BETHESDA, Md., Jan. 30,
2023 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or
the "Company") (Nasdaq: AGNC) today announced financial results for
the quarter ended December 31, 2022.
FOURTH QUARTER 2022 FINANCIAL HIGHLIGHTS
- $1.17 comprehensive income per
common share, comprised of:
-
- $0.93 net income per common
share
- $0.24 other comprehensive income
("OCI") per common share on investments marked-to-market through
OCI
- $0.74 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost 1
-
- Includes $0.11 per common share
of dollar roll income associated with the Company's $19.0 billion average net long position in Agency
mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA")
market
- Excludes $(0.01) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $9.84 tangible net book value per
common share as of December 31,
2022
-
- Increased $0.76 per common share,
or 8.4%, from $9.08 per common share
as of September 30, 2022
- $0.36 dividends declared per
common share for the fourth quarter
- 12.3% economic return on tangible common equity for the
quarter
-
- Comprised of $0.36 dividends per
common share and $0.76 increase in
tangible net book value per common share
OTHER FOURTH QUARTER HIGHLIGHTS
- $59.5 billion investment
portfolio as of December 31, 2022,
comprised of:
-
- $39.5 billion Agency MBS
- $18.6 billion net TBA mortgage
position
- $1.4 billion credit risk
transfer ("CRT") and non-Agency securities
- 7.4x tangible net book value "at risk" leverage as of
December 31, 2022
-
- 7.8x average tangible net book value "at risk" leverage for the
quarter
- Cash and unencumbered Agency MBS totaled $4.3 billion as of December 31, 2022
-
- Excludes unencumbered CRT and non-Agency securities
- Represents 59% of the Company's tangible equity as of
December 31, 2022
- 7.4% average projected portfolio life CPR as of December 31, 2022
-
- 6.8% actual portfolio CPR for the quarter
- 2.74% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization cost
-
- Excludes -3 bps of "catch-up" premium amortization cost due to
change in projected CPR estimates
- Capital markets activity
-
- Issued 23.3 million common shares through At-the-Market ("ATM")
Offerings at an average offering price of $8.02 per share, net of offering costs, or
$187 million
2022 FULL YEAR HIGHLIGHTS
- $(4.22) comprehensive loss per
common share, comprised of:
-
- $(2.41) net loss per common
share
- $(1.81) OCI per common share
- $3.11 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization benefit 1
-
- Includes $0.96 per common share
of dollar roll income
- Excludes $0.44 per common share
of estimated "catch-up" premium amortization benefit
- $1.44 in dividends declared per
common share
- -28.4% economic return on tangible common equity for the year,
comprised of:
-
- $1.44 dividends per common
share
- $(5.91) decrease in tangible net
book value per common share, or -37.5%, from $15.75 per common share as of December 31, 2021
- -21.7% total stock return 2
- Capital markets activity
-
- Repurchased 4.7 million common shares, at an average repurchase
price of $10.78 per share, net of
costs, or $51 million
- Issued 56.0 million common shares, through ATM Offerings at an
average offering price of $9.39 per
share, net of costs, or $526
million
- Issued $150 million of 7.75%
Series G Fixed-Rate Reset preferred equity
____________
|
1
|
Represents a non-GAAP
measure. Please refer to a reconciliation to the most comparable
GAAP measure and additional information regarding the use of
non-GAAP financial information later in this release.
|
2
|
Includes dividend
reinvestments. Source: Bloomberg
|
MANAGEMENT REMARKS
"The fourth quarter of 2022
provided reason for optimism that a very constructive and durable
investment environment is emerging for Agency MBS," said
Peter Federico, the Company's
President and Chief Executive Officer. "Fixed income markets
stabilized over the quarter, and investor sentiment improved as
volatility and monetary policy uncertainty began to subside.
Against this backdrop, Agency MBS spreads to benchmark rates
tightened from historically wide levels, driving the meaningful
improvement in our tangible net book value per common share during
the quarter, both of which continued into January. While Agency MBS
as an asset class posted its worst annual performance on record in
2022, adverse market episodes in the past have often preceded
AGNC's most favorable investment environments and have proven to be
value enhancing over the long run.
"Looking ahead, our favorable outlook for Agency MBS is
supported by several compelling dynamics. First, mortgage spreads
remain well above historical averages and consistent with
generating strong risk-adjusted returns. Second, the supply of
Agency MBS to the private sector should be manageable given
elevated mortgage rates and affordability challenges. Third,
interest rate volatility should decline as the Federal Reserve
slows the pace of rate hikes and ultimately achieves its short-term
rate target. Collectively, these factors create a very favorable
investment environment for Agency MBS, which, importantly, may
prove to be more durable than previous episodes. With investment
spreads likely to remain above historical averages, we believe AGNC
is well-positioned to generate attractive returns for shareholders
without compromising our long-standing risk management
discipline."
"AGNC generated a 12.3% economic return in the fourth quarter of
2022, comprised of a $0.76 increase
in tangible net book value per common share and $0.36 of dividends per common share, as mortgage
spreads to benchmark interest rates drove a strong recovery in
Agency MBS valuations," said Bernice
Bell, the Company's Executive Vice President and Chief
Financial Officer. "AGNC's net spread and dollar roll income,
excluding 'catch-up' premium amortization, was $0.74 per common share, as higher funding costs
continued to be largely offset by our large interest rate swap
position. Finally, with tangible net book value 'at risk' leverage
of 7.4x as of quarter-end, we believe AGNC has flexibility to take
advantage of favorable investment opportunities throughout
2023."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of
December 31, 2022, the Company's
tangible net book value per common share was $9.84 per share, an increase of 8.4% for the
quarter compared to $9.08 per share
as of September 30, 2022. The
Company's tangible net book value per common share excludes
$526 million, or $0.92 and $0.95 per
share of goodwill as of December 31,
2022 and September 30, 2022,
respectively.
INVESTMENT PORTFOLIO
As of December 31, 2022, the Company's investment
portfolio totaled $59.5 billion,
comprised of:
- $58.1 billion of Agency MBS and
TBA securities, including:
-
- $57.7 billion of fixed-rate
securities, comprised of:
-
- $36.2 billion 30-year MBS,
- $18.6 billion 30-year TBA
securities,
- $1.6 billion 15-year MBS,
and
- $1.4 billion 20-year MBS;
and
- $0.3 billion of collateralized
mortgage obligations ("CMOs"), adjustable-rate and other Agency
securities; and
- $1.4 billion of CRT and
non-Agency securities.
As of December 31, 2022, 30-year
and 15-year fixed-rate Agency MBS and TBA securities represented
92% and 3%, respectively, of the Company's investment portfolio,
unchanged from September 30,
2022.
As of December 31, 2022, the
Company's fixed-rate Agency MBS and TBA securities' weighted
average coupon was 4.13%, compared to 3.80% as of September 30, 2022, comprised of the following
weighted average coupons:
- 4.20% for 30-year fixed-rate securities;
- 3.25% for 15-year fixed rate securities; and
- 2.51% 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 December 31,
2022, such positions had a fair value of $18.6 billion and a GAAP net carrying value of
$0.2 billion reported in derivative
assets/(liabilities) on the Company's balance sheet, compared to
$17.9 billion and $(1.2) billion, respectively, as of September 30, 2022.
CONSTANT PREPAYMENT RATES
The Company's weighted
average projected CPR for the remaining life of its Agency
securities held as of December 31,
2022 increased to 7.4% from 7.0% as of September 30, 2022. The Company's weighted
average CPR for the fourth quarter was 6.8%, compared to 9.2% for
the prior quarter.
The weighted average cost basis of the Company's investment
portfolio was 103.4% of par value as of December 31, 2022. The Company's investment
portfolio generated net premium amortization cost of $(55) million, or $(0.10) per common share, for the fourth quarter,
which includes "catch-up" premium amortization cost of $(5) million, or $(0.01) per common share, due to an increase in
the Company's CPR projections for certain securities acquired prior
to the fourth quarter. This compares to net premium amortization
cost for the prior quarter of $(36)
million, or $(0.07) per common
share, including a "catch-up" premium amortization benefit of
$18 million, or $0.03 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 3.14% for the fourth
quarter, compared to 3.09% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's average asset yield
was 3.17% for the fourth quarter, compared to 2.94% for the prior
quarter. Including the TBA position and excluding "catch-up"
premium amortization, the Company's average asset yield for the
fourth quarter was 3.68%, compared to 3.31% for the prior
quarter.
For the fourth quarter, the weighted average interest rate on
the Company's repurchase agreements was 3.55%, compared to 1.89%
for the prior quarter. For the fourth quarter, the Company's TBA
position had an implied financing cost of 3.41%, compared to 1.80%
for the prior quarter. Inclusive of interest rate swaps, the
Company's combined weighted average cost of funds for the fourth
quarter was 0.94%, compared to 0.50% for the prior quarter.
The Company's annualized net interest spread, including the TBA
position and interest rate swaps and excluding "catch-up" premium
amortization, for the fourth quarter was 2.74%, compared to 2.81%
for the prior quarter.
NET SPREAD AND DOLLAR ROLL INCOME
The Company
recognized net spread and dollar roll income (a non-GAAP financial
measure) for the fourth quarter of $0.74 per common share, excluding $(0.01) per common share of "catch-up" premium
amortization cost, compared to $0.84
per common share for the prior quarter, excluding $0.03 per common share of "catch-up" premium
amortization benefit.
A reconciliation of the Company's total comprehensive income
(loss) to net spread and dollar roll income, excluding "catch-up"
premium amortization, and additional information regarding the
Company's use of non-GAAP measures are included later in this
release.
LEVERAGE
As of December 31,
2022, $35.9 billion of
repurchase agreements, $18.4 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
$0.4 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 December 31, 2022, compared to
8.7x as of September 30, 2022. The
Company's average "at risk" leverage for the fourth quarter was
7.8x tangible net book value, compared to 8.1x for the prior
quarter.
As of December 31, 2022, the
Company's repurchase agreements had a weighted average interest
rate of 4.31%, compared to 2.85% as of September 30, 2022, and a weighted average
remaining maturity of 23 days, compared to 35 days as of
September 30, 2022. As of
December 31, 2022, $17.8 billion, or 50%, of the Company's
repurchase agreements were funded through the Company's captive
broker-dealer subsidiary, Bethesda Securities, LLC.
As of December 31, 2022, the
Company's repurchase agreements had remaining maturities of:
- $34.5 billion of three months or
less and
- $1.4 billion from three to six
months.
HEDGING ACTIVITIES
As of December 31, 2022, interest rate swaps, swaptions
and U.S. Treasury positions equaled 124% of the Company's
outstanding balance of repurchase agreements, TBA position and
other debt, compared to 118% as of September
30, 2022.
As of December 31, 2022, the
Company's interest rate swap position totaled $47.8 billion in notional amount, compared to
$47.1 billion as of September 30, 2022. As of December 31, 2022, the Company's interest rate
swap portfolio had an average fixed pay rate of 0.37%, an average
receive rate of 4.31% and an average maturity of 3.2 years,
compared to 0.21%, 3.00% and 3.5 years, respectively, as of
September 30, 2022. As of
December 31, 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 December 31, 2022, the
Company had payer swaptions outstanding totaling $3.1 billion, compared to $3.4 billion as of September 30, 2022, and net short U.S. Treasury
positions outstanding totaling $16.7
billion, compared to $18.4
billion as of September 30,
2022.
OTHER GAIN (LOSS), NET
For the fourth quarter, the
Company recorded a net gain of $550
million in other gain (loss), net, or $0.97 per common share, compared to a net loss of
$(824) million, or $(1.56) per common share, for the prior quarter.
Other gain (loss), net for the fourth quarter was comprised of:
- $(1,068) million of net realized
losses on sales of investment securities;
- $1,462 million of net unrealized
gains on investment securities measured at fair value through net
income;
- $356 million of interest rate
swap periodic income;
- $(191) million of net losses on
interest rate swaps;
- $(9) million of net losses on
interest rate swaptions;
- $(145) million of net losses on
U.S. Treasury positions;
- $65 million of TBA dollar roll
income;
- $105 million of net
mark-to-market gains on TBA securities; and
- $(25) million of other
miscellaneous losses.
OTHER COMPREHENSIVE INCOME
During the fourth quarter,
the Company recorded other comprehensive income of $135 million, or $0.24 per common share, consisting of net
unrealized gains on the Company's Agency securities recognized
through OCI, compared to $(372)
million, or $(0.70) per common
share, of other comprehensive loss for the prior quarter.
COMMON STOCK DIVIDENDS
During the fourth quarter, the
Company declared dividends of $0.12
per share to common stockholders of record as of October 31, November
30, and December 30, 2022,
totaling $0.36 per share for the
quarter. Since its May 2008 initial
public offering through the fourth quarter of 2022, the Company has
declared a total of $12.0 billion in
common stock dividends, or $45.76 per
common share.
The Company also announced it has published the tax
characteristics of its distributions for common stock dividends and
for each series of its preferred stock dividends for calendar year
2022 on its website at www.AGNC.com. Stockholders should receive an
IRS Form 1099-DIV containing this information from their brokers,
transfer agents or other institutions.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO
STATISTICS
The following measures of operating performance
include net spread and dollar roll income; net spread and dollar
roll income, excluding "catch-up" premium amortization; economic
interest income; economic interest expense; estimated taxable
income; and the related per common share measures and financial
metrics derived from such information, which are non-GAAP financial
measures. Please refer to "Use of Non-GAAP Financial Information"
later in this release for further discussion of non-GAAP
measures.
AGNC INVESTMENT
CORP.
|
CONSOLIDATED BALANCE
SHEETS
|
(in millions, except
per share data)
|
|
|
|
|
|
|
|
|
|
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2021
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at
fair value (including pledged securities of $35,800, $37,886,
$40,107, $43,261 and $47,601, respectively)
|
$
39,346
|
|
$
41,740
|
|
$
43,459
|
|
$
47,214
|
|
$
52,396
|
Agency securities
transferred to consolidated variable interest entities, at fair
value (pledged securities)
|
144
|
|
149
|
|
167
|
|
184
|
|
208
|
Credit risk transfer
securities, at fair value (including pledged securities of $703,
$815, $629, $471 and $510, respectively)
|
757
|
|
860
|
|
894
|
|
885
|
|
974
|
Non-Agency securities,
at fair value, and other mortgage credit investments (including
pledged securities of $605, $775, $643, $466 and $571,
respectively)
|
682
|
|
869
|
|
881
|
|
804
|
|
843
|
U.S. Treasury
securities, at fair value (including pledged securities of $353,
$1,213, $1,882, $684 and $471, respectively)
|
353
|
|
1,213
|
|
1,882
|
|
684
|
|
471
|
Cash and cash
equivalents
|
1,018
|
|
976
|
|
906
|
|
1,004
|
|
998
|
Restricted
cash
|
1,316
|
|
2,186
|
|
1,333
|
|
1,087
|
|
527
|
Derivative assets, at
fair value
|
617
|
|
851
|
|
536
|
|
647
|
|
317
|
Receivable for
investment securities sold (including pledged securities of $119,
$1,163, $1,907, $2,160 and $0, respectively)
|
120
|
|
1,169
|
|
2,006
|
|
2,317
|
|
—
|
Receivable under
reverse repurchase agreements
|
6,622
|
|
7,577
|
|
8,438
|
|
10,645
|
|
10,475
|
Goodwill
|
526
|
|
526
|
|
526
|
|
526
|
|
526
|
Other assets
|
247
|
|
408
|
|
212
|
|
397
|
|
414
|
Total assets
|
$
51,748
|
|
$
58,524
|
|
$
61,240
|
|
$
66,394
|
|
$
68,149
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
36,262
|
|
$
40,306
|
|
$
43,153
|
|
$
44,715
|
|
$
47,381
|
Debt of consolidated
variable interest entities, at fair value
|
95
|
|
98
|
|
107
|
|
116
|
|
126
|
Payable for investment
securities purchased
|
302
|
|
1,279
|
|
547
|
|
857
|
|
80
|
Derivative liabilities,
at fair value
|
99
|
|
1,221
|
|
237
|
|
668
|
|
86
|
Dividends
payable
|
100
|
|
92
|
|
88
|
|
88
|
|
88
|
Obligation to return
securities borrowed under reverse repurchase agreements, at fair
value
|
6,534
|
|
7,469
|
|
8,265
|
|
10,277
|
|
9,697
|
Accounts payable and
other liabilities
|
486
|
|
837
|
|
803
|
|
743
|
|
400
|
Total
liabilities
|
43,878
|
|
51,302
|
|
53,200
|
|
57,464
|
|
57,858
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred Stock -
aggregate liquidation preference of $1,688, $1,688, $1,538, $1,538
and $1,538
|
1,634
|
|
1,634
|
|
1,489
|
|
1,489
|
|
1,489
|
Common stock - $0.01
par value; 574.6, 551.3, 522.7, 523.3 and 522.2 shares issued and
outstanding, respectively
|
6
|
|
6
|
|
5
|
|
5
|
|
5
|
Additional paid-in
capital
|
14,186
|
|
13,999
|
|
13,707
|
|
13,704
|
|
13,710
|
Retained
deficit
|
(7,284)
|
|
(7,610)
|
|
(6,726)
|
|
(6,078)
|
|
(5,214)
|
Accumulated other
comprehensive income (loss)
|
(672)
|
|
(807)
|
|
(435)
|
|
(190)
|
|
301
|
Total stockholders'
equity
|
7,870
|
|
7,222
|
|
8,040
|
|
8,930
|
|
10,291
|
Total liabilities and
stockholders' equity
|
$
51,748
|
|
$
58,524
|
|
$
61,240
|
|
$
66,394
|
|
$
68,149
|
|
|
|
|
|
|
|
|
|
|
Tangible net book value per common share
1
|
$
9.84
|
|
$
9.08
|
|
$
11.43
|
|
$
13.12
|
|
$
15.75
|
AGNC INVESTMENT
CORP.
|
CONSOLIDATED STATEMENTS
OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2022
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
347
|
|
$
373
|
|
$
395
|
|
$
475
|
|
$
1,590
|
Interest
expense
|
322
|
|
196
|
|
80
|
|
27
|
|
625
|
Net interest
income
|
25
|
|
177
|
|
315
|
|
448
|
|
965
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized loss on sale
of investment securities, net
|
(1,068)
|
|
(560)
|
|
(946)
|
|
(342)
|
|
(2,916)
|
Unrealized gain (loss)
on investment securities measured at fair value through net income,
net
|
1,462
|
|
(1,738)
|
|
(987)
|
|
(2,532)
|
|
(3,795)
|
Gain on derivative
instruments and other investments, net
|
156
|
|
1,474
|
|
1,204
|
|
1,796
|
|
4,630
|
Total other gain
(loss), net
|
550
|
|
(824)
|
|
(729)
|
|
(1,078)
|
|
(2,081)
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
5
|
|
11
|
|
12
|
|
13
|
|
41
|
Other operating
expense
|
9
|
|
8
|
|
8
|
|
8
|
|
33
|
Total operating
expense
|
14
|
|
19
|
|
20
|
|
21
|
|
74
|
Net income
(loss)
|
561
|
|
(666)
|
|
(434)
|
|
(651)
|
|
(1,190)
|
Dividend on preferred
stock
|
29
|
|
26
|
|
25
|
|
25
|
|
105
|
Net income (loss)
available (attributable) to common stockholders
|
$
532
|
|
$
(692)
|
|
$
(459)
|
|
$
(676)
|
|
$
(1,295)
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
561
|
|
$
(666)
|
|
$
(434)
|
|
$
(651)
|
|
$
(1,190)
|
Unrealized gain (loss)
on investment securities measured at fair value through other
comprehensive income (loss), net
|
135
|
|
(372)
|
|
(245)
|
|
(491)
|
|
(973)
|
Comprehensive income
(loss)
|
696
|
|
(1,038)
|
|
(679)
|
|
(1,142)
|
|
(2,163)
|
Dividend on preferred
stock
|
29
|
|
26
|
|
25
|
|
25
|
|
105
|
Comprehensive income
(loss) available (attributable) to common
stockholders
|
$
667
|
|
$
(1,064)
|
|
$
(704)
|
|
$
(1,167)
|
|
$
(2,268)
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
568.4
|
|
528.7
|
|
526.2
|
|
524.3
|
|
537.0
|
Weighted average
number of common shares outstanding - diluted
|
569.5
|
|
528.7
|
|
526.2
|
|
524.3
|
|
537.0
|
Net income (loss)
per common share - basic
|
$
0.94
|
|
$
(1.31)
|
|
$
(0.87)
|
|
$
(1.29)
|
|
$
(2.41)
|
Net income (loss)
per common share - diluted
|
$
0.93
|
|
$
(1.31)
|
|
$
(0.87)
|
|
$
(1.29)
|
|
$
(2.41)
|
Comprehensive income
(loss) per common share - basic
|
$
1.17
|
|
$
(2.01)
|
|
$
(1.34)
|
|
$
(2.23)
|
|
$
(4.22)
|
Comprehensive income
(loss) per common share - diluted
|
$
1.17
|
|
$
(2.01)
|
|
$
(1.34)
|
|
$
(2.23)
|
|
$
(4.22)
|
Dividends declared
per common share
|
$
0.36
|
|
$
0.36
|
|
$
0.36
|
|
$
0.36
|
|
$
1.44
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF GAAP
COMPREHENSIVE INCOME (LOSS) TO NET SPREAD AND DOLLAR ROLL
INCOME (NON-GAAP MEASURE) 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2022
|
Comprehensive income
(loss) available (attributable) to common
stockholders
|
$
667
|
|
$
(1,064)
|
|
$
(704)
|
|
$
(1,167)
|
|
$
(2,268)
|
Adjustments to
exclude realized and unrealized (gains) losses reported through net
income:
|
|
|
|
|
|
|
|
|
|
Realized loss on sale
of investment securities, net
|
1,068
|
|
560
|
|
946
|
|
342
|
|
2,916
|
Unrealized (gain) loss
on investment securities measured at fair value through net income,
net
|
(1,462)
|
|
1,738
|
|
987
|
|
2,532
|
|
3,795
|
Gain on derivative
instruments and other securities, net
|
(156)
|
|
(1,474)
|
|
(1,204)
|
|
(1,796)
|
|
(4,630)
|
Adjustment to
exclude unrealized (gain) loss reported through other comprehensive
income
|
|
|
|
|
|
|
|
|
|
Unrealized (gain) loss
on available-for-sale securities measure at fair value through
other comprehensive income, net
|
(135)
|
|
372
|
|
245
|
|
491
|
|
973
|
Other
adjustments
|
|
|
|
|
|
|
|
|
|
TBA dollar roll
income 3,4
|
65
|
|
119
|
|
182
|
|
152
|
|
518
|
Interest rate swap
periodic income (cost) 3,8
|
356
|
|
211
|
|
49
|
|
(18)
|
|
598
|
Other interest income,
net 3
|
12
|
|
—
|
|
—
|
|
—
|
|
12
|
Net spread and
dollar roll income available to common stockholders
|
415
|
|
462
|
|
501
|
|
536
|
|
1,914
|
Estimated "catch up"
premium amortization cost
(benefit) due to change in CPR
forecast 11
|
5
|
|
(18)
|
|
(66)
|
|
(159)
|
|
(238)
|
Net spread and
dollar roll income, excluding "catch-up" premium amortization,
available to common stockholders
|
$
420
|
|
$
444
|
|
$
435
|
|
$
377
|
|
$
1,676
|
|
|
|
|
|
|
|
|
|
|
Weighted average number
of common shares outstanding - basic
|
568.4
|
|
528.7
|
|
526.2
|
|
524.3
|
|
537.0
|
Weighted average number
of common shares outstanding - diluted
|
569.5
|
|
529.8
|
|
527.1
|
|
525.7
|
|
538.1
|
Net spread and dollar
roll income per common share - basic
|
$
0.73
|
|
$
0.87
|
|
$
0.95
|
|
$
1.02
|
|
$
3.56
|
Net spread and dollar
roll income per common share - diluted
|
$
0.73
|
|
$
0.87
|
|
$
0.95
|
|
$
1.02
|
|
$
3.56
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per common
share - basic
|
$
0.74
|
|
$
0.84
|
|
$
0.83
|
|
$
0.72
|
|
$
3.12
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per common
share - diluted
|
$
0.74
|
|
$
0.84
|
|
$
0.83
|
|
$
0.72
|
|
$
3.11
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF GAAP
NET INCOME TO ESTIMATED TAXABLE INCOME (NON-GAAP MEASURE)
2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2022
|
Net
income/(loss)
|
$
561
|
|
$
(666)
|
|
$
(434)
|
|
$
(651)
|
|
$
(1,190)
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
20
|
|
(15)
|
|
(78)
|
|
(176)
|
|
(249)
|
Realized gain/loss,
net
|
(114)
|
|
(1,454)
|
|
(1,210)
|
|
(2,365)
|
|
(5,143)
|
Net capital
loss/(utilization of net capital loss carryforward)
|
1,441
|
|
353
|
|
1,666
|
|
868
|
|
4,328
|
Unrealized (gain)/loss,
net
|
(1,672)
|
|
2,034
|
|
78
|
|
2,294
|
|
2,734
|
Other
|
(7)
|
|
(2)
|
|
—
|
|
(13)
|
|
(22)
|
Total book to tax
differences
|
(332)
|
|
916
|
|
456
|
|
608
|
|
1,648
|
REIT taxable income
(loss)
|
229
|
|
250
|
|
22
|
|
(43)
|
|
458
|
REIT taxable income
attributed to preferred stock
|
29
|
|
76
|
|
—
|
|
—
|
|
105
|
REIT taxable income
(loss), attributed to common stock
|
$
200
|
|
$
174
|
|
$
22
|
|
$
(43)
|
|
$
353
|
Weighted average common
shares outstanding - basic
|
568.4
|
|
528.7
|
|
526.2
|
|
524.3
|
|
537.0
|
Weighted average common
shares outstanding - diluted
|
569.5
|
|
529.8
|
|
527.1
|
|
524.3
|
|
538.1
|
REIT taxable income
(loss) per common share - basic
|
$
0.35
|
|
$
0.33
|
|
$
0.04
|
|
$
(0.08)
|
|
$
0.66
|
REIT taxable income
(loss) per common share - diluted
|
$
0.35
|
|
$
0.33
|
|
$
0.04
|
|
$
(0.08)
|
|
$
0.66
|
|
|
|
|
|
|
|
|
|
|
Beginning net capital
loss carryforward
|
$
2,887
|
|
$
2,534
|
|
$
868
|
|
$
—
|
|
$
—
|
Increase (decrease) in
net capital loss carryforward
|
1,441
|
|
353
|
|
1,666
|
|
868
|
|
4,328
|
Ending net capital loss
carryforward
|
$
4,328
|
|
$
2,887
|
|
$
2,534
|
|
$
868
|
|
$
4,328
|
Ending net capital loss
carryforward per common share
|
$
7.53
|
|
$
5.24
|
|
$
4.85
|
|
$
1.66
|
|
$
7.53
|
AGNC INVESTMENT
CORP.
|
NET INTEREST SPREAD
COMPONENTS BY FUNDING SOURCE 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2022
|
Adjusted net
interest and dollar roll income, excluding "catch-up" premium
amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment securities -
GAAP interest income 12
|
$
347
|
|
$
373
|
|
$
395
|
|
$
475
|
|
$
1,590
|
Estimated "catch-up"
premium amortization cost
(benefit) due to change in CPR
forecast 11
|
5
|
|
(18)
|
|
(66)
|
|
(159)
|
|
(238)
|
TBA dollar roll income
- implied interest income 3,6
|
230
|
|
213
|
|
180
|
|
123
|
|
746
|
Economic interest
income, excluding "catch-up" premium amortization
|
582
|
|
568
|
|
509
|
|
439
|
|
2,098
|
Economic interest
(expense) benefit:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - GAAP interest expense
|
(322)
|
|
(196)
|
|
(80)
|
|
(27)
|
|
(625)
|
TBA dollar roll income
- implied interest (expense)
benefit 3,5
|
(165)
|
|
(94)
|
|
2
|
|
29
|
|
(228)
|
Interest rate swap
periodic (cost)
income, net 3,8
|
356
|
|
211
|
|
49
|
|
(18)
|
|
598
|
Economic interest
(expense) benefit
|
(131)
|
|
(79)
|
|
(29)
|
|
(16)
|
|
(255)
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
451
|
|
$
489
|
|
$
480
|
|
$
423
|
|
$
1,843
|
|
|
|
|
|
|
|
|
|
|
Net interest spread,
excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities -
average asset yield
|
3.14 %
|
|
3.09 %
|
|
3.09 %
|
|
3.55 %
|
|
3.23 %
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in CPR
forecast
|
0.03 %
|
|
(0.15) %
|
|
(0.51) %
|
|
(1.19) %
|
|
(0.48) %
|
Investment securities
average asset yield, excluding "catch-up" premium
amortization
|
3.17 %
|
|
2.94 %
|
|
2.58 %
|
|
2.36 %
|
|
2.75 %
|
TBA securities -
average implied asset yield 6
|
4.86 %
|
|
4.18 %
|
|
3.66 %
|
|
2.09 %
|
|
3.60 %
|
Average asset yield,
excluding "catch-up" premium amortization 7
|
3.68 %
|
|
3.31 %
|
|
2.88 %
|
|
2.28 %
|
|
3.00 %
|
Average total cost
(benefit) of funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - average funding cost
|
3.55 %
|
|
1.89 %
|
|
0.74 %
|
|
0.23 %
|
|
1.49 %
|
TBA securities -
average implied funding cost
(benefit) 5
|
3.41 %
|
|
1.80 %
|
|
(0.04) %
|
|
(0.49) %
|
|
1.08 %
|
Average
cost (benefit) of funds, before interest rate swap periodic cost
(income), net 7
|
3.50 %
|
|
1.86 %
|
|
0.49 %
|
|
(0.01) %
|
|
1.35 %
|
Interest rate swap
periodic cost
(income), net 10
|
(2.56) %
|
|
(1.36) %
|
|
(0.31) %
|
|
0.10 %
|
|
(0.95) %
|
Average total
cost (benefit) of funds 9
|
0.94 %
|
|
0.50 %
|
|
0.18 %
|
|
0.09 %
|
|
0.40 %
|
Average net interest
spread, excluding "catch-up" premium amortization
|
2.74 %
|
|
2.81 %
|
|
2.70 %
|
|
2.19 %
|
|
2.60 %
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
|
December 31,
2021
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency MBS,
at fair value - as of period end
|
$
39,169
|
|
$
41,578
|
|
$
43,382
|
|
$
47,124
|
|
$
52,289
|
Other Agency MBS, at
fair value - as of period end
|
$
321
|
|
$
311
|
|
$
244
|
|
$
274
|
|
$
315
|
Credit risk transfer
securities, at fair value - as of period end
|
$
757
|
|
$
860
|
|
$
894
|
|
$
885
|
|
$
974
|
Non-Agency MBS, at fair
value - as of period end 21
|
$
657
|
|
$
843
|
|
$
881
|
|
$
804
|
|
$
843
|
Total investment
securities, at fair value - as of period end
|
$
40,904
|
|
$
43,592
|
|
$
45,401
|
|
$
49,087
|
|
$
54,421
|
Total investment
securities, at cost - as of period end
|
$
44,880
|
|
$
49,162
|
|
$
48,862
|
|
$
51,316
|
|
$
53,628
|
Total investment
securities, at par - as of period end
|
$
43,403
|
|
$
47,646
|
|
$
47,347
|
|
$
49,511
|
|
$
51,878
|
Average investment
securities, at cost
|
$
44,351
|
|
$
48,362
|
|
$
51,089
|
|
$
53,535
|
|
$
53,057
|
Average investment
securities, at par
|
$
42,978
|
|
$
46,863
|
|
$
49,453
|
|
$
51,749
|
|
$
51,262
|
TBA securities:
20
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio - as
of period end, at fair value
|
$
18,574
|
|
$
17,902
|
|
$
15,893
|
|
$
19,543
|
|
$
27,578
|
Net TBA portfolio - as
of period end, at cost
|
$
18,407
|
|
$
19,116
|
|
$
16,001
|
|
$
20,152
|
|
$
27,622
|
Net TBA portfolio - as
of period end, carrying value
|
$
167
|
|
$
(1,214)
|
|
$
(108)
|
|
$
(609)
|
|
$
(44)
|
Average net TBA
portfolio, at cost
|
$
18,988
|
|
$
20,331
|
|
$
19,653
|
|
$
23,605
|
|
$
29,014
|
Average repurchase
agreements and other debt 13
|
$
35,486
|
|
$
40,530
|
|
$
42,997
|
|
$
46,570
|
|
$
46,999
|
Average stockholders'
equity 14
|
$
7,481
|
|
$
8,040
|
|
$
8,525
|
|
$
9,545
|
|
$
10,499
|
Tangible net book value
per common share 1
|
$
9.84
|
|
$
9.08
|
|
$
11.43
|
|
$
13.12
|
|
$
15.75
|
Tangible net book value
"at risk" leverage - average 15
|
7.8 :1
|
|
8.1 :1
|
|
7.8 :1
|
|
7.8 :1
|
|
7.6 :1
|
Tangible net book value
"at risk" leverage - as of period end 16
|
7.4 :1
|
|
8.7 :1
|
|
7.4 :1
|
|
7.5 :1
|
|
7.7 :1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.74 %
|
|
3.49 %
|
|
3.19 %
|
|
3.07 %
|
|
3.12 %
|
Average asset
yield
|
3.14 %
|
|
3.09 %
|
|
3.09 %
|
|
3.55 %
|
|
1.98 %
|
Average asset yield,
excluding "catch-up" premium amortization
|
3.17 %
|
|
2.94 %
|
|
2.58 %
|
|
2.36 %
|
|
2.31 %
|
Average coupon - as of
period end
|
3.94 %
|
|
3.63 %
|
|
3.35 %
|
|
3.13 %
|
|
3.08 %
|
Average asset yield -
as of period end
|
3.37 %
|
|
3.14 %
|
|
2.85 %
|
|
2.56 %
|
|
2.43 %
|
Average actual CPR for
securities held during the period
|
6.8 %
|
|
9.2 %
|
|
12.4 %
|
|
14.5 %
|
|
18.6 %
|
Average forecasted CPR
- as of period end
|
7.4 %
|
|
7.0 %
|
|
7.2 %
|
|
7.9 %
|
|
10.9 %
|
Total premium
amortization (cost) benefit, net
|
$
(55)
|
|
$
(36)
|
|
$
—
|
|
$
78
|
|
$
(138)
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Average coupon - as of
period end 17
|
4.84 %
|
|
4.30 %
|
|
4.35 %
|
|
3.25 %
|
|
2.47 %
|
Average implied asset
yield 6
|
4.86 %
|
|
4.18 %
|
|
3.66 %
|
|
2.09 %
|
|
1.80 %
|
Combined investment and
TBA securities - average asset yield, excluding "catch-up" premium
amortization 7
|
3.68 %
|
|
3.31 %
|
|
2.88 %
|
|
2.28 %
|
|
2.13 %
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements -
average funding cost
|
3.55 %
|
|
1.89 %
|
|
0.74 %
|
|
0.23 %
|
|
0.12 %
|
TBA securities -
average implied funding cost (benefit) 5
|
3.41 %
|
|
1.80 %
|
|
(0.04) %
|
|
(0.49) %
|
|
(0.46) %
|
Interest rate swaps -
average periodic (income) expense, net 10
|
(2.56) %
|
|
(1.36) %
|
|
(0.31) %
|
|
0.10 %
|
|
0.08 %
|
Average total cost
(benefit) of funds, inclusive of TBAs and interest rate swap
periodic (income) expense, net 7,9
|
0.94 %
|
|
0.50 %
|
|
0.18 %
|
|
0.09 %
|
|
(0.02) %
|
Repurchase agreements -
average funding cost as of period end
|
4.31 %
|
|
2.85 %
|
|
1.25 %
|
|
0.37 %
|
|
0.15 %
|
Interest rate swaps -
average net pay/(receive) rate as of period end 18
|
(3.94) %
|
|
(2.79) %
|
|
(1.23) %
|
|
(0.04) %
|
|
0.15 %
|
Net interest
spread:
|
|
|
|
|
|
|
|
|
|
Combined investment and
TBA securities average net interest spread
|
2.70 %
|
|
2.91 %
|
|
3.07 %
|
|
3.01 %
|
|
1.93 %
|
Combined investment and
TBA securities average net interest spread, excluding "catch-up"
premium amortization
|
2.74 %
|
|
2.81 %
|
|
2.70 %
|
|
2.19 %
|
|
2.15 %
|
Expenses % of average
stockholders' equity - annualized
|
0.75 %
|
|
0.95 %
|
|
0.94 %
|
|
0.88 %
|
|
0.76 %
|
Economic return (loss)
on tangible common equity - unannualized 19
|
12.3 %
|
|
(17.4) %
|
|
(10.1) %
|
|
(14.4) %
|
|
(1.8) %
|
*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 (at cost)).
- "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
accounted for as derivative instruments in the accompanying
consolidated balance sheets and statements of operations.
- 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 TBA dollar roll position and, if applicable, forward
settling securities accounted for as derivative instruments in the
accompanying consolidated balance sheets and statements of
operations. Amount is net of short TBA securities.
- Non-Agency MBS, at fair value, excludes $25 million and $26
million of other mortgage credit investments held as of
December 31, 2022 and September 30, 2022, respectively.
STOCKHOLDER CALL
AGNC invites stockholders,
prospective stockholders and analysts to attend the AGNC
stockholder call on January 31, 2023
at 8:30 am ET. Interested persons who
do not plan on asking a question and have internet access are
encouraged to utilize the free webcast at www.AGNC.com. Those
who plan on participating in the Q&A or do not have internet
available may access the call by dialing (877) 300-5922 (U.S.
domestic) or (412) 902-6621 (international). Please advise the
operator you are dialing in for the AGNC Investment Corp.
stockholder call.
A slide presentation will accompany the call and will be
available at www.AGNC.com. Select the Q4 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 January 31, 2023. In addition, there will be a phone
recording available one hour after the call on January 31,
2023 through February 7, 2023. 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 1579737.
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 monetary policy and other factors
that affect interest rates, MBS spreads to benchmark interest
rates, the forward yield curve, or prepayment rates; the
availability and terms of financing; changes in the market value of
the Company's assets; general economic or geopolitical conditions;
liquidity and other conditions in the market for Agency securities
and other financial markets; 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", "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 available to common
stockholders is measured as comprehensive income (loss) available
(attributable) to common stockholders (GAAP measure) adjusted to:
(i) exclude gains/losses on investment securities recognized
through net income or other comprehensive income and gains/losses
on derivative instruments and other securities (GAAP measures) and
(ii) include interest rate swap periodic income/cost, TBA dollar
roll income and other miscellaneous interest income/expense. As
defined, net spread and dollar roll income available to common
stockholders represents net interest income (GAAP measure) adjusted
to include TBA dollar roll income, interest rate swap periodic
income/cost and other miscellaneous interest income/expense, less
total operating expense (GAAP measure) and dividends on preferred
stock (GAAP measure). Net spread and dollar roll income, excluding
'catch-up' premium amortization, available to common stockholders
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 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, the Company believes the inclusion of TBA dollar
roll income is meaningful as TBAs are economically equivalent to
holding and financing generic Agency MBS using short-term
repurchase agreements but are recognized under GAAP in gain/loss on
derivative instruments in the Company's statement of operations.
Similarly, the Company believes that the inclusion of periodic
interest rate swap settlements in such measure, which are
recognized under GAAP in gain/loss on derivative instruments, 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 comprehensive income (loss) 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-fourth-quarter-2022-financial-results-301733891.html
SOURCE AGNC Investment Corp.