BETHESDA, Md., July 25,
2022 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or
the "Company") (Nasdaq: AGNC) today announced financial results for
the quarter ended June 30, 2022.
SECOND QUARTER 2022 FINANCIAL HIGHLIGHTS
- $(1.34) comprehensive loss per
common share, comprised of:
-
- $(0.87) net loss per common
share
- $(0.47) other comprehensive loss
("OCI") per common share on investments marked-to-market through
OCI
- $0.83 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization benefit 1
-
- Includes $0.35 per common share
of dollar roll income associated with the Company's $19.7 billion average net long position in Agency
mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA")
market
- Excludes $0.13 per common share
of estimated "catch-up" premium amortization benefit due to change
in projected constant prepayment rate ("CPR") estimates
- $11.43 tangible net book value
per common share as of June 30,
2022
-
- Decreased $(1.69) per common
share, or -12.9%, from $13.12 per
common share as of March 31,
2022
- $0.36 dividends declared per
common share for the second quarter
- -10.1% economic return on tangible common equity for the
quarter
-
- Comprised of $0.36 dividends per
common share and $(1.69) decrease in
tangible net book value per common share
OTHER SECOND QUARTER HIGHLIGHTS
- $61.3 billion investment
portfolio as of June 30, 2022,
comprised of:
-
- $43.6 billion Agency MBS
- $15.9 billion net TBA mortgage
position
- $1.8 billion credit risk
transfer ("CRT") and non-Agency securities
- 7.4x tangible net book value "at risk" leverage as of
June 30, 2022
-
- 7.8x average tangible net book value "at risk" leverage for the
quarter
- Cash and unencumbered Agency MBS totaled approximately
$2.8 billion as of June 30, 2022
-
- Excludes unencumbered CRT and non-Agency securities and assets
held at the Company's broker-dealer subsidiary, Bethesda
Securities
- 7.2% average projected portfolio life CPR as of June 30, 2022
-
- 12.4% actual portfolio CPR for the quarter
- 2.70% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization benefit
-
- Excludes 37 bps of "catch-up" premium amortization benefit due
to change in projected CPR estimates
- Capital markets activity
-
- Issued 4.1 million common shares through ATM Offerings at an
average offering price of $12.19 per
share, net of costs, or $50
million
- Repurchased 4.7 million common shares at an average repurchase
price of $10.78 per share, net of
costs, or $51 million
____________
|
1.
|
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.
|
MANAGEMENT REMARKS
"Financial markets remained under
significant pressure in the second quarter as the Federal Reserve
indicated a more aggressive path of monetary policy tightening,"
said Peter Federico, the Company's
President and Chief Executive Officer. "The expectation of
materially higher short-term rates drove significant interest rate
volatility and increased the probability of a recession. This
challenging monetary policy and macro-economic environment led to
broad-based financial market weakness during the second quarter.
Agency MBS were no exception, as the spread between Agency MBS and
swap and Treasury rates widened meaningfully in April and again in
June.
"Looking ahead, while the near-term outlook continues to be
uncertain, the longer-term outlook for Agency MBS has improved
substantially. At current valuation levels, Agency MBS are
extremely attractive relative to historical levels. The Federal
Reserve has begun to reduce its portfolio organically, but that
runoff will occur at a slower pace than previously anticipated as a
result of reduced prepayments. Finally, and perhaps most
importantly, the net supply of Agency MBS is now expected to be
meaningfully lower than prior expectations.
"These positive developments provide reason for optimism that
this period of weakness in the Agency MBS market is nearing its
end. The favorable returns associated with Agency MBS in this wider
spread regime and an improving technical outlook for mortgage
supply and demand should provide a supportive backdrop for Agency
MBS investors. Moreover, in this compelling investment environment,
we believe AGNC is well-positioned to generate strong risk-adjusted
returns for our stockholders."
"As a result of the challenging market conditions during the
quarter, AGNC continued to maintain a defensive position,
highlighted by lower leverage and our low interest rate exposure,"
said Bernice Bell, the Company's
Executive Vice President and Chief Financial Officer. "Importantly,
however, despite this defensive positioning, our net spread and
dollar roll income per common share, excluding 'catch-up' premium
amortization, increased to $0.83 for
the second quarter, from $0.72 for
the first quarter, due to exceptionally strong TBA dollar roll
performance, higher asset yields and stable funding costs, net of
our interest rate hedges. While dollar roll performance has
moderated, our net spread and dollar roll income should be well
protected against higher short-term rates as a result of our
significant hedge portfolio."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of
June 30, 2022, the Company's tangible
net book value per common share was $11.43 per share, a decrease of -12.9% for the
quarter compared to $13.12 per share
as of March 31, 2022. The Company's
tangible net book value per common share excludes $526 million, or approximately $1.01 per share, of goodwill as of June 30, 2022 and March
31, 2022.
INVESTMENT PORTFOLIO
As of June
30, 2022, the Company's investment portfolio totaled
$61.3 billion, comprised of:
- $59.5 billion of Agency MBS and
TBA securities, including:
-
- $59.3 billion of fixed-rate
securities, comprised of:
-
- $39.9 billion 30-year MBS,
- $15.8 billion 30-year TBA
securities,
- $1.8 billion 15-year MBS,
- $0.1 billion 15-year TBA
securities, and
- $1.6 billion 20-year MBS;
and
- $0.2 billion of collateralized
mortgage obligations ("CMOs"), adjustable-rate and other Agency
securities; and
- $1.8 billion of CRT and
non-Agency securities.
As of June 30, 2022, 30-year and
15-year fixed-rate Agency MBS and TBA securities represented 91%
and 3%, respectively, of the Company's investment portfolio,
unchanged from March 31, 2022. The
Company's TBA position is net of short TBA securities held as of
the reporting date.
As of June 30, 2022, the Company's
fixed-rate Agency MBS and TBA securities' weighted average coupon
was 3.58%, compared to 3.20% as of March 31,
2022, comprised of the following weighted average
coupons:
- 3.62% for 30-year fixed-rate securities;
- 3.27% for 15-year fixed rate securities; and
- 2.50% for 20-year fixed-rate securities.
The Company accounts for TBA securities and other forward
settling securities as derivative instruments and recognizes TBA
dollar roll income in other gain (loss), net on the Company's
financial statements. As of June 30,
2022, such positions had a fair value of $15.9 billion and a GAAP net carrying value of
$(107) million reported in derivative
assets/(liabilities) on the Company's balance sheet, compared to
$19.5 billion and $(609) million, respectively, as of March 31, 2022.
CONSTANT PREPAYMENT RATES
The Company's weighted
average projected CPR for the remaining life of its Agency
securities held as of June 30, 2022
decreased to 7.2% from 7.9% as of March 31,
2022. The Company's weighted average CPR for the second
quarter was of 12.4%, compared to 14.5% for the prior quarter.
The weighted average cost basis of the Company's investment
portfolio was 103.2% of par value as of June
30, 2022. The Company's investment portfolio generated net
premium amortization cost of $(127)
thousand, or less than $(0.01)
per common share, for the second quarter, which includes a
"catch-up" premium amortization benefit of $66 million, or $0.13 per common share, due to a decrease in the
Company's CPR projections for certain securities acquired prior to
the second quarter. This compares to net premium amortization
benefit for the prior quarter of $78
million, or $0.15 per common
share, including "catch-up" premium amortization benefit of
$159 million, or $0.30 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 3.09% for the second
quarter, compared to 3.55% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's average asset yield
was 2.58% for the second quarter, compared to 2.36% for the prior
quarter. Including the TBA position and excluding "catch-up"
premium amortization, the Company's average asset yield for the
second quarter was 2.88%, compared to 2.28% for the prior
quarter.
For the second quarter, the weighted average interest rate on
the Company's repurchase agreements was 0.74%, compared to 0.23%
for the prior quarter. For the second quarter, the Company's TBA
position had an implied financing benefit of -0.04%, compared to a
benefit of -0.49% for the prior quarter. Inclusive of interest rate
swaps, the Company's combined weighted average cost of funds for
the second quarter was a net cost of 0.18%, compared to a net cost
of 0.09% 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 second quarter was 2.70%, compared to 2.19%
for the prior quarter.
NET SPREAD AND DOLLAR ROLL INCOME
The Company
recognized net spread and dollar roll income (a non-GAAP financial
measure) for the second quarter of $0.83 per common share, excluding $0.13 per common share of "catch-up" premium
amortization benefit, compared to $0.72 per common share for the prior quarter,
excluding 0.30 per common share of "catch-up" premium amortization
benefit.
A reconciliation of the Company's net interest income to net
spread and dollar roll income and additional information regarding
the Company's use of non-GAAP measures are included later in this
release.
LEVERAGE
As of June 30,
2022, $41.3 billion of
repurchase agreements, $16.0 billion
of net TBA dollar roll positions (at cost) and $0.1 billion of other debt were used to fund the
Company's investment portfolio. The remainder, or approximately
$1.9 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 position and
net payable/(receivable) for unsettled investment securities, the
Company's tangible net book value "at risk" leverage ratio was 7.4x
as of June 30, 2022, compared to 7.5x
as of March 31, 2022. The Company's
average "at risk" leverage for the second quarter was 7.8x tangible
net book value, unchanged from the prior quarter.
As of June 30, 2022, the Company's
repurchase agreements had a weighted average interest rate of
1.25%, compared to 0.37% as of March 31,
2022, and a weighted average remaining maturity of 46 days,
compared to 64 days as of March 31,
2022. As of June 30, 2022,
$17.8 billion, or 43%, of the
Company's repurchase agreements were funded through the Company's
captive broker-dealer subsidiary, Bethesda Securities, LLC.
As of June 30, 2022, the Company's
repurchase agreements had remaining maturities of:
- $36.8 billion of three months or
less;
- $3.0 billion from three to six
months; and
- $1.4 billion from six to twelve
months.
HEDGING ACTIVITIES
As of June
30, 2022, interest rate swaps, swaptions and U.S. Treasury
positions equaled 126% of the Company's outstanding balance of
repurchase agreements, TBA position and other debt, compared to
121% as of March 31, 2022.
As of June 30, 2022, the Company's
interest rate swap position totaled $49.9
billion in notional amount, compared to $51.1 billion as of March
31, 2022. As of June 30, 2022,
the Company's interest rate swap portfolio had an average fixed pay
rate of 0.28%, an average receive rate of 1.51% and an average
maturity of 3.9 years, compared to 0.26%, 0.30% and 4.0 years,
respectively, as of March 31, 2022.
As of June 30, 2022, 81% and 19% 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 June 30, 2022, the Company
had payer swaptions outstanding totaling $6.8 billion, compared to $10.3 billion as of March
31, 2022, receiver swaptions outstanding totaling
$0.2 billion, compared to none
outstanding as of March 31, 2022, and
net short U.S. Treasury positions outstanding totaling $15.9 billion, compared to $16.2 billion as of March
31, 2022.
OTHER GAIN (LOSS), NET
For the second quarter, the
Company recorded a net loss of $(729)
million in other gain (loss), net, or $(1.39) per common share, compared to a net loss
of $(1,078) million, or $(2.06) per common share, for the prior quarter.
Other gain (loss), net for the second quarter was comprised of:
- $(946) million of net realized
losses on sales of investment securities;
- $(987) million of net unrealized
losses on investment securities measured at fair value through net
income;
- $49 million of interest rate swap
periodic income;
- $786 million of net gains on
interest rate swaps;
- $309 million of net gains on
interest rate swaptions;
- $647 million of net gains on U.S.
Treasury positions;
- $182 million of TBA dollar roll
income;
- $(786) million of net
mark-to-market losses on TBA securities; and
- $17 million of other
miscellaneous gains.
OTHER COMPREHENSIVE LOSS
During the second quarter,
the Company recorded other comprehensive loss of $(245) million, or $(0.47) per common share, consisting of net
unrealized losses on the Company's Agency securities recognized
through OCI, compared to $(491)
million, or $(0.94) per common
share, of other comprehensive loss for the prior quarter.
COMMON STOCK DIVIDENDS
During the second quarter, the
Company declared dividends of $0.12
per share to common stockholders of record as of April 29, May 31,
and June 30, 2022, totaling
$0.36 per share for the quarter.
Since its May 2008 initial public
offering through the second quarter of 2022, the Company has
declared a total of $11.6 billion in
common stock dividends, or $45.04 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)
|
|
|
|
|
|
|
|
|
|
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2021
|
|
September 30,
2021
|
|
June 30,
2021
|
|
(unaudited)
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at
fair value (including pledged securities of $40,107, $43,261,
$47,601, $46,741 and $49,686, respectively)
|
$
43,459
|
|
$
47,214
|
|
$
52,396
|
|
$
53,517
|
|
$
57,896
|
Agency securities
transferred to consolidated variable interest entities, at fair
value (pledged securities)
|
167
|
|
184
|
|
208
|
|
226
|
|
245
|
Credit risk transfer
securities, at fair value (including pledged securities of $629,
$471, $510, $534 and $502, respectively)
|
894
|
|
885
|
|
974
|
|
1,072
|
|
1,105
|
Non-Agency securities,
at fair value (including pledged securities of $643, $466, $571,
$380 and $377, respectively)
|
881
|
|
804
|
|
843
|
|
578
|
|
553
|
U.S. Treasury
securities, at fair value (including pledged securities of $1,882,
$684, $471, $645 and $397, respectively)
|
1,882
|
|
684
|
|
471
|
|
645
|
|
397
|
Cash and cash
equivalents
|
906
|
|
1,004
|
|
998
|
|
981
|
|
947
|
Restricted
cash
|
1,333
|
|
1,087
|
|
527
|
|
464
|
|
623
|
Derivative assets, at
fair value
|
536
|
|
647
|
|
317
|
|
402
|
|
381
|
Receivable for
investment securities sold (including pledged securities of $1,907,
$2,160, $0, $252 and $147, respectively)
|
2,006
|
|
2,317
|
|
-
|
|
272
|
|
147
|
Receivable under
reverse repurchase agreements
|
8,438
|
|
10,645
|
|
10,475
|
|
9,617
|
|
11,979
|
Goodwill
|
526
|
|
526
|
|
526
|
|
526
|
|
526
|
Other assets
|
212
|
|
397
|
|
414
|
|
505
|
|
256
|
Total assets
|
$
61,240
|
|
$
66,394
|
|
$
68,149
|
|
$
68,805
|
|
$
75,055
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
43,153
|
|
$
44,715
|
|
$
47,381
|
|
$
46,532
|
|
$
48,737
|
Debt of consolidated
variable interest entities, at fair value
|
107
|
|
116
|
|
126
|
|
134
|
|
148
|
Payable for investment
securities purchased
|
547
|
|
857
|
|
80
|
|
1,821
|
|
3,697
|
Derivative liabilities,
at fair value
|
237
|
|
668
|
|
86
|
|
178
|
|
14
|
Dividends
payable
|
88
|
|
88
|
|
88
|
|
88
|
|
88
|
Obligation to return
securities borrowed under reverse repurchase agreements, at fair
value
|
8,265
|
|
10,277
|
|
9,697
|
|
8,896
|
|
10,920
|
Accounts payable and
other liabilities
|
803
|
|
743
|
|
400
|
|
477
|
|
783
|
Total
liabilities
|
53,200
|
|
57,464
|
|
57,858
|
|
58,126
|
|
64,387
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred Stock -
aggregate liquidation preference of $1,538
|
1,489
|
|
1,489
|
|
1,489
|
|
1,489
|
|
1,489
|
Common stock - $0.01
par value; 522.7, 523.3, 522.2, 524.9 and 524.9 shares issued and
outstanding, respectively
|
5
|
|
5
|
|
5
|
|
5
|
|
5
|
Additional paid-in
capital
|
13,707
|
|
13,704
|
|
13,710
|
|
13,747
|
|
13,741
|
Retained
deficit
|
(6,726)
|
|
(6,078)
|
|
(5,214)
|
|
(4,973)
|
|
(4,972)
|
Accumulated other
comprehensive income (loss)
|
(435)
|
|
(190)
|
|
301
|
|
411
|
|
405
|
Total stockholders'
equity
|
8,040
|
|
8,930
|
|
10,291
|
|
10,679
|
|
10,668
|
Total liabilities and
stockholders' equity
|
$
61,240
|
|
$
66,394
|
|
$
68,149
|
|
$
68,805
|
|
$
75,055
|
|
|
|
|
|
|
|
|
|
|
Tangible net book value per common share
1
|
$
11.43
|
|
$
13.12
|
|
$
15.75
|
|
$
16.41
|
|
$
16.39
|
AGNC INVESTMENT
CORP.
|
CONSOLIDATED STATEMENTS
OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2021
|
|
September 30,
2021
|
|
June 30,
2021
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
395
|
|
$
475
|
|
$
262
|
|
$
293
|
|
$
249
|
Interest
expense
|
80
|
|
27
|
|
15
|
|
14
|
|
17
|
Net interest
income
|
315
|
|
448
|
|
247
|
|
279
|
|
232
|
Other loss,
net:
|
|
|
|
|
|
|
|
|
|
Realized gain (loss) on
sale of investment securities, net
|
(946)
|
|
(342)
|
|
(64)
|
|
(5)
|
|
25
|
Unrealized loss on
investment securities measured at fair value through net income,
net
|
(987)
|
|
(2,532)
|
|
(378)
|
|
(141)
|
|
(28)
|
Gain (loss) on
derivative instruments and other securities, net
|
1,204
|
|
1,796
|
|
188
|
|
101
|
|
(618)
|
Total other loss,
net
|
(729)
|
|
(1,078)
|
|
(254)
|
|
(45)
|
|
(621)
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
12
|
|
13
|
|
12
|
|
14
|
|
12
|
Other operating
expense
|
8
|
|
8
|
|
8
|
|
8
|
|
10
|
Total operating
expense
|
20
|
|
21
|
|
20
|
|
22
|
|
22
|
Net income
(loss)
|
(434)
|
|
(651)
|
|
(27)
|
|
212
|
|
(411)
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
25
|
Net income (loss)
available (attributable) to common stockholders
|
$
(459)
|
|
$
(676)
|
|
$
(52)
|
|
$
187
|
|
$
(436)
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
(434)
|
|
$
(651)
|
|
$
(27)
|
|
$
212
|
|
$
(411)
|
Unrealized gain (loss)
on investment securities measured at fair value through other
comprehensive income (loss), net
|
(245)
|
|
(491)
|
|
(110)
|
|
6
|
|
(77)
|
Comprehensive income
(loss)
|
(679)
|
|
(1,142)
|
|
(137)
|
|
218
|
|
(488)
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
25
|
Comprehensive income
(loss) available (attributable) to common
stockholders
|
$
(704)
|
|
$
(1,167)
|
|
$
(162)
|
|
$
193
|
|
$
(513)
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
526.2
|
|
524.3
|
|
525.5
|
|
526.7
|
|
526.6
|
Weighted average
number of common shares outstanding - diluted
|
526.2
|
|
524.3
|
|
525.5
|
|
528.6
|
|
526.6
|
Net income (loss)
per common share - basic
|
$
(0.87)
|
|
$
(1.29)
|
|
$
(0.10)
|
|
$
0.36
|
|
$
(0.83)
|
Net income (loss)
per common share - diluted
|
$
(0.87)
|
|
$
(1.29)
|
|
$
(0.10)
|
|
$
0.35
|
|
$
(0.83)
|
Comprehensive income
(loss) per common share - basic
|
$
(1.34)
|
|
$
(2.23)
|
|
$
(0.31)
|
|
$
0.37
|
|
$
(0.97)
|
Comprehensive income
(loss) per common share - diluted
|
$
(1.34)
|
|
$
(2.23)
|
|
$
(0.31)
|
|
$
0.37
|
|
$
(0.97)
|
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
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2021
|
|
September 30,
2021
|
|
June 30,
2021
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
395
|
|
$
475
|
|
$
262
|
|
$
293
|
|
$
249
|
Interest
expense
|
80
|
|
27
|
|
15
|
|
14
|
|
17
|
GAAP net interest
income
|
315
|
|
448
|
|
247
|
|
279
|
|
232
|
TBA dollar roll income,
net 3,4
|
182
|
|
152
|
|
165
|
|
175
|
|
162
|
Interest rate swap
periodic (cost) benefit, net 3,8
|
49
|
|
(18)
|
|
(16)
|
|
(13)
|
|
(19)
|
Adjusted net interest
and dollar roll income
|
546
|
|
582
|
|
396
|
|
441
|
|
375
|
Operating
expense
|
(20)
|
|
(21)
|
|
(20)
|
|
(22)
|
|
(22)
|
Net spread and dollar
roll income
|
526
|
|
561
|
|
376
|
|
419
|
|
353
|
Dividend on preferred
stock
|
25
|
|
25
|
|
25
|
|
25
|
|
25
|
Net spread and dollar
roll income available to common stockholders
|
501
|
|
536
|
|
351
|
|
394
|
|
328
|
Estimated "catch-up"
premium amortization cost
(benefit) due to change in CPR
forecast 11
|
(66)
|
|
(159)
|
|
44
|
|
2
|
|
71
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, available
to common stockholders
|
$
435
|
|
$
377
|
|
$
395
|
|
$
396
|
|
$
399
|
|
|
|
|
|
|
|
|
|
|
Weighted average number
of common shares outstanding - basic
|
526.2
|
|
524.3
|
|
525.5
|
|
526.7
|
|
526.6
|
Weighted average number
of common shares outstanding - diluted
|
527.1
|
|
525.7
|
|
527.6
|
|
528.6
|
|
528.3
|
Net spread and dollar
roll income per common share - basic
|
$
0.95
|
|
$
1.02
|
|
$
0.67
|
|
$
0.75
|
|
$
0.62
|
Net spread and dollar
roll income per common share - diluted
|
$
0.95
|
|
$
1.02
|
|
$
0.67
|
|
$
0.75
|
|
$
0.62
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per common
share - basic
|
$
0.83
|
|
$
0.72
|
|
$
0.75
|
|
$
0.75
|
|
$
0.76
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per common
share - diluted
|
$
0.83
|
|
$
0.72
|
|
$
0.75
|
|
$
0.75
|
|
$
0.76
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF GAAP
NET INCOME TO ESTIMATED TAXABLE INCOME (NON-GAAP MEASURE)
2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2021
|
|
September 30,
2021
|
|
June 30,
2021
|
Net
income/(loss)
|
$
(434)
|
|
$
(651)
|
|
$
(27)
|
|
$
212
|
|
$
(411)
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
(78)
|
|
(176)
|
|
13
|
|
(45)
|
|
1
|
Realized gain/loss,
net
|
(1,210)
|
|
(2,365)
|
|
(570)
|
|
(342)
|
|
43
|
Net capital
loss/(utilization of net capital loss carryforward)
|
1,666
|
|
868
|
|
-
|
|
(141)
|
|
52
|
Unrealized (gain)/loss,
net
|
78
|
|
2,294
|
|
373
|
|
358
|
|
152
|
Other
|
-
|
|
(13)
|
|
-
|
|
3
|
|
5
|
Total book to tax
differences
|
456
|
|
608
|
|
(184)
|
|
(167)
|
|
253
|
REIT taxable income
(loss)
|
22
|
|
(43)
|
|
(211)
|
|
45
|
|
(158)
|
REIT taxable income
attributed to preferred stock
|
-
|
|
-
|
|
-
|
|
-
|
|
-
|
REIT taxable income
(loss), attributed to common stock
|
$
22
|
|
$
(43)
|
|
$
(211)
|
|
$
45
|
|
$
(158)
|
Weighted average common
shares outstanding - basic
|
526.2
|
|
524.3
|
|
525.5
|
|
526.7
|
|
526.6
|
Weighted average common
shares outstanding - diluted
|
526.2
|
|
524.3
|
|
525.5
|
|
528.6
|
|
526.6
|
REIT taxable income
(loss) per common share - basic
|
$
0.04
|
|
$
(0.08)
|
|
$
(0.40)
|
|
$
0.09
|
|
$
(0.30)
|
REIT taxable income
(loss) per common share - diluted
|
$
0.04
|
|
$
(0.08)
|
|
$
(0.40)
|
|
$
0.09
|
|
$
(0.30)
|
|
|
|
|
|
|
|
|
|
|
Beginning net capital
loss carryforward
|
$
868
|
|
$
-
|
|
$
-
|
|
$
141
|
|
$
89
|
Increase (decrease) in
net capital loss carryforward
|
1,666
|
|
868
|
|
-
|
|
(141)
|
|
52
|
Ending net capital loss
carryforward
|
$
2,534
|
|
$
868
|
|
$
-
|
|
$
-
|
|
$
141
|
Ending net capital loss
carryforward per common share
|
$
4.85
|
|
$
1.66
|
|
$
-
|
|
$
-
|
|
$
0.27
|
AGNC INVESTMENT
CORP.
|
NET INTEREST SPREAD
COMPONENTS BY FUNDING SOURCE 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2021
|
|
September 30,
2021
|
|
June 30,
2021
|
Adjusted net
interest and dollar roll income, excluding "catch-up" premium
amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment securities -
GAAP interest income 12
|
$
395
|
|
$
475
|
|
$
262
|
|
$
293
|
|
$
249
|
Estimated "catch-up"
premium amortization cost
(benefit) due to change in CPR
forecast 11
|
(66)
|
|
(159)
|
|
44
|
|
2
|
|
71
|
TBA dollar roll income
- implied interest income 3,6
|
180
|
|
123
|
|
131
|
|
142
|
|
139
|
Economic interest
income, excluding "catch-up" premium amortization
|
509
|
|
439
|
|
437
|
|
437
|
|
459
|
Economic interest
benefit (expense):
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - GAAP interest expense
|
(80)
|
|
(27)
|
|
(15)
|
|
(14)
|
|
(17)
|
TBA dollar roll income
- implied interest benefit (expense) 3,5
|
2
|
|
29
|
|
34
|
|
33
|
|
23
|
Interest rate swap
periodic (cost)
income, net 3,8
|
49
|
|
(18)
|
|
(16)
|
|
(13)
|
|
(19)
|
Economic interest
benefit (expense)
|
(29)
|
|
(16)
|
|
3
|
|
6
|
|
(13)
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
480
|
|
$
423
|
|
$
440
|
|
$
443
|
|
$
446
|
|
|
|
|
|
|
|
|
|
|
Net interest spread,
excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities -
average asset yield
|
3.09 %
|
|
3.55 %
|
|
1.98 %
|
|
2.30 %
|
|
1.73 %
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in CPR
forecast
|
(0.51) %
|
|
(1.19) %
|
|
0.33 %
|
|
0.02 %
|
|
0.50 %
|
Investment securities
average asset yield, excluding "catch-up" premium
amortization
|
2.58 %
|
|
2.36 %
|
|
2.31 %
|
|
2.32 %
|
|
2.23 %
|
TBA securities -
average implied asset yield 6
|
3.66 %
|
|
2.09 %
|
|
1.80 %
|
|
1.88 %
|
|
1.98 %
|
Average asset yield,
excluding "catch-up" premium amortization 7
|
2.88 %
|
|
2.28 %
|
|
2.13 %
|
|
2.16 %
|
|
2.15 %
|
Average total cost
(benefit) of funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - average funding cost
|
0.74 %
|
|
0.23 %
|
|
0.12 %
|
|
0.12 %
|
|
0.13 %
|
TBA securities -
average implied funding (benefit) cost 5
|
(0.04) %
|
|
(0.49) %
|
|
(0.46) %
|
|
(0.42) %
|
|
(0.33) %
|
Average cost (benefit)
of funds, before interest rate swap periodic cost, net
7
|
0.49 %
|
|
(0.01) %
|
|
(0.10) %
|
|
(0.10) %
|
|
(0.03) %
|
Interest rate swap
periodic cost
(income), net 10
|
(0.31) %
|
|
0.10 %
|
|
0.08 %
|
|
0.07 %
|
|
0.09 %
|
Average total
cost (benefit) of funds 9
|
0.18 %
|
|
0.09 %
|
|
(0.02) %
|
|
(0.03) %
|
|
0.06 %
|
Average net interest
spread, excluding "catch-up" premium amortization
|
2.70 %
|
|
2.19 %
|
|
2.15 %
|
|
2.19 %
|
|
2.09 %
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2021
|
|
September 30,
2021
|
|
June 30,
2021
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency MBS,
at fair value - as of period end
|
$
43,382
|
|
$
47,124
|
|
$
52,289
|
|
$
53,395
|
|
$
57,757
|
Other Agency MBS, at
fair value - as of period end
|
$
244
|
|
$
274
|
|
$
315
|
|
$
348
|
|
$
384
|
Credit risk transfer
securities, at fair value - as of period end
|
$
894
|
|
$
885
|
|
$
974
|
|
$
1,072
|
|
$
1,105
|
Non-Agency MBS, at fair
value - as of period end
|
$
881
|
|
$
804
|
|
$
843
|
|
$
578
|
|
$
553
|
Total investment
securities, at fair value - as of period end
|
$
45,401
|
|
$
49,087
|
|
$
54,421
|
|
$
55,393
|
|
$
59,799
|
Total investment
securities, at cost - as of period end
|
$
48,862
|
|
$
51,316
|
|
$
53,628
|
|
$
54,112
|
|
$
58,379
|
Total investment
securities, at par - as of period end
|
$
47,347
|
|
$
49,511
|
|
$
51,878
|
|
$
52,223
|
|
$
56,309
|
Average investment
securities, at cost
|
$
51,089
|
|
$
53,535
|
|
$
53,057
|
|
$
50,866
|
|
$
57,420
|
Average investment
securities, at par
|
$
49,453
|
|
$
51,749
|
|
$
51,262
|
|
$
49,077
|
|
$
55,246
|
TBA securities:
20
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio - as
of period end, at fair value
|
$
15,893
|
|
$
19,543
|
|
$
27,578
|
|
$
28,741
|
|
$
27,689
|
Net TBA portfolio - as
of period end, at cost
|
$
16,001
|
|
$
20,152
|
|
$
27,622
|
|
$
28,912
|
|
$
27,611
|
Net TBA portfolio - as
of period end, carrying value
|
$
(107)
|
|
$
(609)
|
|
$
(44)
|
|
$
(171)
|
|
$
79
|
Average net TBA
portfolio, at cost
|
$
19,653
|
|
$
23,605
|
|
$
29,014
|
|
$
30,312
|
|
$
28,082
|
Average repurchase
agreements and other debt 13
|
$
42,997
|
|
$
46,570
|
|
$
46,999
|
|
$
45,847
|
|
$
52,374
|
Average stockholders'
equity 14
|
$
8,525
|
|
$
9,545
|
|
$
10,499
|
|
$
10,638
|
|
$
11,103
|
Tangible net book value
per common share 1
|
$
11.43
|
|
$
13.12
|
|
$
15.75
|
|
$
16.41
|
|
$
16.39
|
Tangible net book value
"at risk" leverage - average 15
|
7.8 :1
|
|
7.8 :1
|
|
7.6 :1
|
|
7.5 :1
|
|
7.6 :1
|
Tangible net book value
"at risk" leverage - as of period end 16
|
7.4 :1
|
|
7.5 :1
|
|
7.7 :1
|
|
7.5 :1
|
|
7.9 :1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.19 %
|
|
3.07 %
|
|
3.12 %
|
|
3.25 %
|
|
3.28 %
|
Average asset
yield
|
3.09 %
|
|
3.55 %
|
|
1.98 %
|
|
2.30 %
|
|
1.73 %
|
Average asset yield,
excluding "catch-up" premium amortization
|
2.58 %
|
|
2.36 %
|
|
2.31 %
|
|
2.32 %
|
|
2.23 %
|
Average coupon - as of
period end
|
3.35 %
|
|
3.13 %
|
|
3.08 %
|
|
3.15 %
|
|
3.19 %
|
Average asset yield -
as of period end
|
2.85 %
|
|
2.56 %
|
|
2.43 %
|
|
2.48 %
|
|
2.42 %
|
Average actual CPR for
securities held during the period
|
12.4 %
|
|
14.5 %
|
|
18.6 %
|
|
22.5 %
|
|
25.7 %
|
Average forecasted CPR
- as of period end
|
7.2 %
|
|
7.9 %
|
|
10.9 %
|
|
10.7 %
|
|
11.6 %
|
Total premium
amortization (cost) benefit, net
|
$
-
|
|
$
78
|
|
$
(138)
|
|
$
(106)
|
|
$
(202)
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Average coupon - as of
period end 17
|
4.35 %
|
|
3.25 %
|
|
2.47 %
|
|
2.41 %
|
|
2.50 %
|
Average implied asset
yield 6
|
3.66 %
|
|
2.09 %
|
|
1.80 %
|
|
1.88 %
|
|
1.98 %
|
Combined investment and
TBA securities - average asset yield, excluding "catch-up" premium
amortization 7
|
2.88 %
|
|
2.28 %
|
|
2.13 %
|
|
2.16 %
|
|
2.15 %
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements -
average funding cost
|
0.74 %
|
|
0.23 %
|
|
0.12 %
|
|
0.12 %
|
|
0.13 %
|
TBA securities -
average implied funding cost (benefit) 5
|
(0.04) %
|
|
(0.49) %
|
|
(0.46) %
|
|
(0.42) %
|
|
(0.33) %
|
Interest rate swaps -
average periodic expense, net 10
|
(0.31) %
|
|
0.10 %
|
|
0.08 %
|
|
0.07 %
|
|
0.09 %
|
Average total cost
(benefit) of funds, inclusive of TBAs and interest rate swap
periodic expense, net 7,9
|
0.18 %
|
|
0.09 %
|
|
(0.02) %
|
|
(0.03) %
|
|
0.06 %
|
Repurchase agreements -
average funding cost as of period end
|
1.25 %
|
|
0.37 %
|
|
0.15 %
|
|
0.12 %
|
|
0.11 %
|
Interest rate swaps -
average net pay/(receive) rate as of period end 18
|
(1.23) %
|
|
(0.04) %
|
|
0.15 %
|
|
0.12 %
|
|
0.12 %
|
Net interest
spread:
|
|
|
|
|
|
|
|
|
|
Combined investment and
TBA securities average net interest spread
|
3.07 %
|
|
3.01 %
|
|
1.93 %
|
|
2.17 %
|
|
1.75 %
|
Combined investment and
TBA securities average net interest spread, excluding "catch-up"
premium amortization
|
2.70 %
|
|
2.19 %
|
|
2.15 %
|
|
2.19 %
|
|
2.09 %
|
Expenses % of average
stockholders' equity - annualized
|
0.94 %
|
|
0.88 %
|
|
0.76 %
|
|
0.83 %
|
|
0.79 %
|
Economic return (loss)
on tangible common equity - unannualized 19
|
(10.1) %
|
|
(14.4) %
|
|
(1.8) %
|
|
2.3 %
|
|
(5.5) %
|
*Except as noted below, average numbers for each period are
weighted based on days on the Company's books and records. All
percentages are annualized, unless otherwise noted.
Numbers in financial tables may not total due to rounding.
- Tangible net book value per common share excludes preferred
stock liquidation preference and goodwill.
- Table includes non-GAAP financial measures and/or amounts
derived from non-GAAP measures. Refer to "Use of Non-GAAP Financial
Information" for additional discussion of non-GAAP financial
measures.
- Amount reported in gain (loss) on derivatives instruments and
other securities, net in the accompanying consolidated statements
of operations.
- Dollar roll income represents the price differential, or "price
drop," between the TBA price for current month settlement versus
the TBA price for forward month settlement. Amount includes dollar
roll income (loss) on long and short TBA securities. Amount
excludes TBA mark-to-market adjustments.
- The implied funding cost/benefit of TBA dollar roll
transactions is determined using the "price drop" (Note 4) and
market based assumptions regarding the "cheapest-to-deliver"
collateral that can be delivered to satisfy the TBA contract, such
as the anticipated collateral's weighted average coupon, weighted
average maturity and projected 1-month CPR. The average implied
funding cost/benefit for all TBA transactions is weighted based on
the Company's daily average TBA balance outstanding for the
period.
- The average implied asset yield for TBA dollar roll
transactions is extrapolated by adding the average TBA implied
funding cost (Note 5) to the net dollar roll yield. The net dollar
roll yield is calculated by dividing dollar roll income (Note 4) by
the average net TBA balance (cost basis) outstanding for the
period.
- Amount calculated on a weighted average basis based on average
balances outstanding during the period and their respective asset
yield/funding cost.
- Represents periodic interest rate swap settlements. Amount
excludes interest rate swap termination fees and mark-to-market
adjustments.
- Cost of funds excludes other supplemental hedges used to hedge
a portion of the Company's interest rate risk (such as swaptions
and U.S. Treasury positions) and U.S. Treasury repurchase
agreements.
- Represents interest rate swap periodic cost measured as a
percent of total mortgage funding (Agency repurchase agreements,
other debt and net TBA securities).
- "Catch-up" premium amortization cost/benefit is reported in
interest income on the accompanying consolidated statements of
operations.
- Investment securities include Agency MBS, CRT and non-Agency
securities. Amounts exclude TBA and forward settling
securities.
- Average repurchase agreements and other debt excludes U.S.
Treasury repurchase agreements.
- Average stockholders' equity calculated as the average
month-ended stockholders' equity during the quarter.
- Average tangible net book value "at risk" leverage during the
period was calculated by dividing the sum of the daily weighted
average Agency repurchase agreements, other debt, and TBA and
forward settling securities (at cost) outstanding for the period by
the sum of average stockholders' equity adjusted to exclude
goodwill. Leverage excludes U.S. Treasury repurchase
agreements.
- Tangible net book value "at risk" leverage as of period end was
calculated by dividing the sum of the amount outstanding under
repurchase agreements, other debt, net TBA position and forward
settling securities (at cost), and net receivable / payable for
unsettled investment securities outstanding by the sum of total
stockholders' equity adjusted to exclude goodwill. Leverage
excludes U.S. Treasury repurchase agreements.
- Average TBA coupon is for the long TBA position only.
- Includes forward starting swaps not yet in effect as of
reported period-end.
- Economic return (loss) on tangible common equity represents the
sum of the change in tangible net book value per common share and
dividends declared on common stock during the period over the
beginning tangible net book value per common share.
- Includes net TBA dollar roll position and, if applicable,
forward settling securities.
STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and analysts to
attend the AGNC stockholder call on July 26,
2022 at 8:30 am ET. Interested
persons who do not plan on asking a question and have internet
access are encouraged to utilize the free webcast at www.AGNC.com.
Those who plan on participating in the Q&A or do not have
internet available may access the call by dialing (877) 300-5922
(U.S. domestic) or (412) 902-6621 (international). Please advise
the operator you are dialing in for the AGNC Investment Corp.
stockholder call.
A slide presentation will accompany the call and will be
available at www.AGNC.com. Select the Q2 2022 Earnings Presentation
link to download and print the presentation in advance of the
stockholder call.
An archived audio of the stockholder call combined with the
slide presentation will be available on the AGNC website after the
call on July 26, 2022. In addition,
there will be a phone recording available one hour after the call
on July 26, 2022 through August 2, 2022. Those who are interested in
hearing the recording of the presentation, can access it by dialing
(877) 344-7529 (U.S. domestic) or (412) 317-0088 (international),
passcode 4136711.
For further information, please contact Investor Relations at
(301) 968-9300 or IR@AGNC.com.
ABOUT AGNC INVESTMENT CORP.
AGNC Investment Corp. is an internally-managed real estate
investment trust ("REIT") that invests primarily in residential
mortgage-backed securities for which the principal and interest
payments are guaranteed by a U.S. Government-sponsored enterprise
or a U.S. Government agency. For further information, please refer
to www.AGNC.com.
FORWARD LOOKING STATEMENTS
This press release contains forward-looking statements within the
meaning of the Private Securities Litigation Reform Act.
Forward-looking statements are based on estimates, projections,
beliefs and assumptions of management of the Company at the time of
such statements and are not guarantees of future performance.
Forward-looking statements involve risks and uncertainties in
predicting future results and conditions. Actual results could
differ materially from those projected in these forward-looking
statements or from our historic performance due to a variety of
important factors, including, without limitation, changes in
interest rates, changes in MBS spreads to benchmark interest rates,
changes in the yield curve, changes in prepayment rates, the
availability and terms of financing, changes in the market value of
the Company's assets, general economic or market conditions, and
conditions in the market for Agency securities, any of which may be
materially impacted by changes in the Federal Reserve's bond buying
program, approaches to address the size of its bond portfolio or
its monetary policy, and legislative and regulatory changes that
could adversely affect the business of the Company. Certain factors
that could cause actual results to differ materially from those
contained in the forward-looking statements, are included in the
Company's periodic reports filed with the Securities and Exchange
Commission ("SEC"). Copies are available on the SEC's website,
www.sec.gov. The Company disclaims any obligation to update or
revise any forward-looking statements based on the occurrence of
future events, the receipt of new information, or otherwise.
USE OF NON-GAAP FINANCIAL INFORMATION
In addition to the results presented in accordance with GAAP, the
Company's results of operations discussed in this release include
certain non-GAAP financial information, including "net spread and
dollar roll income," "net spread and dollar roll income, excluding
'catch-up' premium amortization," "economic interest income" and
"economic interest expense" (both components of "net spread and
dollar roll income"), "estimated taxable income" and the related
per common share measures and certain financial metrics derived
from such non-GAAP information, such as "cost of funds" and "net
interest spread."
"Net spread and dollar roll income" is measured as (i) net
interest income (GAAP measure) adjusted to include TBA dollar roll
income, interest rate swap periodic cost and other interest and
dividend income (referred to as "adjusted net interest and dollar
roll income") less (ii) total operating expense (GAAP measure).
"Net spread and dollar roll income, excluding 'catch-up' premium
amortization," further excludes retrospective "catch-up"
adjustments to premium amortization cost due to changes in
projected CPR estimates.
By providing users of the Company's financial information with
such measures in addition to the related GAAP measures, the Company
believes users will have greater transparency into the information
used by the Company's management in its financial and operational
decision-making. The Company also believes that it is important for
users of its financial information to consider information related
to the Company's current financial performance without the effects
of certain transactions that are not necessarily indicative of its
current investment portfolio performance and operations.
Specifically, in the case of "adjusted net interest and dollar
roll income," the Company believes the inclusion of TBA dollar roll
income is meaningful as TBAs, which are accounted for under GAAP as
derivative instruments with gains and losses recognized in other
gain (loss) in the Company's statement of operations, are
economically equivalent to holding and financing generic Agency MBS
using short-term repurchase agreements. Similarly, the Company
believes that the inclusion of periodic interest rate swap
settlements in such measure, which are recognized under GAAP in
other gain (loss), is meaningful as interest rate swaps are the
primary instrument the Company uses to economically hedge against
fluctuations in the Company's borrowing costs and inclusion of
periodic interest rate swap settlements is more indicative of the
Company's total cost of funds than interest expense alone. In the
case of "net spread and dollar roll income, excluding 'catch-up'
premium amortization," the Company believes the exclusion of
"catch-up" adjustments to premium amortization cost is meaningful
as it excludes the cumulative effect from prior reporting periods
due to current changes in future prepayment expectations and,
therefore, exclusion of such "catch-up" cost or benefit is more
indicative of the current earnings potential of the Company's
investment portfolio. In the case of estimated taxable income
(loss), 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.