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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/06/2015
Entire Document
 


Net Spread and Dollar Roll Income
The table below presents a reconciliation of our net interest income (the most comparable GAAP financial measure) to our net spread and dollar roll income and to our net spread and dollar roll income, excluding estimated "catch-up" premium amortization cost (non-GAAP financial measures) for the three months ended March 31, 2015 and 2014 (dollars in millions):
 
 
Three Months Ended March 31,
 
 
2015
 
2014
Net interest income
 
$
297

 
$
291

Other periodic interest costs of interest rate swaps, net 1
 
(84
)
 
(83
)
Dividend from REIT equity securities
 
2

 
10

TBA dollar roll income 1
 
57

 
48

Adjusted net interest income
 
272

 
266

  Operating expenses
 
36

 
35

Net spread and dollar roll income
 
236

 
231

Dividend on preferred stock
 
7

 
3

Net spread and dollar roll income available to common stockholders
 
229

 
228

Estimated "catch-up" premium amortization cost due to change in CPR forecast
 
19

 
25

Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders
 
$
248

 
$
253

 
 
 
 
 
Weighted average number of common shares outstanding - basic and diluted
 
352.8

 
354.8

Net spread and dollar roll income per common share - basic and diluted
 
$
0.65

 
$
0.64

Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic and diluted
 
$
0.70

 
$
0.71

_______________________
1.
Reported in gain (loss) on derivatives and other securities, net in our consolidated statements of comprehensive income

Net spread and dollar roll income, excluding "catch-up" premium amortization cost, for the three months ended March 31, 2015 was largely unchanged at $0.70 per common share, compared to $0.71 per common share for the three months ended March 31, 2014, despite a decline in our average "at risk" leverage. Our smaller investment portfolio was largely offset by the combination of favorable financing in the TBA dollar roll market and a moderate shift from repo funded assets towards dollar roll funded assets and lower swap costs. Our average net interest rate spread and dollar roll income (i.e., the difference between the average yield on our assets and our average cost of funds), excluding catch-up premium amortization cost, was approximately 1.64% for the three months ended March 31, 2015, compared to 1.59% for the three months ended March 31, 2014. Including catch-up premium amortization cost, our net interest rate spread and dollar roll income was 1.53% for the three months ended March 31, 2015, compared to 1.43% for the three months ended March 31, 2014.

Gain (Loss) on Sale of Agency Securities, Net  
The following table is a summary of our net gain (loss) on sale of agency MBS for the three months ended March 31, 2015 and 2014 (in millions): 
 
Three Months Ended March 31,
 
2015
 
2014
Agency MBS sold, at cost
$
(7,732
)
 
$
(9,711
)
Proceeds from agency MBS sold 1
7,768

 
9,692

Net gain (loss) on sale of agency MBS
$
36

 
$
(19
)
 
 
 
 
Gross gain on sale of agency MBS
$
57

 
$
42

Gross loss on sale of agency MBS
(21
)
 
(61
)
Net gain (loss) on sale of agency MBS
$
36

 
$
(19
)
 _______________________
1.
Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end.


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