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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2015
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 and nine months ended September 30, 2015 and 2014 (dollars in millions):
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2015
 
2014
 
2015
 
2014
Net interest income
 
$
218

 
$
269

 
$
848

 
$
850

Other periodic interest costs of interest rate swaps, net 1
 
(107
)
 
(82
)
 
(290
)
 
(252
)
Dividend from REIT equity securities 1
 
1

 
2

 
5

 
18

TBA dollar roll income 1
 
73

 
152

 
184

 
338

Adjusted net interest income
 
185

 
341

 
747

 
954

  Operating expenses
 
34

 
35

 
106

 
106

Net spread and dollar roll income
 
151

 
306

 
641

 
848

Dividend on preferred stock
 
7

 
7

 
21

 
16

Net spread and dollar roll income available to common stockholders
 
144

 
299

 
620

 
832

Estimated "catch-up" premium amortization cost due to change in CPR forecast
 
33

 
3

 
15

 
28

Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders
 
$
177

 
$
302

 
$
635

 
$
860

 
 
 
 
 
 
 
 
 
Weighted average number of common shares outstanding - basic and diluted
 
347.8

 
352.8

 
350.9

 
353.5

Net spread and dollar roll income per common share - basic and diluted
 
$
0.41

 
$
0.85

 
$
1.77

 
$
2.35

Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic and diluted
 
$
0.51

 
$
0.86

 
$
1.81

 
$
2.43

_______________________
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 adjustments, for the three and nine months ended September 30, 2015 decreased to $0.51 and $1.81 per common share, respectively, versus $0.86 and $2.43 per common share for the three and nine months ended September 30, 2014, respectively, due to lower "at risk" leverage, a decline in TBA dollar roll income and a higher cost of funds. The decline in dollar roll income was a function of a smaller average net TBA dollar roll position, as well as an increase in implied TBA financing rates.
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 1.37% and 1.52% for the three and nine months ended September 30, 2015, respectively, compared to 1.89% and 1.83% for the three and nine months ended September 30, 2014, respectively. Including catch-up premium amortization adjustments, our net interest rate spread and dollar roll income was 1.14% and 1.48% for the three and nine months ended September 30, 2015, respectively, compared to 1.90% and 1.73% for the three and nine months ended September 30, 2014, respectively.

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 and nine months ended September 30, 2015 and 2014 (in millions): 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2015
 
2014
 
2015
 
2014
Agency MBS sold, at cost
$
(4,575
)
 
$
(8,763
)
 
$
(22,548
)
 
$
(25,640
)
Proceeds from agency MBS sold 1
4,536

 
8,777

 
22,523

 
25,657

Net gain (loss) on sale of agency MBS
$
(39
)
 
$
14

 
$
(25
)
 
$
17

 
 
 
 
 
 
 
 
Gross gain on sale of agency MBS
$
2

 
$
41

 
$
81

 
$
132

Gross loss on sale of agency MBS
(41
)
 
(27
)
 
(106
)
 
(115
)
Net gain (loss) on sale of agency MBS
$
(39
)
 
$
14

 
$
(25
)
 
$
17

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