BETHESDA, Md., Oct. 25, 2021 /PRNewswire/ -- AGNC
Investment Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today
announced financial results for the quarter ended September 30, 2021.
THIRD QUARTER 2021 FINANCIAL HIGHLIGHTS
- $0.37 comprehensive income per
common share, comprised of:
-
- $0.35 net income per common
share
- $0.02 other comprehensive income
("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 $0.33 per common share
of dollar roll income associated with the Company's $30.3 billion average net long position in
forward purchases and sales of Agency mortgage-backed securities
("MBS") in the "to-be-announced" ("TBA") market
- Excludes less than $(0.01) per
common share of estimated "catch-up" premium amortization cost due
to change in projected constant prepayment rate ("CPR")
estimates
- $16.41 tangible net book value
per common share as of September 30,
2021
-
- Increased $0.02 per common share,
or 0.1%, from $16.39 per common share
as of June 30, 2021
- $0.36 dividends declared per
common share for the third quarter
- 2.3% economic return on tangible common equity for the
quarter
-
- Comprised of $0.36 dividends per
common share and $0.02 increase in
tangible net book value per common share
OTHER THIRD QUARTER HIGHLIGHTS
- $84.1 billion investment
portfolio as of September 30, 2021,
comprised of:
-
- $53.7 billion Agency MBS
- $28.3 billion net TBA mortgage
position
- $2.1 billion credit risk transfer
("CRT") and non-Agency securities 2
- 7.5x tangible net book value "at risk" leverage as of
September 30, 2021
-
- 7.5x 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, 2021
-
- Excludes unencumbered CRT and non-Agency securities and assets
held at the Company's broker-dealer subsidiary, Bethesda
Securities
- 22.5% portfolio CPR for the quarter
-
- 10.7% average projected portfolio CPR as of September 30, 2021
- 2.19% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization cost
-
- Excludes -1 bps of "catch-up" premium amortization cost due to
change in projected CPR estimates
___________
- 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 $0.5 billion of forward
settling non-Agency securities reported in derivative assets on the
Company's accompanying balance sheet.
MANAGEMENT REMARKS
"We are very pleased with AGNC's third quarter financial
results, which benefited from relatively stable market conditions
during the quarter," said Peter
Federico, the Company's President and Chief Executive
Officer. "Our very attractive 9% dividend yield, coupled with a
modest increase in tangible net book value in the third quarter,
drove our strong economic return of 2.3%.
"There were several positive developments during the quarter for
the Agency MBS market. Most importantly, the Federal Reserve
communicated a potential timeline for the reduction in outright
asset purchases. This guidance appears aligned with market
expectations and did not precipitate a material mortgage spread or
interest rate volatility event. Ultimately, this reaffirms our
prior view that mortgage spread volatility should be limited
because the Federal Reserve has been transparent and effective in
setting expectations. In addition, with primary mortgage rates now
well above the intra-year low point, the prepayment environment
should be more benign going forward. Greater clarity from the
Federal Reserve, moderately higher interest rates and slower
prepayment expectations create a more favorable investment outlook
for Agency MBS.
"While the investment backdrop for Agency MBS has improved,
uncertainty remains with respect to the broader economic and
interest rate landscape, particularly considering the ongoing
improvement in the labor market and increasing inflationary
pressures. We believe AGNC is well positioned for this environment
with our balanced asset portfolio, significant hedge protection and
very conservative leverage profile. Importantly, this position
gives us considerable flexibility to take advantage of attractive
investment opportunities as they arise."
"AGNC's earnings remained very strong in the third quarter with
net spread and dollar roll income totaling $0.75 per common share," said Bernice Bell, the Company's Chief Financial
Officer. "In addition, favorable short-term funding and TBA dollar
roll opportunities, coupled with stable hedge costs, drove
improvement in our net interest spread during the quarter.
Consistent with our strategy to operate with a more conservative
risk profile in the current environment, tangible 'at risk'
leverage at quarter end was 7.5x, down from 7.9x the previous
quarter."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of September 30, 2021, the
Company's tangible net book value per common share was $16.41 per share, an increase of 0.1% for the
quarter compared to $16.39 per share
as of June 30, 2021. The
Company's tangible net book value per common share excludes
$526 million, or $1.00 per share, of goodwill as of September 30, 2021 and June 30, 2021.
INVESTMENT PORTFOLIO
As of September 30, 2021, the
Company's investment portfolio totaled $84.1
billion, comprised of:
- $82.0 billion of Agency MBS and
TBA securities, including:
-
- $81.7 billion of fixed-rate
securities, comprised of:
-
- $48.2 billion 30-year MBS,
- $26.3 billion 30-year TBA
securities,
- $3.1 billion 15-year MBS,
- $2.0 billion 15-year TBA
securities, and
- $2.1 billion 20-year MBS;
and
- $0.3 billion of collateralized
mortgage obligations ("CMOs"), adjustable-rate and other Agency
securities; and
- $2.1 billion of CRT and
non-Agency securities, including $0.5
billion of forward settling non-Agency securities.
As of September 30, 2021, 30-year
and 15-year fixed-rate Agency securities represented 89% and 6%,
respectively, of the Company's investment portfolio, compared to
87% and 7%, respectively, as of June 30,
2021.
As of September 30, 2021, the
Company's fixed-rate securities' weighted average coupon was 2.86%,
compared to 2.93% as of June 30,
2021, comprised of the following weighted average
coupons:
- 2.89% for 30-year fixed-rate securities;
- 2.60% 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 September 30, 2021, the Company's TBA and forward
settling non-Agency securities position had a fair value of
$28.7 billion and a GAAP net carrying
value of $(171) million reported in
derivative assets/(liabilities) on the Company's balance sheet,
compared to $27.7 billion and
$79 million, respectively, as of
June 30, 2021.
CONSTANT PREPAYMENT RATES
The Company's investment portfolio had a weighted average CPR of
22.5% for the third quarter, compared to 25.7% for the prior
quarter. The weighted average projected CPR for the remaining life
of the Company's Agency securities held as of September 30, 2021 decreased to 10.7% from 11.6%
as of June 30, 2021.
The weighted average cost basis of the Company's investment
portfolio was 103.6% of par value as of September 30, 2021. Premium amortization cost for
the Company's investment portfolio for the third quarter was
$(106) million, or $(0.20) per common share, which includes
"catch-up" premium amortization cost of $(2)
million, or less than $(0.01)
per common share, due to an increase in the Company's projected CPR
estimates for certain securities acquired prior to the third
quarter. This compares to a net premium amortization cost for the
prior quarter of $(202) million, or
$(0.38) per common share, including a
"catch-up" premium amortization cost of $(71) million, or $(0.13) 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 2.30% for the third quarter,
compared to 1.73% for the prior quarter. Excluding "catch-up"
premium amortization, the Company's average asset yield was 2.32%
for the third quarter, compared to 2.23% 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 2.16%, compared to 2.15% for the prior quarter.
For the third quarter, the weighted average interest rate on the
Company's repurchase agreements was 0.12%, compared to 0.13% for
the prior quarter. For the third quarter, the Company's TBA
position had an implied financing benefit of (0.42)%, compared to a
benefit of (0.33)% for the prior quarter. Inclusive of
interest rate swaps, the Company's combined weighted average cost
of funds for the third quarter was a net benefit of (0.03)%,
compared to a net cost of 0.06% 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 2.19%, compared to 2.09%
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 $0.75 per common share, excluding less than
$(0.01) per common share of
"catch-up" premium amortization cost, compared to $0.76 per common share for the prior quarter,
excluding $(0.14) 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, 2021,
$45.6 billion of repurchase
agreements, $28.5 billion of net TBA
dollar roll positions and $0.5
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 $0.9 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 7.5x
as of September 30, 2021, compared to
7.9x as of June 30, 2021. The
Company's average "at risk" leverage for the third quarter was 7.5x
tangible net book value, compared to 7.6x for the prior
quarter.
As of September 30, 2021, the
Company's repurchase agreements had a weighted average interest
rate of 0.12%, compared to 0.11% as of June
30, 2021, and a weighted average remaining maturity of 70
days, compared to 54 days as of June 30,
2021. As of September 30,
2021, $19.8 billion, or 43%,
of the Company's repurchase agreements were funded through the
Company's captive broker-dealer subsidiary, Bethesda Securities,
LLC.
As of September 30, 2021, the
Company's repurchase agreements had remaining maturities of:
- $32.6 billion of three months or
less;
- $9.5 billion from three to six
months; and
- $3.5 billion from six to twelve
months.
HEDGING ACTIVITIES
As of September 30, 2021, interest
rate swaps, swaptions and U.S. Treasury positions equaled 98% of
the Company's outstanding balance of repurchase agreements, TBA
position and other debt, compared to 97% as of June 30, 2021.
As of September 30, 2021, the
Company's interest rate swap position totaled $49.7 billion in notional amount, or unchanged
from June 30, 2021. As of
September 30, 2021, the Company's
interest rate swap portfolio had an average fixed pay rate of
0.17%, an average receive rate of 0.05% and an average maturity of
4.2 years, compared to 0.18%, 0.06% and 4.4 years, respectively, as
of June 30, 2021. As of September 30, 2021, 74% and 26% of the Company's
interest rate swap portfolio were linked to the Secured Overnight
Financing Rate ("SOFR") and Overnight Index Swap Rate ("OIS"),
respectively.
As of September 30, 2021, the
Company had payer swaptions outstanding totaling $13.0 billion, compared to $11.5 billion as of June
30, 2021. As of September 30,
2021, the Company had net short U.S. Treasury positions
outstanding totaling $10.2 billion,
compared to $12.5 billion as of
June 30, 2021.
OTHER GAIN (LOSS), NET
For the third quarter, the Company recorded a net loss of
$(45) million in other gain (loss),
net, or $(0.09) per common share,
compared to a net loss of $(621)
million, or $(1.18) per common
share, for the prior quarter. Other gain (loss), net for the
third quarter was comprised of:
- $(5) million of net realized
losses on sales of investment securities;
- $(141) million of net unrealized
losses on investment securities measured at fair value through net
income;
- $(13) million of interest rate
swap periodic costs;
- $70 million of net gains on
interest rate swaps;
- $28 million of net gains on
interest rate swaptions;
- $(14) million of net losses on
U.S. Treasury positions;
- $175 million of TBA dollar roll
income;
- $(142) million of net
mark-to-market losses on TBA securities; and
- $(3) million of other
miscellaneous losses.
OTHER COMPREHENSIVE INCOME
During the third quarter, the Company recorded other
comprehensive income of $6 million,
or $0.02 per common share, consisting
of net unrealized gains on the Company's Agency securities
recognized through OCI, compared to $(77)
million, or $(0.15) per common
share, of other comprehensive loss 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 30,
August 31, and September 30, 2021, respectively, totaling
$0.36 per share for the quarter,
which were paid on August 10,
September 10, and October 12, 2021, respectively. Since its
May 2008 initial public offering
through the third quarter of 2021, the Company has declared a total
of $11.0 billion in common stock
dividends, or $43.96 per common
share.
STOCK REPURCHASE PROGRAM
On October 21, 2021, the Company's
Board of Directors replaced its existing stock repurchase plan that
was due to expire on December 31,
2021 with a new plan to repurchase up to $1 billion of common stock through December 31, 2022.
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.
|
CONSOLIDATED BALANCE
SHEETS
|
(in millions, except
per share data)
|
|
|
|
|
|
|
|
|
|
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
2021
|
|
2021
|
|
2021
|
|
2020
|
|
2020
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at
fair value (including pledged securities of
$46,741, $49,686, $56,343, $53,698 and $55,711,
respectively)
|
$
53,517
|
|
$
57,896
|
|
$
63,286
|
|
$
64,836
|
|
$
66,556
|
Agency securities
transferred to consolidated variable interest
entities, at fair value (pledged securities)
|
226
|
|
245
|
|
270
|
|
295
|
|
323
|
Credit risk transfer
securities, at fair value (including pledged securities of
$534, $502, $406, $455 and $413, respectively)
|
1,072
|
|
1,105
|
|
1,073
|
|
737
|
|
653
|
Non-Agency securities,
at fair value (including pledged securities of
$380, $377, $414, $458 and $455, respectively)
|
578
|
|
553
|
|
868
|
|
546
|
|
512
|
U.S. Treasury
securities, at fair value (including pledged securities of
$645, $397, $0, $0 and $0, respectively)
|
645
|
|
397
|
|
-
|
|
-
|
|
-
|
Cash and cash
equivalents
|
981
|
|
947
|
|
963
|
|
1,017
|
|
857
|
Restricted
cash
|
464
|
|
623
|
|
813
|
|
1,307
|
|
1,557
|
Derivative assets, at
fair value
|
402
|
|
381
|
|
698
|
|
391
|
|
130
|
Receivable for
investment securities sold (including pledged securities of
$252, $147, $0, $207 and $10, respectively)
|
272
|
|
147
|
|
50
|
|
210
|
|
10
|
Receivable under
reverse repurchase agreements
|
9,617
|
|
11,979
|
|
16,803
|
|
11,748
|
|
8,625
|
Goodwill
|
526
|
|
526
|
|
526
|
|
526
|
|
526
|
Other
assets
|
505
|
|
256
|
|
195
|
|
204
|
|
219
|
Total
assets
|
$
68,805
|
|
$
75,055
|
|
$
85,545
|
|
$
81,817
|
|
$
79,968
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
46,532
|
|
$
48,737
|
|
$
55,056
|
|
$
52,366
|
|
$
54,566
|
Debt of consolidated
variable interest entities, at fair value
|
134
|
|
148
|
|
165
|
|
177
|
|
192
|
Payable for investment
securities purchased
|
1,821
|
|
3,697
|
|
2,512
|
|
6,157
|
|
5,887
|
Derivative
liabilities, at fair value
|
178
|
|
14
|
|
589
|
|
2
|
|
13
|
Dividends
payable
|
88
|
|
88
|
|
88
|
|
90
|
|
90
|
Obligation to return
securities borrowed under reverse repurchase agreements, at fair
value
|
8,896
|
|
10,920
|
|
15,090
|
|
11,727
|
|
8,372
|
Accounts payable and
other liabilities
|
477
|
|
783
|
|
681
|
|
219
|
|
128
|
Total
liabilities
|
58,126
|
|
64,387
|
|
74,181
|
|
70,738
|
|
69,248
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred Stock -
aggregate liquidation preference of $1,538
|
1,489
|
|
1,489
|
|
1,489
|
|
1,489
|
|
1,489
|
Common stock - $0.01
par value; 524.9, 524.9, 524.9, 539.5 and
545.2 shares issued and outstanding, respectively
|
5
|
|
5
|
|
5
|
|
5
|
|
5
|
Additional paid-in
capital
|
13,747
|
|
13,741
|
|
13,736
|
|
13,972
|
|
14,053
|
Retained
deficit
|
(4,973)
|
|
(4,972)
|
|
(4,348)
|
|
(5,106)
|
|
(5,661)
|
Accumulated other
comprehensive income
|
411
|
|
405
|
|
482
|
|
719
|
|
834
|
Total stockholders'
equity
|
10,679
|
|
10,668
|
|
11,364
|
|
11,079
|
|
10,720
|
Total liabilities and
stockholders' equity
|
$
68,805
|
|
$
75,055
|
|
$
85,545
|
|
$
81,817
|
|
$
79,968
|
|
|
|
|
|
|
|
|
|
|
Tangible net book
value per common share 1
|
$
16.41
|
|
$
16.39
|
|
$
17.72
|
|
$
16.71
|
|
$
15.88
|
AGNC INVESTMENT
CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
2021
|
|
2021
|
|
2021
|
|
2020
|
|
2020
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
293
|
|
$
249
|
|
$
557
|
|
$
235
|
|
$
364
|
Interest
expense
|
14
|
|
17
|
|
29
|
|
52
|
|
62
|
Net interest
income
|
279
|
|
232
|
|
528
|
|
183
|
|
302
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized gain (loss)
on sale of investment securities, net
|
(5)
|
|
25
|
|
(13)
|
|
133
|
|
346
|
Unrealized loss on
investment securities measured at fair value through net income,
net
|
(141)
|
|
(28)
|
|
(955)
|
|
(192)
|
|
(365)
|
Gain (loss) on
derivative instruments and other securities, net
|
101
|
|
(618)
|
|
1,439
|
|
676
|
|
400
|
Total other gain
(loss), net
|
(45)
|
|
(621)
|
|
471
|
|
617
|
|
381
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
14
|
|
12
|
|
16
|
|
17
|
|
13
|
Other operating
expense
|
8
|
|
10
|
|
8
|
|
8
|
|
8
|
Total operating
expense
|
22
|
|
22
|
|
24
|
|
25
|
|
21
|
Net income
(loss)
|
212
|
|
(411)
|
|
975
|
|
775
|
|
662
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
25
|
Net income (loss)
available (attributable) to common stockholders
|
$
187
|
|
$
(436)
|
|
$
950
|
|
$
750
|
|
$
637
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
212
|
|
$
(411)
|
|
$
975
|
|
$
775
|
|
$
662
|
Unrealized gain (loss)
on investment securities measured at fair value
through other comprehensive income (loss), net
|
6
|
|
(77)
|
|
(237)
|
|
(115)
|
|
70
|
Comprehensive
income (loss)
|
218
|
|
(488)
|
|
738
|
|
660
|
|
732
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
25
|
Comprehensive
income (loss) available (attributable) to common
stockholders
|
$
193
|
|
$
(513)
|
|
$
713
|
|
$
635
|
|
$
707
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
526.7
|
|
526.6
|
|
533.7
|
|
544.8
|
|
553.2
|
Weighted average
number of common shares outstanding - diluted
|
528.6
|
|
526.6
|
|
535.6
|
|
546.4
|
|
554.3
|
Net income (loss)
per common share - basic
|
$
0.36
|
|
$ (0.83)
|
|
$
1.78
|
|
$
1.38
|
|
$
1.15
|
Net income (loss)
per common share - diluted
|
$
0.35
|
|
$ (0.83)
|
|
$
1.77
|
|
$
1.37
|
|
$
1.15
|
Comprehensive
income (loss) per common share - basic
|
$
0.37
|
|
$ (0.97)
|
|
$
1.34
|
|
$
1.17
|
|
$
1.28
|
Comprehensive
income (loss) per common share - diluted
|
$
0.37
|
|
$ (0.97)
|
|
$
1.33
|
|
$
1.16
|
|
$
1.28
|
Dividends declared
per common share
|
$
0.36
|
|
$
0.36
|
|
$
0.36
|
|
$
0.36
|
|
$
0.36
|
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,
|
|
2021
|
|
2021
|
|
2021
|
|
2020
|
|
2020
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
293
|
|
$
249
|
|
$
557
|
|
$
235
|
|
$
364
|
Interest
expense
|
14
|
|
17
|
|
29
|
|
52
|
|
62
|
GAAP net interest
income
|
279
|
|
232
|
|
528
|
|
183
|
|
302
|
TBA dollar roll
income, net 3,4
|
175
|
|
162
|
|
154
|
|
176
|
|
155
|
Interest rate swap
periodic cost, net 3,8
|
(13)
|
|
(19)
|
|
(12)
|
|
(7)
|
|
(13)
|
Adjusted net interest
and dollar roll income
|
441
|
|
375
|
|
670
|
|
352
|
|
444
|
Operating
expense
|
(22)
|
|
(22)
|
|
(24)
|
|
(25)
|
|
(21)
|
Net spread and dollar
roll income
|
419
|
|
353
|
|
646
|
|
327
|
|
423
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
25
|
Net spread and dollar
roll income available to common stockholders
|
394
|
|
328
|
|
621
|
|
302
|
|
398
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in
CPR forecast 11
|
2
|
|
71
|
|
(213)
|
|
107
|
|
50
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, available to common stockholders
|
$
396
|
|
$
399
|
|
$
408
|
|
$
409
|
|
$
448
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
526.7
|
|
526.6
|
|
533.7
|
|
544.8
|
|
553.2
|
Weighted average
number of common shares outstanding - diluted
|
528.6
|
|
528.3
|
|
535.6
|
|
546.4
|
|
554.3
|
Net spread and dollar
roll income per common share - basic
|
$
0.75
|
|
$
0.62
|
|
$
1.16
|
|
$
0.55
|
|
$
0.72
|
Net spread and dollar
roll income per common share - diluted
|
$
0.75
|
|
$
0.62
|
|
$
1.16
|
|
$
0.55
|
|
$
0.72
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - basic
|
$
0.75
|
|
$
0.76
|
|
$
0.76
|
|
$
0.75
|
|
$
0.81
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - diluted
|
$
0.75
|
|
$
0.76
|
|
$
0.76
|
|
$
0.75
|
|
$
0.81
|
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,
|
|
2021
|
|
2021
|
|
2021
|
|
2020
|
|
2020
|
Net
income/(loss)
|
$
212
|
|
$
(411)
|
|
$
975
|
|
$
775
|
|
$
662
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
(45)
|
|
1
|
|
(269)
|
|
44
|
|
(11)
|
Realized gain/loss,
net
|
(342)
|
|
43
|
|
(1,494)
|
|
(548)
|
|
(472)
|
Net capital
loss/(utilization of net capital loss carryforward)
|
(141)
|
|
52
|
|
89
|
|
-
|
|
-
|
Unrealized
(gain)/loss, net
|
358
|
|
152
|
|
545
|
|
(121)
|
|
354
|
Other
|
3
|
|
5
|
|
(10)
|
|
5
|
|
-
|
Total book to tax
differences
|
(167)
|
|
253
|
|
(1,139)
|
|
(620)
|
|
(129)
|
REIT taxable income
(loss)
|
45
|
|
(158)
|
|
(164)
|
|
155
|
|
533
|
REIT taxable income
attributed to preferred stock
|
-
|
|
-
|
|
-
|
|
25
|
|
25
|
REIT taxable income
(loss), attributed to common stock
|
$
45
|
|
$
(158)
|
|
$
(164)
|
|
$
130
|
|
$
508
|
Weighted average
common shares outstanding - basic
|
526.7
|
|
526.6
|
|
533.7
|
|
544.8
|
|
553.2
|
Weighted average
common shares outstanding - diluted
|
528.6
|
|
526.6
|
|
533.7
|
|
546.4
|
|
554.3
|
REIT taxable income
(loss) per common share - basic
|
$
0.09
|
|
$ (0.30)
|
|
$
(0.31)
|
|
$
0.24
|
|
$
0.92
|
REIT taxable income
(loss) per common share - diluted
|
$
0.09
|
|
$ (0.30)
|
|
$
(0.31)
|
|
$
0.24
|
|
$
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
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
2021
|
|
2021
|
|
2021
|
|
2020
|
|
2020
|
Adjusted net
interest and dollar roll income, excluding "catch-up"
premium amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment securities
- GAAP interest income 12
|
$
293
|
|
$
249
|
|
$
557
|
|
$
235
|
|
$
364
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in
CPR forecast 11
|
2
|
|
71
|
|
(213)
|
|
107
|
|
50
|
TBA dollar roll income
- implied interest income 3,6
|
142
|
|
139
|
|
116
|
|
129
|
|
114
|
Economic interest
income, excluding "catch-up" premium amortization
|
437
|
|
459
|
|
460
|
|
471
|
|
528
|
Economic interest
benefit (expense):
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - GAAP interest expense
|
(14)
|
|
(17)
|
|
(29)
|
|
(52)
|
|
(62)
|
TBA dollar roll income
- implied interest benefit (expense) 3,5
|
33
|
|
23
|
|
38
|
|
47
|
|
41
|
Interest rate swap
periodic cost, net 3,8
|
(13)
|
|
(19)
|
|
(12)
|
|
(7)
|
|
(13)
|
Economic interest
benefit (expense)
|
6
|
|
(13)
|
|
(3)
|
|
(12)
|
|
(34)
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
443
|
|
$
446
|
|
$
457
|
|
$
459
|
|
$
494
|
|
|
|
|
|
|
|
|
|
|
Net interest
spread, excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities
- average asset yield
|
2.30%
|
|
1.73%
|
|
3.78%
|
|
1.64%
|
|
2.28%
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in
CPR forecast
|
0.02%
|
|
0.50%
|
|
(1.45)%
|
|
0.75%
|
|
0.31%
|
Investment securities
average asset yield, excluding "catch-up" premium
amortization
|
2.32%
|
|
2.23%
|
|
2.33%
|
|
2.39%
|
|
2.59%
|
TBA securities -
average implied asset yield 6
|
1.88%
|
|
1.98%
|
|
1.44%
|
|
1.53%
|
|
1.64%
|
Average asset yield,
excluding "catch-up" premium amortization 7
|
2.16%
|
|
2.15%
|
|
2.02%
|
|
2.07%
|
|
2.30%
|
Average total cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - average funding cost
|
0.12%
|
|
0.13%
|
|
0.21%
|
|
0.38%
|
|
0.40%
|
TBA securities -
average implied funding (benefit) cost 5
|
(0.42)%
|
|
(0.33)%
|
|
(0.48)%
|
|
(0.54)%
|
|
(0.58)%
|
Average cost of funds,
before interest rate swap periodic cost, net
7
|
(0.10)%
|
|
(0.03)%
|
|
(0.04)%
|
|
0.02%
|
|
0.09%
|
Interest rate swap
periodic cost, net 10
|
0.07%
|
|
0.09%
|
|
0.06%
|
|
0.03%
|
|
0.06%
|
Average total cost of
funds 9
|
(0.03)%
|
|
0.06%
|
|
0.02%
|
|
0.05%
|
|
0.15%
|
Average net interest
spread, excluding "catch-up" premium amortization
|
2.19%
|
|
2.09%
|
|
2.00%
|
|
2.02%
|
|
2.15%
|
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,
|
2021
|
|
2021
|
|
2021
|
|
2020
|
|
2020
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency MBS,
at fair value - as of period end
|
$
53,395
|
|
$ 57,757
|
|
$ 63,122
|
|
$
64,615
|
|
$
66,278
|
Other Agency MBS, at
fair value - as of period end
|
$
348
|
|
$
384
|
|
$
434
|
|
$
516
|
|
$
601
|
Credit risk transfer
securities, at fair value - as of period end
|
$
1,072
|
|
$
1,105
|
|
$
1,073
|
|
$
737
|
|
$
653
|
Non-Agency MBS, at
fair value - as of period end
|
$
578
|
|
$
553
|
|
$
868
|
|
$
546
|
|
$
512
|
Total investment
securities, at fair value - as of period end
|
$
55,393
|
|
$ 59,799
|
|
$ 65,497
|
|
$
66,414
|
|
$
68,044
|
Total investment
securities, at cost - as of period end
|
$
54,112
|
|
$ 58,379
|
|
$ 63,975
|
|
$
63,701
|
|
$
65,024
|
Total investment
securities, at par - as of period end
|
$
52,223
|
|
$ 56,309
|
|
$ 61,454
|
|
$
61,270
|
|
$
62,449
|
Average investment
securities, at cost
|
$
50,866
|
|
$ 57,420
|
|
$ 58,948
|
|
$
57,194
|
|
$
63,893
|
Average investment
securities, at par
|
$
49,077
|
|
$ 55,246
|
|
$ 56,641
|
|
$
54,983
|
|
$
61,398
|
TBA securities:
20
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio - as
of period end, at fair value
|
$
28,741
|
|
$ 27,689
|
|
$ 24,779
|
|
$
31,479
|
|
$
29,536
|
Net TBA portfolio - as
of period end, at cost
|
$
28,912
|
|
$ 27,611
|
|
$ 25,355
|
|
$
31,204
|
|
$
29,460
|
Net TBA portfolio - as
of period end, carrying value
|
$
(171)
|
|
$
79
|
|
$
(576)
|
|
$
275
|
|
$
76
|
Average net TBA
portfolio, at cost
|
$
30,312
|
|
$ 28,082
|
|
$ 32,022
|
|
$
33,753
|
|
$
27,785
|
Average repurchase
agreements and other debt 13
|
$
45,847
|
|
$ 52,374
|
|
$ 54,602
|
|
$
53,645
|
|
$
61,008
|
Average stockholders'
equity 14
|
$
10,638
|
|
$ 11,103
|
|
$ 11,312
|
|
$
10,918
|
|
$
10,527
|
Tangible net book
value per common share 1
|
$
16.41
|
|
$
16.39
|
|
$
17.72
|
|
$
16.71
|
|
$
15.88
|
Tangible net book
value "at risk" leverage - average 15
|
7.5:1
|
|
7.6:1
|
|
8.0:1
|
|
8.4:1
|
|
8.9:1
|
Tangible net book
value "at risk" leverage - as of period end
16
|
7.5:1
|
|
7.9:1
|
|
7.7:1
|
|
8.5:1
|
|
8.8:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.25%
|
|
3.28%
|
|
3.40%
|
|
3.64%
|
|
3.73%
|
Average asset
yield
|
2.30%
|
|
1.73%
|
|
3.78%
|
|
1.64%
|
|
2.28%
|
Average asset yield,
excluding "catch-up" premium amortization
|
2.32%
|
|
2.23%
|
|
2.33%
|
|
2.39%
|
|
2.59%
|
Average coupon - as of
period end
|
3.15%
|
|
3.19%
|
|
3.23%
|
|
3.39%
|
|
3.59%
|
Average asset yield -
as of period end
|
2.48%
|
|
2.42%
|
|
2.39%
|
|
2.33%
|
|
2.56%
|
Average actual CPR for
securities held during the period
|
22.5%
|
|
25.7%
|
|
24.6%
|
|
27.6%
|
|
24.3%
|
Average forecasted CPR
- as of period end
|
10.7%
|
|
11.6%
|
|
11.3%
|
|
17.6%
|
|
15.9%
|
Total premium
amortization (cost) benefit, net
|
$
(106)
|
|
$
(202)
|
|
$
77
|
|
$
(266)
|
|
$
(209)
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Average coupon - as of
period end 17
|
2.41%
|
|
2.50%
|
|
2.35%
|
|
1.98%
|
|
2.06%
|
Average implied asset
yield 6
|
1.88%
|
|
1.98%
|
|
1.44%
|
|
1.53%
|
|
1.64%
|
Combined investment
and TBA securities - average asset yield, excluding "catch-up"
premium amortization 7
|
2.16%
|
|
2.15%
|
|
2.02%
|
|
2.07%
|
|
2.30%
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
- average funding cost
|
0.12%
|
|
0.13%
|
|
0.21%
|
|
0.38%
|
|
0.40%
|
TBA securities -
average implied funding cost (benefit) 5
|
(0.42)%
|
|
(0.33)%
|
|
(0.48)%
|
|
(0.54)%
|
|
(0.58)%
|
Interest rate swaps -
average periodic expense, net 10
|
0.07%
|
|
0.09%
|
|
0.06%
|
|
0.03%
|
|
0.06%
|
Average total cost of
funds, inclusive of TBAs and interest rate swap
periodic expense, net 7,9
|
(0.03)%
|
|
0.06%
|
|
0.02%
|
|
0.05%
|
|
0.15%
|
Repurchase agreements
- average funding cost as of period end
|
0.12%
|
|
0.11%
|
|
0.15%
|
|
0.24%
|
|
0.37%
|
Interest rate swaps -
average net pay/(receive) rate as of period end
18
|
0.12%
|
|
0.12%
|
|
0.16%
|
|
0.07%
|
|
0.07%
|
Net interest
spread:
|
|
|
|
|
|
|
|
|
|
Combined investment
and TBA securities average net interest spread
|
2.17%
|
|
1.75%
|
|
2.95%
|
|
1.55%
|
|
1.94%
|
Combined investment
and TBA securities average net interest spread, excluding
"catch-up"
premium amortization
|
2.19%
|
|
2.09%
|
|
2.00%
|
|
2.02%
|
|
2.15%
|
Expenses % of average
stockholders' equity - annualized
|
0.83%
|
|
0.79%
|
|
0.85%
|
|
0.92%
|
|
0.80%
|
Economic return
(loss) on tangible common equity - unannualized
19
|
2.3%
|
|
(5.5)%
|
|
8.2%
|
|
7.5%
|
|
8.8%
|
*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 October 26, 2021 at
8:30 am ET. Interested persons
who do not plan on asking a question and have internet access are
encouraged to utilize the free webcast at
www.AGNC.com. Those who plan on participating in the
Q&A or do not have internet available may access the call by
dialing (877) 300-5922 (U.S. domestic) or (412) 902-6621
(international). Please advise the operator you are dialing in for
the AGNC Investment Corp. stockholder call.
A slide presentation will accompany the call and will be
available at www.AGNC.com. Select the Q3 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 October 26, 2021. In addition, there will be a
phone recording available one hour after the call on
October 26, 2021 through November 9,
2021. Those who are interested in hearing the recording of
the presentation, can access it by dialing (877) 344-7529 (U.S.
domestic) or (412) 317-0088 (international), passcode 10160332.
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 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 conditions, market conditions, conditions in the
market for Agency securities, any of which may be materially
impacted by changes in the Federal Reserve's bond buying program or
other monetary policy changes, 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
View original
content:https://www.prnewswire.com/news-releases/agnc-investment-corp-announces-third-quarter-2021-financial-results-301407847.html
SOURCE AGNC Investment Corp.