PR Newswire
BETHESDA, Md., April 25, 2018
BETHESDA, Md., April 25, 2018 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today announced financial results for the quarter ended March 31, 2018.
FIRST QUARTER 2018 FINANCIAL HIGHLIGHTS
OTHER FIRST QUARTER HIGHLIGHTS
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.
MANAGEMENT REMARKS
"The key market dynamics from 2017 - low volatility, steadily increasing equity valuations, stable longer-term rates, and tighter credit spreads - reversed course dramatically during the first quarter of 2018. On the interest rate front, the 10-year U.S. Treasury rate rose 33 basis points, while shorter maturity Treasury rates and swap rates generally increased between 40 and 50 basis points. Consistent with the increase in volatility and wider credit spreads, spreads on Agency mortgage-backed securities ("Agency MBS") relative to benchmarks widened close to 10 basis points and were the primary driver of AGNC's book value decline during the first quarter," commented Gary Kain, the Company's Chief Executive Officer and Chief Investment Officer. "Fortunately, AGNC was very well positioned for the interest rate move as a direct result of the actions we took in the fourth quarter of last year to limit our duration gap. Our historically high hedge ratio minimized the impact of the movement in interest rates on our economic return and will continue to limit our exposure to further rate increases.
"While wider Agency MBS spreads were a significant contributor to the decline in our net book value in the first quarter, they also serve to improve the go-forward return profile of our new Agency MBS investment opportunities. As such, we continue to believe that Agency MBS provide the most attractive risk-adjusted returns for levered investors, especially when favorable funding trends are considered. By contrast, valuations of credit-sensitive mortgage investments returned to their recent highs in April, in turn reducing expected levered returns to levels that, in general, we do not find attractive."
"Late in the first quarter, the favorable funding dynamics for Agency MBS that we have discussed for several quarters improved meaningfully, augmenting our absolute return potential from Agency MBS," added Peter Federico, the Company's President and Chief Operating Officer. "Specifically, the spread between Agency MBS repo funding and corresponding LIBOR rates widened significantly during the quarter, particularly in March. This favorable spread differential will increasingly manifest itself as our pay fixed-receive floating rate swaps reset, reducing the cost of these hedges and providing a tailwind to our cost of funds and, in turn, our net spread income. Finally, our currently high hedge ratio, limited duration gap and modest leverage provide several levers to enhance returns as market conditions evolve."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of March 31, 2018, the Company's tangible net book value per common share was $18.63 per share, compared to $19.69 per share as of December 31, 2017. The decline of $(1.06) per common share, or -5.4%, was primarily due to wider mortgage spreads and, to a lesser extent, higher long-term rates during the first quarter. The Company's tangible net book value per common share excludes $550 million, or $1.41 per common share, of goodwill and other intangible assets as of March 31, 2018.
INVESTMENT PORTFOLIO
As of March 31, 2018, the Company's investment portfolio totaled $69.3 billion, comprised of:
As of March 31, 2018, inclusive of TBA securities, 30-year and 15-year Agency MBS fixed rate securities represented 78% and 18% of the Company's investment portfolio, respectively, largely unchanged from 77% and 19%, respectively, as of December 31, 2017.
As of March 31, 2018, the Company's fixed-rate Agency MBS, inclusive of TBA securities, had a weighted average coupon of 3.57%, compared to 3.55% as of December 31, 2017, comprised of the following weighted average coupons:
The Company accounts for TBA securities (or "dollar roll funded assets") as derivative instruments and recognizes dollar roll income in other gain (loss), net on the Company's financial statements. As of March 31, 2018, the Company's net TBA position had a total fair value of $13.6 billion and a GAAP net carrying value of $82 million reported in derivative assets/(liabilities) on the Company's balance sheet, compared to a total fair value of $15.7 billion and a GAAP net carrying value of $3 million as of December 31, 2017.
CONSTANT PREPAYMENT RATES
The Company's investment portfolio had a weighted average CPR of 8.6% for the first quarter, compared to 10.1% for the prior quarter. The weighted average projected CPR for the remaining life of the Company's Agency securities held as of March 31, 2018 was 7.6%, compared to 8.4% as of December 31, 2017.
The weighted average cost basis of the Company's investment portfolio was 104.7% of par value as of March 31, 2018. Net premium amortization cost on the Company's investment portfolio for the first quarter was $(69) million, or $(0.18) per common share, which includes a "catch-up" premium amortization benefit of $21 million, or $0.05 per common share, due to changes in the Company's projected CPR estimates for securities acquired prior to the first quarter. This compares to net premium amortization cost for the prior quarter of $(96) million, or $(0.25) per common share, including "catch-up" premium amortization cost of $(3) million, or $(0.01) per common share.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
The Company's average asset yield on its investment portfolio, excluding the net TBA position, was 3.05% for the first quarter, compared to 2.84% for the prior quarter. Excluding "catch-up" premium amortization, the Company's average asset yield was 2.90% for the first quarter, compared to 2.86% for the prior quarter. The Company's average asset yield including TBA securities and excluding "catch-up" premium amortization for the first quarter was 2.94%, an increase from 2.88% for the prior quarter.
For the first quarter, the weighted average interest rate on the Company's Agency repurchase agreements was 1.69%, compared to 1.43% for the prior quarter. The Company's average implied TBA funding cost was 1.49% for the first quarter, compared to 1.23% for the prior quarter. Inclusive of interest rate swap costs, the Company's combined average cost of funds for the first quarter was 1.68%, an increase from 1.52% for the prior quarter.
The Company's annualized net interest margin, including TBA securities and interest rate swap costs, was 1.38% for the first quarter, compared to 1.35% for the prior quarter. Excluding "catch-up" premium amortization, the Company's combined annualized net interest margin for the first quarter was 1.26%, compared to 1.36% for the prior quarter.
NET SPREAD AND DOLLAR ROLL INCOME
The Company recognized $0.65 per common share of net spread and dollar roll income (a non-GAAP financial measure) for the first quarter, compared to $0.62 for the prior quarter. Excluding "catch-up" premium amortization, the Company's net spread and dollar roll income was $0.60 per common share for the first quarter, a decrease from $0.63 per common share for the prior quarter. A reconciliation of the Company's net interest income to net spread and dollar roll income and additional information regarding the Company's use of non-GAAP measures are included later in this release.
LEVERAGE
As of March 31, 2018, $49.0 billion of Agency repo, $13.5 billion of TBA dollar roll positions (at cost) and $0.3 billion of other debt were used to fund the Company's investment portfolio. Inclusive of its net TBA position and net payable/(receivable) for unsettled securities, the Company's tangible net book value "at risk" leverage ratio was 8.2x as of March 31, 2018, compared to 8.1x as of December 31, 2017.
As of March 31, 2018, the Company's Agency repurchase agreements had a weighted average interest rate of 1.82%, an increase from 1.57% as of December 31, 2017, and a weighted average remaining days to maturity of 109 days, compared to 116 days as of December 31, 2017. As of March 31, 2018, $18.8 billion, or 38%, of the Company's Agency repurchase agreements were funded through the Company's captive broker-dealer subsidiary, Bethesda Securities, LLC, compared to $16.6 billion, or 33%, as of December 31, 2017.
As of March 31, 2018, the Company's Agency repurchase agreements had remaining maturities of:
HEDGING ACTIVITIES
As of March 31, 2018, 103% of the Company's outstanding balance of Agency repurchase agreements, other debt and net TBA position was hedged with interest rate swaps, swaptions and U.S. Treasury positions, compared to 97% as of December 31, 2017.
As of March 31, 2018, the Company's interest rate swap position totaled $45.3 billion in notional amount, compared to $43.7 billion as of December 31, 2017. The Company's interest rate swap position as of March 31, 2018 included $2.5 billion of forward starting swaps, with an average forward start date of 0.4 years, compared to $4.6 billion and 0.3 years, respectively, as of December 31, 2017. Including forward starting swaps, the Company's interest rate swap portfolio had an average fixed pay rate of 1.82%, an average receive rate of 1.90% and an average maturity of 4.5 years as of March 31, 2018, compared to 1.74%, 1.44% and 4.5 years, respectively, as of December 31, 2017. Excluding forward starting swaps, the Company's interest rate swap portfolio had an average fixed pay rate of 1.77% as of March 31, 2018, compared to 1.68% as of December 31, 2017.
The Company also utilizes payer swaptions and U.S. Treasury securities and futures to further mitigate exposure to changes in interest rates. As of March 31, 2018, the Company had payer swaptions outstanding totaling $6.8 billion, compared to $6.7 billion as of December 31, 2017, and short U.S. Treasury positions outstanding totaling $13.0 billion, compared to $14.0 billion as of December 31, 2017.
OTHER GAIN (LOSS), NET
For the first quarter, the Company recorded a net gain of $217 million in other gain (loss), net, or $0.55 per common share, compared to a net gain of $194 million, or $0.50 per common share, for the prior quarter. Other gain (loss), net for the first quarter was comprised of:
OTHER COMPREHENSIVE LOSS
During the first quarter, the Company recorded an other comprehensive loss of $(621) million, or $(1.59) per common share, consisting of net unrealized losses on the Company's Agency securities recognized through OCI, compared to a $(205) million, or $(0.52) per common share, other comprehensive loss for the prior quarter.
FIRST QUARTER 2018 DIVIDEND DECLARATIONS
During the first quarter, the Company's Board of Directors declared dividends of $0.18 per share to common stockholders of record as of January 31, February 28 and March 29, 2018, respectively, totaling $0.54 per share for the quarter, which were paid on February 8, March 8 and April 9, 2018, respectively. Since its May 2008 initial public offering through the first quarter of 2018, the Company has declared a total of $7.8 billion in common stock dividends, or $37.70 per common share.
On March 13, 2018, the Company's Board of Directors declared a first quarter dividend on its 7.750% Series B Cumulative Redeemable Preferred Stock of $0.484375 per depositary share and on its Series C Preferred Stock of $0.43750 per depositary share. The dividends were paid on April 16, 2018 to preferred stockholders of record as of April 1, 2018.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO STATISTICS
The following measures of operating performance include net spread and dollar roll income; net spread and dollar roll income, excluding "catch-up" premium amortization; economic interest income; economic interest expense; estimated taxable income; and the related per common share measures and financial metrics derived from such information, which are non-GAAP financial measures. Please refer to "Use of Non-GAAP Financial Information" later in this release for further discussion of non-GAAP measures.
AGNC INVESTMENT CORP. | |||||||||
CONSOLIDATED BALANCE SHEETS | |||||||||
(in millions, except per share data) | |||||||||
| | | | | | | | | |
| March 31, | | December 31, | | September 30, | | June 30, | | March 31, |
| 2018 | | 2017 | | 2017 | | 2017 | | 2017 |
| (unaudited) | | | | (unaudited) | | (unaudited) | | (unaudited) |
Assets: | | | | | | | | | |
Agency securities, at fair value (including pledged securities of $51,434, | $ 54,141 | | $ 55,506 | | $ 51,638 | | $ 45,226 | | $ 43,856 |
Agency securities transferred to consolidated variable interest entities, at fair value | 621 | | 662 | | 700 | | 737 | | 777 |
Credit risk transfer securities, at fair value | 884 | | 876 | | 717 | | 572 | | 383 |
Non-Agency securities, at fair value | 36 | | 36 | | 36 | | 31 | | 31 |
U.S. Treasury securities, at fair value | 224 | | - | | - | | - | | - |
REIT equity securities, at fair value | 42 | | 29 | | 4 | | 4 | | - |
Cash and cash equivalents | 972 | | 1,046 | | 1,098 | | 1,122 | | 1,073 |
Restricted cash | 386 | | 317 | | 294 | | 261 | | 219 |
Derivative assets, at fair value Werbung Mehr Nachrichten zur AGNC Investment Corp Aktie kostenlos abonnieren
E-Mail-Adresse
Bitte überprüfe deine die E-Mail-Adresse.
Benachrichtigungen von ARIVA.DE (Mit der Bestellung akzeptierst du die Datenschutzhinweise) -1 Vielen Dank, dass du dich für unseren Newsletter angemeldet hast. Du erhältst in Kürze eine E-Mail mit einem Aktivierungslink. Hinweis: ARIVA.DE veröffentlicht in dieser Rubrik Analysen, Kolumnen und Nachrichten aus verschiedenen Quellen. Die ARIVA.DE AG ist nicht verantwortlich für Inhalte, die erkennbar von Dritten in den „News“-Bereich dieser Webseite eingestellt worden sind, und macht sich diese nicht zu Eigen. Diese Inhalte sind insbesondere durch eine entsprechende „von“-Kennzeichnung unterhalb der Artikelüberschrift und/oder durch den Link „Um den vollständigen Artikel zu lesen, klicken Sie bitte hier.“ erkennbar; verantwortlich für diese Inhalte ist allein der genannte Dritte. Andere Nutzer interessierten sich auch für folgende News |