AGNC INVESTMENT CORP. ANNOUNCES FIRST QUARTER 2024 FINANCIAL RESULTS
- The company reported a comprehensive income of $0.48 per common share.
- Tangible net book value per common share increased by 1.6% to $8.84 as of March 31, 2024.
- The investment portfolio totaled $63.3 billion, consisting of Agency MBS, TBA securities, and other mortgage credit investments.
- Management noted a 5.7% economic return on tangible common equity for the quarter.
- Despite recent volatility, AGNC remains optimistic about the underlying fundamentals for Agency MBS.
- The Company's leverage increased modestly to 7.1x at the end of Q1.
- AGNC issued 25.1 million shares of common equity through ATM Offerings for net proceeds of $241 million.
- The weighted average CPR for the remaining life of its Agency securities decreased to 10.4% from 11.4% as of December 31, 2023.
- The Company recorded net realized losses on sales of investment securities and net unrealized losses on investment securities measured at fair value through net income.
- Interest rate swaps, swaptions, and U.S. Treasury positions were 99% of the Company's outstanding balance of Investment Securities Repo.
- The Company's average asset yield on its investment portfolio decreased to 4.53% for the first quarter.
- The Company's net interest spread decreased to 2.98% for the first quarter.
- Other comprehensive loss of $(77) million was recorded during the first quarter.
Insights
The reported 5.7% economic return on tangible common equity reflects the total shareholder gain when considering both dividend payouts and changes in tangible book value. For a retail investor, this is an essential measure of profitability, revealing the extent to which their investment is generating returns beyond standard market appreciation.
Observing the slight increase in leverage from 7.0x to 7.1x signals a marginal rise in investment risk. However, it remains within a range that suggests the company is managing debt prudently. The implications for investors point towards a stable strategy, with the potential for increased returns given the positive leverage effect in a favorable interest rate environment.
Moreover, the increase in tangible net book value from $8.70 to $8.84 is modest but significant. It indicates an improvement in the intrinsic value of the company's assets minus liabilities, hence potentially elevating the company's stock intrinsic value. For investors, this could mean a favorable position in terms of asset valuation.
AGNC's portfolio composition, predominantly consisting of Agency MBS, highlights a focus on securities with a government-backed guarantee. This is reassuring for investors concerned with credit risk, as these securities are less likely to default. The stability of Agency MBS spreads mentioned in the management's commentary indicates a lack of drastic changes in risk premiums, which could ensure more predictable returns for investors.
One area of particular interest is the net spread and dollar roll income (non-GAAP measure), which at $0.58 per common share, remains a critical component of the company's revenue generation. Dollar roll transactions involve the sale of mortgage-backed securities with an agreement to repurchase similar securities at a future date; a strategy that can add liquidity and yield optimization. For investors, this line item is a proxy for operational performance and management's capacity to capitalize on market conditions.
From a regulatory perspective, the commentary on the Federal Reserve's policy provides context for the company's performance. The suggestion that we've reached the peak of short-term interest rates, combined with the anticipated slowdown of the balance sheet runoff, could create a more benign rate environment for mortgage REITs like AGNC. For investors, these macroeconomic tailwinds could mean enhanced stability and potentially better performance for their investment.
It's important for investors to keep abreast of these broader economic indicators as they can significantly influence the performance of interest-rate sensitive entities like AGNC. Moreover, understanding the implications of terms like 'quantitative tightening' and 'monetary policy cycle' are important to contextualize the company's operations within larger economic movements.
FIRST QUARTER 2024 FINANCIAL HIGHLIGHTS
$0.48 $0.59 $(0.11)
$0.58 - Excludes
$0.01
- Excludes
$8.84 - Increased
$0.14 1.6% , from$8.70
- Increased
$0.36 5.7% economic return on tangible common equity for the quarter- Comprised of
$0.36 $0.14
- Comprised of
OTHER FIRST QUARTER HIGHLIGHTS
$63.3 billion $53.7 billion $8.4 billion $1
- 7.1x tangible net book value "at risk" leverage as of March 31, 2024
- 7.0x average tangible net book value "at risk" leverage for the quarter
- Unencumbered cash and Agency MBS totaled
$5.4 billion - Excludes unencumbered CRT and non-Agency securities
- Represents
67% of the Company's tangible equity as of March 31, 2024
10.4% average projected portfolio life CPR as of March 31, 20245.7% actual portfolio CPR for the quarter
2.98% annualized net interest spread for the quarter2- Issued 25.1 million shares of common equity through At-the-Market ("ATM") Offerings for net proceeds of
$241 million
___________ | |
1. | Represents a non-GAAP measure. Prior to the fourth quarter 2023, this measure was referred to as "net spread and dollar roll income, excluding 'catch-up' premium amortization cost/benefit, per common share." Please refer to the Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income and Use of Non-GAAP Financial Information included in this release for additional information. |
2. | Please refer to Net Interest Spread Components by Funding Source included in this release for additional information. |
MANAGEMENT REMARKS
"AGNC generated an economic return of
"Although the first quarter unfolded largely as expected and in a positive way, the start of the second quarter has illustrated that challenges remain. In April, interest rates and interest rate volatility increased meaningfully as the timing and magnitude of rate cuts in 2024 became increasingly more uncertain and as the conflict in the
"AGNC's strong
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of March 31, 2024, the Company's tangible net book value per common share was
INVESTMENT PORTFOLIO
As of March 31, 2024, the Company's investment portfolio totaled
$62.2 billion $61.2 billion $51.9 billion $8.4 billion $0.1 billion $0.1 billion $0.7 billion
$1.0 billion
$1
As of March 31, 2024, 30-year and 15-year fixed-rate Agency MBS and TBA securities represented
As of March 31, 2024, the Company's fixed-rate Agency MBS and TBA securities' weighted average coupon was
4.89% for 30-year fixed-rate securities;3.70% for 15-year fixed-rate securities; and2.82% for 20-year fixed-rate securities.
The Company accounts for TBA securities and other forward settling securities as derivative instruments and recognizes TBA dollar roll income in other gain (loss), net on the Company's financial statements. As of March 31, 2024, such positions had a fair value of
CONSTANT PREPAYMENT RATES
The Company's weighted average projected CPR for the remaining life of its Agency securities held as of March 31, 2024 decreased to
The weighted average cost basis of the Company's investment portfolio was
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
The Company's average asset yield on its investment portfolio, excluding the TBA position, was
For the first quarter, the weighted average interest rate on the Company's repurchase agreements was
The Company's annualized net interest spread, including the TBA position and interest rate swaps and excluding "catch-up" premium amortization, for the first quarter was
NET SPREAD AND DOLLAR ROLL INCOME
The Company recognized net spread and dollar roll income (a non-GAAP financial measure) for the first quarter of
A reconciliation of the Company's total comprehensive income (loss) 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, 2024,
As of March 31, 2024, the Company's repurchase agreements used to fund its investment portfolio ("Investment Securities Repo") had a weighted average interest rate of
HEDGING ACTIVITIES
As of March 31, 2024, interest rate swaps, swaptions,
As of March 31, 2024, the Company's pay fixed interest rate swap position totaled
As of March 31, 2024, the Company had net payer (receiver) swaptions totaling
OTHER GAIN (LOSS), NET
For the first quarter, the Company recorded a net gain of
$(91) million $(471) million $536 million $113 million $33 million $(10) million $481 million U.S. Treasury positions;$(58) million $(35) million $(1) million
OTHER COMPREHENSIVE LOSS
During the first quarter, the Company recorded other comprehensive loss of
COMMON STOCK DIVIDENDS
During the first quarter, the Company declared dividends of
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO STATISTICS
The following measures of operating performance include net spread and dollar roll income; economic interest income; economic interest expense; 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, | |||||
(unaudited) | (unaudited) | (unaudited) | (unaudited) | ||||||
Assets: | |||||||||
Agency securities, at fair value (including pledged securities of | $ 53,615 | $ 53,673 | $ 55,758 | $ 46,572 | $ 44,925 | ||||
Agency securities transferred to consolidated variable interest entities, | 114 | 121 | 120 | 131 | 140 | ||||
Credit risk transfer securities, at fair value (including pledged securities | 753 | 723 | 736 | 711 | 769 | ||||
Non-Agency securities, at fair value, and other mortgage credit | 353 | 351 | 353 | 353 | 530 | ||||
1,836 | 1,540 | 246 | 1,523 | 6,642 | |||||
Cash and cash equivalents | 505 | 518 | 493 | 716 | 975 | ||||
Restricted cash | 1,368 | 1,253 | 1,389 | 907 | 1,864 | ||||
Derivative assets, at fair value | 84 | 185 | 413 | 234 | 229 | ||||
Receivable for investment securities sold (including pledged securities | 5 | — | 311 | 148 | 346 | ||||
Receivable under reverse repurchase agreements | 12,424 | 11,618 | 8,900 | 7,990 | 8,929 | ||||
Goodwill | 526 | 526 | 526 | 526 | 526 | ||||
Other assets | 293 | 1,088 | 746 | 707 | 236 | ||||
Total assets | $ 71,876 | $ 71,596 | $ 69,991 | $ 60,518 | $ 66,111 | ||||
Liabilities: | |||||||||
Repurchase agreements | $ 49,971 | $ 50,426 | $ 52,107 | $ 42,029 | $ 48,384 | ||||
Debt of consolidated variable interest entities, at fair value | 76 | 80 | 80 | 87 | 92 | ||||
Payable for investment securities purchased | 636 | 210 | 701 | 1,901 | — | ||||
Derivative liabilities, at fair value | 65 | 362 | 80 | 117 | 326 | ||||
Dividends payable | 118 | 115 | 109 | 103 | 101 | ||||
Obligation to return securities borrowed under reverse repurchase | 12,115 | 10,894 | 9,022 | 7,970 | 8,869 | ||||
Accounts payable and other liabilities | 317 | 1,252 | 442 | 433 | 547 | ||||
Total liabilities | 63,298 | 63,339 | 62,541 | 52,640 | 58,319 | ||||
Stockholders' equity: | |||||||||
Preferred Stock - aggregate liquidation preference of | 1,634 | 1,634 | 1,634 | 1,634 | 1,634 | ||||
Common stock - | 7 | 7 | 6 | 6 | 6 | ||||
Additional paid-in capital | 15,521 | 15,281 | 14,901 | 14,466 | 14,356 | ||||
Retained deficit | (7,990) | (8,148) | (8,283) | (7,633) | (7,674) | ||||
Accumulated other comprehensive loss | (594) | (517) | (808) | (595) | (530) | ||||
Total stockholders' equity | 8,578 | 8,257 | 7,450 | 7,878 | 7,792 | ||||
Total liabilities and stockholders' equity | $ 71,876 | $ 71,596 | $ 69,991 | $ 60,518 | $ 66,111 | ||||
Tangible net book value per common share1 | $ 8.84 | $ 8.70 | $ 8.08 | $ 9.39 | $ 9.41 | ||||
AGNC INVESTMENT CORP | |||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
March 31, | December 31, | September 30, | June 30, | March 31, | |||||
Interest income: | |||||||||
Interest income | $ 642 | $ 640 | $ 593 | $ 457 | $ 351 | ||||
Interest expense | 672 | 666 | 646 | 526 | 449 | ||||
Net interest income (expense) | (30) | (26) | (53) | (69) | (98) | ||||
Other gain (loss), net: | |||||||||
Realized loss on sale of investment securities, net | (91) | (697) | (534) | (255) | (81) | ||||
Unrealized (loss) gain on investment securities measured at fair value | (471) | 2,803 | (1,356) | (363) | 594 | ||||
Gain (loss) on derivative instruments and other investments, net | 1,059 | (1,640) | 1,574 | 996 | (544) | ||||
Total other gain (loss), net | 497 | 466 | (316) | 378 | (31) | ||||
Expenses: | |||||||||
Compensation and benefits | 16 | 20 | 14 | 14 | 14 | ||||
Other operating expense | 8 | 8 | 9 | 9 | 8 | ||||
Total operating expense | 24 | 28 | 23 | 23 | 22 | ||||
Net income (loss) | 443 | 412 | (392) | 286 | (151) | ||||
Dividend on preferred stock | 31 | 31 | 31 | 31 | 30 | ||||
Net income (loss) available (attributable) to common stockholders | $ 412 | $ 381 | $ (423) | $ 255 | $ (181) | ||||
Net income (loss) | $ 443 | $ 412 | $ (392) | $ 286 | $ (151) | ||||
Unrealized gain (loss) on investment securities measured at fair value | (77) | 291 | (213) | (65) | 142 | ||||
Comprehensive income (loss) | 366 | 703 | (605) | 221 | (9) | ||||
Dividend on preferred stock | 31 | 31 | 31 | 31 | 30 | ||||
Comprehensive income (loss) available (attributable) to common stockholders | $ 335 | $ 672 | $ (636) | $ 190 | $ (39) | ||||
Weighted average number of common shares outstanding - basic | 702.2 | 672.3 | 622.0 | 598.8 | 579.3 | ||||
Weighted average number of common shares outstanding - diluted | 704.2 | 674.0 | 622.0 | 599.7 | 579.3 | ||||
Net income (loss) per common share - basic | $ 0.59 | $ 0.57 | $ (0.68) | $ 0.43 | $ (0.31) | ||||
Net income (loss) per common share - diluted | $ 0.59 | $ 0.57 | $ (0.68) | $ 0.43 | $ (0.31) | ||||
Comprehensive income (loss) per common share - basic | $ 0.48 | $ 1.00 | $ (1.02) | $ 0.32 | $ (0.07) | ||||
Comprehensive income (loss) per common share - diluted | $ 0.48 | $ 1.00 | $ (1.02) | $ 0.32 | $ (0.07) | ||||
Dividends declared per common share | $ 0.36 | $ 0.36 | $ 0.36 | $ 0.36 | $ 0.36 | ||||
AGNC INVESTMENT CORP | |||||||||
RECONCILIATION OF GAAP COMPREHENSIVE INCOME (LOSS) TO NET SPREAD AND DOLLAR ROLL INCOME (NON-GAAP MEASURE) 2 | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
March 31, | December 31, | September 30, | June 30, | March 31, | |||||
| Comprehensive income (loss) available (attributable) to common | $ 335 | $ 672 | $ (636) | $ 190 | $ (39) | ||||
| Adjustments to exclude realized and unrealized (gains) losses | |||||||||
Realized loss on sale of investment securities, net | 91 | 697 | 534 | 255 | 81 | ||||
Unrealized (gain) loss on investment securities measured at fair value | 471 | (2,803) | 1,356 | 363 | (594) | ||||
(Gain) loss on derivative instruments and other securities, net | (1,059) | 1,640 | (1,574) | (996) | 544 | ||||
| Adjustment to exclude unrealized (gain) loss reported through other | |||||||||
Unrealized (gain) loss on available-for-sale securities measure at fair | 77 | (291) | 213 | 65 | (142) | ||||
| Other adjustments: | |||||||||
Estimated "catch up" premium amortization cost (benefit) due to change | (10) | (32) | (31) | (11) | 69 | ||||
TBA dollar roll income 4,5 | — | 7 | — | 6 | 18 | ||||
Interest rate swap periodic income, net 4,6 | 536 | 548 | 583 | 567 | 504 | ||||
Other interest income (expense), net 4,7 | (35) | (36) | (42) | (35) | (33) | ||||
| Net spread and dollar roll income available to common stockholders | $ 406 | $ 402 | $ 403 | $ 404 | $ 408 | ||||
Weighted average number of common shares outstanding - basic | 702.2 | 672.3 | 622.0 | 598.8 | 579.3 | ||||
Weighted average number of common shares outstanding - diluted | 704.2 | 674.0 | 623.3 | 599.7 | 580.5 | ||||
Net spread and dollar roll income per common share - basic | $ 0.58 | $ 0.60 | $ 0.65 | $ 0.67 | $ 0.70 | ||||
Net spread and dollar roll income per common share - diluted | $ 0.58 | $ 0.60 | $ 0.65 | $ 0.67 | $ 0.70 | ||||
AGNC INVESTMENT CORP | |||||||||
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE 2 | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
March 31, | December 31, | September 30, | June 30, | March 31, | |||||
Adjusted net interest and dollar roll income: | |||||||||
Economic interest income: | |||||||||
Investment securities - GAAP interest income 8 | $ 642 | $ 640 | $ 593 | $ 457 | $ 351 | ||||
Estimated "catch-up" premium amortization cost (benefit) due to | (10) | (32) | (31) | (11) | 69 | ||||
TBA dollar roll income - implied interest income 4,9 | 84 | 76 | 99 | 129 | 220 | ||||
Economic interest income | 716 | 684 | 661 | 575 | 640 | ||||
Economic interest expense: | |||||||||
Repurchase agreements and other debt - GAAP interest expense | (672) | (666) | (646) | (526) | (449) | ||||
TBA dollar roll income - implied interest expense 4,10 | (84) | (69) | (99) | (123) | (202) | ||||
Interest rate swap periodic income, net 4,6 | 536 | 548 | 583 | 567 | 504 | ||||
Economic interest expense | (220) | (187) | (162) | (82) | (147) | ||||
Adjusted net interest and dollar roll income | $ 496 | $ 497 | $ 499 | $ 493 | $ 493 | ||||
Net interest spread: | |||||||||
Average asset yield: | |||||||||
Investment securities - average asset yield | 4.53 % | 4.55 % | 4.26 % | 3.72 % | 2.93 % | ||||
Estimated "catch-up" premium amortization cost (benefit) due to | (0.07) % | (0.22) % | (0.22) % | (0.09) % | 0.58 % | ||||
Investment securities average asset yield, excluding "catch-up" | 4.46 % | 4.33 % | 4.04 % | 3.63 % | 3.51 % | ||||
TBA securities - average implied asset yield 9 | 5.40 % | 6.09 % | 5.40 % | 5.18 % | 4.93 % | ||||
Average asset yield 11 | 4.56 % | 4.47 % | 4.20 % | 3.89 % | 3.90 % | ||||
Average total cost of funds: | |||||||||
Repurchase agreements and other debt - average funding cost | 5.45 % | 5.48 % | 5.37 % | 5.01 % | 4.51 % | ||||
TBA securities - average implied funding cost 10 | 5.34 % | 5.37 % | 5.28 % | 4.89 % | 4.53 % | ||||
Average cost of funds, before interest rate swap periodic income, | 5.44 % | 5.47 % | 5.36 % | 4.98 % | 4.52 % | ||||
Interest rate swap periodic income, net 12 | (3.86) % | (4.08) % | (4.19) % | (4.35) % | (3.50) % | ||||
Average total cost of funds 13 | 1.58 % | 1.39 % | 1.17 % | 0.63 % | 1.02 % | ||||
Average net interest spread | 2.98 % | 3.08 % | 3.03 % | 3.26 % | 2.88 % | ||||
AGNC INVESTMENT CORP | |||||||||
KEY STATISTICS* | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
Key Balance Sheet Statistics: | March 31, | December 31, | September 30, | June 30, | March 31, | ||||
Investment securities: 8 | |||||||||
Fixed-rate Agency MBS, at fair value - as of period end | $ 52,767 | $ 53,161 | $ 55,408 | $ 46,250 | $ 44,754 | ||||
Other Agency MBS, at fair value - as of period end | $ 962 | $ 633 | $ 470 | $ 453 | $ 311 | ||||
Credit risk transfer securities, at fair value - as of period end | $ 753 | $ 723 | $ 736 | $ 711 | $ 769 | ||||
Non-Agency MBS, at fair value - as of period end 14 | $ 294 | $ 307 | $ 308 | $ 325 | $ 505 | ||||
Total investment securities, at fair value - as of period end | $ 54,776 | $ 54,824 | $ 56,922 | $ 47,739 | $ 46,339 | ||||
Total investment securities, at cost - as of period end | $ 57,464 | $ 56,965 | $ 62,156 | $ 51,406 | $ 49,575 | ||||
Total investment securities, at par - as of period end | $ 56,287 | $ 55,760 | $ 61,034 | $ 50,030 | $ 48,123 | ||||
Average investment securities, at cost | $ 56,664 | $ 56,228 | $ 55,665 | $ 49,119 | $ 47,846 | ||||
Average investment securities, at par | $ 55,455 | $ 55,039 | $ 54,387 | $ 47,711 | $ 46,374 | ||||
TBA securities: 15 | |||||||||
Net TBA portfolio - as of period end, at fair value | $ 8,448 | $ 5,354 | $ 2,376 | $ 10,228 | $ 10,395 | ||||
Net TBA portfolio - as of period end, at cost | $ 8,405 | $ 5,288 | $ 2,407 | $ 10,320 | $ 10,385 | ||||
Net TBA portfolio - as of period end, carrying value | $ 43 | $ 66 | $ (31) | $ (92) | $ 10 | ||||
Average net TBA portfolio, at cost | $ 6,190 | $ 4,993 | $ 7,340 | $ 9,985 | $ 17,851 | ||||
Average repurchase agreements and other debt 16 | $ 48,730 | $ 47,548 | $ 47,073 | $ 41,546 | $ 39,824 | ||||
Average stockholders' equity 17 | $ 8,328 | $ 7,660 | $ 7,758 | $ 7,712 | $ 8,053 | ||||
Tangible net book value per common share 1 | $ 8.84 | $ 8.70 | $ 8.08 | $ 9.39 | $ 9.41 | ||||
Tangible net book value "at risk" leverage - average 18 | 7.0 :1 | 7.4 :1 | 7.5 :1 | 7.2 :1 | 7.7 :1 | ||||
Tangible net book value "at risk" leverage - as of period end 19 | 7.1 :1 | 7.0 :1 | 7.9 :1 | 7.2 :1 | 7.2 :1 | ||||
Key Performance Statistics: | |||||||||
Investment securities: 8 | |||||||||
Average coupon | 4.90 % | 4.77 % | 4.51 % | 4.21 % | 4.06 % | ||||
Average asset yield | 4.53 % | 4.55 % | 4.26 % | 3.72 % | 2.93 % | ||||
Average asset yield, excluding "catch-up" premium amortization | 4.46 % | 4.33 % | 4.04 % | 3.63 % | 3.51 % | ||||
Average coupon - as of period end | 4.93 % | 4.86 % | 4.73 % | 4.33 % | 4.15 % | ||||
Average asset yield - as of period end | 4.52 % | 4.41 % | 4.37 % | 3.78 % | 3.55 % | ||||
Average actual CPR for securities held during the period | 5.7 % | 6.2 % | 7.1 % | 6.6 % | 5.2 % | ||||
Average forecasted CPR - as of period end | 10.4 % | 11.4 % | 8.3 % | 9.8 % | 10.0 % | ||||
Total premium amortization cost | $ (37) | $ (16) | $ (20) | $ (45) | $ (120) | ||||
TBA securities: | |||||||||
Average coupon - as of period end 20 | 5.22 % | 5.54 % | 5.83 % | 5.25 % | 5.06 % | ||||
Average implied asset yield 9 | 5.40 % | 6.09 % | 5.40 % | 5.18 % | 4.93 % | ||||
Combined investment and TBA securities - average asset yield, excluding "catch-up" premium amortization 11 | 4.56 % | 4.47 % | 4.20 % | 3.89 % | 3.90 % | ||||
Cost of funds: | |||||||||
Repurchase agreements - average funding cost | 5.45 % | 5.48 % | 5.37 % | 5.01 % | 4.51 % | ||||
TBA securities - average implied funding cost 10 | 5.34 % | 5.37 % | 5.28 % | 4.89 % | 4.53 % | ||||
Interest rate swaps - average periodic income 12 | (3.86) % | (4.08) % | (4.19) % | (4.35) % | (3.50) % | ||||
Average total cost of funds, inclusive of TBAs and interest rate swap periodic income, net 11,13 | 1.58 % | 1.39 % | 1.17 % | 0.63 % | 1.02 % | ||||
Repurchase agreements - average funding cost as of period end | 5.46 % | 5.60 % | 5.47 % | 5.23 % | 4.81 % | ||||
Interest rate swaps - average net pay/(receive) rate as of period end 21 | (4.37) % | (4.80) % | (4.56) % | (4.53) % | (4.39) % | ||||
Net interest spread: | |||||||||
Combined investment and TBA securities average net interest spread | 3.04 % | 3.29 % | 3.23 % | 3.34 % | 2.46 % | ||||
Combined investment and TBA securities average net interest spread, excluding "catch-up" premium amortization | 2.98 % | 3.08 % | 3.03 % | 3.26 % | 2.88 % | ||||
Expenses % of average stockholders' equity - annualized | 1.15 % | 1.46 % | 1.19 % | 1.19 % | 1.09 % | ||||
Economic return (loss) on tangible common equity - unannualized 22 | 5.7 % | 12.1 % | (10.1) % | 3.6 % | (0.7) % | ||||
*Except as noted below, average numbers for each period are weighted based on days on the Company's books and records. All percentages are annualized, unless otherwise noted.
Numbers in financial tables may not total due to rounding.
- Tangible net book value per common share excludes preferred stock liquidation preference and goodwill.
- Table includes non-GAAP financial measures and/or amounts derived from non-GAAP measures. Refer to "Use of Non-GAAP Financial Information" for additional discussion of non-GAAP financial measures.
- "Catch-up" premium amortization cost/benefit is reported in interest income on the accompanying consolidated statements of operations.
- Amount reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.
- Dollar roll income represents the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement. Amount includes dollar roll income (loss) on long and short TBA securities. Amount excludes TBA mark-to-market adjustments.
- Represents periodic interest rate swap settlements. Amount excludes interest rate swap termination fees, mark-to-market adjustments and price alignment interest income (expense) on margin deposits.
- Other interest income (expense), net includes interest income on cash and cash equivalents, price alignment interest income (expense) on margin deposits, and other miscellaneous interest income (expense).
- Investment securities include Agency MBS, CRT and non-Agency securities. Amounts exclude TBA and forward settling securities accounted for as derivative instruments in the accompanying consolidated balance sheets and statements of operations.
- The average implied asset yield for TBA dollar roll transactions is extrapolated by adding the average TBA implied funding cost (Note 10) to the net dollar roll yield. The net dollar roll yield is calculated by dividing dollar roll income (Note 5) by the average net TBA balance (cost basis) outstanding for the period.
- The implied funding cost/benefit of TBA dollar roll transactions is determined using the "price drop" (Note 5) and market-based assumptions regarding the "cheapest-to-deliver" collateral that can be delivered to satisfy the TBA contract, such as the anticipated collateral's weighted average coupon, weighted average maturity and projected 1-month CPR. The average implied funding cost/benefit for all TBA transactions is weighted based on the Company's daily average TBA balance outstanding for the period.
- Amount calculated on a weighted average basis based on average balances outstanding during the period and their respective asset yield/funding cost.
- Represents interest rate swap periodic cost/income measured as a percent of total mortgage funding (Investment Securities Repo, other debt and net TBA securities (at cost)).
- Cost of funds excludes other supplemental hedges used to hedge a portion of the Company's interest rate risk (such as swaptions, SOFR futures, and
U.S. Treasury positions) andU.S. Treasury repurchase agreements. - Non-Agency MBS, at fair value, excludes
$59 million $44 million $45 million $28 million $25 million - Includes TBA dollar roll position and, if applicable, forward settling securities accounted for as derivative instruments in the accompanying consolidated balance sheets and statements of operations. Amount is net of short TBA securities.
- Average repurchase agreements and other debt excludes
U.S. Treasury repurchase agreements. - Average stockholders' equity calculated as the average month-ended stockholders' equity during the quarter.
- Average tangible net book value "at risk" leverage during the period was calculated by dividing the sum of the daily weighted average Investment Securities Repo, other debt, and TBA and forward settling securities (at cost) outstanding for the period by the sum of average stockholders' equity adjusted to exclude goodwill. Leverage excludes
U.S. Treasury repurchase agreements. - Tangible net book value "at risk" leverage as of period end was calculated by dividing the sum of the amount outstanding under Investment Securities Repo, other debt, net TBA position and forward settling securities (at cost), and net receivable / payable for unsettled investment securities outstanding by the sum of total stockholders' equity adjusted to exclude goodwill. Leverage excludes
U.S. Treasury repurchase agreements. - Average TBA coupon is for the long TBA position only.
- Includes forward starting swaps not yet in effect as of reported period-end.
- Economic return (loss) 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 the beginning tangible net book value per common share.
STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and analysts to attend the AGNC stockholder call on April 23, 2024 at 8:30 am ET. Interested persons who do not plan on asking a question and have internet access are encouraged to utilize the webcast at www.AGNC.com. Those who plan on participating in the Q&A or do not have internet available may access the call by dialing (877) 300-5922 (
A slide presentation will accompany the call and will be available in the Investors section of the Company's website at www.AGNC.com. Select the Q1 2024 Earnings Presentation link to download the presentation in advance of the stockholder call.
An archived audio of the stockholder call combined with the slide presentation will be available on the AGNC website after the call on April 23, 2024. In addition, there will be a phone recording available one hour after the call on April 23, 2024 through April 30, 2024. Those who are interested in hearing the recording of the presentation, can access it by dialing (877) 344-7529 (
For further information, please contact Investor Relations at (301) 968-9300 or IR@AGNC.com.
ABOUT AGNC INVESTMENT CORP.
Founded in 2008, AGNC Investment Corp. (Nasdaq: AGNC) is a leading investor in Agency residential mortgage-backed securities (Agency MBS), which benefit from a guarantee against credit losses by Fannie Mae, Freddie Mac, or Ginnie Mae. We invest on a leveraged basis, financing our Agency MBS assets primarily through repurchase agreements, and utilize dynamic risk management strategies intended to protect the value of our portfolio from interest rate and other market risks.
AGNC has a track record of providing favorable long-term returns for our stockholders through substantial monthly dividend income, with over
FORWARD LOOKING STATEMENTS
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act. Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of the Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results could differ materially from those projected in these forward-looking statements or from our historic performance due to a variety of important factors, including, without limitation, changes in monetary policy and other factors that affect interest rates, MBS spreads to benchmark interest rates, the forward yield curve, or prepayment rates; the availability and terms of financing; changes in the market value of the Company's assets; general economic or geopolitical conditions; liquidity and other conditions in the market for Agency securities and other financial markets; and legislative and regulatory changes that could adversely affect the business of the Company. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in the Company's periodic reports filed with the Securities and Exchange Commission ("SEC"). Copies are available on the SEC's website, www.sec.gov. The Company disclaims any obligation to update or revise any forward-looking statements based on the occurrence of future events, the receipt of new information, or otherwise.
USE OF NON-GAAP FINANCIAL INFORMATION
In addition to the results presented in accordance with GAAP, the Company's results of operations discussed in this release include certain non-GAAP financial information, including "net spread and dollar roll income"; "economic interest income" and "economic interest expense"; and the related per common share measures and certain financial metrics derived from such non-GAAP information, such as "cost of funds" and "net interest spread."
Net spread and dollar roll income available to common stockholders is measured as comprehensive income (loss) available (attributable) to common stockholders (GAAP measure) adjusted to: (i) exclude gains/losses on investment securities recognized through net income or other comprehensive income and gains/losses on derivative instruments and other securities (GAAP measures), (ii) exclude retrospective "catch-up" adjustments to premium amortization cost due to changes in projected CPR estimates and (iii) include interest rate swap periodic income/cost, TBA dollar roll income and other miscellaneous interest income/expense. As defined, net spread and dollar roll income available to common stockholders represents net interest income (GAAP measure) adjusted to exclude retrospective "catch-up" adjustments to premium amortization cost due to changes in projected CPR estimates and to include TBA dollar roll income, interest rate swap periodic income/cost and other miscellaneous interest income/expense, less total operating expense (GAAP measure) and dividends on preferred stock (GAAP measure).
By providing users of the Company's financial information with such measures in addition to the related GAAP measures, the Company believes users have greater transparency into the information used by the Company's management in its financial and operational decision-making. The Company also believes that it is important for users of its financial information to consider information related to the Company's current financial performance without the effects of certain transactions that are not necessarily indicative of its current investment portfolio performance and operations.
Specifically, the Company believes the inclusion of TBA dollar roll income in its non-GAAP measures is meaningful as TBAs are economically equivalent to holding and financing generic Agency MBS using short-term repurchase agreements but are recognized under GAAP in gain/loss on derivative instruments in the Company's statement of operations. Similarly, the Company believes that the inclusion of periodic interest rate swap settlements in such measures, which are recognized under GAAP in gain/loss on derivative instruments, is meaningful as interest rate swaps are the primary instrument the Company uses to economically hedge against fluctuations in the Company's borrowing costs and inclusion of periodic interest rate swap settlements is more indicative of the Company's total cost of funds than interest expense alone. Finally, the Company believes the exclusion of "catch-up" adjustments to premium amortization cost is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such "catch-up" cost or benefit is more indicative of the current earnings potential of the Company's investment portfolio.
However, because such measures are incomplete measures of the Company's financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP. In addition, because not all companies use identical calculations, the Company's presentation of such non-GAAP measures may not be comparable to other similarly-titled measures of other companies.
A reconciliation of GAAP comprehensive income (loss) to non-GAAP "net spread and dollar roll income" is included in this release.
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9303
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SOURCE AGNC Investment Corp.
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