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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/05/2016
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 and six months ended June 30, 2016 and 2015 (dollars in millions):
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
 
2016
 
2015
 
2016
 
2015
Net interest income
 
$
217

 
$
333

 
$
413

 
$
630

Other periodic interest costs of interest rate swaps, net 1
 
(69
)
 
(99
)
 
(158
)
 
(183
)
Dividend from REIT equity securities 1
 
1

 
2

 
2

 
4

TBA dollar roll income 1
 
44

 
54

 
94

 
111

Adjusted net interest and dollar roll income
 
193

 
290

 
351

 
562

Operating expenses:
 
 
 
 
 
 
 
 
Total operating expenses
 
40

 
36

 
73

 
72

Non-recurring transaction costs
 
9

 

 
9

 

Adjusted operating expenses
 
31

 
36

 
64

 
72

Net spread and dollar roll income
 
162

 
254

 
287

 
490

Dividend on preferred stock
 
7

 
7

 
14

 
14

Net spread and dollar roll income available to common stockholders
 
155

 
247

 
273

 
476

Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast
 
32

 
(37
)
 
87

 
(18
)
Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders
 
$
187

 
$
210

 
$
360

 
$
458

 
 
 
 
 
 
 
 
 
Weighted average number of common shares outstanding - basic and diluted
 
331.0

 
352.1

 
332.7

 
352.5

Net spread and dollar roll income per common share - basic and diluted
 
$
0.46

 
$
0.70

 
$
0.82

 
$
1.35

Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic and diluted
 
$
0.56

 
$
0.60

 
$
1.08

 
$
1.30

_______________________
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 and six months ended June 30, 2016 decreased to $0.56 and $1.08, respectively, per common share from $0.60 and $1.30, respectively, per common share for the prior year period, reflective of the increase in our average cost of funds and a decline in dollar roll income relative to our average TBA position, which was partially offset by an increase in our average "at risk" leverage.
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), excluding catch-up premium amortization cost, was 1.38% and 1.35% for the three and six months ended June 30, 2016, compared to 1.50% and 1.59% for the prior year period. Including catch-up premium amortization adjustments, our net interest rate spread and dollar roll income was 1.16% and 1.05% for the three and six months ended June 30, 2016, compared to 1.74% and 1.65%, respectively, 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 and six months ended June 30, 2016 and 2015 (in millions): 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2016
 
2015
 
2016
 
2015
MBS sold, at cost
$
(7,508
)
 
$
(10,241
)
 
$
(11,023
)
 
$
(17,974
)
Proceeds from MBS sold 1
7,563

 
10,219

 
11,076

 
17,988

Net gain (loss) on sale of MBS
$
55

 
$
(22
)
 
$
53

 
$
14

 
 
 
 
 
 
 
 
Gross gain on sale of MBS
$
55

 
$
22

 
$
60

 
$
79

Gross loss on sale of MBS

 
(44
)
 
(7
)
 
(65
)
Net gain (loss) on sale of MBS
$
55

 
$
(22
)
 
$
53

 
$
14


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