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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2014
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13.
Average leverage, including net TBA dollar roll position, during the period includes the components of "leverage (average during the period)" plus our daily weighted average net TBA dollar position (at cost) during the period.
14.
Leverage at period end is calculated by dividing the sum of the amount outstanding under our agency MBS repurchase agreements, net receivable / payable for unsettled agency securities and debt of consolidated VIEs by the sum of our total stockholders' equity less the fair value of investments in REIT equity securities at period end. Leverage excludes U.S. Treasury repurchase agreements.
15.
Leverage at period end, including net TBA dollar roll position, includes the components of "leverage (as of period end)" plus our net TBA position outstanding as of period end, at cost.

Interest Income and Asset Yield
The following table summarizes our interest income for the three and nine months ended September 30, 2014 and 2013 (dollars in millions):
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2014
 
2013
 
2014
 
2013
 
Amount
 
Yield
 
Amount
 
Yield
 
Amount
 
Yield
 
Amount
 
Yield
Cash/coupon interest income
$
458

 
3.63
 %
 
$
726

 
3.50
 %
 
$
1,493

 
3.62
 %
 
$
2,050

 
3.60
 %
Premium amortization
(101
)
 
(0.92
)%
 
(168
)
 
(0.91
)%
 
(352
)
 
(0.97
)%
 
(400
)
 
(0.85
)%
Interest income
$
357

 
2.71
 %
 
$
558

 
2.59
 %
 
$
1,141

 
2.65
 %
 
$
1,650

 
2.75
 %
Actual portfolio CPR
10
%
 
 
 
10
%
 
 
 
9
%
 
 
 
10
%
 
 
Projected life CPR as of period end
8
%
 
 
 
8
%
 
 
 
8
%
 
 
 
8
%
 
 
Average 30-year fixed rate mortgage rate as of period end 1
4.19
%
 
 
 
4.22
%
 
 
 
4.19
%
 
 
 
4.22
%
 
 
10-year U.S. Treasury rate as of period end
2.49
%
 
 
 
2.61
%
 
 
 
2.49
%
 
 
 
2.61
%
 
 
 _______________________
1.
Source: Freddie Mac Primary Fixed Mortgage Rate Mortgage Market Survey

The principal elements impacting our interest income are our average agency MBS portfolio size and the yield on our investments. The following is a summary of the estimated impact of each of these elements on the decline in interest income between the current and prior year periods ended September 30, 2014 and 2013 (in millions):
Impact of Changes in Principal Elements Impacting
Interest Income
Period Ended September 30, 2014 vs. September 30, 2013
 
 
 
Due to Change in Average 1
 
Net
Decrease
 
Portfolio
Size
 
Asset
Yield
Three months ended
$
(201
)
 
$
(217
)
 
$
16

Nine months ended
$
(509
)
 
$
(465
)
 
$
(44
)
______________________
1.
Variances that are the combined effect of changes in portfolio size and asset yield, but cannot be separately identified, are allocated to the portfolio size and asset yield variances based on their respective relative amounts.

The average par value of our agency MBS portfolio decreased by 39% and 28% for the three and nine months ended September 30, 2014 over the prior year period, respectively, reflective of a shift from agency MBS repo funded assets to TBA dollar roll funded assets and a smaller capital base due to common stock share repurchases and portfolio losses incurred during the second half of 2013. Because we recognize TBA dollar rolls as derivative instruments under GAAP, our reported interest income does not include our TBA dollar roll income, which we report in gain/loss on derivative instruments and other securities, net in our accompanying consolidated financial statements in this Form 10-Q.
Our average asset yield for the three and nine months ended September 30, 2014 was also impacted by changes in our asset composition and fluctuations in "catch-up" premium amortization adjustments recognized due to changes in our projected life CPR forecasts. Excluding "catch-up" premium amortization adjustments, our average asset yield for the three and nine months ended September 30, 2014 was 2.73% and 2.71%, respectively, compared to 2.65% and 2.62% for the three and nine months ended September 30, 2013, respectively.


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