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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 08/06/2018
Entire Document
 


 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
Other Data (Unaudited) *
 
2018
 
2017
 
2018
 
2017
Average investment securities - at par
 
$52,856
 
$41,986
 
$53,421
 
$42,102
Average investment securities - at cost
 
$55,329
 
$43,992
 
$55,927
 
$44,083
Average net TBA portfolio - at cost
 
$16,912
 
$16,931
 
$16,252
 
$15,205
Average total assets - at fair value
 
$68,830
 
$54,241
 
$68,785
 
$54,441
Average Agency repurchase agreements and other debt outstanding 3
 
$47,823
 
$38,945
 
$48,690
 
$39,073
Average stockholders' equity 4
 
$8,652
 
$7,552
 
$8,630
 
$7,451
Average tangible net book value "at risk" leverage 5
 
8.0:1

 
8.0:1

 
8.1:1

 
7.9:1

Tangible net book value "at risk" leverage (as of period end) 6
 
8.3:1

 
8.1:1

 
8.3:1

 
8.1:1

Economic return on tangible common equity, unannualized 7
 
1.7
%
 
2.5
%
 
(1.0
)%
 
4.3
%
Expenses % of average total assets, annualized
 
0.10
%
 
0.12
%
 
0.10
 %
 
0.12
%
Expenses % of average assets, including average net TBA position, annualized
 
0.08
%
 
0.09
%
 
0.08
 %
 
0.09
%
Expenses % of average stockholders' equity, annualized
 
0.83
%
 
0.85
%
 
0.83
 %
 
0.89
%
________________________________
* Except as noted below, average numbers for each period are weighted based on days on our books and records.
1.
Net book value per common share is calculated as total stockholders' equity, less preferred stock liquidation preference, divided by number of common shares outstanding as of period end.
2.
Tangible net book value per common share excludes goodwill and other intangible assets, net.
3.
Other debt includes debt of consolidated VIEs. Amount excludes U.S. Treasury repo agreements and TBA contracts.
4.
Average stockholders' equity calculated as average month-ended stockholders' equity during the period.
5.
Average tangible net book value "at risk" leverage is calculated by dividing the sum of daily weighted average mortgage borrowings outstanding (Agency repo, other debt and TBA securities (at cost)) for the period by the sum of average stockholders' equity less average investment in REIT equity securities, goodwill and other intangible assets, net for the period. Leverage excludes U.S. Treasury repurchase agreements.
6.
"At risk" leverage as of period end is calculated by dividing the sum of mortgage borrowings outstanding and receivable/payable for unsettled investment securities as of period end (at cost) by the sum of total stockholders' equity less the fair value of investments in REIT equity securities, goodwill and other intangible assets, net at period end. Leverage excludes U.S. Treasury repurchase agreements.
7.
Economic return on tangible common equity represents the sum of the change in tangible net book value per common share and dividends declared on common stock during the period over beginning tangible net book value per common share.
Economic Interest Income and Asset Yields
The following table summarizes our economic interest income (a non-GAAP measure) for the three and six months ended June 30, 2018 and 2017, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" amortization adjustments due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions):
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2018
 
2017
 
2018
 
2017
 
Amount
 
Yield
 
Amount
 
Yield
 
Amount
 
Yield
 
Amount
 
Yield
Interest income:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash/coupon interest income
$
488

 
3.69
 %
 
$
389

 
3.70
 %
 
$
988

 
3.70
 %
 
$
774

 
3.68
 %
Net premium amortization
(74
)
 
(0.70
)%
 
(96
)
 
(1.04
)%
 
(143
)
 
(0.68
)%
 
(185
)
 
(1.01
)%
Interest income (GAAP measure)
414

 
2.99
 %
 
293

 
2.66
 %
 
845

 
3.02
 %
 
589

 
2.67
 %
Estimated "catch-up" premium amortization (benefit) cost due to change in CPR forecast
(12
)
 
(0.08
)%
 
13

 
0.12
 %
 
(33
)
 
(0.12
)%
 
22

 
0.10
 %
Interest income, excluding "catch-up" premium amortization
402

 
2.91
 %
 
306

 
2.78
 %
 
812

 
2.90
 %
 
611

 
2.77
 %
TBA dollar roll income - implied interest income 1,2
144

 
3.41
 %
 
130

 
3.08
 %
 
264

 
3.25
 %
 
220

 
2.91
 %
Economic interest income, excluding "catch-up" amortization (non-GAAP measure) 3
$
546

 
3.02
 %
 
$
436

 
2.86
 %
 
$
1,076

 
2.98
 %
 
$
831

 
2.81
 %
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Weighted average actual portfolio CPR for investment securities held during the period
9.7
%
 
 
 
10.9
%
 
 
 
9.1
%
 
 
 
10.8
%
 
 
Weighted average projected CPR for the remaining life of investment securities held as of period end
7.1
%
 
 
 
8.6
%
 
 
 
7.1
%
 
 
 
8.6
%
 
 
Average 30-year fixed rate mortgage rate as of period end 4
4.55
%
 
 
 
3.88
%
 
 
 
4.55
%
 
 
 
3.88
%
 
 
10-year U.S. Treasury rate as of period end
2.85
%
 
 
 
2.30
%
 
 
 
2.85
%
 
 
 
2.30
%
 
 
  ________________________________
1.
Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.

34


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