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SEC Filings

10-Q
AGNC INVESTMENT CORP. filed this Form 10-Q on 11/06/2014
Entire Document
 


 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
Other Data (unaudited)
 
2014
 
2013
 
2014
 
2013
Average agency securities, at par
 
$50,498
 
$82,751
 
$54,955
 
$75,841
Average agency securities, at cost
 
$52,767
 
$86,407
 
$57,469
 
$79,744
Average total assets, at fair value
 
$64,061
 
$109,309
 
$68,438
 
$101,964
Average net TBA dollar roll position, at cost
 
$15,680
 
$131
 
$11,433
 
$15,577
Average repurchase agreements and other debt 3
 
$46,694
 
$78,845
 
$51,516
 
$71,862
Average stockholders' equity 4
 
$9,455
 
$10,064
 
$9,256
 
$10,718
Average coupon 5
 
3.63
 %
 
3.50
 %
 
3.62
 %
 
3.60
 %
Average asset yield 6
 
2.71
 %
 
2.59
 %
 
2.65
 %
 
2.75
 %
Average cost of funds 7
 
(1.44
)%
 
(1.39
)%
 
(1.41
)%
 
(1.37
)%
Average net interest rate spread
 
1.27
 %
 
1.20
 %
 
1.24
 %
 
1.38
 %
Average net interest rate spread, including estimated TBA dollar roll income 8
 
1.90
 %
 
1.14
 %
 
1.73
 %
 
1.86
 %
Average coupon (as of period end)
 
3.65
 %
 
3.54
 %
 
3.65
 %
 
3.54
 %
Average asset yield (as of period end)
 
2.78
 %
 
2.70
 %
 
2.78
 %
 
2.70
 %
Average cost of funds (as of period end) 9
 
(1.42
)%
 
(1.33
)%
 
(1.42
)%
 
(1.33
)%
Average net interest rate spread (as of period end)
 
1.36
 %
 
1.37
 %
 
1.36
 %
 
1.37
 %
Net comprehensive (loss) income return on average common equity - annualized 10
 
(1.1
)%
 
7.1
 %
 
18.6
 %
 
(16.9
)%
Economic (loss) return on common equity - annualized 11
 
(1.1
)%
 
8.7
 %
 
19.9
 %
 
(13.8
)%
Leverage (average during the period) 12
 
5.0:1

 
7.8:1

 
5.7:1

 
6.7:1

Leverage, including net TBA dollar roll position (average during the period) 13
 
6.7:1

 
7.8:1

 
7.0:1

 
8.2:1

Leverage (as of period end) 14
 
4.8:1

 
7.9:1

 
4.8:1

 
7.9:1

Leverage, including net TBA dollar roll position (as of period end) 15
 
6.7:1

 
7.2:1

 
6.7:1

 
7.2:1

Expenses % of average total assets - annualized
 
0.22
 %
 
0.15
 %
 
0.21
 %
 
0.17
 %
Expenses % of average assets, including average net TBA dollar roll position - annualized
 
0.17
 %
 
0.15
 %
 
0.18
 %
 
0.15
 %
Expenses % of average stockholders' equity - annualized
 
1.47
 %
 
1.66
 %
 
1.53
 %
 
1.62
 %
_______________________
* Except as noted below, average numbers for each period are weighted based on days on our books and records. All percentages are annualized.

1.
Net asset value per common share is calculated as our total stockholders' equity, less our Series A and Series B Preferred Stock aggregate liquidation preference, divided by our number of common shares outstanding as of period end.
2.
We voluntarily discontinued hedge accounting for our interest rate swaps as of September 30, 2011. Please refer to our Interest Expense and Cost of Funds discussion further below and Notes 3 and 6 of our Consolidated Financial Statements in this Form 10-Q for additional information regarding our discontinuance of hedge accounting.
3.
Excludes U.S. Treasury repo agreements.
4.
Average stockholders' equity calculated as our average month-end stockholders' equity during the period.
5.
Average coupon for the period was calculated by dividing our total coupon (or cash) interest income on agency securities by our average agency securities held at par.
6.
Average asset yield for the period was calculated by dividing our total cash interest income on agency securities, adjusted for amortization of premiums and discounts, by our average amortized cost of agency securities held.
7.
Average cost of funds includes agency MBS repurchase agreements, debt of consolidated variable interest entities ("VIEs") and interest rate swaps, but excludes interest rate swap termination fees and costs associated with other supplemental hedges such as interest rate swaptions and short U.S. Treasury or TBA positions. Average cost of funds for the period was calculated by dividing our total cost of funds by our average repurchase agreements and debt of consolidated VIEs outstanding for the period.
8.
TBA dollar roll income / (loss) is net of short TBAs used for hedging purposes. Dollar roll income excludes the impact of other supplemental hedges, and is recognized in gain (loss) on derivative instruments and other securities, net.
9.
Average cost of funds as of period end includes agency MBS repurchase agreements and debt of consolidated VIEs outstanding, plus the impact of interest rate swaps in effect as of each period end and forward starting swaps becoming effective, net of swaps expiring, within three months of each period end, but excludes costs associated with other supplemental hedges such as swaptions, U.S. Treasuries and TBA positions.
10.
Net comprehensive income (loss) return on average common equity for the period was calculated by dividing our comprehensive income/(loss) available /(attributable) to common shareholders by our average stockholders' equity, net of the Series A and Series B Preferred Stock aggregate liquidation preference.
11.
Economic return (loss) on common equity represents the sum of the change in our net asset value per common share and our dividends declared on common stock during the period over our beginning net asset value per common share.
12.
Average leverage during the period was calculated by dividing our daily weighted average agency MBS repurchase agreements and debt of consolidated VIEs outstanding for the period by the sum of our average stockholders' equity less our average investment in REIT equity securities for the period. Leverage excludes U.S. Treasury repurchase agreements.

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