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Share Name | Share Symbol | Market | Type |
---|---|---|---|
AGNC Investment Corporation | NASDAQ:AGNC | NASDAQ | Common Stock |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.0197 | 0.20% | 10.0197 | 10.00 | 10.02 | 10.03 | 9.98 | 10.00 | 8,343,152 | 23:03:50 |
BETHESDA, Md., Oct. 24, 2016 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today announced financial results for quarter ended September 30, 2016.
THIRD QUARTER 2016 FINANCIAL HIGHLIGHTS
OTHER THIRD QUARTER HIGHLIGHTS
___________
MANAGEMENT REMARKS
"AGNC generated an outstanding 22.4% annualized economic return on common equity in the third quarter, marking the fourth quarter in a row of positive economic returns for our stockholders," said Gary Kain, the Company's Chief Executive Officer, President and Chief Investment Officer. "Importantly, our financial performance in the third quarter reflects, for the first time, the recent internalization of our management, which significantly reduced our ongoing operating expenses. The reduction in our cost structure is a material and durable benefit for our stockholders and was the main driver of the improvement in our net spread and dollar roll income during the quarter. Moreover, AGNC is now positioned to be the lowest-cost provider within the residential mortgage REIT industry, which we believe is a substantial and lasting competitive advantage. In addition, the significant improvement we have seen in the funding environment should serve as a solid tailwind to our business.
"We also acquired our first GSE credit risk transfer securities in the third quarter, consistent with the broadening of our investment guidelines that we announced in September. We view the opportunity to invest in conforming mortgage credit, previously the exclusive purview of the GSEs, as a natural complement to our agency MBS holdings.
"All in all, we believe AGNC's track record of industry-leading performance, low operating cost structure, prudent risk management, stockholder-friendly practices, liquidity and scale due to its size, and alignment of management and stockholder interests provide a very compelling value proposition for our stockholders."
NET BOOK VALUE
As of September 30, 2016, the Company's net book value per common share was $22.91, an increase of $0.69 per common share, or 3.1%, from its June 30, 2016 net book value per common share of $22.22. The increase in the Company's net book value per common share was primarily due to interest rate hedges outperforming agency MBS during the quarter.
As of September 30, 2016, the Company's tangible net book value per common share was $21.23. Tangible net book value per common share excludes goodwill and other intangible assets recognized by the Company in connection with the acquisition of AMM and the internalization of the Company's management on July 1, 2016.
INVESTMENT PORTFOLIO
As of September 30, 2016, the Company's investment portfolio totaled $62.9 billion, comprised of:
As of September 30, 2016, inclusive of TBA securities, ≤ 15-year and 30 year fixed rate securities represented 26% and 70% of the Company's investment portfolio, respectively, largely unchanged from 26% and 69%, respectively, as of June 30, 2016.
As of September 30, 2016, the Company's fixed-rate securities, inclusive of TBA securities, had a weighted average coupon of 3.46%, compared to 3.50% as of June 30, 2016, comprised of the following weighted average coupons:
The Company accounts for its TBA mortgage portfolio (also referred to as "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, 2016, the Company's net TBA position had a total fair value and a total cost basis of $15.6 billion and $15.5 billion, respectively, and a net carrying value of $46 million reported in derivative assets/(liabilities) on the Company's balance sheet, compared to a total fair value and a total cost basis of $7.1 billion and $7.0 billion, respectively, and a net carrying value of $97 million as of June 30, 2016.
CONSTANT PREPAYMENT RATES
The Company's investment portfolio had a weighted average CPR of 14.3% for the third quarter, compared to 11.8% for the prior quarter. The weighted average projected CPR for the remaining life of the Company's agency securities held as of September 30, 2016 was 10.6%, a decrease from 10.8% as of June 30, 2016, largely due to changes in portfolio composition.
The weighted average cost basis of the Company's investment portfolio was 104.7% of par value as of September 30, 2016. Net premium amortization cost on the Company's investment portfolio for the third quarter was $(110) million, or $(0.33) per common share, including "catch-up" premium amortization cost of $(8) million, or $(0.02) 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 $(134) million, or $(0.40) per common share, including a "catch-up" premium amortization cost of $(32) million, or $(0.10) per common share. The net unamortized premium balance as of September 30, 2016 was $2.1 billion.
The Company amortizes or accretes premiums and discounts associated with purchases of agency securities into interest income using the effective yield method over the estimated life of such securities, incorporating both actual repayments to date and projected repayments over the remaining life of the security. Faster actual or projected repayments can have a meaningful negative impact on the Company's asset yields, while slower actual or projected repayments can have a meaningful positive impact.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
The Company's average asset yield on its investment portfolio, excluding the net TBA position, (also referred to as "balance sheet funded assets") was 2.60% for the third quarter, an increase from 2.46% for the prior quarter. Excluding "catch-up" premium amortization cost, the Company's average asset yield was 2.66% for the third quarter, compared to 2.70% for the prior quarter.
For the third quarter, the Company's average cost of funds was 1.32%, a decrease from 1.46% for the prior quarter, largely due to a decline in interest rate swap costs, partially offset by modestly higher repo funding costs. The Company's average cost of funds includes the cost of agency repurchase agreements ("agency repo"), Federal Home Loan Bank ("FHLB") advances, debt of consolidated variable interest entities ("other debt") and interest rate swaps (including interest rate swaps used to hedge the Company's dollar roll funded assets) measured against the Company's daily weighted average agency repo, FHLB advances and other debt balance outstanding.
The Company's combined annualized net interest rate spread on its balance sheet and dollar roll funded assets for the quarter was 1.42%, compared to 1.16% for the prior quarter. Excluding "catch-up" premium amortization cost, the Company's combined annualized net interest rate spread on its balance sheet and dollar roll funded assets for the quarter was 1.47%, compared to 1.38% for the prior quarter.
On a per share basis, the Company recognized $0.62 per common share of net spread and dollar roll income (a non-GAAP financial measure) for the third quarter, compared to $0.46 for the prior quarter. Excluding "catch-up" premium amortization cost, the Company's net spread and dollar roll income was $0.64 per common share for the third quarter, an increase from $0.56 for the prior quarter, benefiting from lower operating costs due to the Company's management internalization and a lower average cost of funds.
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, 2016, $37.6 billion of agency repo, $3.0 billion of FHLB advances and $0.5 billion of other debt were used to fund the Company's investment portfolio. The remainder, or approximately $45 million, of the Company's repurchase agreements, was used to fund purchases of U.S. Treasury securities ("U.S. Treasury repo") and is not included in the Company's leverage measurements. Inclusive of its net TBA position and net payable/(receivable) for unsettled securities, the Company's tangible net book value "at risk" leverage ratio was 7.7x as of September 30, 2016, unchanged from its pro-forma tangible net book value "at risk" leverage ratio as of June 30, 2016 adjusted for the effect of the completed AMM acquisition on July 1, 2016.
As of September 30, 2016, the Company's agency repurchase agreements had a weighted average interest rate of 0.83%, an increase from 0.78% as of June 30, 2016, and a weighted average remaining days to maturity of 199 days, a decrease from 202 days as of June 30, 2016.
As of September 30, 2016, the Company's agency repurchase agreements had remaining maturities of:
As of September 30, 2016, the Company's FHLB advances had a weighted average interest rate of 0.63% and a weighted average remaining maturity of 123 days through to the termination of the Company's captive subsidiary's FHLB membership in February 2017.
HEDGING ACTIVITIES
As of September 30, 2016, 75% of the Company's outstanding balance of repurchase agreements, FHLB advances, other debt and net TBA position was hedged with interest rate swaps, swaptions and net U.S. Treasury positions, a decrease from 79% as of June 30, 2016.
As of September 30, 2016, the Company's interest rate swap position totaled $34.2 billion in notional amount, compared to $35.1 billion as of June 30, 2016. The Company's interest rate swap position as of September 30, 2016 included $2.2 billion of forward starting swaps, with an average forward start date of 0.5 years and an average remaining maturity of 6.8 years, compared to $2.7 billion, 0.7 years and 7.1 years, respectively, as of June 30, 2016.
Excluding forward starting swaps, the Company's interest rate swap portfolio had an average fixed pay rate of 1.40% and an average receive rate of 0.78% as of September 30, 2016, compared to 1.51% and 0.64%, respectively, as of June 30, 2016. Including forward starting swaps, the Company's interest rate swap portfolio had an average fixed pay rate of 1.52% and an average maturity of 3.5 years as of September 30, 2016, compared to 1.64% and 4.0 years, respectively, as of June 30, 2016.
The Company also utilizes payer swaptions and long and short positions in U.S. Treasury securities and U.S. Treasury futures to mitigate exposure to changes in interest rates. As of September 30, 2016, the Company had payer swaptions outstanding totaling $0.7 billion, compared to $1.1 billion as of June 30, 2016, and a net short U.S. Treasury position outstanding of $7.9 billion, compared to $5.5 billion as of June 30, 2016.
OTHER GAIN (LOSS), NET
For the third quarter, the Company recorded a net gain of $307 million in other gain (loss), net, or $0.93 per common share, compared to a net loss of $(312) million, or $(0.94) per common share, for the prior quarter. Other gain (loss), net for the third quarter was comprised of:
OTHER COMPREHENSIVE LOSS
During the third quarter, the Company recorded other comprehensive loss of $(90) million, or $(0.27) per common share, primarily consisting of unrealized losses on the Company's agency securities, compared to $382 million, or $1.16 per common share, of other comprehensive income for the prior quarter.
THIRD QUARTER 2016 DIVIDEND DECLARATIONS
During the third quarter, the Company's Board of Directors declared dividends of $0.20, $0.18 and $0.18 per share to common stockholders of record as of July 29, August 31 and September 30, 2016, respectively, totaling $0.56 for the quarter, which were paid on August 8, September 9 and October 7, 2016, respectively. Since its May 2008 initial public offering through the third quarter of 2016, the Company has declared a total of $6.6 billion in common stock dividends, or $34.46 per common share.
On September 16, 2016, the Company's Board of Directors declared a third quarter dividend on its 8.000% Series A Cumulative Redeemable Preferred Stock of $0.50 per share and on its 7.750% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock") underlying its outstanding depositary shares of $0.484375 per depositary share. Each depositary share represents a 1/1,000th interest in a share of the Series B Preferred Stock. The dividends were paid on October 17, 2016 to preferred stockholders of record as of October 1, 2016.
STOCK REPURCHASE PROGRAM
The Company also announced that its Board of Directors has terminated the Company's existing stock repurchase plan that was due to expire December 31, 2016, and replaced it with a new stock repurchase plan. Under the new stock repurchase plan, the Company is authorized to repurchase up to $1 billion of its outstanding shares of common stock through December 31, 2017. 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 and Exchange Act of 1934, as amended. The Company intends to only repurchase shares under the new stock repurchase plan when the repurchase price is less than its estimate of its current 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, and estimated taxable income, 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, | |||||
2016 |
2016 |
2016 |
2015 |
2015 | |||||
(unaudited) |
(unaudited) |
(unaudited) |
(unaudited) | ||||||
Assets: |
|||||||||
Agency securities, at fair value (including pledged securities of |
$ 46,328 |
$ 53,418 |
$ 54,950 |
$ 51,331 |
$ 53,729 | ||||
Agency securities transferred to consolidated variable interest |
890 |
945 |
993 |
1,029 |
1,088 | ||||
Non-agency securities, at fair value (pledged securities) |
102 |
107 |
112 |
113 |
- | ||||
Credit risk transfer securities, at fair value |
36 |
- |
- |
- |
- | ||||
U.S. Treasury securities, at fair value (including pledged securities |
45 |
62 |
- |
25 |
787 | ||||
REIT equity securities, at fair value |
- |
19 |
38 |
33 |
34 | ||||
Cash and cash equivalents |
1,254 |
1,131 |
1,109 |
1,110 |
1,505 | ||||
Restricted cash |
681 |
1,399 |
1,686 |
1,281 |
1,413 | ||||
Derivative assets, at fair value |
61 |
111 |
55 |
81 |
143 | ||||
Receivable for securities sold (pledged securities) |
228 |
- |
- |
- |
147 | ||||
Receivable under reverse repurchase agreements |
5,441 |
2,982 |
3,163 |
1,713 |
1,463 | ||||
Goodwill and other intangible assets, net |
555 |
- |
- |
- |
- | ||||
Other assets |
268 |
301 |
290 |
305 |
300 | ||||
Total assets |
$ 55,889 |
$ 60,475 |
$ 62,396 |
$ 57,021 |
$ 60,609 | ||||
Liabilities: |
|||||||||
Repurchase agreements |
$ 37,668 |
$ 41,947 |
$ 45,276 |
$ 41,754 |
$ 41,014 | ||||
Federal Home Loan Bank advances |
3,037 |
3,037 |
3,037 |
3,753 |
3,502 | ||||
Debt of consolidated variable interest entities, at fair value |
494 |
528 |
562 |
595 |
626 | ||||
Payable for securities purchased |
251 |
2,581 |
889 |
182 |
4,178 | ||||
Derivative liabilities, at fair value |
947 |
1,519 |
1,652 |
935 |
1,536 | ||||
Dividends payable |
66 |
73 |
73 |
74 |
76 | ||||
Obligation to return securities borrowed under reverse |
5,424 |
3,017 |
3,175 |
1,696 |
1,309 | ||||
Accounts payable and other accrued liabilities |
71 |
71 |
72 |
61 |
52 | ||||
Total liabilities |
47,958 |
52,773 |
54,736 |
49,050 |
52,293 | ||||
Stockholders' equity: |
|||||||||
Preferred stock - aggregate liquidation preference of $348 |
336 |
336 |
336 |
336 |
336 | ||||
Common stock - $0.01 par value; 600.0 shares authorized; |
|||||||||
331.0, 331.0, 331.0, 337.5 and 346.5 shares issued and outstanding, |
3 |
3 |
3 |
3 |
3 | ||||
Additional paid-in capital |
9,932 |
9,932 |
9,932 |
10,048 |
10,209 | ||||
Retained deficit |
(3,350) |
(3,669) |
(3,329) |
(2,350) |
(2,727) | ||||
Accumulated other comprehensive income (loss) |
1,010 |
1,100 |
718 |
(66) |
495 | ||||
Total stockholders' equity |
7,931 |
7,702 |
7,660 |
7,971 |
8,316 | ||||
Total liabilities and stockholders' equity |
$ 55,889 |
$ 60,475 |
$ 62,396 |
$ 57,021 |
$ 60,609 | ||||
Net book value per common share |
$ 22.91 |
$ 22.22 |
$ 22.09 |
$ 22.59 |
$ 23.00 | ||||
Tangible net book value per common share |
$ 21.23 |
N/A |
N/A |
N/A |
N/A |
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, | ||||||
2016 |
2016 |
2016 |
2015 |
2015 | ||||||
Interest income: |
||||||||||
Interest income |
$ 315 |
$ 318 |
$ 295 |
$ 374 |
$ 295 | |||||
Interest expense 1 |
96 |
101 |
99 |
86 |
77 | |||||
Net interest income |
219 |
217 |
196 |
288 |
218 | |||||
Other gain (loss), net: |
||||||||||
Gain (loss) on sale of agency securities, net |
61 |
55 |
(2) |
2 |
(39) | |||||
Gain (loss) on derivative instruments and other securities, net 1 |
242 |
(367) |
(933) |
331 |
(778) | |||||
Management fee income |
4 |
- |
- |
- |
- | |||||
Total other gain (loss), net |
307 |
(312) |
(935) |
333 |
(817) | |||||
Expenses: |
||||||||||
Management fee expense |
- |
25 |
27 |
28 |
29 | |||||
Compensation and benefits |
9 |
- |
- |
- |
- | |||||
Other operating expenses |
6 |
15 |
6 |
5 |
5 | |||||
Total operating expenses |
15 |
40 |
33 |
33 |
34 | |||||
Net income (loss) |
511 |
(135) |
(772) |
588 |
(633) | |||||
Dividend on preferred stock |
7 |
7 |
7 |
7 |
7 | |||||
Net income (loss) available (attributable) to common stockholders |
$ 504 |
$ (142) |
$ (779) |
$ 581 |
$ (640) | |||||
Net income (loss) |
$ 511 |
$ (135) |
$ (772) |
$ 588 |
$ (633) | |||||
Other comprehensive income (loss): |
||||||||||
Unrealized gain (loss) on available-for-sale securities, net |
(97) |
370 |
765 |
(583) |
467 | |||||
Unrealized gain on derivative instruments, net 1 |
7 |
12 |
19 |
22 |
24 | |||||
Other comprehensive income (loss) |
(90) |
382 |
784 |
(561) |
491 | |||||
Comprehensive income (loss) |
421 |
247 |
12 |
27 |
(142) | |||||
Dividend on preferred stock |
7 |
7 |
7 |
7 |
7 | |||||
Comprehensive income (loss) available (attributable) to common stockholders |
$ 414 |
$ 240 |
$ 5 |
$ 20 |
$ (149) | |||||
Weighted average number of common shares outstanding - |
331.0 |
331.0 |
334.4 |
341.6 |
347.8 | |||||
Net income (loss) per common share - basic and diluted |
$ 1.52 |
$ (0.43) |
$ (2.33) |
$ 1.70 |
$ (1.84) | |||||
Comprehensive income (loss) per common share - basic and diluted |
$ 1.25 |
$ 0.73 |
$ 0.01 |
$ 0.06 |
$ (0.43) | |||||
Dividends declared per common share |
$ 0.56 |
$ 0.60 |
$ 0.60 |
$ 0.60 |
$ 0.60 |
AGNC INVESTMENT CORP. | |||||||||
RECONCILIATION OF GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME 2 | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
September 30, |
June 30, |
March 31, |
December 31, |
September 30, | |||||
2016 |
2016 |
2016 |
2015 |
2015 | |||||
Interest income |
$ 315 |
$ 318 |
$ 295 |
$ 374 |
$ 295 | ||||
Interest expense: |
|||||||||
Repurchase agreements and other debt |
89 |
89 |
80 |
64 |
53 | ||||
Interest rate swap periodic costs 1 |
7 |
12 |
19 |
22 |
24 | ||||
Total interest expense |
96 |
101 |
99 |
86 |
77 | ||||
Net interest income |
219 |
217 |
196 |
288 |
218 | ||||
Other interest rate swap periodic costs 3 |
(51) |
(69) |
(89) |
(102) |
(107) | ||||
Dividend on REIT equity securities |
- |
1 |
1 |
1 |
1 | ||||
Management fee income |
4 |
- |
- |
- |
- | ||||
TBA dollar roll income 16 |
54 |
44 |
50 |
53 |
73 | ||||
Adjusted net interest and dollar roll income |
226 |
193 |
158 |
240 |
185 | ||||
Operating expenses: |
|||||||||
Total operating expenses |
15 |
40 |
33 |
33 |
34 | ||||
Non-recurring transaction costs |
- |
(9) |
- |
- |
- | ||||
Adjusted operating expenses |
15 |
31 |
33 |
33 |
34 | ||||
Net spread and dollar roll income |
211 |
162 |
125 |
207 |
151 | ||||
Dividend on preferred stock |
7 |
7 |
7 |
7 |
7 | ||||
Net spread and dollar roll income available to common stockholders |
204 |
155 |
118 |
200 |
144 | ||||
Estimated "catch-up" premium amortization cost (benefit) due to change in |
8 |
32 |
55 |
(14) |
33 | ||||
Net spread and dollar roll income, excluding "catch-up" premium |
$ 212 |
$ 187 |
$ 173 |
$ 186 |
$ 177 | ||||
Weighted average number of common shares outstanding - basic and diluted |
331.0 |
331.0 |
334.4 |
341.6 |
347.8 | ||||
Net spread and dollar roll income per common share - basic and diluted |
$ 0.62 |
$ 0.46 |
$ 0.36 |
$ 0.58 |
$ 0.41 | ||||
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic and diluted |
$ 0.64 |
$ 0.56 |
$ 0.52 |
$ 0.54 |
$ 0.51 |
AGNC INVESTMENT CORP. | |||||||||
RECONCILIATION OF GAAP NET INCOME TO ESTIMATED TAXABLE INCOME 2 | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
September 30, |
June 30, |
March 31, |
December 31, |
September 30, | |||||
2016 |
2016 |
2016 |
2015 |
2015 | |||||
Net income (loss) |
$ 511 |
$ (135) |
$ (772) |
$ 588 |
$ (633) | ||||
Book to tax differences: |
|||||||||
Premium amortization, net |
(15) |
20 |
55 |
(18) |
15 | ||||
Realized gain/loss, net |
249 |
391 |
93 |
154 |
12 | ||||
Utilization of net capital loss carryforward 5 |
(127) |
(99) |
(99) |
(83) |
- | ||||
Unrealized gain/loss, net |
(540) |
(106) |
804 |
(543) |
672 | ||||
Other |
(8) |
9 |
- |
- |
- | ||||
Total book to tax differences |
(441) |
215 |
853 |
(490) |
699 | ||||
Estimated REIT taxable income |
70 |
80 |
81 |
98 |
66 | ||||
Dividend on preferred stock |
7 |
7 |
7 |
7 |
7 | ||||
Estimated REIT taxable income, net of preferred stock dividend |
$ 63 |
$ 73 |
$ 74 |
$ 91 |
$ 59 | ||||
Weighted average number of common shares outstanding - basic and diluted |
331.0 |
331.0 |
334.4 |
341.6 |
347.8 | ||||
Estimated REIT taxable income per common share - basic and diluted |
$ 0.19 |
$ 0.22 |
$ 0.22 |
$ 0.27 |
$ 0.17 | ||||
Beginning cumulative non-deductible capital loss |
$ 486 |
$ 585 |
$ 684 |
$ 767 |
$ 767 | ||||
Utilization of net capital loss carryforward |
(127) |
(99) |
(99) |
(83) |
- | ||||
Ending cumulative non-deductible capital loss |
$ 359 |
$ 486 |
$ 585 |
$ 684 |
$ 767 | ||||
Ending cumulative non-deductible capital loss per common share |
$ 1.08 |
$ 1.47 |
$ 1.77 |
$ 2.03 |
$ 2.21 |
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, | ||||
2016 |
2016 |
2016 |
2015 |
2015 | |||||
Fixed-rate agency securities, at fair value - as of period end 18 |
$ 45,611 |
$ 52,648 |
$ 54,155 |
$ 50,522 |
$ 52,862 | ||||
Adjustable-rate agency securities, at fair value - as of period end |
$ 414 |
$ 443 |
$ 471 |
$ 495 |
$ 551 | ||||
AAA non-agency securities, at fair value - as of period end |
$ 102 |
$ 107 |
$ 112 |
$ 113 |
$ - | ||||
GSE credit risk transfer securities, at fair value - as of period end |
$ 36 |
$ - |
$ - |
$ - |
$ - | ||||
CMO agency securities, at fair value - as of period end |
$ 865 |
$ 920 |
$ 966 |
$ 990 |
$ 1,041 | ||||
Interest-only strips agency securities, at fair value - as of period end |
$ 166 |
$ 180 |
$ 176 |
$ 178 |
$ 179 | ||||
Principal-only strips agency securities, at fair value - as of period end |
$ 161 |
$ 172 |
$ 175 |
$ 175 |
$ 184 | ||||
Total securities, at fair value - as of period end 18 |
$ 47,355 |
$ 54,470 |
$ 56,055 |
$ 52,473 |
$ 54,817 | ||||
Total securities, at cost - as of period end 18 |
$ 46,306 |
$ 53,317 |
$ 55,271 |
$ 52,464 |
$ 54,216 | ||||
Total securities, at par - as of period end 6, 18 |
$ 44,212 |
$ 50,950 |
$ 52,864 |
$ 50,163 |
$ 51,902 | ||||
Average securities, at cost 18 |
$ 48,548 |
$ 51,810 |
$ 50,897 |
$ 52,131 |
$ 48,711 | ||||
Average securities, at par 6, 18 |
$ 46,372 |
$ 49,544 |
$ 48,687 |
$ 49,890 |
$ 46,610 | ||||
Net TBA portfolio - as of period end, at fair value |
$ 15,586 |
$ 7,072 |
$ 6,024 |
$ 7,444 |
$ 7,385 | ||||
Net TBA portfolio - as of period end, at cost |
$ 15,540 |
$ 6,975 |
$ 5,983 |
$ 7,430 |
$ 7,265 | ||||
Net TBA portfolio - as of period end, carrying value |
$ 46 |
$ 97 |
$ 41 |
$ 14 |
$ 120 | ||||
Average net TBA portfolio, at cost |
$ 10,748 |
$ 8,238 |
$ 8,144 |
$ 7,796 |
$ 9,434 | ||||
Average repurchase agreements and other debt 4 |
$ 44,401 |
$ 46,948 |
$ 45,926 |
$ 47,018 |
$ 43,308 | ||||
Average stockholders' equity 7 |
$ 7,803 |
$ 7,722 |
$ 7,776 |
$ 8,143 |
$ 8,603 | ||||
Net book value per common share 8 |
$ 22.91 |
$ 22.22 |
$ 22.09 |
$ 22.59 |
$ 23.00 | ||||
Tangible net book value per common share 9 |
$ 21.23 |
N/A |
N/A |
N/A |
N/A | ||||
"At risk" leverage - average during the period 10 |
7.1:1 |
7.2:1 |
7.0:1 |
6.8:1 |
6.2:1 | ||||
"At risk" leverage - as of period end 11 |
7.2:1 |
7.2:1 |
7.3:1 |
6.8:1 |
6.8:1 | ||||
Tangible net book value "at risk" leverage - average during the period 12 |
7.6:1 |
N/A |
N/A |
N/A |
N/A | ||||
Tangible net book value "at risk" leverage - as of period end 12 |
7.7:1 |
N/A |
N/A |
N/A |
N/A | ||||
Key Performance Statistics: |
|||||||||
Average coupon 13, 18 |
3.65% |
3.63% |
3.63% |
3.62% |
3.62% | ||||
Average asset yield 14, 18 |
2.60% |
2.46% |
2.32% |
2.87% |
2.42% | ||||
Average cost of funds 15, 18 |
(1.32%) |
(1.46%) |
(1.64%) |
(1.60%) |
(1.70%) | ||||
Average net interest rate spread 18 |
1.28% |
1.00% |
0.68% |
1.27% |
0.72% | ||||
Average net interest rate spread, including TBA dollar roll income/loss 16 |
1.42% |
1.16% |
0.94% |
1.47% |
1.14% | ||||
Average coupon - as of period end 18 |
3.64% |
3.63% |
3.63% |
3.63% |
3.61% | ||||
Average asset yield - as of period end 18 |
2.68% |
2.68% |
2.72% |
2.78% |
2.76% | ||||
Average cost of funds - as of period end 15, 18 |
(1.30%) |
(1.35%) |
(1.49%) |
(1.65%) |
(1.64%) | ||||
Average net interest rate spread - as of period end 18 |
1.38% |
1.33% |
1.23% |
1.13% |
1.12% | ||||
Average actual CPR for securities held during the period 18 |
14% |
12% |
9% |
10% |
12% | ||||
Average forecasted CPR - as of period end 18 |
11% |
11% |
10% |
8% |
9% | ||||
Total premium amortization, net |
$ (110) |
$ (134) |
$ (150) |
$ (78) |
$ (128) | ||||
Expenses % of average total assets - annualized |
0.10% |
0.27% |
0.23% |
0.23% |
0.25% | ||||
Expenses % of average stockholders' equity - annualized |
0.76% |
2.08% |
1.70% |
1.61% |
1.57% | ||||
Net comprehensive income (loss) return on average common equity - annualized |
22.0% |
13.0% |
0.3% |
1.0% |
(7.1%) | ||||
Dividends declared per common share |
$ 0.56 |
$ 0.60 |
$ 0.60 |
$ 0.60 |
$ 0.60 | ||||
Economic return (loss) on common equity - annualized 17 |
22.4% |
13.3% |
1.8% |
3.3% |
(6.6%) |
*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.
** Numbers may not total due to rounding.
N/A - Not applicable
STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and analysts to attend the AGNC stockholder call on October 25, 2016 at 11:00 am ET. Interested persons who do not plan on asking a question and have access to the internet are encouraged to utilize the free live webcast at www.AGNC.com. Those who plan on participating in the Q&A or do not have the 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 2016 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 25, 2016. In addition, there will be a phone recording available one hour after the live call on October 25, 2016 through November 8, 2016. 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 10093704.
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 agency pass-through securities for which the principal and interest payments are guaranteed by a U.S. Government agency or a U.S. Government-sponsored enterprise. For further information, please refer to www.AGNC.com.
FORWARD LOOKING STATEMENTS
This press release contains forward-looking statements. 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 or 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," "adjusted net interest expense," "net spread and dollar roll income, excluding 'catch-up' premium amortization," "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 rate spread."
"Adjusted net interest expense" is measured as interest expense (GAAP measure) adjusted to include other interest rate swap periodic costs. "Net spread and dollar roll income" is measured as (i) net interest income (GAAP measure) adjusted to include other interest rate swap periodic costs, TBA dollar roll income, dividends on REIT equity securities and management fee income (referred to as "adjusted net interest and dollar roll income") less (ii) total operating expenses (GAAP measure) adjusted to exclude non-recurring transaction costs (referred to as "adjusted operating expenses"). "Net spread and dollar roll income, excluding 'catch-up' premium amortization," further excludes retrospective "catch-up" adjustments to premium amortization cost or benefit 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 our 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 and in "adjusted net interest expense", 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 all periodic interest rate swap settlement costs 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 or benefit 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 cost or benefit is more indicative of the current earnings potential of the Company's investment portfolio. The Company also believes the exclusion of non-recurring transactions costs reported in operating expense under GAAP is meaningful as they represent non-recurring transaction costs associated with the Company's acquisition of AMM and are not representative of ongoing operating costs. 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
To view the original version on PR Newswire, visit:http://www.prnewswire.com/news-releases/agnc-investment-corp-announces-third-quarter-2016-financial-results-300349964.html
SOURCE AGNC Investment Corp.
Copyright 2016 PR Newswire
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