AGNC Investment Corp. Announces Third Quarter 2024 Financial Results
AGNC Investment Corp. announced its Q3 2024 financial results, reporting $0.63 comprehensive income per common share, consisting of $0.39 net income and $0.24 other comprehensive income (OCI). Net spread and dollar roll income was $0.43 per common share, excluding $(0.03) of estimated 'catch-up' premium amortization cost. The tangible net book value per common share increased by 5.0% to $8.82, and dividends declared per common share were $0.36. AGNC achieved a 9.3% economic return on tangible common equity.
The investment portfolio totaled $73.1 billion, with $68.0 billion in Agency MBS and $4.1 billion in net forward purchases/sales of Agency MBS. The leverage ratio was 7.2x, and unencumbered cash and Agency MBS stood at $6.2 billion. The average projected portfolio life CPR was 13.2%, and the annualized net interest spread was 2.21%. AGNC issued 78.1 million shares through ATM offerings, raising $781 million.
Management highlighted the favorable macroeconomic conditions and the Fed's recent rate cut, which is expected to benefit Agency MBS spreads and demand for fixed-income instruments.
AGNC Investment Corp. ha annunciato i risultati finanziari del terzo trimestre del 2024, riportando un reddito complessivo di $0.63 per azione ordinaria, composto da $0.39 di reddito netto e $0.24 di altro reddito complessivo (OCI). Il reddito da spread netto e da dollar roll è stato di $0.43 per azione ordinaria, escludendo $(0.03) di costi stimati per l'ammortamento del 'catch-up' su premi. Il valore contabile netto tangibile per azione ordinaria è aumentato del 5.0% a $8.82, e i dividendi dichiarati per azione ordinaria sono stati di $0.36. AGNC ha registrato un ritorno economico del 9.3% sul patrimonio netto tangibile.
Il portafoglio d'investimento ha raggiunto un totale di $73.1 miliardi, con $68.0 miliardi in MBS agenziali e $4.1 miliardi in acquisti/vendite a termine netti di MBS agenziali. Il rapporto di leva finanziaria era di 7.2x, e la liquidità non vincolata e gli MBS agenziali ammontavano a $6.2 miliardi. Il CPR medio previsto per la vita del portafoglio era del 13.2%, e il differenziale di interesse netto annualizzato era del 2.21%. AGNC ha emesso 78.1 milioni di azioni attraverso offerte ATM, raccogliendo $781 milioni.
La direzione ha evidenziato le favorevoli condizioni macroeconomiche e il recente taglio dei tassi da parte della Fed, che si prevede favorirà gli spread degli MBS agenziali e la domanda per strumenti a reddito fisso.
AGNC Investment Corp. anunció sus resultados financieros del tercer trimestre de 2024, reportando un ingreso integral de $0.63 por acción ordinaria, compuesto por $0.39 de ingreso neto y $0.24 de otro ingreso integral (OCI). El ingreso neto por spread y rollo de dólares fue de $0.43 por acción ordinaria, excluyendo $(0.03) de costos estimados de 'amortización por recuperación' de primas. El valor contable neto tangible por acción ordinaria aumentó un 5.0% a $8.82, y los dividendos declarados por acción ordinaria fueron de $0.36. AGNC alcanzó un retorno económico del 9.3% sobre el patrimonio común tangible.
La cartera de inversión totalizó $73.1 mil millones, con $68.0 mil millones en MBS de agencias y $4.1 mil millones en compras/ventas a plazo netas de MBS de agencias. La relación de apalancamiento fue de 7.2x, y el efectivo no restringido y los MBS de agencias se situaron en $6.2 mil millones. La CPR promedio proyectada para la vida de la cartera fue del 13.2%, y el diferencial de interés neto anualizado fue del 2.21%. AGNC emitió 78.1 millones de acciones a través de ofertas de ATM, recaudando $781 millones.
La dirección destacó las favorables condiciones macroeconómicas y la reciente reducción de tasas de la Fed, que se espera beneficie los spreads de MBS de agencias y la demanda de instrumentos de renta fija.
AGNC 투자 주식회사는 2024년 3분기 재무 결과를 발표하며, 보통주당 포괄 손익이 $0.63에 달하고, 여기에는 $0.39의 순이익과 $0.24의 기타 포괄 손익(OCI)이 포함되어 있다고 보고했습니다. 순 스프레드와 달러 롤 소득은 보통주당 $0.43였으며, '$0.03'의 추정된 '캐치업' 프리미엄 상각 비용은 제외되었습니다. 보통주당 실질 순 장부 가치는 5.0% 증가하여 $8.82에 이르렀고, 보통주당 선언된 배당금은 $0.36이었습니다. AGNC는 실질 보통주 자본에 대해 9.3%의 경제적 수익을 기록했습니다.
투자 포트폴리오는 총 $73.1억 달러로, $68.0억 달러의 기관 MBS와 $4.1억 달러의 기관 MBS에 대한 순 매수/매도에서 이루어졌습니다. 레버리지 비율은 7.2배였으며, 제약이 없는 현금과 기관 MBS는 $6.2억 달러에 달했습니다. 평균 예상 포트폴리오 수명 CPR은 13.2%였으며, 연간 순 이자 스프레드는 2.21%였습니다. AGNC는 ATM 오퍼링을 통해 781백만 달러를 모금하면서 7810만 주를 발행했습니다.
경영진은 유리한 거시경제적 조건과 연준의 최근 금리 인하에 주목했으며, 이는 기관 MBS 스프레드와 고정 수익 상품에 대한 수요에 이익을 줄 것으로 예상됩니다.
AGNC Investment Corp. a annoncé ses résultats financiers pour le troisième trimestre 2024, rapportant un revenu global de 0,63 $ par action ordinaire, composé de 0,39 $ de revenu net et de 0,24 $ d'autre revenu global (OCI). Le revenu net lié aux spreads et aux opérations en dollar était de 0,43 $ par action ordinaire, excluant $(0,03) de coûts d'amortissement estimés pour les primes de 'rattrapage'. La valeur nette comptable tangible par action ordinaire a augmenté de 5,0 % pour atteindre 8,82 $, et les dividendes déclarés par action ordinaire étaient de 0,36 $. AGNC a réalisé un retour économique de 9,3 % sur les capitaux propres ordinaires tangibles.
Le portefeuille d'investissement totalisait 73,1 milliards de dollars, avec 68,0 milliards de dollars en MBS d'agence et 4,1 milliards de dollars en achats/ventes à terme nets de MBS d'agence. Le ratio d'endettement était de 7,2x, et la trésorerie non grevée et les MBS d'agence s'élevaient à 6,2 milliards de dollars. La durée de vie moyenne projetée du portefeuille CPR était de 13,2 %, et le spread d'intérêt net annualisé était de 2,21 %. AGNC a émis 78,1 millions d'actions par le biais d'offres ATM, levant 781 millions de dollars.
La direction a souligné les conditions macroéconomiques favorables et la récente baisse des taux de la Fed, qui devraient bénéficier aux spreads des MBS d'agence et à la demande d'instruments à revenu fixe.
AGNC Investment Corp. hat seine finanziellen Ergebnisse für das dritte Quartal 2024 bekannt gegeben und berichtet von einem umfassenden Einkommen von 0,63 $ pro Stammaktie, das sich aus 0,39 $ Nettogewinn und 0,24 $ sonstigem umfassendem Einkommen (OCI) zusammensetzt. Das Net Spread und das Dollar Roll Einkommen betrugen 0,43 $ pro Stammaktie, ohne $(0,03) geschätzte 'Nachhol'-Prämienabschreibungskosten. Der tangible Buchwert pro Stammaktie stieg um 5,0% auf 8,82 $, und die pro Stammaktie erklärten Dividenden betrugen 0,36 $. AGNC erzielte eine wirtschaftliche Rendite von 9,3% auf das tangible Eigenkapital.
Das Investitionsportfolio belief sich auf insgesamt 73,1 Milliarden $, wobei 68,0 Milliarden $ in Agentur-MBS und 4,1 Milliarden $ in Nettokäufe/-verkäufe von Agentur-MBS investiert wurden. Die Verschuldungsquote betrug 7,2x, und ungebundenes Bargeld sowie Agentur-MBS beliefen sich auf 6,2 Milliarden $. Die durchschnittliche erwartete Portfolio-Lebensdauer-CPR lag bei 13,2%, und die annualisierte Nettozinsdifferenz betrug 2,21%. AGNC gab 78,1 Millionen Aktien über ATM-Angebote aus, wobei 781 Millionen $ beschafft wurden.
Das Management hob die günstigen makroökonomischen Bedingungen und die kürzliche Zinssenkung der Fed hervor, die voraussichtlich den Agentur-MBS-Spread und die Nachfrage nach festverzinslichen Instrumenten zugutekommen wird.
- Tangible net book value per common share increased by 5.0% to $8.82.
- Declared dividends of $0.36 per common share for Q3.
- Achieved 9.3% economic return on tangible common equity.
- Issued 78.1 million shares through ATM offerings, raising $781 million.
- Annualized net interest spread decreased to 2.21% from 2.69% in the prior quarter.
- Net spread and dollar roll income per common share decreased to $0.43 from $0.53 in the prior quarter.
THIRD QUARTER 2024 FINANCIAL HIGHLIGHTS
$0.63 $0.39 $0.24
$0.43 - Excludes
$(0.03)
- Excludes
$8.82 - Increased
$0.42 5.0% , from$8.40
- Increased
$0.36 9.3% economic return on tangible common equity for the quarter- Comprised of
$0.36 $0.42
- Comprised of
OTHER THIRD QUARTER HIGHLIGHTS
$73.1 billion $68.0 billion $4.1 billion $1
- 7.2x tangible net book value "at risk" leverage as of September 30, 2024
- 7.2x average tangible net book value "at risk" leverage for the quarter
- Unencumbered cash and Agency MBS totaled
$6.2 billion - Excludes unencumbered CRT and non-Agency securities
- Represents
68% of the Company's tangible equity as of September 30, 2024
13.2% average projected portfolio life CPR as of September 30, 20247.3% actual portfolio CPR for the quarter
2.21% annualized net interest spread for the quarter2- Issued 78.1 million shares of common equity through At-the-Market ("ATM") Offerings for net proceeds of
$781 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 regarding the Company's annualized net interest spread. | |||||||||
MANAGEMENT REMARKS
"AGNC generated a very strong economic return of
"The long-awaited monetary policy pivot by the Fed occurred at its September meeting with an initial 50 basis point rate cut. Consistent with historical experience, the Fed is expected to return the federal funds rate to a neutral level over the next 12 to 24 months, which would typically be accompanied by a steepening of the yield curve and growing demand for high quality fixed income instruments such as Agency MBS. Although the path of financial markets is never perfectly linear and periods of volatility are inevitable, the outlook for Agency MBS today is decidedly better than it was in 2022 and 2023 as a result of the positive direction of the broader economy, the accommodative Fed monetary policy stance, and the stability of Agency MBS spreads at these historically favorable levels."
"AGNC's
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of September 30, 2024, the Company's tangible net book value per common share was
INVESTMENT PORTFOLIO
As of September 30, 2024, the Company's investment portfolio totaled
$72.1 billion $70.7 billion $66.0 billion $4.1 billion $0.1 billion $0.5 billion
$1.4 billion
$1
As of September 30, 2024, 30-year and 15-year fixed-rate Agency MBS and TBA securities represented
As of September 30, 2024, the Company's fixed-rate Agency MBS and TBA securities' weighted average coupon was
4.92% for 30-year fixed-rate securities;2.72% for 15-year fixed-rate securities; and3.11% 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 September 30, 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 September 30, 2024 increased 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 third 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 third quarter was
NET SPREAD AND DOLLAR ROLL INCOME
The Company recognized net spread and dollar roll income (a non-GAAP financial measure) for the third 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 September 30, 2024,
As of September 30, 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 September 30, 2024, interest rate swaps, swaptions,
As of September 30, 2024, the Company's pay fixed interest rate swap position totaled
As of September 30, 2024, the Company had receiver swaptions totaling
OTHER GAIN (LOSS), NET
For the third quarter, the Company recorded a net gain of
$106 million $1,742 million $456 million $(1,492) million $36 million $(490) million U.S. Treasury positions;$4 million $94 million $(12) million $(4) million
OTHER COMPREHENSIVE INCOME
During the third quarter, the Company recorded other comprehensive income of
COMMON STOCK DIVIDENDS
During the third 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) | |||||||||
September 30, | June 30, | March 31, | December 31, | September 30, | |||||
(unaudited) | (unaudited) | (unaudited) | (unaudited) | ||||||
Assets: | |||||||||
Agency securities, at fair value (including pledged securities of | $ 67,938 | $ 59,586 | $ 53,615 | $ 53,673 | $ 55,758 | ||||
Agency securities transferred to consolidated variable interest entities, | 106 | 106 | 114 | 121 | 120 | ||||
Credit risk transfer securities, at fair value (including pledged securities | 620 | 683 | 753 | 723 | 736 | ||||
Non-Agency securities, at fair value, and other mortgage credit | 334 | 317 | 353 | 351 | 353 | ||||
2,570 | 2,441 | 1,836 | 1,540 | 246 | |||||
Cash and cash equivalents | 507 | 530 | 505 | 518 | 493 | ||||
Restricted cash | 1,279 | 1,376 | 1,368 | 1,253 | 1,389 | ||||
Derivative assets, at fair value | 157 | 131 | 84 | 185 | 413 | ||||
Receivable for investment securities sold (including pledged securities | 1,706 | — | 5 | — | 311 | ||||
Receivable under reverse repurchase agreements | 13,494 | 13,662 | 12,424 | 11,618 | 8,900 | ||||
Goodwill | 526 | 526 | 526 | 526 | 526 | ||||
Other assets | 353 | 327 | 293 | 1,088 | 746 | ||||
Total assets | $ 89,590 | $ 79,685 | $ 71,876 | $ 71,596 | $ 69,991 | ||||
Liabilities: | |||||||||
Repurchase agreements | $ 65,979 | $ 56,947 | $ 49,971 | $ 50,426 | $ 52,107 | ||||
Debt of consolidated variable interest entities, at fair value | 69 | 71 | 76 | 80 | 80 | ||||
Payable for investment securities purchased | 324 | 208 | 636 | 210 | 701 | ||||
Derivative liabilities, at fair value | 53 | 64 | 65 | 362 | 80 | ||||
Dividends payable | 134 | 125 | 118 | 115 | 109 | ||||
Obligation to return securities borrowed under reverse repurchase | 13,009 | 13,248 | 12,115 | 10,894 | 9,022 | ||||
Accounts payable and other liabilities | 366 | 370 | 317 | 1,252 | 442 | ||||
Total liabilities | 79,934 | 71,033 | 63,298 | 63,339 | 62,541 | ||||
Stockholders' equity: | |||||||||
Preferred Stock - aggregate liquidation preference of | 1,634 | 1,634 | 1,634 | 1,634 | 1,634 | ||||
Common stock - | 8 | 8 | 7 | 7 | 6 | ||||
Additional paid-in capital | 16,746 | 15,960 | 15,521 | 15,281 | 14,901 | ||||
Retained deficit | (8,320) | (8,338) | (7,990) | (8,148) | (8,283) | ||||
Accumulated other comprehensive loss | (412) | (612) | (594) | (517) | (808) | ||||
Total stockholders' equity | 9,656 | 8,652 | 8,578 | 8,257 | 7,450 | ||||
Total liabilities and stockholders' equity | $ 89,590 | $ 79,685 | $ 71,876 | $ 71,596 | $ 69,991 | ||||
Tangible net book value per common share 1 | $ 8.82 | $ 8.40 | $ 8.84 | $ 8.70 | $ 8.08 | ||||
AGNC INVESTMENT CORP. | |||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
September 30, | June 30, | March 31, | December 31, | September 30, | |||||
Interest income: | |||||||||
Interest income | $ 756 | $ 695 | $ 642 | $ 640 | $ 593 | ||||
Interest expense | 820 | 698 | 672 | 666 | 646 | ||||
Net interest income (expense) | (64) | (3) | (30) | (26) | (53) | ||||
Other gain (loss), net: | |||||||||
Realized gain (loss) on sale of investment securities, net | 106 | (115) | (91) | (697) | (534) | ||||
Unrealized gain (loss) on investment securities measured at fair value | 1,742 | (261) | (471) | 2,803 | (1,356) | ||||
(Loss) gain on derivative instruments and other investments, net | (1,408) | 355 | 1,059 | (1,640) | 1,574 | ||||
Total other gain (loss), net | 440 | (21) | 497 | 466 | (316) | ||||
Expenses: | |||||||||
Compensation and benefits | 21 | 15 | 16 | 20 | 14 | ||||
Other operating expense | 9 | 9 | 8 | 8 | 9 | ||||
Total operating expense | 30 | 24 | 24 | 28 | 23 | ||||
Net income (loss) | 346 | (48) | 443 | 412 | (392) | ||||
Dividend on preferred stock | 33 | 32 | 31 | 31 | 31 | ||||
Net income (loss) available (attributable) to common stockholders | $ 313 | $ (80) | $ 412 | $ 381 | $ (423) | ||||
Net income (loss) | $ 346 | $ (48) | $ 443 | $ 412 | $ (392) | ||||
Unrealized gain (loss) on investment securities measured at fair value | 200 | (18) | (77) | 291 | (213) | ||||
Comprehensive income (loss) | 546 | (66) | 366 | 703 | (605) | ||||
Dividend on preferred stock | 33 | 32 | 31 | 31 | 31 | ||||
Comprehensive income (loss) available (attributable) to common | $ 513 | $ (98) | $ 335 | $ 672 | $ (636) | ||||
Weighted average number of common shares outstanding - basic | 807.2 | 740.0 | 702.2 | 672.3 | 622.0 | ||||
Weighted average number of common shares outstanding - diluted | 810.1 | 740.0 | 704.2 | 674.0 | 622.0 | ||||
Net income (loss) per common share - basic | $ 0.39 | $ (0.11) | $ 0.59 | $ 0.57 | $ (0.68) | ||||
Net income (loss) per common share - diluted | $ 0.39 | $ (0.11) | $ 0.59 | $ 0.57 | $ (0.68) | ||||
Comprehensive income (loss) per common share - basic | $ 0.64 | $ (0.13) | $ 0.48 | $ 1.00 | $ (1.02) | ||||
Comprehensive income (loss) per common share - diluted | $ 0.63 | $ (0.13) | $ 0.48 | $ 1.00 | $ (1.02) | ||||
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 | |||||||||
September 30, | June 30, | March 31, | December 31, | September 30, | |||||
Comprehensive income (loss) available (attributable) to common | $ 513 | $ (98) | $ 335 | $ 672 | $ (636) | ||||
Adjustments to exclude realized and unrealized (gains) losses | |||||||||
Realized (gain) loss on sale of investment securities, net | (106) | 115 | 91 | 697 | 534 | ||||
Unrealized (gain) loss on investment securities measured at fair value | (1,742) | 261 | 471 | (2,803) | 1,356 | ||||
(Gain) loss on derivative instruments and other securities, net | 1,408 | (355) | (1,059) | 1,640 | (1,574) | ||||
Adjustment to exclude unrealized (gain) loss reported through other | |||||||||
Unrealized (gain) loss on available-for-sale securities measure at fair | (200) | 18 | 77 | (291) | 213 | ||||
Other adjustments: | |||||||||
Estimated "catch up" premium amortization cost (benefit) due to change | 24 | (14) | (10) | (32) | (31) | ||||
TBA dollar roll income 4,5 | 4 | 5 | — | 7 | — | ||||
Interest rate swap periodic income, net 4,6 | 456 | 494 | 536 | 548 | 583 | ||||
Other interest income (expense), net 4,7 | (12) | (32) | (35) | (36) | (42) | ||||
Net spread and dollar roll income available to common stockholders | $ 345 | $ 394 | $ 406 | $ 402 | $ 403 | ||||
Weighted average number of common shares outstanding - basic | 807.2 | 740.0 | 702.2 | 672.3 | 622.0 | ||||
Weighted average number of common shares outstanding - diluted | 810.1 | 741.9 | 704.2 | 674.0 | 623.3 | ||||
Net spread and dollar roll income per common share - basic | $ 0.43 | $ 0.53 | $ 0.58 | $ 0.60 | $ 0.65 | ||||
Net spread and dollar roll income per common share - diluted | $ 0.43 | $ 0.53 | $ 0.58 | $ 0.60 | $ 0.65 | ||||
AGNC INVESTMENT CORP. | |||||||||
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE 2 | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
September 30, | June 30, | March 31, | December 31, | September 30, | |||||
Adjusted net interest and dollar roll income: | |||||||||
Economic interest income: | |||||||||
Investment securities - GAAP interest income 8 | $ 756 | $ 695 | $ 642 | $ 640 | $ 593 | ||||
Estimated "catch-up" premium amortization cost (benefit) due to | 24 | (14) | (10) | (32) | (31) | ||||
TBA dollar roll income - implied interest income 4,9 | 39 | 93 | 84 | 76 | 99 | ||||
Economic interest income | 819 | 774 | 716 | 684 | 661 | ||||
Economic interest expense: | |||||||||
Repurchase agreements and other debt - GAAP interest expense | (820) | (698) | (672) | (666) | (646) | ||||
TBA dollar roll income - implied interest expense 4,10 | (35) | (88) | (84) | (69) | (99) | ||||
Interest rate swap periodic income, net 4,6 | 456 | 494 | 536 | 548 | 583 | ||||
Economic interest expense | (399) | (292) | (220) | (187) | (162) | ||||
Adjusted net interest and dollar roll income | $ 420 | $ 482 | $ 496 | $ 497 | $ 499 | ||||
Net interest spread: | |||||||||
Average asset yield: | |||||||||
Investment securities - average asset yield | 4.54 % | 4.70 % | 4.53 % | 4.55 % | 4.26 % | ||||
Estimated "catch-up" premium amortization cost (benefit) due to | 0.14 % | (0.10) % | (0.07) % | (0.22) % | (0.22) % | ||||
Investment securities average asset yield, excluding "catch-up" | 4.68 % | 4.60 % | 4.46 % | 4.33 % | 4.04 % | ||||
TBA securities - average implied asset yield 9 | 5.82 % | 5.47 % | 5.40 % | 6.09 % | 5.40 % | ||||
Average asset yield 11 | 4.73 % | 4.69 % | 4.56 % | 4.47 % | 4.20 % | ||||
Average total cost of funds: | |||||||||
Repurchase agreements and other debt - average funding cost | 5.41 % | 5.44 % | 5.45 % | 5.48 % | 5.37 % | ||||
TBA securities - average implied funding cost 10 | 5.10 % | 5.11 % | 5.34 % | 5.37 % | 5.28 % | ||||
Average cost of funds, before interest rate swap periodic income, | 5.40 % | 5.39 % | 5.44 % | 5.47 % | 5.36 % | ||||
Interest rate swap periodic income, net 12 | (2.88) % | (3.39) % | (3.86) % | (4.08) % | (4.19) % | ||||
Average total cost of funds 13 | 2.52 % | 2.00 % | 1.58 % | 1.39 % | 1.17 % | ||||
Average net interest spread | 2.21 % | 2.69 % | 2.98 % | 3.08 % | 3.03 % | ||||
AGNC INVESTMENT CORP. | |||||||||
KEY STATISTICS* | |||||||||
(in millions, except per share data) | |||||||||
(unaudited) | |||||||||
Three Months Ended | |||||||||
Key Balance Sheet Statistics: | September 30, | June 30, | March 31, | December 31, | September 30, | ||||
Investment securities: 8 | |||||||||
Fixed-rate Agency MBS, at fair value - as of period end | $ 66,668 | $ 58,729 | $ 52,767 | $ 53,161 | $ 55,408 | ||||
Other Agency MBS, at fair value - as of period end | $ 1,376 | $ 963 | $ 962 | $ 633 | $ 470 | ||||
Credit risk transfer securities, at fair value - as of period end | $ 620 | $ 683 | $ 753 | $ 723 | $ 736 | ||||
Non-Agency MBS, at fair value - as of period end 14 | $ 273 | $ 257 | $ 294 | $ 307 | $ 308 | ||||
Total investment securities, at fair value - as of period end | $ 68,937 | $ 60,632 | $ 54,776 | $ 54,824 | $ 56,922 | ||||
Total investment securities, at cost - as of period end | $ 69,961 | $ 63,599 | $ 57,464 | $ 56,965 | $ 62,156 | ||||
Total investment securities, at par - as of period end | $ 69,032 | $ 62,549 | $ 56,287 | $ 55,760 | $ 61,034 | ||||
Average investment securities, at cost | $ 66,674 | $ 59,198 | $ 56,664 | $ 56,228 | $ 55,665 | ||||
Average investment securities, at par | $ 65,748 | $ 58,066 | $ 55,455 | $ 55,039 | $ 54,387 | ||||
TBA securities: 15 | |||||||||
Net TBA portfolio - as of period end, at fair value | $ 4,068 | $ 5,348 | $ 8,448 | $ 5,354 | $ 2,376 | ||||
Net TBA portfolio - as of period end, at cost | $ 4,067 | $ 5,318 | $ 8,405 | $ 5,288 | $ 2,407 | ||||
Net TBA portfolio - as of period end, carrying value | $ 1 | $ 30 | $ 43 | $ 66 | $ (31) | ||||
Average net TBA portfolio, at cost | $ 2,650 | $ 6,805 | $ 6,190 | $ 4,993 | $ 7,340 | ||||
Average repurchase agreements and other debt 16 | $ 59,322 | $ 50,784 | $ 48,730 | $ 47,548 | $ 47,073 | ||||
Average stockholders' equity 17 | $ 9,151 | $ 8,481 | $ 8,328 | $ 7,660 | $ 7,758 | ||||
Tangible net book value per common share 1 | $ 8.82 | $ 8.40 | $ 8.84 | $ 8.70 | $ 8.08 | ||||
Tangible net book value "at risk" leverage - average 18 | 7.2 :1 | 7.2 :1 | 7.0 :1 | 7.4 :1 | 7.5 :1 | ||||
Tangible net book value "at risk" leverage - as of period end 19 | 7.2 :1 | 7.4 :1 | 7.1 :1 | 7.0 :1 | 7.9 :1 | ||||
Key Performance Statistics: | |||||||||
Investment securities: 8 | |||||||||
Average coupon | 5.02 % | 4.98 % | 4.90 % | 4.77 % | 4.51 % | ||||
Average asset yield | 4.54 % | 4.70 % | 4.53 % | 4.55 % | 4.26 % | ||||
Average asset yield, excluding "catch-up" premium amortization | 4.68 % | 4.60 % | 4.46 % | 4.33 % | 4.04 % | ||||
Average coupon - as of period end | 5.01 % | 5.01 % | 4.93 % | 4.85 % | 4.72 % | ||||
Average asset yield - as of period end | 4.68 % | 4.70 % | 4.52 % | 4.41 % | 4.37 % | ||||
Average actual CPR for securities held during the period | 7.3 % | 7.1 % | 5.7 % | 6.2 % | 7.1 % | ||||
Average forecasted CPR - as of period end | 13.2 % | 9.2 % | 10.4 % | 11.4 % | 8.3 % | ||||
Total premium amortization cost | $ (69) | $ (28) | $ (37) | $ (16) | $ (20) | ||||
TBA securities: | |||||||||
Average coupon - as of period end 20 | 4.78 % | 5.27 % | 5.22 % | 5.54 % | 5.83 % | ||||
Average implied asset yield 9 | 5.82 % | 5.47 % | 5.40 % | 6.09 % | 5.40 % | ||||
Combined investment and TBA securities - average asset yield, excluding | 4.73 % | 4.69 % | 4.56 % | 4.47 % | 4.20 % | ||||
Cost of funds: 13 | |||||||||
Repurchase agreements - average funding cost | 5.41 % | 5.44 % | 5.45 % | 5.48 % | 5.37 % | ||||
TBA securities - average implied funding cost 10 | 5.10 % | 5.11 % | 5.34 % | 5.37 % | 5.28 % | ||||
Interest rate swaps - average periodic income 12 | (2.88) % | (3.39) % | (3.86) % | (4.08) % | (4.19) % | ||||
Average total cost of funds, inclusive of TBAs and interest rate swap | 2.52 % | 2.00 % | 1.58 % | 1.39 % | 1.17 % | ||||
Repurchase agreements - average funding cost as of period end | 5.23 % | 5.50 % | 5.46 % | 5.60 % | 5.47 % | ||||
Interest rate swaps - average net pay/(receive) rate as of period end 21 | (3.51) % | (3.90) % | (4.37) % | (4.80) % | (4.56) % | ||||
Net interest spread: | |||||||||
Combined investment and TBA securities average net interest spread, | 2.21 % | 2.69 % | 2.98 % | 3.08 % | 3.03 % | ||||
Expenses % of average stockholders' equity - annualized | 1.31 % | 1.13 % | 1.15 % | 1.46 % | 1.19 % | ||||
Economic return (loss) on tangible common equity - unannualized 22 | 9.3 % | (0.9) % | 5.7 % | 12.1 % | (10.1) % | ||||
*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 Repo. - Non-Agency MBS, at fair value, excludes
$61 million $60 million $59 million $44 million $45 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 Repo. - 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 Repo. - 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 Repo. - 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 October 22, 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 Q3 2024 Stockholder 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 October 22, 2024. In addition, there will be a phone recording available one hour after the call on October 22, 2024 through October 29, 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
We use our website (www.AGNC.com) and AGNC's LinkedIn and X accounts to distribute information about the Company. Investors should monitor these channels in addition to our press releases, filings with the
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/expense (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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