BETHESDA, Md., Oct. 26, 2020 /PRNewswire/ -- AGNC Investment
Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today announced
financial results for the quarter ended September 30, 2020.
THIRD QUARTER 2020 FINANCIAL HIGHLIGHTS
- $1.28 comprehensive income per
common share, comprised of:
-
- $1.15 net income per common
share
- $0.13 other comprehensive income
("OCI") per common share on investments marked-to-market through
OCI
- $0.81 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost 1
-
- Includes $0.28 per common share
of dollar roll income associated with the Company's $27.8 billion average net long position in
forward purchases and sales of Agency mortgage-backed securities
("MBS") in the "to-be-announced" ("TBA") market
- Excludes $(0.09) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $15.88 tangible net book value
per common share as of September 30,
2020
-
- Increased $0.96 per common share,
or 6.4%, from $14.92 per common share
as of June 30, 2020
- $0.36 dividends declared per
common share for the third quarter
- 8.8% economic return on tangible common equity for the
quarter
-
- Comprised of $0.36 dividends per
common share and $0.96 increase in
tangible net book value per common share
OTHER THIRD QUARTER HIGHLIGHTS
- $97.6 billion investment
portfolio as of September 30, 2020,
comprised of:
-
- $66.9 billion Agency MBS
- $29.5 billion net TBA mortgage
position
- $1.2 billion credit risk transfer
("CRT") and non-Agency securities
- 8.8x tangible net book value "at risk" leverage as of
September 30, 2020
-
- 8.9x average tangible net book value "at risk" leverage for the
quarter
- Cash and unencumbered Agency MBS totaled approximately
$5.2 billion as of September 30, 2020
-
- Excludes unencumbered CRT and non-Agency securities and assets
held at the Company's broker-dealer subsidiary, Bethesda
Securities
- 24.3% portfolio CPR for the quarter
-
- 15.9% average projected portfolio CPR as of September 30, 2020
- 2.15% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization cost
-
- Excludes -22 bps of "catch-up" premium amortization cost due to
change in projected CPR estimates
- 11.0 million shares, or $154
million, of common stock repurchased during the quarter
2
-
- Represents 2.0% of common stock outstanding as of June 30, 2020
- $13.95 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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2.
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Includes share
repurchases settling in October 2020.
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MANAGEMENT REMARKS
"AGNC's economic return for the
third quarter of 2020 was 8.8%, representing our second consecutive
quarter of strong financial performance and nearly reversing the
economic loss of the first quarter which resulted from the
financial dislocations associated with the COVID-19 pandemic," said
Gary Kain, the Company's Chief
Executive Officer and Chief Investment Officer. "Stable
interest rates and the Federal Reserve's ongoing purchases were
supportive of Agency MBS performance during the quarter.
Importantly, the Fed's announced policy shift to average inflation
targeting will likely cause the current low rate environment to
persist for a prolonged period, which should be beneficial to the
investment environment.
"Against this backdrop, AGNC's portfolio, which predominantly
consists of lower coupon, new production pools and higher coupon
specified pools, significantly outperformed our hedge portfolio and
drove the improvement in our net book value during the
quarter. AGNC also maintained a sizeable TBA position to
capitalize on the significant funding advantage (or 'dollar roll
specialness') of TBA securities and to enhance the liquidity
profile of our investment portfolio. Lastly, given our
limited holdings of credit sensitive assets, we have only modest
exposure to the adverse economic impacts associated with the
ongoing pandemic."
"AGNC generated net spread and dollar roll income, excluding
catch-up premium amortization, of $0.81 per common share in the third quarter,
evidencing the strong earnings environment as the Fed's
accommodative monetary policy stance and use of forward rate
guidance has led to very attractive hedging and funding
opportunities. As a result, the third quarter represents our
strongest quarter from a net spread and dollar roll income per
share perspective in over five years," said Peter Federico, the Company's President and
Chief Operating Officer. "In addition, we took the
opportunity in the third quarter to repurchase 11 million shares,
or $154 million, of our common stock
at an average repurchase price of $13.95, generating accretion benefits for our
stockholders given the meaningful discount to our tangible net book
value."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of
September 30, 2020, the Company's
tangible net book value per common share was $15.88 per share, an increase of 6.4% for the
quarter, compared to $14.92 per share
as of June 30, 2020. The
Company's tangible net book value per common share excludes
$526 million, or $0.96 and $0.95 per
share, of goodwill as of September 30,
2020 and June 30, 2020,
respectively.
INVESTMENT PORTFOLIO
As of September 30, 2020, the Company's investment
portfolio totaled $97.6 billion,
comprised of:
- $96.4 billion of Agency MBS and
TBA securities, including:
-
- $95.8 billion of fixed-rate
securities, comprised of:
-
- $58.9 billion 30-year MBS,
- $18.1 billion 30-year TBA
securities,
- $5.0 billion 15-year MBS,
- $11.5 billion 15-year TBA
securities, and
- $2.4 billion 20-year MBS;
and
- $0.6 billion of collateralized
mortgage obligations ("CMOs"), adjustable-rate and other Agency
securities; and
- $1.2 billion of CRT and
non-Agency securities.
As of September 30, 2020, 30-year
and 15-year fixed-rate Agency securities represented 79% and 17%,
respectively, of the Company's investment portfolio, compared to
83% and 12%, respectively, as of June 30,
2020.
As of September 30, 2020, the
Company's fixed-rate securities' weighted average coupon was 3.08%,
compared to 3.40% as of June 30,
2020, comprised of the following weighted average
coupons:
- 3.28% for 30-year fixed-rate securities;
- 2.23% for 15-year fixed rate securities; and
- 2.67% 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 September 30,
2020, the Company's TBA position had a fair value of
$29.5 billion and a GAAP net carrying
value of $76 million reported in
derivative assets/(liabilities) on the Company's balance sheet,
compared to $20.5 billion and
$130 million, respectively, as of
June 30, 2020.
CONSTANT PREPAYMENT RATES
The Company's investment
portfolio had a weighted average CPR of 24.3% for the third
quarter, compared to 19.9% for the prior quarter. The
weighted average projected CPR for the remaining life of the
Company's Agency securities held as of September 30, 2020 declined to 15.9% from 16.6%
as of June 30, 2020 largely due to
changes in portfolio composition.
The weighted average cost basis of the Company's investment
portfolio was 104.1% of par value as of September 30, 2020. Net premium
amortization cost on the Company's investment portfolio for the
third quarter was $(209) million, or
$(0.38) per common share, which
includes "catch-up" premium amortization cost of $(50) million, or $(0.09) per common share, due to changes in the
Company's projected CPR estimates for securities acquired prior to
the third quarter. This compares to net premium amortization
cost for the prior quarter of $(223)
million, or $(0.40) per common
share, including a "catch-up" premium amortization cost of
$(57) million, or $(0.10) 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 2.28% for the third
quarter, compared to 2.39% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's average asset yield
was 2.59% for the third quarter, compared to 2.71% for the prior
quarter. Including the TBA position and excluding "catch-up"
premium amortization, the Company's average asset yield for the
third quarter was 2.30%, compared to 2.56% for the prior
quarter.
For the third quarter, the weighted average interest rate on the
Company's Agency repurchase agreements was 0.40%, compared to 0.76%
for the prior quarter. For the third quarter, the Company's
TBA position had an implied financing benefit of (0.58)%, compared
to an implied financing benefit of (0.09)% for the prior
quarter. Inclusive of interest rate swaps, the Company's
combined average cost of funds for the third quarter was 0.15%,
compared to 0.88% 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 third quarter was 2.15%, compared to 1.68%
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 third quarter of $0.81 per common share, excluding $(0.09) per common share of "catch-up" premium
amortization cost, compared to $0.58
per common share for the prior quarter, excluding $(0.10) 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 September 30,
2020, $54.4 billion of Agency
repurchase agreements, $29.5 billion
of 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 $0.2 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
position and net payable/(receivable) for unsettled investment
securities, the Company's tangible net book value "at risk"
leverage ratio was 8.8x as of September 30,
2020, compared to 9.2x as of June
30, 2020. The Company's average "at risk" leverage for
the third quarter was 8.9x tangible net book value, compared to
8.8x in the prior quarter.
As of September 30, 2020, the
Company's Agency repurchase agreements had a weighted average
interest rate of 0.37%, compared to 0.41% as of June 30, 2020, and a weighted average remaining
maturity of 55 days, compared to 60 days as of June 30, 2020. As of September 30, 2020, $26.2
billion, or 48%, of the Company's Agency repurchase
agreements were funded through the Company's captive broker-dealer
subsidiary, Bethesda Securities, LLC.
As of September 30, 2020, the
Company's Agency repurchase agreements had remaining maturities
of:
- $41.0 billion of three months or
less;
- $7.6 billion from three to six
months; and
- $5.7 billion from six to twelve
months.
HEDGING ACTIVITIES
As of September 30, 2020, interest rate swaps,
swaptions and U.S. Treasury positions equaled 71% of the Company's
outstanding balance of Agency repurchase agreements, TBA position
and other debt, compared to 66% as of June
30, 2020.
As of September 30, 2020, the
Company's interest rate swap position totaled $43.0 billion in notional amount, compared to
$42.1 billion as of June 30, 2020. As of September 30, 2020, the Company's interest rate
swap portfolio had an average fixed pay rate of 0.15%, an average
receive rate of 0.08% and an average maturity of 5.3 years,
compared to 0.39%, 0.13% and 5.1 years, respectively, as of
June 30, 2020. As of
September 30, 2020, 69% and 31% of
the Company's interest rate swap portfolio were linked to the
Secured Overnight Financing Rate ("SOFR") and Overnight Index Swap
Rate ("OIS"), respectively, compared to 79% and 16%, respectively,
as of June 30, 2020. As of
September 30, 2020, none of the
Company's interest rate swaps were linked to the three-month London
Interbank Offered Rate ("LIBOR"), compared to 5% as of June 30, 2020.
As of September 30, 2020, the
Company had payer swaptions outstanding totaling $6.9 billion, compared to $9.4 billion as of June
30, 2020. As of September 30,
2020, the Company had net short U.S. Treasury positions
outstanding totaling $9.8 billion,
compared to $8.1 billion as of
June 30, 2020.
OTHER GAIN (LOSS), NET
For the third quarter, the
Company recorded a net gain of $381
million in other gain (loss), net, or $0.69 per common share, compared to a net gain of
$447 million, or $0.80 per common share, for the prior
quarter. Other gain (loss), net for the third quarter was
comprised of:
- $346 million of net realized
gains on sales of investment securities;
- $(365) million of net unrealized
losses on investment securities measured at fair value through net
income;
- $(13) million of interest rate
swap periodic costs;
- $153 million of net gains on
interest rate swaps;
- $(1) million of net losses on
interest rate swaptions;
- $(19) million of net losses on
U.S. Treasury positions;
- $155 million of TBA dollar roll
income;
- $128 million of net
mark-to-market gains on TBA securities; and
- $(3) million of other
miscellaneous losses.
OTHER COMPREHENSIVE INCOME
During the third quarter,
the Company recorded other comprehensive income of $70 million, or $0.13 per common share, consisting of net
unrealized gains on the Company's Agency securities recognized
through OCI, compared to a $203
million, or $0.36 per common
share, of other comprehensive income for the prior quarter.
COMMON STOCK DIVIDENDS
During the third quarter, the
Company declared dividends of $0.12
per share to common stockholders of record as of July 31, August 31
and September 30, 2020, respectively,
totaling $0.36 per share for the
quarter, which were paid on August
11, September 10 and
October 9, 2020, respectively.
Since its May 2008 initial public
offering through the third quarter of 2020, the Company has
declared a total of $10.3 billion in
common stock dividends, or $42.52 per
common share.
STOCK REPURCHASE PROGRAM
During the third quarter, the
Company repurchased 11.0 million shares, or $154 million, of its common stock for an average
repurchase price of $13.95 per common
share, inclusive of transaction costs. On October 22, 2020, the Company's Board of
Directors terminated its existing stock repurchase plan that was
due to expire on December 31, 2020
and replaced it with a new plan to repurchase up to $1 billion of common stock through December 31, 2021.
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 of its common stock 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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September
30,
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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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2020
|
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2020
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2020
|
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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
$55,711, $69,956, $64,154, $92,608 and $93,688,
respectively)
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$
66,556
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$
75,488
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$
70,292
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|
$
98,516
|
|
$
98,577
|
Agency
securities transferred to consolidated variable interest
entities, at fair value (pledged securities)
|
323
|
|
344
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358
|
|
371
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|
393
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Credit risk
transfer securities, at fair value (including
pledged
securities of
$413, $479, $360, $309 and $358, respectively)
|
653
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|
712
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|
574
|
|
976
|
|
1,134
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Non-Agency
securities, at fair value (including pledged securities
of $455, $511, $437, $0 and $0, respectively)
|
512
|
|
599
|
|
552
|
|
579
|
|
579
|
U.S. Treasury
securities, at fair value (including pledged securities
of $0, $1,136, $3,721, $97 and $162, respectively)
|
-
|
|
1,181
|
|
3,721
|
|
97
|
|
215
|
Cash and cash
equivalents
|
857
|
|
859
|
|
1,289
|
|
831
|
|
906
|
Restricted
cash
|
1,557
|
|
1,306
|
|
1,978
|
|
451
|
|
734
|
Derivative
assets, at fair value
|
130
|
|
140
|
|
664
|
|
190
|
|
175
|
Receivable for
investment securities sold (including pledged securities
of $10, $480, $0, $0 and $105, respectively)
|
10
|
|
489
|
|
-
|
|
-
|
|
105
|
Receivable
under reverse repurchase agreements
|
8,625
|
|
7,944
|
|
4,938
|
|
10,181
|
|
6,093
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Goodwill
|
526
|
|
526
|
|
526
|
|
526
|
|
526
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Other
assets
|
219
|
|
265
|
|
245
|
|
364
|
|
324
|
Total
assets
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$
79,968
|
|
$
89,853
|
|
$
85,137
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|
$
113,082
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$
109,761
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Liabilities:
|
|
|
|
|
|
|
|
|
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Repurchase
agreements
|
$
54,566
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|
$
69,685
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$
66,540
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$
89,182
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$
90,612
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Debt of
consolidated variable interest entities, at fair value
|
192
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|
204
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|
214
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|
228
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|
238
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Payable for
investment securities purchased
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5,887
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|
1,468
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|
3,273
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|
2,554
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|
3,094
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Derivative
liabilities, at fair value
|
13
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|
3
|
|
138
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|
6
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|
22
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Dividends
payable
|
90
|
|
92
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|
113
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|
104
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|
100
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Obligation to
return securities borrowed under reverse
repurchase
agreements, at fair value
|
8,372
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7,929
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|
4,886
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|
9,543
|
|
5,114
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Accounts
payable and other liabilities
|
128
|
|
122
|
|
175
|
|
424
|
|
368
|
Total
liabilities
|
69,248
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|
79,503
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|
75,339
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|
102,041
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|
99,548
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Stockholders'
equity:
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Preferred Stock
- aggregate liquidation preference of $1,538, $1,538, $
1,538, $963 and
$735, respectively)
|
1,489
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|
1,489
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|
1,489
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|
932
|
|
711
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Common stock -
$0.01 par value; 545.2, 555.5, 567.7, 540.9 and
540.9
shares issued
and outstanding, respectively
|
5
|
|
6
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|
6
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|
5
|
|
5
|
Additional
paid-in capital
|
14,053
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|
14,191
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|
14,334
|
|
13,893
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|
13,888
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Retained
deficit
|
(5,661)
|
|
(6,100)
|
|
(6,592)
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|
(3,886)
|
|
(4,473)
|
Accumulated
other comprehensive income (loss)
|
834
|
|
764
|
|
561
|
|
97
|
|
82
|
Total
stockholders' equity
|
10,720
|
|
10,350
|
|
9,798
|
|
11,041
|
|
10,213
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Total
liabilities and stockholders' equity
|
$
79,968
|
|
$
89,853
|
|
$
85,137
|
|
$
113,082
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|
$
109,761
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|
|
|
|
|
|
|
|
|
|
Tangible net book
value per common share 1
|
$
15.88
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|
$
14.92
|
|
$
13.62
|
|
$
17.66
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|
$
16.55
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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
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
2020
|
|
2020
|
|
2020
|
|
2019
|
|
2019
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
364
|
|
$
429
|
|
$
491
|
|
$
768
|
|
$
676
|
Interest
expense
|
62
|
|
134
|
|
426
|
|
481
|
|
557
|
Net interest
income
|
302
|
|
295
|
|
65
|
|
287
|
|
119
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized gain
on sale of investment securities, net
|
346
|
|
153
|
|
494
|
|
107
|
|
89
|
Unrealized gain
(loss) on investment securities measured at fair value
through net income, net
|
(365)
|
|
679
|
|
197
|
|
(160)
|
|
355
|
Gain (loss) on
derivative instruments and other securities, net
|
400
|
|
(385)
|
|
(3,154)
|
|
662
|
|
(548)
|
Total other gain
(loss), net
|
381
|
|
447
|
|
(2,463)
|
|
609
|
|
(104)
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation
and benefits
|
13
|
|
13
|
|
13
|
|
16
|
|
10
|
Other operating
expense
|
8
|
|
11
|
|
10
|
|
9
|
|
9
|
Total operating
expense
|
21
|
|
24
|
|
23
|
|
25
|
|
19
|
Net income
(loss)
|
662
|
|
718
|
|
(2,421)
|
|
871
|
|
(4)
|
Dividend on
preferred stock
|
25
|
|
25
|
|
21
|
|
18
|
|
13
|
Issuance costs
of redeemed preferred stock
|
-
|
|
-
|
|
-
|
|
6
|
|
-
|
Net income (loss)
available (attributable) to common stockholders
|
$
637
|
|
$
693
|
|
$
(2,442)
|
|
$
847
|
|
$
(17)
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
662
|
|
$
718
|
|
$
(2,421)
|
|
$
871
|
|
$
(4)
|
Unrealized gain
on investment securities measured at fair value through
other comprehensive income (loss), net
|
70
|
|
203
|
|
464
|
|
15
|
|
246
|
Comprehensive
income (loss)
|
732
|
|
921
|
|
(1,957)
|
|
886
|
|
242
|
Dividend on
preferred stock
|
25
|
|
25
|
|
21
|
|
18
|
|
13
|
Issuance costs
of redeemed preferred stock
|
-
|
|
-
|
|
-
|
|
6
|
|
-
|
Comprehensive
income (loss) available (attributable) to common
stockholders
|
$
707
|
|
$
896
|
|
$
(1,978)
|
|
$
862
|
|
$
229
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
553.2
|
|
560.3
|
|
548.0
|
|
541.4
|
|
546.4
|
Weighted average
number of common shares outstanding - diluted
|
554.3
|
|
560.8
|
|
548.0
|
|
542.6
|
|
546.4
|
Net income (loss)
per common share - basic
|
$
1.15
|
|
$
1.24
|
|
$
(4.46)
|
|
$
1.56
|
|
$
(0.03)
|
Net income (loss)
per common share - diluted
|
$
1.15
|
|
$
1.24
|
|
$
(4.46)
|
|
$
1.56
|
|
$
(0.03)
|
Comprehensive
income (loss) per common share - basic
|
$
1.28
|
|
$
1.60
|
|
$
(3.61)
|
|
$
1.59
|
|
$
0.42
|
Comprehensive
income (loss) per common share - diluted
|
$
1.28
|
|
$
1.60
|
|
$
(3.61)
|
|
$
1.59
|
|
$
0.42
|
Dividends declared
per common share
|
$
0.36
|
|
$
0.36
|
|
$
0.48
|
|
$
0.48
|
|
$
0.48
|
|
|
|
|
|
|
|
|
|
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF
GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME
(NON-GAAP MEASURE) 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
2020
|
|
2020
|
|
2020
|
|
2019
|
|
2019
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
364
|
|
$
429
|
|
$
491
|
|
$
768
|
|
$
676
|
Interest
expense
|
62
|
|
134
|
|
426
|
|
481
|
|
557
|
GAAP net interest
income
|
302
|
|
295
|
|
65
|
|
287
|
|
119
|
TBA dollar roll income, net
3,4
|
155
|
|
78
|
|
16
|
|
24
|
|
29
|
Interest rate swap periodic
income (cost), net 3,8
|
(13)
|
|
(59)
|
|
31
|
|
85
|
|
146
|
Other interest and dividend
income 3
|
-
|
|
1
|
|
2
|
|
3
|
|
4
|
Adjusted net interest
and dollar roll income
|
444
|
|
315
|
|
114
|
|
399
|
|
298
|
Operating
expense
|
(21)
|
|
(24)
|
|
(23)
|
|
(25)
|
|
(19)
|
Net spread and dollar
roll income
|
423
|
|
291
|
|
91
|
|
374
|
|
279
|
Dividend on
preferred stock
|
25
|
|
25
|
|
21
|
|
18
|
|
13
|
Net spread and dollar
roll income available to common stockholders
|
398
|
|
266
|
|
70
|
|
356
|
|
266
|
Estimated
"catch-up" premium amortization cost (benefit) due to change in
CPR forecast 11
|
50
|
|
57
|
|
243
|
|
(48)
|
|
55
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, available to common stockholders
|
$
448
|
|
$
323
|
|
$
313
|
|
$
308
|
|
$
321
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
553.2
|
|
560.3
|
|
548.0
|
|
541.4
|
|
546.4
|
Weighted average
number of common shares outstanding - diluted
|
554.3
|
|
560.8
|
|
549.2
|
|
542.6
|
|
547.1
|
Net spread and dollar
roll income per common share - basic
|
$
0.72
|
|
$
0.47
|
|
$
0.13
|
|
$
0.66
|
|
$
0.49
|
Net spread and dollar
roll income per common share - diluted
|
$
0.72
|
|
$
0.47
|
|
$
0.13
|
|
$
0.66
|
|
$
0.49
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per common
share - basic
|
$
0.81
|
|
$
0.58
|
|
$
0.57
|
|
$
0.57
|
|
$
0.59
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per common
share - diluted
|
$
0.81
|
|
$
0.58
|
|
$
0.57
|
|
$
0.57
|
|
$
0.59
|
|
|
|
|
|
|
|
|
|
|
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
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
2020
|
|
2020
|
|
2020
|
|
2019
|
|
2019
|
Net
income/(loss)
|
$
662
|
|
$
718
|
|
$
(2,421)
|
|
$
871
|
|
$
(4)
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium
amortization, net
|
(11)
|
|
22
|
|
237
|
|
(77)
|
|
47
|
Realized
gain/loss, net
|
(472)
|
|
-
|
|
2,555
|
|
(504)
|
|
521
|
Net capital
loss/(utilization of net capital loss carryforward)
|
-
|
|
(426)
|
|
32
|
|
(130)
|
|
34
|
Unrealized
(gain)/loss, net
|
354
|
|
(291)
|
|
(263)
|
|
(47)
|
|
(428)
|
Other
|
-
|
|
(2)
|
|
(8)
|
|
2
|
|
(1)
|
Total book to tax
differences
|
(129)
|
|
(697)
|
|
2,553
|
|
(756)
|
|
173
|
Estimated REIT
taxable income
|
533
|
|
21
|
|
132
|
|
115
|
|
169
|
Dividend on
preferred stock
|
25
|
|
25
|
|
21
|
|
18
|
|
13
|
Estimated REIT
taxable income (loss), net of preferred stock dividend
|
$
508
|
|
$
(4)
|
|
$
111
|
|
$
97
|
|
$
156
|
Weighted average
number of common shares outstanding - basic
|
553.2
|
|
560.3
|
|
548.0
|
|
541.4
|
|
546.4
|
Weighted average
number of common shares outstanding - diluted
|
554.3
|
|
560.3
|
|
549.2
|
|
542.6
|
|
547.1
|
Estimated REIT
taxable income (loss) per common share - basic
|
$
0.92
|
|
$ (0.01)
|
|
$
0.20
|
|
$
0.18
|
|
$
0.29
|
Estimated REIT
taxable income (loss) per common share - diluted
|
$
0.92
|
|
$ (0.01)
|
|
$
0.20
|
|
$
0.18
|
|
$
0.29
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible net capital loss
|
$
-
|
|
$
426
|
|
$
394
|
|
$
524
|
|
$
490
|
Increase (decrease)
in net capital loss carryforward
|
-
|
|
(426)
|
|
32
|
|
(130)
|
|
34
|
Ending cumulative
non-deductible net capital loss
|
$
-
|
|
$
-
|
|
$
426
|
|
$
394
|
|
$
524
|
Ending cumulative
non-deductible net capital loss per common share
|
$
-
|
|
$
-
|
|
$
0.75
|
|
$
0.73
|
|
$
0.97
|
|
|
|
|
|
|
|
|
|
|
AGNC INVESTMENT
CORP.
|
NET INTEREST SPREAD
COMPONENTS BY FUNDING SOURCE 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
2020
|
|
2020
|
|
2020
|
|
2019
|
|
2019
|
Adjusted net
interest and dollar roll income, excluding "catch-up"
premium amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment securities
- GAAP interest income 12
|
$
364
|
|
$
429
|
|
$
491
|
|
$
768
|
|
$
676
|
Estimated "catch-up"
premium amortization cost (benefit) due to change
in CPR forecast 11
|
50
|
|
57
|
|
243
|
|
(48)
|
|
55
|
TBA dollar roll
income - implied interest income 3,6
|
114
|
|
74
|
|
48
|
|
58
|
|
81
|
Economic interest
income, excluding "catch-up" premium amortization
|
528
|
|
560
|
|
782
|
|
778
|
|
812
|
Economic interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - GAAP interest expense
|
(62)
|
|
(134)
|
|
(426)
|
|
(481)
|
|
(557)
|
TBA dollar roll
income - implied interest benefit (expense)
3,5
|
41
|
|
4
|
|
(32)
|
|
(34)
|
|
(52)
|
Interest rate swap
periodic (cost) income, net 3,8
|
(13)
|
|
(59)
|
|
31
|
|
85
|
|
146
|
Economic interest
expense
|
(34)
|
|
(189)
|
|
(427)
|
|
(430)
|
|
(463)
|
Other interest and
dividend income 3
|
-
|
|
1
|
|
2
|
|
3
|
|
4
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
494
|
|
$
372
|
|
$
357
|
|
$
351
|
|
$
353
|
|
|
|
|
|
|
|
|
|
|
Net interest
spread, excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities
- average asset yield
|
2.28%
|
|
2.39%
|
|
2.01%
|
|
3.28%
|
|
2.91%
|
Estimated "catch-up"
premium amortization cost (benefit) due to change
in CPR forecast
|
0.31%
|
|
0.32%
|
|
0.99%
|
|
(0.20)%
|
|
0.24%
|
Investment securities
average asset yield, excluding "catch-up" premium
amortization
|
2.59%
|
|
2.71%
|
|
3.00%
|
|
3.08%
|
|
3.15%
|
TBA securities -
average implied asset yield 6
|
1.64%
|
|
1.90%
|
|
2.54%
|
|
3.29%
|
|
3.19%
|
Average asset yield,
excluding "catch-up" premium amortization 7
|
2.30%
|
|
2.56%
|
|
2.97%
|
|
3.09%
|
|
3.16%
|
Average total cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - average funding cost
|
0.40%
|
|
0.76%
|
|
1.80%
|
|
2.12%
|
|
2.48%
|
TBA securities -
average implied funding (benefit) cost 5
|
-0.58%
|
|
-0.09%
|
|
1.67%
|
|
1.88%
|
|
2.00%
|
Average cost of
funds, before interest rate swap periodic cost (income),
net 7
|
0.09%
|
|
0.61%
|
|
1.79%
|
|
2.10%
|
|
2.43%
|
Interest rate swap
periodic cost (income), net 10
|
0.06%
|
|
0.27%
|
|
(0.12)%
|
|
(0.34)%
|
|
(0.58)%
|
Average total cost of
funds 9
|
0.15%
|
|
0.88%
|
|
1.67%
|
|
1.76%
|
|
1.85%
|
Average net interest
spread, excluding "catch-up" premium amortization
|
2.15%
|
|
1.68%
|
|
1.30%
|
|
1.33%
|
|
1.31%
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
2020
|
|
2020
|
|
2020
|
|
2019
|
|
2019
|
Investment
securities:12
|
|
|
|
|
|
|
|
|
|
Fixed-rate
Agency MBS, at fair value - as of period end
|
$
66,278
|
|
$ 75,165
|
|
$ 69,901
|
|
$
98,074
|
|
$
98,090
|
Other Agency
MBS, at fair value - as of period end
|
$
601
|
|
$
667
|
|
$
749
|
|
$
813
|
|
$
880
|
Credit risk
transfer securities, at fair value - as of period end
|
$
653
|
|
$
712
|
|
$
574
|
|
$
976
|
|
$
1,134
|
Non-Agency MBS,
at fair value - as of period end
|
$
512
|
|
$
599
|
|
$
552
|
|
$
579
|
|
$
579
|
Total
investment securities, at fair value - as of period end
|
$
68,044
|
|
$ 77,143
|
|
$ 71,776
|
|
$
100,442
|
|
$
100,683
|
Total
investment securities, at cost - as of period end
|
$
65,024
|
|
$ 73,828
|
|
$ 69,343
|
|
$
98,670
|
|
$
98,763
|
Total
investment securities, at par - as of period end
|
$
62,449
|
|
$ 70,878
|
|
$ 66,735
|
|
$
95,561
|
|
$
95,629
|
Average
investment securities, at cost
|
$
63,893
|
|
$ 71,787
|
|
$ 97,889
|
|
$
93,606
|
|
$
92,764
|
Average
investment securities, at par
|
$
61,398
|
|
$ 68,994
|
|
$ 94,933
|
|
$
90,586
|
|
$
89,741
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Net TBA
portfolio - as of period end, at fair value
|
$
29,536
|
|
$ 20,543
|
|
$ 21,222
|
|
$
7,429
|
|
$
1,867
|
Net TBA
portfolio - as of period end, at cost
|
$
29,460
|
|
$ 20,413
|
|
$ 20,648
|
|
$
7,404
|
|
$
1,820
|
Net TBA
portfolio - as of period end, carrying value
|
$
76
|
|
$
130
|
|
$
574
|
|
$
25
|
|
$
47
|
Average net TBA
portfolio, at cost
|
$
27,785
|
|
$ 15,662
|
|
$
7,487
|
|
$
7,038
|
|
$
10,146
|
Average repurchase
agreements and other debt 13
|
$
61,008
|
|
$ 69,552
|
|
$ 93,538
|
|
$
88,677
|
|
$
87,938
|
Average stockholders'
equity 14
|
$
10,527
|
|
$ 10,262
|
|
$ 10,735
|
|
$
10,594
|
|
$
10,347
|
Tangible net book
value per common share 1
|
$
15.88
|
|
$
14.92
|
|
$
13.62
|
|
$
17.66
|
|
$
16.55
|
Tangible net book
value "at risk" leverage - average 15
|
8.9:1
|
|
8.8:1
|
|
9.9:1
|
|
9.5:1
|
|
10:1
|
Tangible net book
value "at risk" leverage - as of period end
16
|
8.8:1
|
|
9.2:1
|
|
9.4:1
|
|
9.4:1
|
|
9.8:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.73%
|
|
3.77%
|
|
3.68%
|
|
3.76%
|
|
3.87%
|
Average asset
yield
|
2.28%
|
|
2.39%
|
|
2.01%
|
|
3.28%
|
|
2.91%
|
Average asset
yield, excluding "catch-up" premium amortization
|
2.59%
|
|
2.71%
|
|
3.00%
|
|
3.08%
|
|
3.15%
|
Average coupon
- as of period end
|
3.59%
|
|
3.71%
|
|
3.84%
|
|
3.68%
|
|
3.76%
|
Average asset
yield - as of period end
|
2.56%
|
|
2.64%
|
|
2.93%
|
|
3.07%
|
|
3.08%
|
Average actual
CPR for securities held during the period
|
24.3%
|
|
19.9%
|
|
12.2%
|
|
15.4%
|
|
13.5%
|
Average
forecasted CPR - as of period end
|
15.9%
|
|
16.6%
|
|
14.5%
|
|
10.8%
|
|
13.4%
|
Total premium
amortization cost, net
|
$
(209)
|
|
$
(223)
|
|
$
(384)
|
|
$
(84)
|
|
$
(192)
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Average coupon
- as of period end 17
|
2.06%
|
|
2.41%
|
|
3.02%
|
|
3.10%
|
|
2.99%
|
Average implied
asset yield 6
|
1.64%
|
|
1.90%
|
|
2.54%
|
|
3.29%
|
|
3.19%
|
Combined investment
and TBA securities - average asset yield,
excluding "catch-up" premium amortization 7
|
2.30%
|
|
2.56%
|
|
2.97%
|
|
3.09%
|
|
3.16%
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements - average funding cost
|
0.40%
|
|
0.76%
|
|
1.80%
|
|
2.12%
|
|
2.48%
|
TBA securities
- average implied funding cost (benefit) 5
|
-0.58%
|
|
-0.09%
|
|
1.67%
|
|
1.88%
|
|
2.00%
|
Interest rate
swaps - average periodic expense (income), net
10
|
0.06%
|
|
0.27%
|
|
(0.12)%
|
|
(0.34)%
|
|
(0.58)%
|
Average total
cost of funds, inclusive of TBAs and interest rate swap
periodic expense (income), net 7,9
|
0.15%
|
|
0.88%
|
|
1.67%
|
|
1.76%
|
|
1.85%
|
Repurchase
agreements - average funding cost as of period end
|
0.37%
|
|
0.41%
|
|
1.36%
|
|
2.17%
|
|
2.48%
|
Interest rate
swaps - average net pay/(receive) rate as of period end
18
|
0.07%
|
|
0.26%
|
|
0.79%
|
|
(0.30)%
|
|
(0.63)%
|
Net interest
spread:
|
|
|
|
|
|
|
|
|
|
Combined
investment and TBA securities average net interest
spread
|
1.94%
|
|
1.42%
|
|
0.37%
|
|
1.52%
|
|
1.09%
|
Combined
investment and TBA securities average net interest
spread, excluding "catch-up" premium amortization
|
2.15%
|
|
1.68%
|
|
1.30%
|
|
1.33%
|
|
1.31%
|
Expenses % of average
stockholders' equity - annualized
|
0.80%
|
|
0.94%
|
|
0.86%
|
|
0.94%
|
|
0.73%
|
Economic return
(loss) on tangible common equity - unannualized
19
|
8.8%
|
|
12.2%
|
|
(20.2)%
|
|
9.6%
|
|
2.7%
|
*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.
|
|
|
1.
|
Tangible net book
value per common share excludes preferred stock liquidation
preference and goodwill.
|
2.
|
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.
|
3.
|
Amount reported in
gain (loss) on derivatives instruments and other securities, net in
the accompanying consolidated statements of operations.
|
4.
|
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.
|
5.
|
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.
|
6.
|
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.
|
7.
|
Amount calculated on
a weighted average basis based on average balances outstanding
during the period and their respective asset yield/funding
cost.
|
8.
|
Represents periodic
interest rate swap settlements. Amount excludes interest rate
swap termination fees and mark-to-market adjustments.
|
9.
|
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.
|
10.
|
Represents interest
rate swap periodic cost/income measured as a percent of total
mortgage funding (Agency repurchase agreements, other debt and net
TBA securities).
|
11.
|
"Catch-up" premium
amortization cost/benefit is reported in interest income on the
accompanying consolidated statements of operations.
|
12.
|
Investment securities
include Agency MBS, CRT and non-Agency securities. Amounts
exclude TBA securities.
|
13.
|
Average repurchase
agreements and other debt excludes U.S. Treasury repurchase
agreements.
|
14.
|
Average stockholders'
equity calculated as the average month-ended stockholders' equity
during the quarter.
|
15.
|
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.
|
16.
|
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.
|
17.
|
Average TBA coupon is
for the long TBA position only.
|
18.
|
Includes forward
starting swaps not yet in effect as of reported
period-end.
|
19.
|
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 October 27, 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 Q3 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 October 27, 2020. In addition, there will be a
phone recording available one hour after the call on
October 27, 2020 through November 10,
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
10148364.
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.