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SEC Filings

10-K
AGNC INVESTMENT CORP. filed this Form 10-K on 02/23/2016
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RESULTS OF OPERATIONS
Non-GAAP Financial Measures
In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "adjusted net interest expense" (defined as interest expense plus the periodic interest rate costs of our interest rate swaps reported in gain (loss) on derivatives and other securities, net in our consolidated statements of comprehensive income), "net spread and dollar roll income" (defined as interest income, TBA dollar roll income and dividends from REIT equity securities, net of adjusted net interest expense and operating expenses) and "estimated taxable income" and certain financial metrics derived from non-GAAP information, such as "cost of funds" and "net interest rate spread." By providing users of our financial information with such measures in addition to the related GAAP measures, we believe it gives users greater transparency into the information used by our management in its financial and operational decision-making and that it is meaningful information to consider related to: (i) the economic costs of financing our investment portfolio inclusive of interest rate swaps used to economically hedge against fluctuations in our borrowing costs, (ii) in the case of net spread and dollar roll income, our current financial performance without the effects of certain transactions that are not necessarily indicative of our current investment portfolio and operations, and (iii) in the case of estimated taxable income, information that is directly related to the amount of dividends we are required to distribute in order to maintain our REIT qualification status. However, because such measures are incomplete measures of our 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, our results computed in accordance with GAAP. In addition, because not all companies use identical calculations, our 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 our income tax returns, which occurs after the end of our fiscal year.

FISCAL YEAR 2015 COMPARED TO FISCAL YEAR 2014

Interest Income and Asset Yield
The following table summarizes our interest income for fiscal years 2015 and 2014 (dollars in millions):
 
Fiscal Year 2015
 
Fiscal Year 2014
 
Amount
 
Yield
 
Amount
 
Yield
Cash/coupon interest income
$
1,874

 
3.62
 %
 
$
1,945

 
3.63
 %
Net premium amortization
(408
)
 
(0.91
)%
 
(473
)
 
(1.00
)%
Interest income
$
1,466

 
2.71
 %
 
$
1,472

 
2.63
 %
Actual portfolio CPR
10
%
 
 
 
9
%
 
 
Projected life CPR as of period end
8
%
 
 
 
9
%
 
 
Average 30-year fixed rate mortgage rate as of period end 1
4.01
%
 
 
 
3.87
%
 
 
10-year U.S. Treasury rate as of period end
2.27
%
 
 
 
2.17
%
 
 
 _______________________
1.
Source: Freddie Mac Primary Fixed Mortgage Rate Mortgage Market Survey

The principal elements impacting our interest income are the size of our average investment portfolio and the yield on our investments. The following is a summary of the estimated impact of each of these elements on the decrease in interest income from fiscal year 2014 to 2015 (in millions):
Impact of Changes in the Principal Elements Impacting Interest Income
Fiscal Year 2015 vs. 2014
 
 
 
Due to Change in Average
 
Total Increase /
(Decrease)
 
Portfolio
Size
 
Asset
Yield
Interest Income
$
(6
)
 
$
(53
)
 
$
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The size of our average investment portfolio decreased in par value by 3% during fiscal year 2015, reflective of lower "at risk" leverage, partially offset by a relative shift from TBA dollar roll funded assets to repo funded assets. In accordance with

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