|
Delaware
|
001-34057
|
26-1701984
|
(State or Other Jurisdiction of
Incorporation or Organization)
|
(Commission File Number)
|
(I.R.S. Employer
Identification No.)
|
o
|
|
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
|
o
|
|
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
|
o
|
|
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act
(
17 CFR 240.14d-2(b))
|
o
|
|
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
|
|
|
|
AGNC INVESTMENT CORP.
|
|
|
|
Dated: February 1, 2017
|
By:
|
/s/ Kenneth L. Pollack
|
|
|
Kenneth L. Pollack
|
|
|
Senior Vice President, Chief Compliance Officer, General Counsel and Secretary
|
•
|
$(1.19)
comprehensive
loss
per common share, comprised of:
|
◦
|
$3.06
net
income
per common share
|
◦
|
$(4.25)
other comprehensive
loss
("OCI") per common share
|
▪
|
Includes net unrealized
losses
on investments recognized through OCI
|
•
|
$0.64
net spread and dollar roll income per common share, excluding estimated "catch-up" premium amortization
benefit
1
|
◦
|
Includes
$0.21
per common share of dollar roll income associated with the Company's
$14.1 billion
average net
long
position in forward purchases and sales of agency mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA") market
|
◦
|
Excludes
$0.26
per common share of estimated "catch-up" premium amortization
benefit
due to change in projected constant prepayment rate ("CPR") estimates
|
•
|
$21.17
net book value per common share as of
December 31, 2016
|
◦
|
Decreased
$(1.74)
per common share, or
-7.6%
, from
$22.91
per common share as of
September 30, 2016
|
•
|
$19.50
tangible net book value per common share as of
December 31, 2016
|
◦
|
Decreased
$(1.73)
per share, or
-8.1%
, from
$21.23
per common share as of
September 30, 2016
|
◦
|
Excludes
$554 million
, or
$1.67
per common share, of goodwill and other intangible assets as of
December 31, 2016
|
•
|
$0.54
dividend declared per common share during the quarter
|
•
|
-5.2%
economic return on common equity for the quarter, or
-20.8%
annualized
|
◦
|
Comprised of
$0.54
dividend per common share and
$(1.74)
decrease
in net book value per common share
|
•
|
$57.7 billion
investment portfolio as of
December 31, 2016
, comprised of:
|
◦
|
$46.2 billion
agency MBS
|
◦
|
$11.2 billion
TBA mortgage position
|
◦
|
$0.3 billion
credit risk transfer ("CRT") securities and other non-agency securities
|
•
|
7.7
x tangible net book value "at risk" leverage as of
December 31, 2016
|
◦
|
7.8
x average tangible net book value "at risk" leverage for the quarter
|
•
|
14.3%
portfolio CPR for the quarter
|
◦
|
8.0%
average projected portfolio life CPR as of
December 31, 2016
, a decrease from
10.6%
projected CPR as of
September 30, 2016
|
•
|
1.45%
annualized net interest rate spread and TBA dollar roll income for the quarter, excluding estimated "catch-up" premium amortization
benefit
|
◦
|
Excludes
57
bps of "catch up" premium amortization
benefit
due to change in projected CPR estimates
|
◦
|
Decreased
from
1.47%
for the prior quarter, excluding
-5
bps of "catch-up" premium amortization
cost
|
•
|
$0.80 comprehensive income per share, comprised of:
|
◦
|
$1.79 net income per common share
|
◦
|
$(0.99) OCI per common share
|
•
|
$2.36 net spread and dollar roll income per common share, excluding estimated "catch-up" premium amortization cost of $(0.03) per common share
1
|
•
|
$2.30 dividends declared per common share
|
•
|
3.9% economic return on common equity, comprised of:
|
◦
|
$2.30 dividends per common share
|
◦
|
$(1.42) decrease in net book value per common share
|
•
|
6.5 million shares, or $116 million, of common stock repurchased during the year
|
◦
|
Represents 1.9% of common stock outstanding as of January 1, 2016
|
◦
|
$17.89 per common share average repurchase price, inclusive of transaction costs
|
•
|
18.2% total stock return
|
◦
|
Comprised of common stock share price appreciation and dividend reinvestments
|
1.
|
Represents a non-GAAP measure. Please refer to a reconciliation to the most applicable GAAP measure and additional information regarding the use of non-GAAP financial information later in this release.
|
•
|
$57.4 billion
of agency MBS and TBA securities, including:
|
◦
|
$55.9 billion
of fixed-rate securities, comprised of:
|
•
|
$12.9 billion
≤ 15-year securities,
|
•
|
$2.2 billion
15-year net
long
TBA securities,
|
•
|
$0.8 billion
20-year fixed-rate securities,
|
•
|
$31.1 billion
30-year fixed-rate securities, and
|
•
|
$9.0 billion
30-year net
long
TBA securities;
|
◦
|
$0.4 billion
of adjustable-rate securities; and
|
◦
|
$1.1 billion
of collateralized mortgage obligations (“CMOs”), including principal and interest-only strips; and
|
•
|
$0.3 billion
of CRT securities and other non-agency securities.
|
•
|
3.16%
for ≤ 15-year fixed rate securities;
|
•
|
3.49%
for 20-year fixed-rate securities; and
|
•
|
3.62%
for 30-year fixed-rate securities.
|
•
|
$27.5 billion
of three months or less;
|
•
|
$2.0 billion
from three to six months;
|
•
|
$1.3 billion
from six to nine months;
|
•
|
$1.6 billion
from nine to twelve months;
|
•
|
$2.5 billion
from one to three years; and
|
•
|
$2.8 billion
from three to five years.
|
•
|
$(5) million
of net realized
losses
on sales of investment securities;
|
•
|
$(11) million
of net
losses
on investment securities measured at fair value through net income;
|
•
|
$857 million of net gains on interest rate swaps;
|
•
|
$(46) million
of interest rate swap periodic interest
costs
;
|
•
|
$8 million of net gains on interest rate swaptions;
|
•
|
$378 million of net gains on U.S. Treasury positions;
|
•
|
$
68 million
of TBA dollar roll income;
|
•
|
$(518) million of net mark-to-market losses on TBA mortgage positions;
|
•
|
$4 million of management fee income; and
|
•
|
$6 million of net gains on other derivative instruments and securities.
|
AGNC INVESTMENT CORP.
|
|||||||||||||||||||
CONSOLIDATED BALANCE SHEETS
|
|||||||||||||||||||
(in millions, except per share data)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2016
|
|
September 30, 2016
|
|
June 30, 2016
|
|
March 31, 2016
|
|
December 31, 2015
|
||||||||||
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency securities, at fair value (including pledged securities of $43,943, $44,089, $48,344, $51,786 and $48,380, respectively)
|
$
|
45,393
|
|
|
$
|
46,328
|
|
|
$
|
53,418
|
|
|
$
|
54,950
|
|
|
$
|
51,331
|
|
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)
|
818
|
|
|
890
|
|
|
945
|
|
|
993
|
|
|
1,029
|
|
|||||
Non-agency securities, at fair value (including pledged securities of $90, $102, $107, $112 and $113, respectively)
|
124
|
|
|
102
|
|
|
107
|
|
|
112
|
|
|
113
|
|
|||||
Credit risk transfer securities, at fair value
|
164
|
|
|
36
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
U.S. Treasury securities, at fair value (including pledged securities of $173, $45, $62, $0 and $25, respectively)
|
182
|
|
|
45
|
|
|
62
|
|
|
—
|
|
|
25
|
|
|||||
REIT equity securities, at fair value
|
—
|
|
|
—
|
|
|
19
|
|
|
38
|
|
|
33
|
|
|||||
Cash and cash equivalents
|
1,208
|
|
|
1,254
|
|
|
1,131
|
|
|
1,109
|
|
|
1,110
|
|
|||||
Restricted cash
|
74
|
|
|
681
|
|
|
1,399
|
|
|
1,686
|
|
|
1,281
|
|
|||||
Derivative assets, at fair value
|
355
|
|
|
61
|
|
|
111
|
|
|
55
|
|
|
81
|
|
|||||
Receivable for securities sold (pledged securities)
|
21
|
|
|
228
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Receivable under reverse repurchase agreements
|
7,716
|
|
|
5,441
|
|
|
2,982
|
|
|
3,163
|
|
|
1,713
|
|
|||||
Goodwill and other intangible assets, net
|
554
|
|
|
555
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Other assets
|
271
|
|
|
268
|
|
|
301
|
|
|
290
|
|
|
305
|
|
|||||
Total assets
|
$
|
56,880
|
|
|
$
|
55,889
|
|
|
$
|
60,475
|
|
|
$
|
62,396
|
|
|
$
|
57,021
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements
|
$
|
37,858
|
|
|
$
|
37,668
|
|
|
$
|
41,947
|
|
|
$
|
45,276
|
|
|
$
|
41,754
|
|
Federal Home Loan Bank advances
|
3,037
|
|
|
3,037
|
|
|
3,037
|
|
|
3,037
|
|
|
3,753
|
|
|||||
Debt of consolidated variable interest entities, at fair value
|
460
|
|
|
494
|
|
|
528
|
|
|
562
|
|
|
595
|
|
|||||
Payable for securities purchased
|
—
|
|
|
251
|
|
|
2,581
|
|
|
889
|
|
|
182
|
|
|||||
Derivative liabilities, at fair value
|
256
|
|
|
947
|
|
|
1,519
|
|
|
1,652
|
|
|
935
|
|
|||||
Dividends payable
|
66
|
|
|
66
|
|
|
73
|
|
|
73
|
|
|
74
|
|
|||||
Obligation to return securities borrowed under reverse
repurchase agreements, at fair value
|
7,636
|
|
|
5,424
|
|
|
3,017
|
|
|
3,175
|
|
|
1,696
|
|
|||||
Accounts payable and other liabilities
|
211
|
|
|
71
|
|
|
71
|
|
|
72
|
|
|
61
|
|
|||||
Total liabilities
|
49,524
|
|
|
47,958
|
|
|
52,773
|
|
|
54,736
|
|
|
49,050
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Stockholders' equity:
|
|
|
|
|
|
|
|
|
|
||||||||||
Preferred stock - aggregate liquidation preference of $348
|
336
|
|
|
336
|
|
|
336
|
|
|
336
|
|
|
336
|
|
|||||
Common stock - $0.01 par value; 600.0 shares authorized;
|
|
|
|
|
|
|
|
|
|
||||||||||
331.0, 331.0, 331.0, 331.0 and 337.5 shares issued and outstanding, respectively
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|||||
Additional paid-in capital
|
9,932
|
|
|
9,932
|
|
|
9,932
|
|
|
9,932
|
|
|
10,048
|
|
|||||
Retained deficit
|
(2,518
|
)
|
|
(3,350
|
)
|
|
(3,669
|
)
|
|
(3,329
|
)
|
|
(2,350
|
)
|
|||||
Accumulated other comprehensive income (loss)
|
(397
|
)
|
|
1,010
|
|
|
1,100
|
|
|
718
|
|
|
(66
|
)
|
|||||
Total stockholders' equity
|
7,356
|
|
|
7,931
|
|
|
7,702
|
|
|
7,660
|
|
|
7,971
|
|
|||||
Total liabilities and stockholders' equity
|
$
|
56,880
|
|
|
$
|
55,889
|
|
|
$
|
60,475
|
|
|
$
|
62,396
|
|
|
$
|
57,021
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net book value per common share
|
$
|
21.17
|
|
|
$
|
22.91
|
|
|
$
|
22.22
|
|
|
$
|
22.09
|
|
|
$
|
22.59
|
|
Tangible net book value per common share
|
$
|
19.50
|
|
|
$
|
21.23
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
AGNC INVESTMENT CORP.
|
|||||||||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
|||||||||||||||||||
(in millions, except per share data)
|
|||||||||||||||||||
(unaudited)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Three Months Ended
|
|
Year Ended
|
||||||||||||||||
|
December 31, 2016
|
|
September 30, 2016
|
|
June 30, 2016
|
|
March 31, 2016
|
|
December 31, 2016
|
||||||||||
Interest income:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest income
|
$
|
393
|
|
|
$
|
315
|
|
|
$
|
318
|
|
|
$
|
295
|
|
|
$
|
1,321
|
|
Interest expense
1
|
98
|
|
|
96
|
|
|
101
|
|
|
99
|
|
|
394
|
|
|||||
Net interest income
|
295
|
|
|
219
|
|
|
217
|
|
|
196
|
|
|
927
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Other gain (loss), net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Realized gain (loss) on sale of investment securities, net
|
(5
|
)
|
|
61
|
|
|
55
|
|
|
(2
|
)
|
|
109
|
|
|||||
Unrealized gain (loss) on investment securities measured at fair value through net income, net
|
(11
|
)
|
|
(6
|
)
|
|
—
|
|
|
11
|
|
|
(6
|
)
|
|||||
Gain (loss) on derivative instruments and other securities, net
1
|
753
|
|
|
248
|
|
|
(367
|
)
|
|
(944
|
)
|
|
(310
|
)
|
|||||
Management fee income
|
4
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|||||
Total other gain (loss), net
|
741
|
|
|
307
|
|
|
(312
|
)
|
|
(935
|
)
|
|
(199
|
)
|
|||||
Expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Management fee expense
|
—
|
|
|
—
|
|
|
25
|
|
|
27
|
|
|
52
|
|
|||||
Compensation and benefits
|
10
|
|
|
9
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|||||
Other operating expenses
|
7
|
|
|
6
|
|
|
15
|
|
|
6
|
|
|
34
|
|
|||||
Total operating expenses
|
17
|
|
|
15
|
|
|
40
|
|
|
33
|
|
|
105
|
|
|||||
Net income (loss)
|
1,019
|
|
|
511
|
|
|
(135
|
)
|
|
(772
|
)
|
|
623
|
|
|||||
Dividend on preferred stock
|
7
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|
28
|
|
|||||
Net income (loss) available (attributable) to common stockholders
|
$
|
1,012
|
|
|
$
|
504
|
|
|
$
|
(142
|
)
|
|
$
|
(779
|
)
|
|
$
|
595
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net income (loss)
|
$
|
1,019
|
|
|
$
|
511
|
|
|
$
|
(135
|
)
|
|
$
|
(772
|
)
|
|
$
|
623
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
||||||||||
Unrealized gain (loss) on available-for-sale securities, net
|
(1,408
|
)
|
|
(97
|
)
|
|
370
|
|
|
765
|
|
|
(370
|
)
|
|||||
Unrealized gain on derivative instruments, net
1
|
1
|
|
|
7
|
|
|
12
|
|
|
19
|
|
|
39
|
|
|||||
Other comprehensive income (loss)
|
(1,407
|
)
|
|
(90
|
)
|
|
382
|
|
|
784
|
|
|
(331
|
)
|
|||||
Comprehensive income (loss)
|
(388
|
)
|
|
421
|
|
|
247
|
|
|
12
|
|
|
292
|
|
|||||
Dividend on preferred stock
|
7
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|
28
|
|
|||||
Comprehensive income (loss) available (attributable) to common stockholders
|
$
|
(395
|
)
|
|
$
|
414
|
|
|
$
|
240
|
|
|
$
|
5
|
|
|
$
|
264
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Weighted average number of common shares outstanding -
basic and diluted |
331.0
|
|
|
331.0
|
|
|
331.0
|
|
|
334.4
|
|
|
331.9
|
|
|||||
Net income (loss) per common share - basic and diluted
|
$
|
3.06
|
|
|
$
|
1.52
|
|
|
$
|
(0.43
|
)
|
|
$
|
(2.33
|
)
|
|
$
|
1.79
|
|
Comprehensive income (loss) per common share - basic and diluted
|
$
|
(1.19
|
)
|
|
$
|
1.25
|
|
|
$
|
0.73
|
|
|
$
|
0.01
|
|
|
$
|
0.80
|
|
Dividends declared per common share
|
$
|
0.54
|
|
|
$
|
0.56
|
|
|
$
|
0.60
|
|
|
$
|
0.60
|
|
|
$
|
2.30
|
|
AGNC INVESTMENT CORP.
|
|||||||||||||||||||
RECONCILIATION OF GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME
2
|
|||||||||||||||||||
(in millions, except per share data)
|
|||||||||||||||||||
(unaudited)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Three Months Ended
|
|
Year Ended
|
||||||||||||||||
|
December 31,
2016
|
|
September 30,
2016 |
|
June 30,
2016 |
|
March 31,
2016 |
|
December 31, 2016
|
||||||||||
Interest income
|
$
|
393
|
|
|
$
|
315
|
|
|
$
|
318
|
|
|
$
|
295
|
|
|
$
|
1,321
|
|
Interest expense:
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements and other debt
|
97
|
|
|
89
|
|
|
89
|
|
|
80
|
|
|
355
|
|
|||||
Interest rate swap periodic costs
1
|
1
|
|
|
7
|
|
|
12
|
|
|
19
|
|
|
39
|
|
|||||
Total interest expense
|
98
|
|
|
96
|
|
|
101
|
|
|
99
|
|
|
394
|
|
|||||
Net interest income
|
295
|
|
|
219
|
|
|
217
|
|
|
196
|
|
|
927
|
|
|||||
Other interest rate swap periodic costs
3
|
(46
|
)
|
|
(51
|
)
|
|
(69
|
)
|
|
(89
|
)
|
|
(255
|
)
|
|||||
Dividend on REIT equity securities
|
—
|
|
|
—
|
|
|
1
|
|
|
1
|
|
|
2
|
|
|||||
Management fee income
|
4
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|||||
TBA dollar roll income
16
|
68
|
|
|
54
|
|
|
44
|
|
|
50
|
|
|
216
|
|
|||||
Adjusted net interest and dollar roll income
|
321
|
|
|
226
|
|
|
193
|
|
|
158
|
|
|
898
|
|
|||||
Operating expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Total operating expenses
|
17
|
|
|
15
|
|
|
40
|
|
|
33
|
|
|
105
|
|
|||||
Non-recurring transaction costs
|
—
|
|
|
—
|
|
|
(9
|
)
|
|
—
|
|
|
(9
|
)
|
|||||
Adjusted operating expenses
|
17
|
|
|
15
|
|
|
31
|
|
|
33
|
|
|
96
|
|
|||||
Net spread and dollar roll income
|
304
|
|
|
211
|
|
|
162
|
|
|
125
|
|
|
802
|
|
|||||
Dividend on preferred stock
|
7
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|
28
|
|
|||||
Net spread and dollar roll income available to common stockholders
|
297
|
|
|
204
|
|
|
155
|
|
|
118
|
|
|
774
|
|
|||||
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast
|
(85
|
)
|
|
8
|
|
|
32
|
|
|
55
|
|
|
10
|
|
|||||
Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders
|
$
|
212
|
|
|
$
|
212
|
|
|
$
|
187
|
|
|
$
|
173
|
|
|
$
|
784
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Weighted average number of common shares outstanding - basic and diluted
|
331.0
|
|
|
331.0
|
|
|
331.0
|
|
|
334.4
|
|
|
331.9
|
|
|||||
Net spread and dollar roll income per common share - basic and diluted
|
$
|
0.90
|
|
|
$
|
0.62
|
|
|
$
|
0.46
|
|
|
$
|
0.36
|
|
|
$
|
2.33
|
|
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic and diluted
|
$
|
0.64
|
|
|
$
|
0.64
|
|
|
$
|
0.56
|
|
|
$
|
0.52
|
|
|
$
|
2.36
|
|
AGNC INVESTMENT CORP.
|
|||||||||||||||||||
RECONCILIATION OF GAAP NET INCOME TO ESTIMATED TAXABLE INCOME
2
|
|||||||||||||||||||
(in millions, except per share data)
|
|||||||||||||||||||
(unaudited)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Three Months Ended
|
|
Year Ended
|
||||||||||||||||
|
December 31,
2016 |
|
September 30,
2016 |
|
June 30,
2016 |
|
March 31,
2016 |
|
December 31, 2016
|
||||||||||
Net income (loss)
|
$
|
1,019
|
|
|
$
|
511
|
|
|
$
|
(135
|
)
|
|
$
|
(772
|
)
|
|
$
|
623
|
|
Book to tax differences:
|
|
|
|
|
|
|
|
|
|
||||||||||
Premium amortization, net
|
(106
|
)
|
|
(15
|
)
|
|
20
|
|
|
55
|
|
|
(46
|
)
|
|||||
Realized gain/loss, net
|
301
|
|
|
249
|
|
|
391
|
|
|
93
|
|
|
1,034
|
|
|||||
Net capital loss/(utilization of net capital loss carryforward)
5
|
93
|
|
|
(127
|
)
|
|
(99
|
)
|
|
(99
|
)
|
|
(232
|
)
|
|||||
Unrealized gain/(loss), net
|
(1,252
|
)
|
|
(540
|
)
|
|
(106
|
)
|
|
804
|
|
|
(1,094
|
)
|
|||||
Other
|
2
|
|
|
(8
|
)
|
|
9
|
|
|
—
|
|
|
3
|
|
|||||
Total book to tax differences
|
(962
|
)
|
|
(441
|
)
|
|
215
|
|
|
853
|
|
|
(335
|
)
|
|||||
Estimated REIT taxable income
|
57
|
|
|
70
|
|
|
80
|
|
|
81
|
|
|
288
|
|
|||||
Dividend on preferred stock
|
7
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|
28
|
|
|||||
Estimated REIT taxable income, net of preferred stock dividend
|
$
|
50
|
|
|
$
|
63
|
|
|
$
|
73
|
|
|
$
|
74
|
|
|
$
|
260
|
|
Weighted average number of common shares outstanding - basic and diluted
|
331.0
|
|
|
331.0
|
|
|
331.0
|
|
|
334.4
|
|
|
331.9
|
|
|||||
Estimated REIT taxable income per common share - basic and diluted
|
$
|
0.15
|
|
|
$
|
0.19
|
|
|
$
|
0.22
|
|
|
$
|
0.22
|
|
|
$
|
0.78
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Beginning cumulative non-deductible capital loss
|
$
|
359
|
|
|
$
|
486
|
|
|
$
|
585
|
|
|
$
|
684
|
|
|
$
|
684
|
|
Net capital loss/(utilization of net capital loss carryforward)
|
93
|
|
|
(127
|
)
|
|
(99
|
)
|
|
(99
|
)
|
|
(232
|
)
|
|||||
Ending cumulative non-deductible capital loss
|
$
|
452
|
|
|
$
|
359
|
|
|
$
|
486
|
|
|
$
|
585
|
|
|
$
|
452
|
|
Ending cumulative non-deductible capital loss per common share
|
$
|
1.37
|
|
|
$
|
1.08
|
|
|
$
|
1.47
|
|
|
$
|
1.77
|
|
|
$
|
1.37
|
|
AGNC INVESTMENT CORP.
|
|||||||||||||||||||
KEY STATISTICS*
|
|||||||||||||||||||
(in millions, except per share data)
|
|||||||||||||||||||
(unaudited)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Three Months Ended
|
||||||||||||||||||
Key Balance Sheet Statistics:
|
December 31,
2016
|
|
September 30, 2016
|
|
June 30, 2016
|
|
March 31, 2016
|
|
December 31, 2015
|
||||||||||
Fixed-rate agency securities, at fair value - as of period end
18
|
$
|
44,736
|
|
|
$
|
45,611
|
|
|
$
|
52,648
|
|
|
$
|
54,155
|
|
|
$
|
50,522
|
|
Adjustable-rate agency securities, at fair value - as of period end
|
$
|
379
|
|
|
$
|
415
|
|
|
$
|
443
|
|
|
$
|
471
|
|
|
$
|
495
|
|
CMO agency securities, at fair value - as of period end
|
$
|
801
|
|
|
$
|
865
|
|
|
$
|
920
|
|
|
$
|
966
|
|
|
$
|
990
|
|
Interest-only strips agency securities, at fair value - as of period end
|
$
|
151
|
|
|
$
|
166
|
|
|
$
|
180
|
|
|
$
|
176
|
|
|
$
|
178
|
|
Principal-only strips agency securities, at fair value - as of period end
|
$
|
144
|
|
|
$
|
161
|
|
|
$
|
172
|
|
|
$
|
175
|
|
|
$
|
175
|
|
Non-agency securities, at fair value - as of period end
|
$
|
124
|
|
|
$
|
102
|
|
|
$
|
107
|
|
|
$
|
112
|
|
|
$
|
113
|
|
Credit risk transfer securities, at fair value - as of period end
|
$
|
164
|
|
|
$
|
36
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total securities, at fair value - as of period end
18
|
$
|
46,499
|
|
|
$
|
47,356
|
|
|
$
|
54,470
|
|
|
$
|
56,055
|
|
|
$
|
52,473
|
|
Total securities, at cost - as of period end
18
|
$
|
46,866
|
|
|
$
|
46,304
|
|
|
$
|
53,317
|
|
|
$
|
55,271
|
|
|
$
|
52,464
|
|
Total securities, at par - as of period end
6, 18
|
$
|
44,749
|
|
|
$
|
44,212
|
|
|
$
|
50,950
|
|
|
$
|
52,864
|
|
|
$
|
50,163
|
|
Average securities, at cost
18
|
$
|
45,885
|
|
|
$
|
48,548
|
|
|
$
|
51,810
|
|
|
$
|
50,897
|
|
|
$
|
52,131
|
|
Average securities, at par
6, 18
|
$
|
43,802
|
|
|
$
|
46,372
|
|
|
$
|
49,544
|
|
|
$
|
48,687
|
|
|
$
|
49,890
|
|
Net TBA portfolio - as of period end, at fair value
|
$
|
11,165
|
|
|
$
|
15,586
|
|
|
$
|
7,072
|
|
|
$
|
6,024
|
|
|
$
|
7,444
|
|
Net TBA portfolio - as of period end, at cost
|
$
|
11,312
|
|
|
$
|
15,540
|
|
|
$
|
6,975
|
|
|
$
|
5,983
|
|
|
$
|
7,430
|
|
Net TBA portfolio - as of period end, carrying value
|
$
|
(147
|
)
|
|
$
|
46
|
|
|
$
|
97
|
|
|
$
|
41
|
|
|
$
|
14
|
|
Average net TBA portfolio, at cost
|
$
|
14,141
|
|
|
$
|
10,748
|
|
|
$
|
8,238
|
|
|
$
|
8,144
|
|
|
$
|
7,796
|
|
Average repurchase agreements and other debt
4
|
$
|
41,031
|
|
|
$
|
44,401
|
|
|
$
|
46,948
|
|
|
$
|
45,926
|
|
|
$
|
47,018
|
|
Average stockholders' equity
7
|
$
|
7,604
|
|
|
$
|
7,803
|
|
|
$
|
7,722
|
|
|
$
|
7,776
|
|
|
$
|
8,143
|
|
Net book value per common share
8
|
$
|
21.17
|
|
|
$
|
22.91
|
|
|
$
|
22.22
|
|
|
$
|
22.09
|
|
|
$
|
22.59
|
|
Tangible net book value per common share
9
|
$
|
19.50
|
|
|
$
|
21.23
|
|
|
N/A
|
|
N/A
|
|
N/A
|
||||||
"At risk" leverage - average during the period
10
|
7.3:1
|
|
7.1:1
|
|
7.2:1
|
|
7.0:1
|
|
6.8:1
|
||||||||||
"At risk" leverage - as of period end
11
|
7.1:1
|
|
7.2:1
|
|
7.2:1
|
|
7.3:1
|
|
6.8:1
|
||||||||||
Tangible net book value "at risk" leverage - average during the period
12
|
7.8:1
|
|
7.6:1
|
|
N/A
|
|
N/A
|
|
N/A
|
||||||||||
Tangible net book value "at risk" leverage - as of period end
12
|
7.7:1
|
|
7.7:1
|
|
N/A
|
|
N/A
|
|
N/A
|
||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Key Performance Statistics:
|
|
|
|
|
|
|
|
|
|
||||||||||
Average coupon
13, 18
|
3.63
|
%
|
|
3.65
|
%
|
|
3.63
|
%
|
|
3.63
|
%
|
|
3.62
|
%
|
|||||
Average asset yield
14, 18
|
3.43
|
%
|
|
2.60
|
%
|
|
2.46
|
%
|
|
2.32
|
%
|
|
2.87
|
%
|
|||||
Average cost of funds
15, 18
|
(1.40
|
)%
|
|
(1.32
|
)%
|
|
(1.46
|
)%
|
|
(1.64
|
)%
|
|
(1.60
|
)%
|
|||||
Average net interest rate spread
18
|
2.03
|
%
|
|
1.28
|
%
|
|
1.00
|
%
|
|
0.68
|
%
|
|
1.27
|
%
|
|||||
Average net interest rate spread, including TBA dollar roll income/loss
16
|
2.02
|
%
|
|
1.42
|
%
|
|
1.16
|
%
|
|
0.94
|
%
|
|
1.47
|
%
|
|||||
Average coupon - as of period end
18
|
3.61
|
%
|
|
3.64
|
%
|
|
3.63
|
%
|
|
3.63
|
%
|
|
3.63
|
%
|
|||||
Average asset yield - as of period end
18
|
2.77
|
%
|
|
2.68
|
%
|
|
2.68
|
%
|
|
2.72
|
%
|
|
2.78
|
%
|
|||||
Average cost of funds - as of period end
15, 18
|
(1.44
|
)%
|
|
(1.30
|
)%
|
|
(1.35
|
)%
|
|
(1.49
|
)%
|
|
(1.65
|
)%
|
|||||
Average net interest rate spread - as of period end
18
|
1.33
|
%
|
|
1.38
|
%
|
|
1.33
|
%
|
|
1.23
|
%
|
|
1.13
|
%
|
|||||
Average actual CPR for securities held during the period
18
|
14
|
%
|
|
14
|
%
|
|
12
|
%
|
|
9
|
%
|
|
10
|
%
|
|||||
Average forecasted CPR - as of period end
18
|
8
|
%
|
|
11
|
%
|
|
11
|
%
|
|
10
|
%
|
|
8
|
%
|
|||||
Total premium amortization, net
|
$
|
(6
|
)
|
|
$
|
(110
|
)
|
|
$
|
(134
|
)
|
|
$
|
(150
|
)
|
|
$
|
(78
|
)
|
Expenses % of average total assets - annualized
|
0.12
|
%
|
|
0.10
|
%
|
|
0.27
|
%
|
|
0.23
|
%
|
|
0.23
|
%
|
|||||
Expenses % of average stockholders' equity - annualized
|
0.89
|
%
|
|
0.76
|
%
|
|
2.08
|
%
|
|
1.70
|
%
|
|
1.61
|
%
|
|||||
Net comprehensive income (loss) return on average common equity - annualized
|
(21.6
|
)%
|
|
22.0
|
%
|
|
13.0
|
%
|
|
0.3
|
%
|
|
1.0
|
%
|
|||||
Dividends declared per common share
|
$
|
0.54
|
|
|
$
|
0.56
|
|
|
$
|
0.60
|
|
|
$
|
0.60
|
|
|
$
|
0.60
|
|
Economic return (loss) on common equity - annualized
17
|
(20.8
|
)%
|
|
22.4
|
%
|
|
13.3
|
%
|
|
1.8
|
%
|
|
3.3
|
%
|
1.
|
The Company voluntarily discontinued hedge accounting under GAAP for interest rate swaps as of September 30, 2011. The accumulated other comprehensive loss on the Company's de-designated interest rate swaps as of September 30, 2011 is being amortized on a straight-line basis over the remaining swap terms into interest expense. All other periodic interest costs,
|
2.
|
Table includes non-GAAP financial measures. Refer to "Use of Non-GAAP Financial Information" for additional discussion of non-GAAP financial measures.
|
3.
|
Other interest rate swap periodic costs represent periodic interest costs on the Company's interest rate swap portfolio in excess of amounts reclassified from accumulated OCI into interest expense (see footnote 1 for additional information). Other interest rate swap periodic costs do not include termination fees or mark-to-market adjustments associated with interest rate swaps.
|
4.
|
Average repurchase agreements and other debt includes agency repo, FHLB advances and debt of consolidated VIE's. Amount excludes U.S. Treasury repurchase agreements.
|
5.
|
Capital losses in excess of capital gains are not deductible from the Company's ordinary taxable income, but may be carried forward for up to five years from the year of loss and applied against future net capital gains.
|
6.
|
Par value excludes the underlying unamortized principal balance ("UPB") of the Company's interest-only securities. Excludes TBAs.
|
7.
|
Average stockholders' equity calculated as the average month-ended stockholders' equity during the quarter.
|
8.
|
Net book value per common share calculated as total stockholders' equity, less the preferred stock liquidation preference, divided by the number of common shares outstanding.
|
9.
|
Tangible net book value per common share excludes goodwill and other intangible assets, net.
|
10.
|
Average "at risk" leverage during the period was calculated by dividing the sum of the daily weighted average agency repurchase agreements, FHLB advances, debt of consolidated VIEs outstanding and average net TBA position (at cost) for the period by the sum of average stockholders' equity less the average investment in REIT equity securities for the period. Leverage excludes U.S. Treasury repurchase agreements.
|
11.
|
"At risk" leverage as of period end was calculated by dividing the sum of the amount outstanding under agency repurchase agreements, FHLB advances, debt of consolidated VIE, net TBA position (at cost) and net receivable / payable for unsettled agency securities by the sum of total stockholders' equity less the fair value of investments in REIT equity securities at period end. Leverage excludes U.S. Treasury repurchase agreements.
|
12.
|
Tangible net book value "at risk" leverage includes the components of "at risk" leverage, with stockholders' equity adjusted to exclude goodwill and other intangible assets, net.
|
13.
|
Average coupon for the period was calculated by dividing the total coupon (or cash) interest income by average securities held at par.
|
14.
|
Average asset yield for the period was calculated by dividing the total interest income (coupon interest less amortization of net premiums and discounts) by the average amortized cost of securities held.
|
15.
|
Cost of funds includes agency repurchase agreements, other debt and current pay interest rate swaps, but excludes swap termination fees, forward starting swaps and costs associated with other supplemental hedges such as swaptions and short U.S. Treasury or TBA positions. Average cost of funds for the period was calculated by dividing the total cost of funds by the average agency repurchase agreements and other debt outstanding for the period. Cost of funds excludes U.S. Treasury repurchase agreements.
|
16.
|
TBA dollar roll income/(loss) is net of TBAs used for hedging purposes. Dollar roll income/(loss) excludes the impact of other supplemental hedges, and is recognized in gain (loss) on derivative instruments and other securities, net.
|
17.
|
Economic return (loss) on common equity represents the sum of the change in net asset value per common share and dividends declared on common stock during the period over the beginning net asset value per common share.
|
18.
|
Excludes net TBA mortgage position.
|