AGNC Investment Corp. Announces Fourth Quarter 2022 Financial Results
AGNC Investment Corp. reported its financial results for Q4 2022, showcasing a comprehensive income of $1.17 per common share, composed of $0.93 net income and $0.24 other comprehensive income. The company's tangible net book value rose by 8.4% to $9.84 per share. For the quarter, AGNC declared dividends of $0.36 per share, yielding a 12.3% economic return. The investment portfolio reached $59.5 billion, with 7.4x leverage at quarter-end. However, the full year saw a comprehensive loss of $(4.22) per share, driven by a net loss of $(2.41) per share, and a 28.4% economic return decline year-over-year. Given stabilizing fixed income markets, management is optimistic about future performance in Agency MBS.
- 8.4% increase in tangible net book value per common share to $9.84
- Declared dividends of $0.36 per common share, resulting in a 12.3% economic return
- Investment portfolio valued at $59.5 billion as of December 31, 2022
- Full year comprehensive loss of $(4.22) per common share
- Net loss of $(2.41) per common share for the year
- 28.4% decline in economic return on tangible common equity year-over-year
FOURTH QUARTER 2022 FINANCIAL HIGHLIGHTS
$1.17 $0.93 $0.24 $0.74 - Includes
$0.11 $19.0 billion - Excludes
$(0.01) $9.84 December 31, 2022 - Increased
$0.76 8.4% , from$9.08 September 30, 2022 $0.36 12.3% economic return on tangible common equity for the quarter- Comprised of
$0.36 $0.76
OTHER FOURTH QUARTER HIGHLIGHTS
$59.5 billion December 31, 2022 , comprised of:$39.5 billion $18.6 billion $1 - 7.4x tangible net book value "at risk" leverage as of
December 31, 2022 - 7.8x average tangible net book value "at risk" leverage for the quarter
- Cash and unencumbered Agency MBS totaled
$4.3 billion December 31, 2022 - Excludes unencumbered CRT and non-Agency securities
- Represents
59% of the Company's tangible equity as ofDecember 31, 2022 7.4% average projected portfolio life CPR as ofDecember 31, 2022 6.8% actual portfolio CPR for the quarter2.74% annualized net interest spread and TBA dollar roll income for the quarter, excluding estimated "catch-up" premium amortization cost- Excludes -3 bps of "catch-up" premium amortization cost due to change in projected CPR estimates
- Capital markets activity
- Issued 23.3 million common shares through At-the-Market ("ATM") Offerings at an average offering price of
$8.02 $187 million
2022 FULL YEAR HIGHLIGHTS
$(4.22) $(2.41) $(1.81) $3.11 - Includes
$0.96 - Excludes
$0.44 $1.44 - -
28.4% economic return on tangible common equity for the year, comprised of: $1.44 $(5.91) 37.5% , from$15.75 December 31, 2021 - -
21.7% total stock return 2 - Capital markets activity
- Repurchased 4.7 million common shares, at an average repurchase price of
$10.78 $51 million - Issued 56.0 million common shares, through ATM Offerings at an average offering price of
$9.39 $526 million - Issued
$150 million 7.75% Series G Fixed-Rate Reset preferred equity
____________ | |
1 | Represents a non-GAAP measure. Please refer to a reconciliation to the most comparable GAAP measure and additional information regarding the use of non-GAAP financial information later in this release. |
2 | Includes dividend reinvestments. Source: Bloomberg |
MANAGEMENT REMARKS
"The fourth quarter of 2022 provided reason for optimism that a very constructive and durable investment environment is emerging for Agency MBS," said
"Looking ahead, our favorable outlook for Agency MBS is supported by several compelling dynamics. First, mortgage spreads remain well above historical averages and consistent with generating strong risk-adjusted returns. Second, the supply of Agency MBS to the private sector should be manageable given elevated mortgage rates and affordability challenges. Third, interest rate volatility should decline as the
"AGNC generated a
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of
INVESTMENT PORTFOLIO
As of
$58.1 billion $57.7 billion $36.2 billion $18.6 billion $1.6 billion $1.4 billion $0.3 billion $1
As of
As of
4.20% for 30-year fixed-rate securities;3.25% for 15-year fixed rate securities; and2.51% 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
CONSTANT PREPAYMENT RATES
The Company's weighted average projected CPR for the remaining life of its Agency securities held as of
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 fourth 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 fourth quarter was
NET SPREAD AND DOLLAR ROLL INCOME
The Company recognized net spread and dollar roll income (a non-GAAP financial measure) for the fourth quarter of
A reconciliation of the Company's total comprehensive income (loss) to net spread and dollar roll income, excluding "catch-up" premium amortization, and additional information regarding the Company's use of non-GAAP measures are included later in this release.
LEVERAGE
As of
As of
As of
$34.5 billion $1.4 billion
HEDGING ACTIVITIES
As of
As of
As of
OTHER GAIN (LOSS), NET
For the fourth quarter, the Company recorded a net gain of
$(1,068) million $1,462 million $356 million $(191) million $(9) million $(145) million U.S. Treasury positions;$65 million $105 million $(25) million
OTHER COMPREHENSIVE INCOME
During the fourth quarter, the Company recorded other comprehensive income of
COMMON STOCK DIVIDENDS
During the fourth quarter, the Company declared dividends of
The Company also announced it has published the tax characteristics of its distributions for common stock dividends and for each series of its preferred stock dividends for calendar year 2022 on its website at www.AGNC.com. Stockholders should receive an
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.
CONSOLIDATED BALANCE SHEETS | |||||||||
(in millions, except per share data) | |||||||||
|
|
|
|
| |||||
(unaudited) | (unaudited) | (unaudited) | (unaudited) | ||||||
Assets: | |||||||||
Agency securities, at fair value (including pledged securities of | $ 39,346 | $ 41,740 | $ 43,459 | $ 47,214 | $ 52,396 | ||||
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 144 | 149 | 167 | 184 | 208 | ||||
Credit risk transfer securities, at fair value (including pledged securities of | 757 | 860 | 894 | 885 | 974 | ||||
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of | 682 | 869 | 881 | 804 | 843 | ||||
353 | 1,213 | 1,882 | 684 | 471 | |||||
Cash and cash equivalents | 1,018 | 976 | 906 | 1,004 | 998 | ||||
Restricted cash | 1,316 | 2,186 | 1,333 | 1,087 | 527 | ||||
Derivative assets, at fair value | 617 | 851 | 536 | 647 | 317 | ||||
Receivable for investment securities sold (including pledged securities of | 120 | 1,169 | 2,006 | 2,317 | — | ||||
Receivable under reverse repurchase agreements | 6,622 | 7,577 | 8,438 | 10,645 | 10,475 | ||||
526 | 526 | 526 | 526 | 526 | |||||
Other assets | 247 | 408 | 212 | 397 | 414 | ||||
Total assets | $ 51,748 | $ 58,524 | $ 61,240 | $ 66,394 | $ 68,149 | ||||
Liabilities: | |||||||||
Repurchase agreements | $ 36,262 | $ 40,306 | $ 43,153 | $ 44,715 | $ 47,381 | ||||
Debt of consolidated variable interest entities, at fair value | 95 | 98 | 107 | 116 | 126 | ||||
Payable for investment securities purchased | 302 | 1,279 | 547 | 857 | 80 | ||||
Derivative liabilities, at fair value | 99 | 1,221 | 237 | 668 | 86 | ||||
Dividends payable | 100 | 92 | 88 | 88 | 88 | ||||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 6,534 | 7,469 | 8,265 | 10,277 | 9,697 | ||||
Accounts payable and other liabilities | 486 | 837 | 803 | 743 | 400 | ||||
Total liabilities | 43,878 | 51,302 | 53,200 | 57,464 | 57,858 | ||||
Stockholders' equity: | |||||||||
Preferred Stock - aggregate liquidation preference of | 1,634 | 1,634 | 1,489 | 1,489 | 1,489 | ||||
Common stock - | 6 | 6 | 5 | 5 | 5 | ||||
Additional paid-in capital | 14,186 | 13,999 | 13,707 | 13,704 | 13,710 | ||||
Retained deficit | (7,284) | (7,610) | (6,726) | (6,078) | (5,214) | ||||
Accumulated other comprehensive income (loss) | (672) | (807) | (435) | (190) | 301 | ||||
Total stockholders' equity | 7,870 | 7,222 | 8,040 | 8,930 | 10,291 | ||||
Total liabilities and stockholders' equity | $ 51,748 | $ 58,524 | $ 61,240 | $ 66,394 | $ 68,149 | ||||
Tangible net book value per common share 1 | $ 9.84 | $ 9.08 | $ 11.43 | $ 13.12 | $ 15.75 | ||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | Year Ended | ||||||||
|
|
|
|
| |||||
Interest income: | |||||||||
Interest income | $ 347 | $ 373 | $ 395 | $ 475 | $ 1,590 | ||||
Interest expense | 322 | 196 | 80 | 27 | 625 | ||||
Net interest income | 25 | 177 | 315 | 448 | 965 | ||||
Other gain (loss), net: | |||||||||
Realized loss on sale of investment securities, net | (1,068) | (560) | (946) | (342) | (2,916) | ||||
Unrealized gain (loss) on investment securities measured at fair value through net income, net | 1,462 | (1,738) | (987) | (2,532) | (3,795) | ||||
Gain on derivative instruments and other investments, net | 156 | 1,474 | 1,204 | 1,796 | 4,630 | ||||
Total other gain (loss), net | 550 | (824) | (729) | (1,078) | (2,081) | ||||
Expenses: | |||||||||
Compensation and benefits | 5 | 11 | 12 | 13 | 41 | ||||
Other operating expense | 9 | 8 | 8 | 8 | 33 | ||||
Total operating expense | 14 | 19 | 20 | 21 | 74 | ||||
Net income (loss) | 561 | (666) | (434) | (651) | (1,190) | ||||
Dividend on preferred stock | 29 | 26 | 25 | 25 | 105 | ||||
Net income (loss) available (attributable) to common stockholders | $ 532 | $ (692) | $ (459) | $ (676) | $ (1,295) | ||||
Net income (loss) | $ 561 | $ (666) | $ (434) | $ (651) | $ (1,190) | ||||
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net | 135 | (372) | (245) | (491) | (973) | ||||
Comprehensive income (loss) | 696 | (1,038) | (679) | (1,142) | (2,163) | ||||
Dividend on preferred stock | 29 | 26 | 25 | 25 | 105 | ||||
Comprehensive income (loss) available (attributable) to common stockholders | $ 667 | $ (1,064) | $ (704) | $ (1,167) | $ (2,268) | ||||
Weighted average number of common shares outstanding - basic | 568.4 | 528.7 | 526.2 | 524.3 | 537.0 | ||||
Weighted average number of common shares outstanding - diluted | 569.5 | 528.7 | 526.2 | 524.3 | 537.0 | ||||
Net income (loss) per common share - basic | $ 0.94 | $ (1.31) | $ (0.87) | $ (1.29) | $ (2.41) | ||||
Net income (loss) per common share - diluted | $ 0.93 | $ (1.31) | $ (0.87) | $ (1.29) | $ (2.41) | ||||
Comprehensive income (loss) per common share - basic | $ 1.17 | $ (2.01) | $ (1.34) | $ (2.23) | $ (4.22) | ||||
Comprehensive income (loss) per common share - diluted | $ 1.17 | $ (2.01) | $ (1.34) | $ (2.23) | $ (4.22) | ||||
Dividends declared per common share | $ 0.36 | $ 0.36 | $ 0.36 | $ 0.36 | $ 1.44 | ||||
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 | Year Ended | ||||||||
|
|
|
|
| |||||
Comprehensive income (loss) available (attributable) to common stockholders | $ 667 | $ (1,064) | $ (704) | $ (1,167) | $ (2,268) | ||||
Adjustments to exclude realized and unrealized (gains) losses reported through net income: | |||||||||
Realized loss on sale of investment securities, net | 1,068 | 560 | 946 | 342 | 2,916 | ||||
Unrealized (gain) loss on investment securities measured at fair value through net income, net | (1,462) | 1,738 | 987 | 2,532 | 3,795 | ||||
Gain on derivative instruments and other securities, net | (156) | (1,474) | (1,204) | (1,796) | (4,630) | ||||
Adjustment to exclude unrealized (gain) loss reported through other comprehensive income | |||||||||
Unrealized (gain) loss on available-for-sale securities measure at fair value through other comprehensive income, net | (135) | 372 | 245 | 491 | 973 | ||||
Other adjustments | |||||||||
TBA dollar roll income 3,4 | 65 | 119 | 182 | 152 | 518 | ||||
Interest rate swap periodic income (cost) 3,8 | 356 | 211 | 49 | (18) | 598 | ||||
Other interest income, net 3 | 12 | — | — | — | 12 | ||||
Net spread and dollar roll income available to common stockholders | 415 | 462 | 501 | 536 | 1,914 | ||||
Estimated "catch up" premium amortization cost (benefit) due to change in CPR forecast 11 | 5 | (18) | (66) | (159) | (238) | ||||
Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders | $ 420 | $ 444 | $ 435 | $ 377 | $ 1,676 | ||||
Weighted average number of common shares outstanding - basic | 568.4 | 528.7 | 526.2 | 524.3 | 537.0 | ||||
Weighted average number of common shares outstanding - diluted | 569.5 | 529.8 | 527.1 | 525.7 | 538.1 | ||||
Net spread and dollar roll income per common share - basic | $ 0.73 | $ 0.87 | $ 0.95 | $ 1.02 | $ 3.56 | ||||
Net spread and dollar roll income per common share - diluted | $ 0.73 | $ 0.87 | $ 0.95 | $ 1.02 | $ 3.56 | ||||
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic | $ 0.74 | $ 0.84 | $ 0.83 | $ 0.72 | $ 3.12 | ||||
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - diluted | $ 0.74 | $ 0.84 | $ 0.83 | $ 0.72 | $ 3.11 | ||||
RECONCILIATION OF GAAP NET INCOME TO ESTIMATED TAXABLE INCOME (NON-GAAP MEASURE) 2 | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | Year Ended | ||||||||
|
|
|
|
| |||||
Net income/(loss) | $ 561 | $ (666) | $ (434) | $ (651) | $ (1,190) | ||||
Book to tax differences: | |||||||||
Premium amortization, net | 20 | (15) | (78) | (176) | (249) | ||||
Realized gain/loss, net | (114) | (1,454) | (1,210) | (2,365) | (5,143) | ||||
Net capital loss/(utilization of net capital loss carryforward) | 1,441 | 353 | 1,666 | 868 | 4,328 | ||||
Unrealized (gain)/loss, net | (1,672) | 2,034 | 78 | 2,294 | 2,734 | ||||
Other | (7) | (2) | — | (13) | (22) | ||||
Total book to tax differences | (332) | 916 | 456 | 608 | 1,648 | ||||
REIT taxable income (loss) | 229 | 250 | 22 | (43) | 458 | ||||
REIT taxable income attributed to preferred stock | 29 | 76 | — | — | 105 | ||||
REIT taxable income (loss), attributed to common stock | $ 200 | $ 174 | $ 22 | $ (43) | $ 353 | ||||
Weighted average common shares outstanding - basic | 568.4 | 528.7 | 526.2 | 524.3 | 537.0 | ||||
Weighted average common shares outstanding - diluted | 569.5 | 529.8 | 527.1 | 524.3 | 538.1 | ||||
REIT taxable income (loss) per common share - basic | $ 0.35 | $ 0.33 | $ 0.04 | $ (0.08) | $ 0.66 | ||||
REIT taxable income (loss) per common share - diluted | $ 0.35 | $ 0.33 | $ 0.04 | $ (0.08) | $ 0.66 | ||||
Beginning net capital loss carryforward | $ 2,887 | $ 2,534 | $ 868 | $ — | $ — | ||||
Increase (decrease) in net capital loss carryforward | 1,441 | 353 | 1,666 | 868 | 4,328 | ||||
Ending net capital loss carryforward | $ 4,328 | $ 2,887 | $ 2,534 | $ 868 | $ 4,328 | ||||
Ending net capital loss carryforward per common share | $ 7.53 | $ 5.24 | $ 4.85 | $ 1.66 | $ 7.53 | ||||
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE 2 | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | Year Ended | ||||||||
|
|
|
|
| |||||
Adjusted net interest and dollar roll income, excluding "catch-up" premium amortization: | |||||||||
Economic interest income: | |||||||||
Investment securities - GAAP interest income 12 | $ 347 | $ 373 | $ 395 | $ 475 | $ 1,590 | ||||
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 11 | 5 | (18) | (66) | (159) | (238) | ||||
TBA dollar roll income - implied interest income 3,6 | 230 | 213 | 180 | 123 | 746 | ||||
Economic interest income, excluding "catch-up" premium amortization | 582 | 568 | 509 | 439 | 2,098 | ||||
Economic interest (expense) benefit: | |||||||||
Repurchase agreements and other debt - GAAP interest expense | (322) | (196) | (80) | (27) | (625) | ||||
TBA dollar roll income - implied interest (expense) benefit 3,5 | (165) | (94) | 2 | 29 | (228) | ||||
Interest rate swap periodic (cost) income, net 3,8 | 356 | 211 | 49 | (18) | 598 | ||||
Economic interest (expense) benefit | (131) | (79) | (29) | (16) | (255) | ||||
Adjusted net interest and dollar roll income, excluding "catch-up" premium amortization | $ 451 | $ 489 | $ 480 | $ 423 | $ 1,843 | ||||
Net interest spread, excluding "catch-up" amortization: | |||||||||
Average asset yield: | |||||||||
Investment securities - average asset yield | 3.14 % | 3.09 % | 3.09 % | 3.55 % | 3.23 % | ||||
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast | 0.03 % | (0.15) % | (0.51) % | (1.19) % | (0.48) % | ||||
Investment securities average asset yield, excluding "catch-up" premium amortization | 3.17 % | 2.94 % | 2.58 % | 2.36 % | 2.75 % | ||||
TBA securities - average implied asset yield 6 | 4.86 % | 4.18 % | 3.66 % | 2.09 % | 3.60 % | ||||
Average asset yield, excluding "catch-up" premium amortization 7 | 3.68 % | 3.31 % | 2.88 % | 2.28 % | 3.00 % | ||||
Average total cost (benefit) of funds: | |||||||||
Repurchase agreements and other debt - average funding cost | 3.55 % | 1.89 % | 0.74 % | 0.23 % | 1.49 % | ||||
TBA securities - average implied funding cost (benefit) 5 | 3.41 % | 1.80 % | (0.04) % | (0.49) % | 1.08 % | ||||
Average cost (benefit) of funds, before interest rate swap periodic cost (income), net 7 | 3.50 % | 1.86 % | 0.49 % | (0.01) % | 1.35 % | ||||
Interest rate swap periodic cost (income), net 10 | (2.56) % | (1.36) % | (0.31) % | 0.10 % | (0.95) % | ||||
Average total cost (benefit) of funds 9 | 0.94 % | 0.50 % | 0.18 % | 0.09 % | 0.40 % | ||||
Average net interest spread, excluding "catch-up" premium amortization | 2.74 % | 2.81 % | 2.70 % | 2.19 % | 2.60 % | ||||
KEY STATISTICS* | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
Key Balance Sheet Statistics: |
|
|
|
|
| ||||
Investment securities: 12 | |||||||||
Fixed-rate Agency MBS, at fair value - as of period end | $ 39,169 | $ 41,578 | $ 43,382 | $ 47,124 | $ 52,289 | ||||
Other Agency MBS, at fair value - as of period end | $ 321 | $ 311 | $ 244 | $ 274 | $ 315 | ||||
Credit risk transfer securities, at fair value - as of period end | $ 757 | $ 860 | $ 894 | $ 885 | $ 974 | ||||
Non-Agency MBS, at fair value - as of period end 21 | $ 657 | $ 843 | $ 881 | $ 804 | $ 843 | ||||
Total investment securities, at fair value - as of period end | $ 40,904 | $ 43,592 | $ 45,401 | $ 49,087 | $ 54,421 | ||||
Total investment securities, at cost - as of period end | $ 44,880 | $ 49,162 | $ 48,862 | $ 51,316 | $ 53,628 | ||||
Total investment securities, at par - as of period end | $ 43,403 | $ 47,646 | $ 47,347 | $ 49,511 | $ 51,878 | ||||
Average investment securities, at cost | $ 44,351 | $ 48,362 | $ 51,089 | $ 53,535 | $ 53,057 | ||||
Average investment securities, at par | $ 42,978 | $ 46,863 | $ 49,453 | $ 51,749 | $ 51,262 | ||||
TBA securities: 20 | |||||||||
Net TBA portfolio - as of period end, at fair value | $ 18,574 | $ 17,902 | $ 15,893 | $ 19,543 | $ 27,578 | ||||
Net TBA portfolio - as of period end, at cost | $ 18,407 | $ 19,116 | $ 16,001 | $ 20,152 | $ 27,622 | ||||
Net TBA portfolio - as of period end, carrying value | $ 167 | $ (1,214) | $ (108) | $ (609) | $ (44) | ||||
Average net TBA portfolio, at cost | $ 18,988 | $ 20,331 | $ 19,653 | $ 23,605 | $ 29,014 | ||||
Average repurchase agreements and other debt 13 | $ 35,486 | $ 40,530 | $ 42,997 | $ 46,570 | $ 46,999 | ||||
Average stockholders' equity 14 | $ 7,481 | $ 8,040 | $ 8,525 | $ 9,545 | $ 10,499 | ||||
Tangible net book value per common share 1 | $ 9.84 | $ 9.08 | $ 11.43 | $ 13.12 | $ 15.75 | ||||
Tangible net book value "at risk" leverage - average 15 | 7.8 :1 | 8.1 :1 | 7.8 :1 | 7.8 :1 | 7.6 :1 | ||||
Tangible net book value "at risk" leverage - as of period end 16 | 7.4 :1 | 8.7 :1 | 7.4 :1 | 7.5 :1 | 7.7 :1 | ||||
Key Performance Statistics: | |||||||||
Investment securities: 12 | |||||||||
Average coupon | 3.74 % | 3.49 % | 3.19 % | 3.07 % | 3.12 % | ||||
Average asset yield | 3.14 % | 3.09 % | 3.09 % | 3.55 % | 1.98 % | ||||
Average asset yield, excluding "catch-up" premium amortization | 3.17 % | 2.94 % | 2.58 % | 2.36 % | 2.31 % | ||||
Average coupon - as of period end | 3.94 % | 3.63 % | 3.35 % | 3.13 % | 3.08 % | ||||
Average asset yield - as of period end | 3.37 % | 3.14 % | 2.85 % | 2.56 % | 2.43 % | ||||
Average actual CPR for securities held during the period | 6.8 % | 9.2 % | 12.4 % | 14.5 % | 18.6 % | ||||
Average forecasted CPR - as of period end | 7.4 % | 7.0 % | 7.2 % | 7.9 % | 10.9 % | ||||
Total premium amortization (cost) benefit, net | $ (55) | $ (36) | $ — | $ 78 | $ (138) | ||||
TBA securities: | |||||||||
Average coupon - as of period end 17 | 4.84 % | 4.30 % | 4.35 % | 3.25 % | 2.47 % | ||||
Average implied asset yield 6 | 4.86 % | 4.18 % | 3.66 % | 2.09 % | 1.80 % | ||||
Combined investment and TBA securities - average asset yield, excluding "catch-up" premium amortization 7 | 3.68 % | 3.31 % | 2.88 % | 2.28 % | 2.13 % | ||||
Cost of funds: | |||||||||
Repurchase agreements - average funding cost | 3.55 % | 1.89 % | 0.74 % | 0.23 % | 0.12 % | ||||
TBA securities - average implied funding cost (benefit) 5 | 3.41 % | 1.80 % | (0.04) % | (0.49) % | (0.46) % | ||||
Interest rate swaps - average periodic (income) expense, net 10 | (2.56) % | (1.36) % | (0.31) % | 0.10 % | 0.08 % | ||||
Average total cost (benefit) of funds, inclusive of TBAs and interest rate swap periodic (income) expense, net 7,9 | 0.94 % | 0.50 % | 0.18 % | 0.09 % | (0.02) % | ||||
Repurchase agreements - average funding cost as of period end | 4.31 % | 2.85 % | 1.25 % | 0.37 % | 0.15 % | ||||
Interest rate swaps - average net pay/(receive) rate as of period end 18 | (3.94) % | (2.79) % | (1.23) % | (0.04) % | 0.15 % | ||||
Net interest spread: | |||||||||
Combined investment and TBA securities average net interest spread | 2.70 % | 2.91 % | 3.07 % | 3.01 % | 1.93 % | ||||
Combined investment and TBA securities average net interest spread, excluding "catch-up" premium amortization | 2.74 % | 2.81 % | 2.70 % | 2.19 % | 2.15 % | ||||
Expenses % of average stockholders' equity - annualized | 0.75 % | 0.95 % | 0.94 % | 0.88 % | 0.76 % | ||||
Economic return (loss) on tangible common equity - unannualized 19 | 12.3 % | (17.4) % | (10.1) % | (14.4) % | (1.8) % | ||||
*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.
- 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.
- The implied funding cost/benefit of TBA dollar roll transactions is determined using the "price drop" (Note 4) 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.
- The average implied asset yield for TBA dollar roll transactions is extrapolated by adding the average TBA implied funding cost (Note 5) to the net dollar roll yield. The net dollar roll yield is calculated by dividing dollar roll income (Note 4) by the average net TBA balance (cost basis) 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 periodic interest rate swap settlements. Amount excludes interest rate swap termination fees and mark-to-market adjustments.
- Cost of funds excludes other supplemental hedges used to hedge a portion of the Company's interest rate risk (such as swaptions and
U.S. Treasury positions) andU.S. Treasury repurchase agreements. - Represents interest rate swap periodic cost measured as a percent of total mortgage funding (Agency repurchase agreements, other debt and net TBA securities (at cost)).
- "Catch-up" premium amortization cost/benefit is reported in interest income on the accompanying consolidated statements of operations.
- 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.
- 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 Agency repurchase agreements, 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 repurchase agreements, 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.
- 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.
- Non-Agency MBS, at fair value, excludes
$25 million $26 million December 31, 2022 andSeptember 30, 2022 , respectively.
STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and analysts to attend the AGNC stockholder call on
A slide presentation will accompany the call and will be available at www.AGNC.com. Select the Q4 2022 Earnings Presentation link to download and print 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
For further information, please contact Investor Relations at (301) 968-9300 or IR@AGNC.com.
ABOUT
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
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," "net spread and dollar roll income, excluding 'catch-up' premium amortization," "economic interest income" and "economic interest expense", "estimated taxable income" 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) and (ii) 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 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). Net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common stockholders further excludes retrospective "catch-up" adjustments to premium amortization cost due to changes in projected CPR estimates.
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 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 measure, 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. In the case of net spread and dollar roll income, excluding "catch-up" premium amortization, 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. In the case of estimated taxable income (loss), the Company believes it is meaningful information as it is directly related to the amount of dividends the Company is required to distribute in order to maintain its REIT qualification status.
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. Furthermore, estimated taxable income can include certain information that is subject to potential adjustments up to the time of filing the Company's income tax returns, which occurs after the end of its fiscal year.
A reconciliation of GAAP comprehensive income (loss) to non-GAAP "net spread and dollar roll income, excluding 'catch-up' premium amortization" and a reconciliation of GAAP net income to non-GAAP "estimated taxable income" is included in this release.
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9303
View original content:https://www.prnewswire.com/news-releases/agnc-investment-corp-announces-fourth-quarter-2022-financial-results-301733891.html
SOURCE
FAQ
What were AGNC's Q4 2022 financial results?
What is AGNC's tangible net book value as of December 31, 2022?
How much did AGNC declare in dividends for Q4 2022?
What was AGNC's portfolio size at the end of 2022?
What was the economic return for AGNC in Q4 2022?
