In the news release "AGNC Investment Corp. Announces Fourth
Quarter 2021 Financial Results," issued Jan.
31, 2022 by AGNC Investment Corp. over PR Newswire, we are
advised by the Company that the final table in the release titled
"Key Statistics" inadvertently contained incorrect data as
originally issued. The complete, corrected release follows:
AGNC Investment Corp. Announces Fourth Quarter 2021 Financial
Results
BETHESDA, Md., Jan. 31, 2022 /PRNewswire/ -- AGNC
Investment Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today
announced financial results for the quarter ended December 31, 2021.
FOURTH QUARTER 2021 FINANCIAL HIGHLIGHTS
- $(0.31) comprehensive loss per
common share, comprised of:
-
- $(0.10) net loss per common
share
- $(0.21) other comprehensive loss
("OCI") per common share on investments marked-to-market through
OCI
- $0.75 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost 1
-
- Includes $0.31 per common share
of dollar roll income associated with the Company's $29.0 billion average net long position in Agency
mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA")
market
- Excludes $(0.08) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $15.75 tangible net book value
per common share as of December 31,
2021
-
- Decreased $(0.66) per common
share, or -4.0%, from $16.41 per
common share as of September 30,
2021
- $0.36 dividends declared per
common share for the fourth quarter
- -1.8% economic return on tangible common equity for the
quarter
-
- Comprised of $0.36 dividends per
common share and $(0.66) decrease in
tangible net book value per common share
OTHER FOURTH QUARTER HIGHLIGHTS
- $82.0 billion investment
portfolio as of December 31, 2021,
comprised of:
-
- $52.6 billion Agency MBS
- $27.1 billion net TBA mortgage
position
- $2.3 billion credit risk transfer
("CRT") and non-Agency securities 2
- 7.7x tangible net book value "at risk" leverage as of
December 31, 2021
-
- 7.6x average tangible net book value "at risk" leverage for the
quarter
- Cash and unencumbered Agency MBS totaled approximately
$4.9 billion as of December 31, 2021
-
- Excludes unencumbered CRT and non-Agency securities and assets
held at the Company's broker-dealer subsidiary, Bethesda
Securities
- 10.9% average projected portfolio CPR as of December 31, 2021
-
- 18.6% portfolio CPR for the quarter
- 2.15% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization cost
-
- Excludes -21 bps of "catch-up" premium amortization cost due to
change in projected CPR estimates
- $42 million of accretive common
stock repurchases during the quarter
-
- 2.7 million shares repurchased, or 0.5% of common stock
outstanding as of September 30,
2021
2021 FULL YEAR HIGHLIGHTS
- $0.44 comprehensive income per
common share, comprised of:
-
- $1.22 net income per common
share
- $(0.78) OCI per common share
- $3.02 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization benefit 1
-
- Includes $1.24 per common share
of dollar roll income
- Excludes $0.18 per common share
of estimated "catch-up" premium amortization benefit
- $1.44 in dividends declared per
common share
- 2.9% economic return on tangible common equity for the year,
comprised of:
-
- $1.44 dividends per common
share
- $(0.96) decrease in tangible net
book value per common share, or -5.7%, from $16.71 per common share as of December 31, 2020
- 5.2% total stock return 3
- $257 million of accretive common
stock repurchases during the year 4
-
- 16.1 million shares repurchased, or 3.0% of common stock
outstanding as of December 31,
2020
___________
- 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.
- Includes $0.4 billion of forward
settling non-Agency securities reported in derivative assets on the
Company's accompanying balance sheet.
- Includes dividend reinvestments. Source Bloomberg
- Excludes shares repurchased in Dec
2020 that settled in Jan
2021
MANAGEMENT REMARKS
"Investor sentiment turned negative in the fourth quarter as the
Federal Reserve signaled a very significant shift toward aggressive
monetary policy normalization," said Peter
Federico, the Company's President and Chief Executive
Officer. "With inflation running well above its long run target and
the labor market nearing full employment, the Fed reduced its asset
purchases more quickly than its initial guidance, signaled a more
aggressive series of short-term interest rate increases, and
discussed a more rapid approach toward balance sheet normalization.
This abrupt shift by the Fed led to an uptick in interest rate
volatility amid greater monetary policy uncertainty. Against this
backdrop, Agency mortgage-backed securities underperformed in the
fourth quarter as spreads to benchmark rates widened moderately and
valuations declined relative to interest rate hedges.
"While mortgage spread widening adversely impacts book value in
the short term, it correspondingly improves the expected return on
new investments and cash flows on higher coupon specified pools
through slower prepayment speeds. Thus, the spread widening that
occurred in 2021 and accelerated in January of this year is
beneficial to our business over the long term.
"Market conditions will likely remain challenging as the Fed
pivots from near zero short term rates and quantitative easing to
higher rates and quantitative tightening in 2022. Accordingly, we
plan to continue to operate with a more defensive position,
characterized by lower leverage and significant hedge protection,
which provides AGNC with capacity and flexibility to take advantage
of attractive investment opportunities as they arise.
"Finally, AGNC's performance over longer time periods
illustrates the value of being a long-term investor and the
durability of our business model across a wide range of market
conditions. Over the last three years, AGNC generated an aggregate
economic return of 25% and paid stockholders an average annual
dividend yield in excess of 10%, despite some very challenging
market conditions. From our IPO in May
2008 through December 31,
2021, AGNC's results are even more compelling with an
annualized total stock return of nearly 13% with dividends
reinvested, outperforming the S&P 500 index over the period by
over a full percentage point."
"As a result of the mortgage spread widening experienced in the
fourth quarter of 2021, AGNC's economic return for the fourth
quarter declined to -1.8%, reducing AGNC's economic return for the
year to 2.9%, comprised of $1.44 in
dividends per common share and a $0.96 decline in tangible net book value per
share," stated Bernice Bell, the
Company's Executive Vice President and Chief Financial Officer.
"Our net spread and dollar roll income, excluding 'catch-up'
premium amortization, totaled $0.75
per common share for the quarter, while our 'at risk' leverage at
7.7x our tangible net book value, as of December 31, 2021, remains meaningfully below our
normal operating levels."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of December 31, 2021, the
Company's tangible net book value per common share was $15.75 per share, a decrease of -4.0% for the
quarter compared to $16.41 per share
as of September 30, 2021. The
Company's tangible net book value per common share excludes
$526 million, or $1.01 and $1.00 per
share, of goodwill as of December 31,
2021 and September 30, 2021,
respectively.
INVESTMENT PORTFOLIO
As of December 31, 2021, the
Company's investment portfolio totaled $82.0
billion, comprised of:
- $79.7 billion of Agency MBS and
TBA securities, including:
-
- $79.4 billion of fixed-rate
securities, comprised of:
-
- $47.7 billion 30-year MBS,
- $25.1 billion 30-year TBA
securities,
- $2.7 billion 15-year MBS,
- $2.1 billion 15-year TBA
securities, and
- $1.9 billion 20-year MBS;
and
- $0.3 billion of collateralized
mortgage obligations ("CMOs"), adjustable-rate and other Agency
securities; and
- $2.3 billion of CRT and
non-Agency securities, including $0.4
billion of forward settling non-Agency securities.
As of December 31, 2021, 30-year
and 15-year fixed-rate Agency securities represented 89% and 6%,
respectively, of the Company's investment portfolio, or unchanged
from September 30, 2021.
As of December 31, 2021, the
Company's fixed-rate securities' weighted average coupon was 2.84%,
compared to 2.86% as of September 30,
2021, comprised of the following weighted average
coupons:
- 2.87% for 30-year fixed-rate securities;
- 2.57% for 15-year fixed rate securities; and
- 2.52% for 20-year fixed-rate securities.
The Company accounts for TBA securities (or "dollar roll funded
assets") and forward settling securities as derivative instruments
and recognizes dollar roll income in other gain (loss), net on the
Company's financial statements. As of December 31, 2021, the Company's TBA and forward
settling non-Agency securities position had a fair value of
$27.6 billion and a GAAP net carrying
value of $(44) million reported in
derivative assets/(liabilities) on the Company's balance sheet,
compared to $28.7 billion and
$(171) million, respectively, as of
September 30, 2021.
CONSTANT PREPAYMENT RATES
The Company's weighted average projected CPR for the remaining
life of its Agency securities held as of December 31, 2021 increased to 10.9% from 10.7%
as of September 30, 2021. The
Company's weighted average CPR for the fourth quarter was of 18.6%,
compared to 22.5% for the prior quarter.
The weighted average cost basis of the Company's investment
portfolio was 103.4% of par value as of December 31, 2021. Premium amortization cost for
the Company's investment portfolio for the fourth quarter was
$(138) million, or $(0.26) per common share, which includes
"catch-up" premium amortization cost of $(44) million, or $(0.08) per common share, due to an increase in
the Company's projected CPR estimates for certain securities
acquired prior to the fourth quarter. This compares to a net
premium amortization cost for the prior quarter of $(106) million, or $(0.20) per common share, including a "catch-up"
premium amortization cost of $(2)
million, or less than $(0.01)
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 1.98% for the fourth quarter,
compared to 2.30% for the prior quarter. Excluding "catch-up"
premium amortization, the Company's average asset yield was 2.31%
for the fourth quarter, compared to 2.32% for the prior quarter.
Including the TBA position and excluding "catch-up" premium
amortization, the Company's average asset yield for the fourth
quarter was 2.13%, compared to 2.16% for the prior quarter.
For the fourth quarter, the weighted average interest rate on
the Company's repurchase agreements was 0.12%, unchanged from the
prior quarter. For the fourth quarter, the Company's TBA position
had an implied financing benefit of (0.46)%, compared to a benefit
of (0.42)% for the prior quarter. Inclusive of interest rate swaps,
the Company's combined weighted average cost of funds for the
fourth quarter was a net benefit of (0.02)%, compared to a net
benefit of (0.03)% 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 fourth quarter was 2.15%, compared to 2.19%
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 fourth quarter of $0.75 per common share, excluding $(0.08) per common share of "catch-up" premium
amortization cost, compared to $0.75
per common share for the prior quarter, excluding less than
$(0.01) 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 December 31, 2021,
$46.9 billion of repurchase
agreements, $27.2 billion of net TBA
dollar roll positions and $0.4
billion of forward settling non-Agency securities (at cost),
and $0.1 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 TBA and
forward settling non-Agency security positions and net
payable/(receivable) for unsettled investment securities, the
Company's tangible net book value "at risk" leverage ratio was 7.7x
as of December 31, 2021, compared to
7.5x as of September 30, 2021. The
Company's average "at risk" leverage for the fourth quarter was
7.6x tangible net book value, compared to 7.5x for the prior
quarter.
As of December 31, 2021, the
Company's repurchase agreements had a weighted average interest
rate of 0.15%, compared to 0.12% as of September 30, 2021, and a weighted average
remaining maturity of 63 days, compared to 70 days as of
September 30, 2021. As of
December 31, 2021, $20.4 billion, or 43%, of the Company's
repurchase agreements were funded through the Company's captive
broker-dealer subsidiary, Bethesda Securities, LLC.
As of December 31, 2021, the
Company's repurchase agreements had remaining maturities of:
- $38.5 billion of three months or
less;
- $4.6 billion from three to six
months; and
- $3.8 billion from six to twelve
months.
HEDGING ACTIVITIES
As of December 31, 2021, interest
rate swaps, swaptions and U.S. Treasury positions equaled 101% of
the Company's outstanding balance of repurchase agreements, TBA
position and other debt, compared to 98% as of September 30, 2021.
As of December 31, 2021, the
Company's interest rate swap position totaled $51.2 billion in notional amount, compared to
$49.7 billion as of September 30, 2021. As of December 31, 2021, the Company's interest rate
swap portfolio had an average fixed pay rate of 0.20%, an average
receive rate of 0.05% and an average maturity of 4.0 years,
compared to 0.17%, 0.05% and 4.2 years, respectively, as of
September 30, 2021. As of
December 31, 2021, 75% and 25% of the
Company's interest rate swap portfolio were linked to the Secured
Overnight Financing Rate ("SOFR") and Overnight Index Swap Rate
("OIS"), respectively.
As of December 31, 2021, the
Company had payer swaptions outstanding totaling $13.0 billion, or unchanged from September 30, 2021. As of December 31, 2021, the Company had net short U.S.
Treasury positions outstanding totaling $11.2 billion, compared to $10.2 billion as of September 30, 2021.
OTHER GAIN (LOSS), NET
For the fourth quarter, the Company recorded a net loss of
$(254) million in other gain (loss),
net, or $(0.48) per common share,
compared to a net loss of $(45)
million, or $(0.09) per common
share, for the prior quarter. Other gain (loss), net for the fourth
quarter was comprised of:
- $(64) million of net realized
losses on sales of investment securities;
- $(378) million of net unrealized
losses on investment securities measured at fair value through net
income;
- $(16) million of interest rate
swap periodic costs;
- $353 million of net gains on
interest rate swaps;
- $(79) million of net losses on
interest rate swaptions;
- $(20) million of net losses on
U.S. Treasury positions;
- $165 million of TBA dollar roll
income; and
- $(215) million of net
mark-to-market losses on TBA securities.
OTHER COMPREHENSIVE LOSS
During the fourth quarter, the Company recorded other
comprehensive loss of $(110) million,
or $(0.21) per common share,
consisting of net unrealized losses on the Company's Agency
securities recognized through OCI, compared to $6 million, or $0.02 per common share, of other comprehensive
income for the prior quarter.
COMMON STOCK DIVIDENDS
During the fourth quarter, the Company declared dividends of
$0.12 per share to common
stockholders of record as of October
29, November 30, and
December 31, 2021, respectively,
totaling $0.36 per share for the
quarter, which were paid on November
9 and December 9, 2021 and
January 11, 2022, respectively. Since
its May 2008 initial public offering
through the fourth quarter of 2021, the Company has declared a
total of $11.2 billion in common
stock dividends, or $44.32 per common
share.
The Company also announced it has published the tax
characteristics of its distributions for common stock dividends and
for each series of its preferred stock dividends for calender year
2021 on its website at www.AGNC.com. Stockholders should receive an
IRS Form 1099-DIV containing this information from their brokers,
transfer agents or other institutions.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO
STATISTICS
The following measures of operating performance include net
spread and dollar roll income; net spread and dollar roll income,
excluding "catch-up" premium amortization; economic interest
income; economic interest expense; estimated taxable income; and
the related per common share measures and financial metrics derived
from such information, which are non-GAAP financial measures.
Please refer to "Use of Non-GAAP Financial Information" later in
this release for further discussion of non-GAAP measures.
AGNC INVESTMENT
CORP.
|
CONSOLIDATED BALANCE
SHEETS
|
(in millions, except
per share data)
|
|
|
|
|
|
|
|
|
|
|
|
December 31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
|
2021
|
|
2021
|
|
2021
|
|
2021
|
|
2020
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at
fair value (including pledged securities of $47,601,
$46,741, $49,686,
$56,343 and $53,698, respectively)
|
$
52,396
|
|
$
53,517
|
|
$
57,896
|
|
$
63,286
|
|
$
64,836
|
Agency securities
transferred to consolidated variable interest entities, at
fair
value (pledged
securities)
|
208
|
|
226
|
|
245
|
|
270
|
|
295
|
Credit risk transfer
securities, at fair value (including pledged securities
of
$510, $534, $502, $406
and $455, respectively)
|
974
|
|
1,072
|
|
1,105
|
|
1,073
|
|
737
|
Non-Agency securities,
at fair value (including pledged securities of $571,
$380, $377, $414 and
$458, respectively)
|
843
|
|
578
|
|
553
|
|
868
|
|
546
|
U.S. Treasury
securities, at fair value (including pledged securities of
$471,
$645, $397, $0 and $0,
respectively)
|
471
|
|
645
|
|
397
|
|
-
|
|
-
|
Cash and cash
equivalents
|
998
|
|
981
|
|
947
|
|
963
|
|
1,017
|
Restricted
cash
|
527
|
|
464
|
|
623
|
|
813
|
|
1,307
|
Derivative assets, at
fair value
|
317
|
|
402
|
|
381
|
|
698
|
|
391
|
Receivable for
investment securities sold (including pledged securities of
$0,
$252, $147, $0 and
$207, respectively)
|
-
|
|
272
|
|
147
|
|
50
|
|
210
|
Receivable under
reverse repurchase agreements
|
10,475
|
|
9,617
|
|
11,979
|
|
16,803
|
|
11,748
|
Goodwill
|
526
|
|
526
|
|
526
|
|
526
|
|
526
|
Other assets
|
414
|
|
505
|
|
256
|
|
195
|
|
204
|
Total assets
|
$
68,149
|
|
$
68,805
|
|
$
75,055
|
|
$
85,545
|
|
$
81,817
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
47,381
|
|
$
46,532
|
|
$
48,737
|
|
$
55,056
|
|
$
52,366
|
Debt of consolidated
variable interest entities, at fair value
|
126
|
|
134
|
|
148
|
|
165
|
|
177
|
Payable for investment
securities purchased
|
80
|
|
1,821
|
|
3,697
|
|
2,512
|
|
6,157
|
Derivative liabilities,
at fair value
|
86
|
|
178
|
|
14
|
|
589
|
|
2
|
Dividends
payable
|
88
|
|
88
|
|
88
|
|
88
|
|
90
|
Obligation to return
securities borrowed under reverse repurchase agreements,
at fair
value
|
9,697
|
|
8,896
|
|
10,920
|
|
15,090
|
|
11,727
|
Accounts payable and
other liabilities
|
400
|
|
477
|
|
783
|
|
681
|
|
219
|
Total
liabilities
|
57,858
|
|
58,126
|
|
64,387
|
|
74,181
|
|
70,738
|
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; 522.2, 524.9, 524.9, 524.9 and 539.5
shares issued and
outstanding, respectively
|
5
|
|
5
|
|
5
|
|
5
|
|
5
|
Additional paid-in
capital
|
13,710
|
|
13,747
|
|
13,741
|
|
13,736
|
|
13,972
|
Retained
deficit
|
(5,214)
|
|
(4,973)
|
|
(4,972)
|
|
(4,348)
|
|
(5,106)
|
Accumulated other
comprehensive income
|
301
|
|
411
|
|
405
|
|
482
|
|
719
|
Total stockholders'
equity
|
10,291
|
|
10,679
|
|
10,668
|
|
11,364
|
|
11,079
|
Total liabilities and
stockholders' equity
|
$
68,149
|
|
$
68,805
|
|
$
75,055
|
|
$
85,545
|
|
$
81,817
|
|
|
|
|
|
|
|
|
|
|
Tangible net book
value per common share 1
|
$
15.75
|
|
$
16.41
|
|
$
16.39
|
|
$
17.72
|
|
$
16.71
|
AGNC INVESTMENT
CORP.
|
CONSOLIDATED STATEMENTS
OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December 31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
|
2021
|
|
2021
|
|
2021
|
|
2021
|
|
2021
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
262
|
|
$
293
|
|
$
249
|
|
$
557
|
|
$
1,361
|
Interest
expense
|
15
|
|
14
|
|
17
|
|
29
|
|
75
|
Net interest
income
|
247
|
|
279
|
|
232
|
|
528
|
|
1,286
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized gain (loss) on
sale of investment securities, net
|
(64)
|
|
(5)
|
|
25
|
|
(13)
|
|
(57)
|
Unrealized loss on
investment securities measured at fair value through net
income, net
|
(378)
|
|
(141)
|
|
(28)
|
|
(955)
|
|
(1,502)
|
Gain (loss) on
derivative instruments and other securities, net
|
188
|
|
101
|
|
(618)
|
|
1,439
|
|
1,110
|
Total other gain
(loss), net
|
(254)
|
|
(45)
|
|
(621)
|
|
471
|
|
(449)
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
12
|
|
14
|
|
12
|
|
16
|
|
54
|
Other operating
expense
|
8
|
|
8
|
|
10
|
|
8
|
|
34
|
Total operating
expense
|
20
|
|
22
|
|
22
|
|
24
|
|
88
|
Net income
(loss)
|
(27)
|
|
212
|
|
(411)
|
|
975
|
|
749
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
100
|
Net income (loss)
available (attributable) to common stockholders
|
$
(52)
|
|
$
187
|
|
$
(436)
|
|
$
950
|
|
$
649
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
(27)
|
|
$
212
|
|
$
(411)
|
|
$
975
|
|
$
749
|
Unrealized gain (loss)
on investment securities measured at fair value through
other
comprehensive income
(loss), net
|
(110)
|
|
6
|
|
(77)
|
|
(237)
|
|
(418)
|
Comprehensive income
(loss)
|
(137)
|
|
218
|
|
(488)
|
|
738
|
|
331
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
100
|
Comprehensive income
(loss) available (attributable) to common
stockholders
|
$
(162)
|
|
$
193
|
|
$
(513)
|
|
$
713
|
|
$
231
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
525.5
|
|
526.7
|
|
526.6
|
|
533.7
|
|
528.1
|
Weighted average
number of common shares outstanding - diluted
|
525.5
|
|
528.6
|
|
526.6
|
|
535.6
|
|
530.0
|
Net income (loss)
per common share - basic
|
$
(0.10)
|
|
$
0.36
|
|
$
(0.83)
|
|
$
1.78
|
|
$
1.23
|
Net income (loss)
per common share - diluted
|
$
(0.10)
|
|
$
0.35
|
|
$
(0.83)
|
|
$
1.77
|
|
$
1.22
|
Comprehensive income
(loss) per common share - basic
|
$
(0.31)
|
|
$
0.37
|
|
$
(0.97)
|
|
$
1.34
|
|
$
0.44
|
Comprehensive income
(loss) per common share - diluted
|
$
(0.31)
|
|
$
0.37
|
|
$
(0.97)
|
|
$
1.33
|
|
$
0.44
|
Dividends declared
per common share
|
$
0.36
|
|
$
0.36
|
|
$
0.36
|
|
$
0.36
|
|
$
1.44
|
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
|
|
Year Ended
|
|
December 31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
|
2021
|
|
2021
|
|
2021
|
|
2021
|
|
2021
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
262
|
|
$
293
|
|
$
249
|
|
$
557
|
|
$
1,361
|
Interest
expense
|
15
|
|
14
|
|
17
|
|
29
|
|
75
|
GAAP net interest
income
|
247
|
|
279
|
|
232
|
|
528
|
|
1,286
|
TBA dollar roll income,
net 3,4
|
165
|
|
175
|
|
162
|
|
154
|
|
656
|
Interest rate swap
periodic cost, net 3,8
|
(16)
|
|
(13)
|
|
(19)
|
|
(12)
|
|
(60)
|
Adjusted net interest
and dollar roll income
|
396
|
|
441
|
|
375
|
|
670
|
|
1,882
|
Operating
expense
|
(20)
|
|
(22)
|
|
(22)
|
|
(24)
|
|
(88)
|
Net spread and dollar
roll income
|
376
|
|
419
|
|
353
|
|
646
|
|
1,794
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
100
|
Net spread and dollar
roll income available to common stockholders
|
351
|
|
394
|
|
328
|
|
621
|
|
1,694
|
Estimated "catch-up"
premium amortization cost (benefit) due to change
in
CPR forecast
11
|
44
|
|
2
|
|
71
|
|
(213)
|
|
(96)
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, available
to
common
stockholders
|
$
395
|
|
$
396
|
|
$
399
|
|
$
408
|
|
$
1,598
|
|
|
|
|
|
|
|
|
|
|
Weighted average number
of common shares outstanding - basic
|
525.5
|
|
526.7
|
|
526.6
|
|
533.7
|
|
528.1
|
Weighted average number
of common shares outstanding - diluted
|
527.6
|
|
528.6
|
|
528.3
|
|
535.6
|
|
530.0
|
Net spread and dollar
roll income per common share - basic
|
$
0.67
|
|
$
0.75
|
|
$
0.62
|
|
$
1.16
|
|
$
3.21
|
Net spread and dollar
roll income per common share - diluted
|
$
0.67
|
|
$
0.75
|
|
$
0.62
|
|
$
1.16
|
|
$
3.20
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per
common
share -
basic
|
$
0.75
|
|
$
0.75
|
|
$
0.76
|
|
$
0.76
|
|
$
3.03
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per
common
share -
diluted
|
$
0.75
|
|
$
0.75
|
|
$
0.76
|
|
$
0.76
|
|
$
3.02
|
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
|
|
Year Ended
|
|
December 31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
|
2021
|
|
2021
|
|
2021
|
|
2021
|
|
2021
|
Net
income/(loss)
|
$
(27)
|
|
$
212
|
|
$
(411)
|
|
$
975
|
|
$
749
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
13
|
|
(45)
|
|
1
|
|
(269)
|
|
(300)
|
Realized gain/loss,
net
|
(570)
|
|
(342)
|
|
43
|
|
(1,494)
|
|
(2,363)
|
Net capital
loss/(utilization of net capital loss carryforward)
|
-
|
|
(141)
|
|
52
|
|
89
|
|
-
|
Unrealized (gain)/loss,
net
|
373
|
|
358
|
|
152
|
|
545
|
|
1,428
|
Other
|
-
|
|
3
|
|
5
|
|
(10)
|
|
(2)
|
Total book to tax
differences
|
(184)
|
|
(167)
|
|
253
|
|
(1,139)
|
|
(1,237)
|
REIT taxable income
(loss)
|
(211)
|
|
45
|
|
(158)
|
|
(164)
|
|
(488)
|
REIT taxable income
attributed to preferred stock
|
-
|
|
-
|
|
-
|
|
-
|
|
-
|
REIT taxable income
(loss), attributed to common stock
|
$
(211)
|
|
$
45
|
|
$
(158)
|
|
$
(164)
|
|
$
(488)
|
Weighted average common
shares outstanding - basic
|
525.5
|
|
526.7
|
|
526.6
|
|
533.7
|
|
528.1
|
Weighted average common
shares outstanding - diluted
|
525.5
|
|
528.6
|
|
526.6
|
|
533.7
|
|
528.1
|
REIT taxable income
(loss) per common share - basic
|
$
(0.40)
|
|
$
0.09
|
|
$
(0.30)
|
|
$
(0.31)
|
|
$
(0.92)
|
REIT taxable income
(loss) per common share - diluted
|
$
(0.40)
|
|
$
0.09
|
|
$
(0.30)
|
|
$
(0.31)
|
|
$
(0.92)
|
|
|
|
|
|
|
|
|
|
|
Beginning net capital
loss carryforward
|
$
-
|
|
$
141
|
|
$
89
|
|
$
-
|
|
$
-
|
Increase (decrease) in
net capital loss carryforward
|
-
|
|
(141)
|
|
52
|
|
89
|
|
-
|
Ending net capital loss
carryforward
|
$
-
|
|
$
-
|
|
$
141
|
|
$
89
|
|
$
-
|
Ending net capital loss
carryforward per common share
|
$
-
|
|
$
-
|
|
$
0.27
|
|
$
0.17
|
|
$
-
|
AGNC INVESTMENT
CORP.
|
NET INTEREST SPREAD
COMPONENTS BY FUNDING SOURCE 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December 31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
|
2021
|
|
2021
|
|
2021
|
|
2021
|
|
2021
|
Adjusted net
interest and dollar roll income, excluding
"catch-up"
premium
amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment securities -
GAAP interest income 12
|
$
262
|
|
$
293
|
|
$
249
|
|
$
557
|
|
$
1,361
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in
CPR forecast
11
|
44
|
|
2
|
|
71
|
|
(213)
|
|
(96)
|
TBA dollar roll income
- implied interest income 3,6
|
131
|
|
142
|
|
139
|
|
116
|
|
528
|
Economic interest
income, excluding "catch-up" premium amortization
|
437
|
|
437
|
|
459
|
|
460
|
|
1,793
|
Economic interest
benefit (expense):
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - GAAP interest expense
|
(15)
|
|
(14)
|
|
(17)
|
|
(29)
|
|
(75)
|
TBA dollar roll income
- implied interest benefit (expense) 3,5
|
34
|
|
33
|
|
23
|
|
38
|
|
128
|
Interest rate swap
periodic cost, net 3,8
|
(16)
|
|
(13)
|
|
(19)
|
|
(12)
|
|
(60)
|
Economic interest
benefit (expense)
|
3
|
|
6
|
|
(13)
|
|
(3)
|
|
(7)
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
440
|
|
$
443
|
|
$
446
|
|
$
457
|
|
$
1,786
|
|
|
|
|
|
|
|
|
|
|
Net interest spread,
excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities -
average asset yield
|
1.98%
|
|
2.30%
|
|
1.73%
|
|
3.78%
|
|
2.48%
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in
CPR forecast
|
0.33%
|
|
0.02%
|
|
0.50%
|
|
(1.45)%
|
|
(0.17)%
|
Investment securities
average asset yield, excluding "catch-up" premium a
mortization
|
2.31%
|
|
2.32%
|
|
2.23%
|
|
2.33%
|
|
2.31%
|
TBA securities -
average implied asset yield 6
|
1.80%
|
|
1.88%
|
|
1.98%
|
|
1.44%
|
|
1.77%
|
Average asset yield,
excluding "catch-up" premium amortization7
|
2.13%
|
|
2.16%
|
|
2.15%
|
|
2.02%
|
|
2.12%
|
Average total cost
(benefit) of funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - average funding cost
|
0.12%
|
|
0.12%
|
|
0.13%
|
|
0.21%
|
|
0.15%
|
TBA securities -
average implied funding (benefit) cost 5
|
(0.46)%
|
|
(0.42)%
|
|
(0.33)%
|
|
(0.48)%
|
|
(0.42)%
|
Average cost (benefit)
of funds, before interest rate swap periodic cost,
net7
|
(0.10)%
|
|
(0.10)%
|
|
(0.03)%
|
|
(0.04)%
|
|
(0.06)%
|
Interest rate swap
periodic cost, net10
|
0.08%
|
|
0.07%
|
|
0.09%
|
|
0.06%
|
|
0.07%
|
Average total cost
(benefit) of funds 9
|
(0.02)%
|
|
(0.03)%
|
|
0.06%
|
|
0.02%
|
|
0.01%
|
Average net interest
spread, excluding "catch-up" premium amortization
|
2.15%
|
|
2.19%
|
|
2.09%
|
|
2.00%
|
|
2.11%
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
December
31,
2021
|
|
September
30,
2021
|
|
June 30,
2021
|
|
March 31,
2021
|
|
December
31,
2020
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency MBS,
at fair value - as of period end
|
$
52,289
|
|
$
53,395
|
|
$
57,757
|
|
$
63,122
|
|
$
64,615
|
Other Agency MBS, at
fair value - as of period end
|
$
315
|
|
$
348
|
|
$
384
|
|
$
434
|
|
$
516
|
Credit risk transfer
securities, at fair value - as of period end
|
$
974
|
|
$
1,072
|
|
$
1,105
|
|
$
1,073
|
|
$
737
|
Non-Agency MBS, at
fair value - as of period end
|
$
843
|
|
$
578
|
|
$
553
|
|
$
868
|
|
$
546
|
Total investment
securities, at fair value - as of period end
|
$
54,421
|
|
$
55,393
|
|
$
59,799
|
|
$
65,497
|
|
$
66,414
|
Total investment
securities, at cost - as of period end
|
$
53,628
|
|
$
54,112
|
|
$
58,379
|
|
$
63,975
|
|
$
63,701
|
Total investment
securities, at par - as of period end
|
$
51,878
|
|
$
52,223
|
|
$
56,309
|
|
$
61,454
|
|
$
61,270
|
Average investment
securities, at cost
|
$
53,057
|
|
$
50,866
|
|
$
57,420
|
|
$
58,948
|
|
$
57,194
|
Average investment
securities, at par
|
$
51,262
|
|
$
49,077
|
|
$
55,246
|
|
$
56,641
|
|
$
54,983
|
TBA securities:
20
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio - as
of period end, at fair value
|
$
27,578
|
|
$
28,741
|
|
$
27,689
|
|
$
24,779
|
|
$
31,479
|
Net TBA portfolio - as
of period end, at cost
|
$
27,622
|
|
$
28,912
|
|
$
27,611
|
|
$
25,355
|
|
$
31,204
|
Net TBA portfolio - as
of period end, carrying value
|
$
(44)
|
|
$
(171)
|
|
$
79
|
|
$
(576)
|
|
$
275
|
Average net TBA
portfolio, at cost
|
$
29,014
|
|
$
30,312
|
|
$
28,082
|
|
$
32,022
|
|
$
33,753
|
Average repurchase
agreements and other debt 13
|
$
46,999
|
|
$
45,847
|
|
$
52,374
|
|
$
54,602
|
|
$
53,645
|
Average stockholders'
equity 14
|
$
10,499
|
|
$
10,638
|
|
$
11,103
|
|
$
11,312
|
|
$
10,918
|
Tangible net book
value per common share 1
|
$
15.75
|
|
$
16.41
|
|
$
16.39
|
|
$
17.72
|
|
$
16.71
|
Tangible net book
value "at risk" leverage - average 15
|
7.6:1
|
|
7.5:1
|
|
7.6:1
|
|
8.0:1
|
|
8.4:1
|
Tangible net book
value "at risk" leverage - as of period end
16
|
7.7:1
|
|
7.5:1
|
|
7.9:1
|
|
7.7:1
|
|
8.5:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.12
%
|
|
3.25
%
|
|
3.28
%
|
|
3.40
%
|
|
3.64
%
|
Average asset
yield
|
1.98
%
|
|
2.30
%
|
|
1.73
%
|
|
3.78
%
|
|
1.64
%
|
Average asset yield,
excluding "catch-up" premium amortization
|
2.31
%
|
|
2.32
%
|
|
2.23
%
|
|
2.33
%
|
|
2.39
%
|
Average coupon - as of
period end
|
3.08
%
|
|
3.15
%
|
|
3.19
%
|
|
3.23
%
|
|
3.39
%
|
Average asset yield -
as of period end
|
2.43
%
|
|
2.48
%
|
|
2.42
%
|
|
2.39
%
|
|
2.33
%
|
Average actual CPR for
securities held during the period
|
18.6
%
|
|
22.5
%
|
|
25.7
%
|
|
24.6
%
|
|
27.6
%
|
Average forecasted CPR
- as of period end
|
10.9
%
|
|
10.7
%
|
|
11.6
%
|
|
11.3
%
|
|
17.6
%
|
Total premium
amortization (cost) benefit, net
|
$
(138)
|
|
$
(106)
|
|
$
(202)
|
|
$
77
|
|
$
(266)
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Average coupon - as of
period end 17
|
2.47
%
|
|
2.41
%
|
|
2.50
%
|
|
2.35
%
|
|
1.98
%
|
Average implied asset
yield 6
|
1.80
%
|
|
1.88
%
|
|
1.98
%
|
|
1.44
%
|
|
1.53
%
|
Combined investment
and TBA securities - average asset yield, excluding "catch-up"
premium
amortization 7
|
2.13
%
|
|
2.16
%
|
|
2.15
%
|
|
2.02
%
|
|
2.07
%
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
- average funding cost
|
0.12
%
|
|
0.12
%
|
|
0.13
%
|
|
0.21
%
|
|
0.38
%
|
TBA securities -
average implied funding cost (benefit) 5
|
(0.46) %
|
|
(0.42) %
|
|
(0.33) %
|
|
(0.48) %
|
|
(0.54) %
|
Interest rate swaps -
average periodic expense, net 10
|
0.08
%
|
|
0.07
%
|
|
0.09
%
|
|
0.06
%
|
|
0.03
%
|
Average total cost
(benefit) of funds, inclusive of TBAs and interest rate swap
periodic expense,
net 7,9
|
(0.02) %
|
|
(0.03) %
|
|
0.06
%
|
|
0.02
%
|
|
0.05
%
|
Repurchase agreements
- average funding cost as of period end
|
0.15
%
|
|
0.12
%
|
|
0.11
%
|
|
0.15
%
|
|
0.24
%
|
Interest rate swaps -
average net pay/(receive) rate as of period end
18
|
0.15
%
|
|
0.12
%
|
|
0.12
%
|
|
0.16
%
|
|
0.07
%
|
Net interest
spread:
|
|
|
|
|
|
|
|
|
|
Combined investment
and TBA securities average net interest spread
|
1.93
%
|
|
2.17
%
|
|
1.75
%
|
|
2.95
%
|
|
1.55
%
|
Combined investment
and TBA securities average net interest spread, excluding
"catch-up" premium amortization
|
2.15
%
|
|
2.19
%
|
|
2.09
%
|
|
2.00
%
|
|
2.02
%
|
Expenses % of average
stockholders' equity - annualized
|
0.76
%
|
|
0.83
%
|
|
0.79
%
|
|
0.85
%
|
|
0.92
%
|
Economic return
(loss) on tangible common equity - unannualized
19
|
(1.8) %
|
|
2.3
%
|
|
(5.5) %
|
|
8.2
%
|
|
7.5
%
|
*Except as noted below, average numbers for each period are
weighted based on days on the Company's books and records. All
percentages are annualized, unless otherwise noted.
Numbers in financial tables may not total due to rounding.
- Tangible net book value per common share excludes preferred
stock liquidation preference and goodwill.
- 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 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 and forward settling
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 TBA and
forward settling securities (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 and forward
settling securities (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.
- Includes net TBA dollar roll position and forward settling
securities.
STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and analysts
to attend the AGNC stockholder call on February 1, 2022 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 Q4 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 February 1, 2022. In
addition, there will be a phone recording available one hour after
the call on February 1, 2022 through
February 8, 2022. 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 4486155.
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 or from our historic performance due to a variety of
important factors, including, without limitation, changes in
interest rates, changes in MBS spreads to benchmark 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 or market conditions, and
conditions in the market for Agency securities, any of which may be
materially impacted by changes in the Federal Reserve's bond buying
program, approaches to address the size of its bond portfolio or
its monetary policy, 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 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.