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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 05/05/2016
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, 2016 and 2015 (dollars in millions):
 
 
Three Months Ended March 31,
 
 
2016
 
2015
Net interest income
 
$
196

 
$
297

Other periodic interest costs of interest rate swaps, net 1
 
(89
)
 
(84
)
Dividend from REIT equity securities 1
 
1

 
2

TBA dollar roll income 1
 
50

 
57

Adjusted net interest income
 
158

 
272

  Operating expenses
 
33

 
36

Net spread and dollar roll income
 
125

 
236

Dividend on preferred stock
 
7

 
7

Net spread and dollar roll income available to common stockholders
 
118

 
229

Estimated "catch-up" premium amortization cost due to change in CPR forecast
 
55

 
19

Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders
 
$
173

 
$
248

 
 
 
 
 
Weighted average number of common shares outstanding - basic and diluted
 
334.4

 
352.8

Net spread and dollar roll income per common share - basic and diluted
 
$
0.36

 
$
0.65

Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic and diluted
 
$
0.52

 
$
0.70

_______________________
1.
Reported in gain (loss) on derivative instruments 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 months ended March 31, 2016 decreased to $0.52 per common share from $0.70 per common share for the prior year period, reflective of the increase in our average cost of funds, which was partially offset by the increase in our average "at risk" leverage.
Excluding catch-up premium amortization cost, 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 inclusive of TBAs) was 1.31% for the three months ended March 31, 2016, compared to 1.64% for the prior year period. Including catch-up premium amortization adjustments, our net interest rate spread and dollar roll income was 0.94% for the three months ended March 31, 2016, compared to 1.53% for the prior year period.

Gain (Loss) on Sale of Mortgage-Backed Securities, Net
The following table is a summary of our net gain (loss) on sale of MBS for the three months ended March 31, 2016 and 2015 (in millions): 
 
Three Months Ended March 31,
 
2016
 
2015
MBS sold, at cost
$
(3,515
)
 
$
(7,732
)
Proceeds from MBS sold 1
3,513

 
7,768

Net gain (loss) on sale of MBS
$
(2
)
 
$
36

 
 
 
 
Gross gain on sale of MBS
$
5

 
$
57

Gross loss on sale of MBS
(7
)
 
(21
)
Net gain (loss) on sale of MBS
$
(2
)
 
$
36

 _______________________
1.
Proceeds include cash received during the period, plus receivable for MBS sold during the period as of period end.

Asset sales primarily resulted from leverage adjustments and portfolio repositioning.

39


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