
|
|
|
|
|
|
Tangible net book
value per common share 1
|
$
14.92
|
|
$
13.62
|
|
$
17.66
|
|
$
16.55
|
|
$
16.58
|
AGNC INVESTMENT
CORP.
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CONSOLIDATED
STATEMENTS OF OPERATIONS
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(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
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|
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|
Three Months
Ended
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
2020
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
429
|
|
$
491
|
|
$
768
|
|
$
676
|
|
$
693
|
Interest
expense
|
134
|
|
426
|
|
481
|
|
557
|
|
570
|
Net
interest income
|
295
|
|
65
|
|
287
|
|
119
|
|
123
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized gain on sale
of investment securities, net
|
153
|
|
494
|
|
107
|
|
89
|
|
132
|
Unrealized gain (loss)
on investment securities measured at fair value
through net income,
net
|
679
|
|
197
|
|
(160)
|
|
355
|
|
759
|
Gain (loss) on
derivative instruments and other securities, net
|
(385)
|
|
(3,154)
|
|
662
|
|
(548)
|
|
(1,438)
|
Total other gain
(loss), net
|
447
|
|
(2,463)
|
|
609
|
|
(104)
|
|
(547)
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
13
|
|
13
|
|
16
|
|
10
|
|
11
|
Other operating
expense
|
11
|
|
10
|
|
9
|
|
9
|
|
9
|
Total operating
expense
|
24
|
|
23
|
|
25
|
|
19
|
|
20
|
Net income
(loss)
|
718
|
|
(2,421)
|
|
871
|
|
(4)
|
|
(444)
|
Dividend on preferred
stock
|
25
|
|
21
|
|
18
|
|
13
|
|
13
|
Issuance costs of
redeemed preferred stock
|
-
|
|
-
|
|
6
|
|
-
|
|
-
|
Net income (loss)
available (attributable) to common
stockholders
|
$
693
|
|
$
(2,442)
|
|
$
847
|
|
$
(17)
|
|
$
(457)
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
718
|
|
$
(2,421)
|
|
$
871
|
|
$
(4)
|
|
$
(444)
|
Unrealized gain on
investment securities measured at fair value
through other
comprehensive income (loss), net
|
203
|
|
464
|
|
15
|
|
246
|
|
379
|
Comprehensive
income (loss)
|
921
|
|
(1,957)
|
|
886
|
|
242
|
|
(65)
|
Dividend on preferred
stock
|
25
|
|
21
|
|
18
|
|
13
|
|
13
|
Issuance costs of
redeemed preferred stock
|
-
|
|
-
|
|
6
|
|
-
|
|
-
|
Comprehensive
income (loss) available (attributable) to common
stockholders
|
$
896
|
|
$
(1,978)
|
|
$
862
|
|
$
229
|
|
$
(78)
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
560.3
|
|
548.0
|
|
541.4
|
|
546.4
|
|
537.8
|
Weighted average
number of common shares outstanding - diluted
|
560.8
|
|
548.0
|
|
542.6
|
|
546.4
|
|
537.8
|
Net income (loss)
per common share - basic
|
$
1.24
|
|
$
(4.46)
|
|
$
1.56
|
|
$
(0.03)
|
|
$
(0.85)
|
Net income (loss)
per common share - diluted
|
$
1.24
|
|
$
(4.46)
|
|
$
1.56
|
|
$
(0.03)
|
|
$
(0.85)
|
Comprehensive
income (loss) per common share - basic
|
$
1.60
|
|
$
(3.61)
|
|
$
1.59
|
|
$
0.42
|
|
$
(0.15)
|
Comprehensive
income (loss) per common share - diluted
|
$
1.60
|
|
$
(3.61)
|
|
$
1.59
|
|
$
0.42
|
|
$
(0.15)
|
Dividends declared
per common share
|
$
0.36
|
|
$
0.48
|
|
$
0.48
|
|
$
0.48
|
|
$
0.50
|
|
|
|
|
|
|
|
|
|
|
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
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
2020
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
429
|
|
$
491
|
|
$
768
|
|
$
676
|
|
$
693
|
Interest
expense
|
134
|
|
426
|
|
481
|
|
557
|
|
570
|
GAAP net interest
income
|
295
|
|
65
|
|
287
|
|
119
|
|
123
|
TBA dollar roll income,
net 3,4
|
78
|
|
16
|
|
24
|
|
29
|
|
22
|
Interest rate swap
periodic income (cost), net 3,8
|
(59)
|
|
31
|
|
85
|
|
146
|
|
88
|
Other interest and
dividend income 3
|
1
|
|
2
|
|
3
|
|
4
|
|
4
|
Adjusted net interest
and dollar roll income
|
315
|
|
114
|
|
399
|
|
298
|
|
237
|
Operating
expense
|
(24)
|
|
(23)
|
|
(25)
|
|
(19)
|
|
(20)
|
Net spread and dollar
roll income
|
291
|
|
91
|
|
374
|
|
279
|
|
217
|
Dividend on preferred
stock
|
25
|
|
21
|
|
18
|
|
13
|
|
13
|
Net spread and dollar
roll income available to common stockholders
|
266
|
|
70
|
|
356
|
|
266
|
|
204
|
Estimated "catch-up"
premium amortization cost (benefit) due to change
in
CPR forecast
11
|
57
|
|
243
|
|
(48)
|
|
55
|
|
58
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization,
available to common stockholders
|
$
323
|
|
$
313
|
|
$
308
|
|
$
321
|
|
$
262
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
560.3
|
|
548.0
|
|
541.4
|
|
546.4
|
|
537.8
|
Weighted average
number of common shares outstanding - diluted
|
560.8
|
|
549.2
|
|
542.6
|
|
547.1
|
|
538.4
|
Net spread and dollar
roll income per common share - basic
|
$
0.47
|
|
$
0.13
|
|
$
0.66
|
|
$
0.49
|
|
$
0.38
|
Net spread and dollar
roll income per common share - diluted
|
$
0.47
|
|
$
0.13
|
|
$
0.66
|
|
$
0.49
|
|
$
0.38
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per
common share - basic
|
$
0.58
|
|
$
0.57
|
|
$
0.57
|
|
$
0.59
|
|
$
0.49
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per
common share - diluted
|
$
0.58
|
|
$
0.57
|
|
$
0.57
|
|
$
0.59
|
|
$
0.49
|
|
|
|
|
|
|
|
|
|
|
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
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
2020
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
Net
income/(loss)
|
$
718
|
|
$
(2,421)
|
|
$
871
|
|
$
(4)
|
|
$
(444)
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
22
|
|
237
|
|
(77)
|
|
47
|
|
67
|
Realized gain/loss,
net
|
-
|
|
2,555
|
|
(504)
|
|
521
|
|
886
|
Net capital
loss/(utilization of net capital loss carryforward)
|
(426)
|
|
32
|
|
(130)
|
|
34
|
|
320
|
Unrealized (gain)/loss,
net
|
(291)
|
|
(263)
|
|
(47)
|
|
(428)
|
|
(644)
|
Other
|
(2)
|
|
(8)
|
|
2
|
|
(1)
|
|
(1)
|
Total book to tax
differences
|
(697)
|
|
2,553
|
|
(756)
|
|
173
|
|
628
|
Estimated REIT
taxable income
|
21
|
|
132
|
|
115
|
|
169
|
|
184
|
Dividend on preferred
stock
|
25
|
|
21
|
|
18
|
|
13
|
|
13
|
Estimated REIT
taxable income (loss), net of preferred stock dividend
|
$
(4)
|
|
$
111
|
|
$
97
|
|
$
156
|
|
$
171
|
Weighted average
number of common shares outstanding - basic
|
560.3
|
|
548.0
|
|
541.4
|
|
546.4
|
|
537.8
|
Weighted average
number of common shares outstanding - diluted
|
560.3
|
|
549.2
|
|
542.6
|
|
547.1
|
|
538.4
|
Estimated REIT
taxable income (loss) per common share - basic
|
$
(0.01)
|
|
$
0.20
|
|
$
0.18
|
|
$
0.29
|
|
$
0.32
|
Estimated REIT
taxable income (loss) per common share - diluted
|
$
(0.01)
|
|
$
0.20
|
|
$
0.18
|
|
$
0.29
|
|
$
0.32
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible net capital loss
|
$
426
|
|
$
394
|
|
$
524
|
|
$
490
|
|
$
170
|
Increase (decrease)
in net capital loss carryforward
|
(426)
|
|
32
|
|
(130)
|
|
34
|
|
320
|
Ending cumulative
non-deductible net capital loss
|
$
-
|
|
$
426
|
|
$
394
|
|
$
524
|
|
$
490
|
Ending cumulative
non-deductible net capital loss per common share
|
$
-
|
|
$
0.75
|
|
$
0.73
|
|
$
0.97
|
|
$
0.89
|
|
|
|
|
|
|
|
|
|
|
AGNC INVESTMENT
CORP.
|
NET INTEREST SPREAD
COMPONENTS BY FUNDING SOURCE 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
2020
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
Adjusted net
interest and dollar roll income, excluding
"catch-up"
premium
amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment securities
- GAAP interest income 12
|
$
429
|
|
$
491
|
|
$
768
|
|
$
676
|
|
$
693
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in CPR forecast
11
|
57
|
|
243
|
|
(48)
|
|
55
|
|
58
|
TBA dollar roll
income - implied interest income 3,6
|
74
|
|
48
|
|
58
|
|
81
|
|
96
|
Economic interest
income, excluding "catch-up" premium amortization
|
560
|
|
782
|
|
778
|
|
812
|
|
847
|
Economic interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - GAAP interest expense
|
(134)
|
|
(426)
|
|
(481)
|
|
(557)
|
|
(570)
|
TBA dollar roll
income - implied interest (expense) benefit
3,5
|
4
|
|
(32)
|
|
(34)
|
|
(52)
|
|
(74)
|
Interest rate swap
periodic income (cost), net 3,8
|
(59)
|
|
31
|
|
85
|
|
146
|
|
88
|
Economic interest
expense
|
(189)
|
|
(427)
|
|
(430)
|
|
(463)
|
|
(556)
|
Other interest and
dividend income 3
|
1
|
|
2
|
|
3
|
|
4
|
|
4
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
372
|
|
$
357
|
|
$
351
|
|
$
353
|
|
$
295
|
|
|
|
|
|
|
|
|
|
|
Net interest
spread, excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities
- average asset yield
|
2.39%
|
|
2.01%
|
|
3.28%
|
|
2.91%
|
|
2.99%
|
Estimated "catch-up"
premium amortization cost (benefit) due to change
in CPR
forecast
|
0.32%
|
|
0.99%
|
|
(0.20)%
|
|
0.24%
|
|
0.25%
|
Investment securities
average asset yield, excluding "catch-up" premium
amortization
|
2.71%
|
|
3.00%
|
|
3.08%
|
|
3.15%
|
|
3.24%
|
TBA securities -
average implied asset yield 6
|
1.90%
|
|
2.54%
|
|
3.29%
|
|
3.19%
|
|
3.21%
|
Average asset yield,
excluding "catch-up" premium amortization 7
|
2.56%
|
|
2.97%
|
|
3.09%
|
|
3.16%
|
|
3.24%
|
Average total cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - average funding cost
|
0.76%
|
|
1.80%
|
|
2.12%
|
|
2.48%
|
|
2.62%
|
TBA securities -
average implied funding cost (benefit) 5
|
(0.09)%
|
|
1.67%
|
|
1.88%
|
|
2.00%
|
|
2.47%
|
Average cost of
funds, before interest rate swap periodic (income) cost,
net
7
|
0.61%
|
|
1.79%
|
|
2.10%
|
|
2.43%
|
|
2.60%
|
Interest rate swap
periodic (income) cost, net 10
|
0.27%
|
|
(0.12)%
|
|
(0.34)%
|
|
(0.58)%
|
|
(0.36)%
|
Average total cost of
funds 9
|
0.88%
|
|
1.67%
|
|
1.76%
|
|
1.85%
|
|
2.24%
|
Average net interest
spread, excluding "catch-up" premium amortization
|
1.68%
|
|
1.30%
|
|
1.33%
|
|
1.31%
|
|
1.00%
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
2020
|
|
2020
|
|
2019
|
|
2019
|
|
2019
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency MBS,
at fair value - as of period end
|
$
75,165
|
|
$
69,901
|
|
$
98,074
|
|
$
98,090
|
|
$
90,627
|
Other Agency MBS, at
fair value - as of period end
|
$
667
|
|
$
749
|
|
$
813
|
|
$
880
|
|
$
924
|
Credit risk transfer
securities, at fair value - as of period end
|
$
712
|
|
$
574
|
|
$
976
|
|
$
1,134
|
|
$
1,117
|
Non-Agency MBS, at fair
value - as of period end
|
$
599
|
|
$
552
|
|
$
579
|
|
$
579
|
|
$
603
|
Total investment
securities, at fair value - as of period end
|
$
77,143
|
|
$
71,776
|
|
$
100,442
|
|
$
100,683
|
|
$
93,271
|
Total investment
securities, at cost - as of period end
|
$
73,828
|
|
$
69,343
|
|
$
98,670
|
|
$
98,763
|
|
$
91,953
|
Total investment
securities, at par - as of period end
|
$
70,878
|
|
$
66,735
|
|
$
95,561
|
|
$
95,629
|
|
$
88,880
|
Average investment
securities, at cost
|
$
71,787
|
|
$
97,889
|
|
$
93,606
|
|
$
92,764
|
|
$
92,610
|
Average investment
securities, at par
|
$
68,994
|
|
$
94,933
|
|
$
90,586
|
|
$
89,741
|
|
$
89,586
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio - as
of period end, at fair value
|
$
20,543
|
|
$
21,222
|
|
$
7,429
|
|
$
1,867
|
|
$
11,170
|
Net TBA portfolio - as
of period end, at cost
|
$
20,413
|
|
$
20,648
|
|
$
7,404
|
|
$
1,820
|
|
$
11,086
|
Net TBA portfolio - as
of period end, carrying value
|
$
130
|
|
$
574
|
|
$
25
|
|
$
47
|
|
$
84
|
Average net TBA
portfolio, at cost
|
$
15,662
|
|
$
7,487
|
|
$
7,038
|
|
$
10,146
|
|
$
11,864
|
Average repurchase
agreements and other debt 13
|
$
69,552
|
|
$
93,538
|
|
$
88,677
|
|
$
87,938
|
|
$
86,147
|
Average stockholders'
equity 14
|
$
10,262
|
|
$
10,735
|
|
$
10,594
|
|
$
10,347
|
|
$
10,371
|
Tangible net book
value per common share 1
|
$
14.92
|
|
$
13.62
|
|
$
17.66
|
|
$
16.55
|
|
$
16.58
|
Tangible net book
value "at risk" leverage - average 15
|
8.8:1
|
|
9.9:1
|
|
9.5:1
|
|
10.0:1
|
|
10.0:1
|
Tangible net book
value "at risk" leverage - as of period end
16
|
9.2:1
|
|
9.4:1
|
|
9.4:1
|
|
9.8:1
|
|
9.8:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.77%
|
|
3.68%
|
|
3.76%
|
|
3.87%
|
|
3.88%
|
Average asset
yield
|
2.39%
|
|
2.01%
|
|
3.28%
|
|
2.91%
|
|
2.99%
|
Average asset yield,
excluding "catch-up" premium amortization
|
2.71%
|
|
3.00%
|
|
3.08%
|
|
3.15%
|
|
3.24%
|
Average coupon - as of
period end
|
3.71%
|
|
3.84%
|
|
3.68%
|
|
3.76%
|
|
3.88%
|
Average asset yield -
as of period end
|
2.64%
|
|
2.93%
|
|
3.07%
|
|
3.08%
|
|
3.21%
|
Average actual CPR for
securities held during the period
|
19.9%
|
|
12.2%
|
|
15.4%
|
|
13.5%
|
|
10.0%
|
Average forecasted CPR
- as of period end
|
16.6%
|
|
14.5%
|
|
10.8%
|
|
13.4%
|
|
12.4%
|
Total premium
amortization cost, net
|
$
(223)
|
|
$
(384)
|
|
$
(84)
|
|
$
(192)
|
|
$
(183)
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Average coupon - as of
period end 17
|
2.41%
|
|
3.02%
|
|
3.10%
|
|
2.99%
|
|
3.29%
|
Average implied asset
yield 6
|
1.90%
|
|
2.54%
|
|
3.29%
|
|
3.19%
|
|
3.21%
|
Combined investment
and TBA securities - average asset yield,
excluding "catch-up"
premium amortization 7
|
2.56%
|
|
2.97%
|
|
3.09%
|
|
3.16%
|
|
3.24%
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements -
average funding cost
|
0.76%
|
|
1.80%
|
|
2.12%
|
|
2.48%
|
|
2.62%
|
TBA securities -
average implied funding cost (benefit) 5
|
(0.09)%
|
|
1.67%
|
|
1.88%
|
|
2.00%
|
|
2.47%
|
Interest rate swaps -
average periodic expense (income), net 10
|
0.27%
|
|
(0.12)%
|
|
(0.34)%
|
|
(0.58)%
|
|
(0.36)%
|
Average total cost of
funds, inclusive of TBAs and interest rate swap
periodic expense
(income), net 7,9
|
0.88%
|
|
1.67%
|
|
1.76%
|
|
1.85%
|
|
2.24%
|
Repurchase agreements -
average funding cost as of period end
|
0.41%
|
|
1.36%
|
|
2.17%
|
|
2.48%
|
|
2.64%
|
Interest rate swaps -
average net pay/(receive) rate as of period end
18
|
0.26%
|
|
0.79%
|
|
(0.30)%
|
|
(0.63)%
|
|
(0.74)%
|
Net interest
spread:
|
|
|
|
|
|
|
|
|
|
Combined investment and
TBA securities average net interest spread
|
1.42%
|
|
0.37%
|
|
1.52%
|
|
1.09%
|
|
0.78%
|
Combined investment and
TBA securities average net interest
spread, excluding
"catch-up" premium amortization
|
1.68%
|
|
1.30%
|
|
1.33%
|
|
1.31%
|
|
1.00%
|
Expenses % of average
stockholders' equity - annualized
|
0.94%
|
|
0.86%
|
|
0.94%
|
|
0.73%
|
|
0.77%
|
Economic return
(loss) on tangible common equity - unannualized
19
|
12.2%
|
|
(20.2)%
|
|
9.6%
|
|
2.7%
|
|
(0.9)%
|
*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 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 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 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 July 28, 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 Q2 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 July 28, 2020. In addition, there will be a
phone recording available one hour after the call on July 28,
2020 through August 11, 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 10145455.
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.