BETHESDA, Md. , April 24,
2023 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or
the "Company") (Nasdaq: AGNC) today announced financial results for
the quarter ended March 31, 2023.
FIRST QUARTER 2023 FINANCIAL HIGHLIGHTS
- $(0.07) comprehensive loss per
common share, comprised of:
-
- $(0.31) net loss per common
share
- $0.25 other comprehensive income
("OCI") per common share on investments marked-to-market through
OCI
- $0.70 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost 1
-
- Includes $0.03 per common share
of dollar roll income associated with the Company's $18.0 billion average net long position in Agency
mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA")
market
- Excludes $(0.12) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $9.41 tangible net book value per
common share as of March 31,
2023
-
- Decreased $(0.43) per common
share, or -4.4%, from $9.84 per
common share as of December 31,
2022
- $0.36 dividends declared per
common share for the first quarter
- -0.7% economic return on tangible common equity for the
quarter
-
- Comprised of $0.36 dividends per
common share and $(0.43) decrease in
tangible net book value per common share
OTHER FIRST QUARTER HIGHLIGHTS
- $56.8 billion investment
portfolio as of March 31, 2023,
comprised of:
-
- $45.1 billion Agency MBS
- $10.4 billion net TBA mortgage
position
- $1.3 billion credit risk transfer
("CRT") and non-Agency securities
- 7.2x tangible net book value "at risk" leverage as of
March 31, 2023
-
- 7.7x average tangible net book value "at risk" leverage for the
quarter
- Cash and unencumbered Agency MBS totaled $4.1 billion as of March
31, 2023
-
- Excludes unencumbered CRT and non-Agency securities
- Represents 57% of the Company's tangible equity as of
March 31, 2023
- 10.0% average projected portfolio life CPR as of March 31, 2023
-
- 5.2% actual portfolio CPR for the quarter
- 2.88% annualized net interest spread and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization cost
-
- Excludes -42 bps of "catch-up" premium amortization cost due to
change in projected CPR estimates
- Capital markets activity
-
- Issued 17.1 million common shares through At-the-Market ("ATM")
Offerings at an average offering price of $9.95 per share, net of offering costs, or
$171 million 2
___________
|
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.
|
Issued amounts reflect
ATM offerings that settled during Q1 2023. Amounts exclude the
issuance of 3.2 million shares, or $31 million, of ATM offerings
during Q1 2023 that settled in Q2 2023.
|
MANAGEMENT REMARKS
"Agency MBS performed well through the first half of the first
quarter," said Peter Federico, the
Company's President and Chief Executive Officer. "This performance
was a continuation of the positive momentum that began last
November and drove a meaningful improvement in our tangible net
book value through mid-February. These favorable conditions,
however, gave way to a more challenging investment environment in
the second half of the quarter characterized by regional banking
system instability, elevated interest rate volatility, and an
increasingly uncertain macroeconomic outlook. Against this
backdrop, Agency MBS underperformed swap and Treasury hedges in
March, resulting in a slightly negative economic return for the
quarter. As we mentioned last quarter, the path to stability is
often not linear, and the first quarter is a good reminder of that
fact.
"Despite the volatility that we experienced in March, our
outlook for Agency MBS continues to be very positive. A key element
of this optimism is our belief that Agency MBS spreads to Treasury
and swap rates will remain meaningfully wider than historical
averages, providing a durable opportunity to generate highly
attractive returns while maintaining our conservative risk
position. For much of the last 15 years, we have competed for
investment assets with the world's largest and most price
insensitive buyer of Agency MBS, the Federal Reserve. As the Fed,
and now banks, gradually reposition their balance sheets, we find
ourselves in a favorable position as one of the few permanent
capital vehicles dedicated to Agency MBS assets at a time when
valuations are historically attractive and appear poised to remain
that way for some time. As a result, we believe AGNC is
well-positioned for this favorable investment environment for
Agency MBS, which, over the long term, will benefit both our
earnings profile and franchise value."
"AGNC generated a slightly negative economic return of -0.7% in
the first quarter of 2023, comprised of a $(0.43) decrease in tangible net book value per
common share and $0.36 of dividends
per common share," said Bernice
Bell, the Company's Executive Vice President and Chief
Financial Officer. "Despite a volatile macroeconomic environment,
AGNC's net spread and dollar roll income, excluding 'catch-up'
premium amortization, remained strong at $0.70 per common share, illustrating the
resilient earnings power of our portfolio. In addition, we
maintained our relatively conservative positioning, as evidenced by
our hedge ratio of 114%, modest 'at risk' leverage position of 7.2x
tangible net book value and $4.1
billion of cash and unencumbered Agency MBS as of
quarter-end."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of March 31, 2023, the
Company's tangible net book value per common share was $9.41 per share, a decrease of -4.4% for the
quarter compared to $9.84 per share
as of December 31, 2022. The
Company's tangible net book value per common share excludes
$526 million, or $0.89 and $0.92 per
share, of goodwill as of March 31,
2023 and December 31, 2022,
respectively.
INVESTMENT PORTFOLIO
As of March 31, 2023, the
Company's investment portfolio totaled $56.8
billion, comprised of:
- $55.5 billion of Agency MBS and
TBA securities, including:
-
- $55.1 billion of fixed-rate
securities, comprised of:
-
- $41.9 billion 30-year MBS,
- $10.4 billion 30-year TBA
securities,
- $1.5 billion 15-year MBS,
and
- $1.3 billion 20-year MBS;
and
- $0.3 billion of collateralized
mortgage obligations ("CMOs"), adjustable-rate and other Agency
securities; and
- $1.3 billion of CRT and
non-Agency securities.
As of March 31, 2023, 30-year and
15-year fixed-rate Agency MBS and TBA securities represented 92%
and 3%, respectively, of the Company's investment portfolio,
unchanged from December 31, 2022.
As of March 31, 2023, the
Company's fixed-rate Agency MBS and TBA securities' weighted
average coupon was 4.24%, compared to 4.13% as of December 31, 2022, comprised of the following
weighted average coupons:
- 4.31% for 30-year fixed-rate securities;
- 3.22% for 15-year fixed rate securities; and
- 2.51% 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 March 31,
2023, such positions had a fair value of $10.4 billion and a GAAP net carrying value of
$10.0 million reported in derivative
assets/(liabilities) on the Company's balance sheet, compared to
$18.6 billion and $0.2 billion, respectively, as of December 31, 2022.
CONSTANT PREPAYMENT RATES
The Company's weighted average projected CPR for the remaining
life of its Agency securities held as of March 31, 2023 increased to 10.0% from 7.4% as of
December 31, 2022. The Company's
weighted average CPR for the first quarter was 5.2%, compared to
6.8% for the prior quarter.
The weighted average cost basis of the Company's investment
portfolio was 103.0% of par value as of March 31, 2023. The Company's investment
portfolio generated net premium amortization cost of $(120) million, or $(0.21) per common share, for the first quarter,
which includes "catch-up" premium amortization cost of $(69) million, or $(0.12) per common share, due to an increase in
the Company's CPR projections for certain securities acquired prior
to the first quarter. This compares to net premium amortization
cost for the prior quarter of $(55)
million, or $(0.10) per common
share, including a "catch-up" premium amortization cost of
$(5) million, or $(0.01) per common share.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average asset yield on its investment portfolio,
excluding the TBA position, was 2.93% for the first quarter,
compared to 3.14% for the prior quarter. Excluding "catch-up"
premium amortization, the Company's average asset yield was 3.51%
for the first quarter, compared to 3.17% for the prior quarter.
Including the TBA position and excluding "catch-up" premium
amortization, the Company's average asset yield for the first
quarter was 3.90%, compared to 3.68% for the prior quarter.
For the first quarter, the weighted average interest rate on the
Company's repurchase agreements was 4.51%, compared to 3.55% for
the prior quarter. For the first quarter, the Company's TBA
position had an implied financing cost of 4.53%, compared to 3.41%
for the prior quarter. Inclusive of interest rate swaps, the
Company's combined weighted average cost of funds for the first
quarter was 1.02%, compared to 0.61% for the prior
quarter.1
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 2.88%, compared to 3.07%
for the prior quarter.
___________
|
1.
|
Certain prior quarter
amounts have been reclassified to conform to the current quarter's
presentation of interest rate swap periodic income (cost) and the
related cost of funds measures. See footnote 22 at the end of the
Key Statistics table for additional information.
|
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 $0.70 per common share, excluding $(0.12) per common share of "catch-up" premium
amortization cost, compared to $0.74
per common share for the prior quarter, excluding $(0.01) per common share of "catch-up" premium
amortization cost.
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 March 31, 2023, $41.9 billion of repurchase agreements,
$10.4 billion of net TBA dollar roll
positions (at cost) and $0.1 billion
of other debt were used to fund the Company's investment portfolio.
The remainder, or approximately $6.5
billion, of the Company's repurchase agreements was used to
fund purchases of U.S. Treasury securities ("U.S. Treasury repo")
and is not included in the Company's leverage measurements.
Inclusive of its TBA position and net payable/(receivable) for
unsettled investment securities, the Company's tangible net book
value "at risk" leverage ratio was 7.2x as of March 31, 2023, compared to 7.4x as of
December 31, 2022. The Company's
average "at risk" leverage for the first quarter was 7.7x tangible
net book value, compared to 7.8x for the prior quarter.
As of March 31, 2023, the
Company's repurchase agreements used to fund its investment
portfolio ("Agency repo") had a weighted average interest rate of
4.81%, compared to 4.31% as of December 31,
2022, and a weighted average remaining maturity of 18 days,
compared to 23 days as of December 31,
2022. As of March 31, 2023,
$20.2 billion, or 48%, of the
Company's Agency repo agreements were funded through the Company's
captive broker-dealer subsidiary, Bethesda Securities, LLC.
As of March 31, 2023, the
Company's Agency repo agreements had remaining maturities of:
- $41.7 billion of three months or
less and
- $0.2 billion from six to twelve
months.
HEDGING ACTIVITIES
As of March 31, 2023, interest
rate swaps, swaptions and U.S. Treasury positions equaled 114% of
the Company's outstanding balance of Agency repo agreements, TBA
position and other debt, compared to 124% as of December 31, 2022.
As of March 31, 2023, the
Company's interest rate swap position totaled $48.9 billion in notional amount, compared to
$47.8 billion as of December 31, 2022. As of March 31, 2023, the Company's interest rate swap
portfolio had an average fixed pay rate of 0.47%, an average
receive rate of 4.86% and an average maturity of 3.3 years,
compared to 0.37%, 4.31% and 3.2 years, respectively, as of
December 31, 2022. As of March 31, 2023, 82% and 18% of the Company's
interest rate swap portfolio were linked to the Secured Overnight
Financing Rate ("SOFR") and Overnight Index Swap Rate ("OIS"),
respectively.
As of March 31, 2023, the Company
had payer swaptions outstanding totaling $1.6 billion, compared to $3.1 billion as of December 31, 2022, and net short U.S. Treasury
positions outstanding totaling $9.2
billion, compared to $16.7
billion as of December 31,
2022.
OTHER GAIN (LOSS), NET
For the first quarter, the Company recorded a net loss of
$(31) million in other gain (loss),
net, or $(0.05) per common share,
compared to a net gain of $550
million, or $0.97 per common
share, for the prior quarter. Other gain (loss), net for the first
quarter was comprised of:
- $(81) million of net realized
losses on sales of investment securities;
- $594 million of net unrealized
gains on investment securities measured at fair value through net
income;
- $504 million of interest rate
swap periodic income;
- $(736) million of net losses on
interest rate swaps;
- $(66) million of net losses on
interest rate swaptions;
- $(317) million of net losses on
U.S. Treasury positions;
- $18 million of TBA dollar roll
income;
- $94 million of net mark-to-market
gains on TBA securities;
- $(33) million of other interest
income (expense), net; and
- $(8) million of other
miscellaneous losses.
OTHER COMPREHENSIVE INCOME
During the first quarter, the Company recorded other
comprehensive income of $142 million,
or $0.25 per common share, consisting
of net unrealized gains on the Company's Agency securities
recognized through OCI, compared to $135
million, or $0.24 per common
share, of other comprehensive income for the prior quarter.
COMMON STOCK DIVIDENDS
During the first quarter, the Company declared dividends of
$0.12 per share to common
stockholders of record as of January
31, February 28, and
March 31, 2023, totaling $0.36 per share for the quarter. Since its
May 2008 initial public offering
through the first quarter of 2023, the Company has declared a total
of $12.2 billion in common stock
dividends, or $46.12 per common
share.
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; 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,
2023
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at
fair value (including pledged securities of
$41,852, $35,800, $37,886, $40,107 and $43,261,
respectively)
|
$
44,925
|
|
$
39,346
|
|
$
41,740
|
|
$
43,459
|
|
$
47,214
|
Agency securities
transferred to consolidated variable interest
entities, at fair value (pledged securities)
|
140
|
|
144
|
|
149
|
|
167
|
|
184
|
Credit risk transfer
securities, at fair value (including pledged
securities of $747, $703, $815, $629 and $471,
respectively)
|
769
|
|
757
|
|
860
|
|
894
|
|
885
|
Non-Agency securities,
at fair value, and other mortgage credit
investments (including pledged securities of $457, $605, $775,
$643
and $466, respectively)
|
530
|
|
682
|
|
869
|
|
881
|
|
804
|
U.S. Treasury
securities, at fair value (including pledged securities of
$6,481, $353, $1,213, $1,882 and $684, respectively)
|
6,642
|
|
353
|
|
1,213
|
|
1,882
|
|
684
|
Cash and cash
equivalents
|
975
|
|
1,018
|
|
976
|
|
906
|
|
1,004
|
Restricted
cash
|
1,864
|
|
1,316
|
|
2,186
|
|
1,333
|
|
1,087
|
Derivative assets, at
fair value
|
229
|
|
617
|
|
851
|
|
536
|
|
647
|
Receivable for
investment securities sold (including pledged
securities of $339, $119, $1,163, $1,907 and $2,160,
respectively)
|
346
|
|
120
|
|
1,169
|
|
2,006
|
|
2,317
|
Receivable under
reverse repurchase agreements
|
8,929
|
|
6,622
|
|
7,577
|
|
8,438
|
|
10,645
|
Goodwill
|
526
|
|
526
|
|
526
|
|
526
|
|
526
|
Other assets
|
236
|
|
247
|
|
408
|
|
212
|
|
397
|
Total assets
|
$
66,111
|
|
$
51,748
|
|
$
58,524
|
|
$
61,240
|
|
$
66,394
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
48,384
|
|
$
36,262
|
|
$
40,306
|
|
$
43,153
|
|
$
44,715
|
Debt of consolidated
variable interest entities, at fair value
|
92
|
|
95
|
|
98
|
|
107
|
|
116
|
Payable for investment
securities purchased
|
—
|
|
302
|
|
1,279
|
|
547
|
|
857
|
Derivative liabilities,
at fair value
|
326
|
|
99
|
|
1,221
|
|
237
|
|
668
|
Dividends
payable
|
101
|
|
100
|
|
92
|
|
88
|
|
88
|
Obligation to return
securities borrowed under reverse repurchase
agreements, at fair value
|
8,869
|
|
6,534
|
|
7,469
|
|
8,265
|
|
10,277
|
Accounts payable and
other liabilities
|
547
|
|
486
|
|
837
|
|
803
|
|
743
|
Total
liabilities
|
58,319
|
|
43,878
|
|
51,302
|
|
53,200
|
|
57,464
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred Stock -
aggregate liquidation preference of $1,688, $1,688,
$1,688, $1,538 and $1,538, respectively
|
1,634
|
|
1,634
|
|
1,634
|
|
1,489
|
|
1,489
|
Common stock - $0.01
par value; 592.5, 574.6, 551.3, 522.7 and
523.3 shares issued and outstanding, respectively
|
6
|
|
6
|
|
6
|
|
5
|
|
5
|
Additional paid-in
capital
|
14,356
|
|
14,186
|
|
13,999
|
|
13,707
|
|
13,704
|
Retained
deficit
|
(7,674)
|
|
(7,284)
|
|
(7,610)
|
|
(6,726)
|
|
(6,078)
|
Accumulated other
comprehensive loss
|
(530)
|
|
(672)
|
|
(807)
|
|
(435)
|
|
(190)
|
Total stockholders'
equity
|
7,792
|
|
7,870
|
|
7,222
|
|
8,040
|
|
8,930
|
Total liabilities and
stockholders' equity
|
$
66,111
|
|
$
51,748
|
|
$
58,524
|
|
$
61,240
|
|
$
66,394
|
|
|
|
|
|
|
|
|
|
|
Tangible net book value per common share
1
|
$
9.41
|
|
$
9.84
|
|
$
9.08
|
|
$
11.43
|
|
$
13.12
|
AGNC INVESTMENT
CORP.
|
CONSOLIDATED STATEMENTS
OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March 31,
2023
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
351
|
|
$
347
|
|
$
373
|
|
$
395
|
|
$
475
|
Interest
expense
|
449
|
|
322
|
|
196
|
|
80
|
|
27
|
Net interest
income
|
(98)
|
|
25
|
|
177
|
|
315
|
|
448
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized loss on sale
of investment securities, net
|
(81)
|
|
(1,068)
|
|
(560)
|
|
(946)
|
|
(342)
|
Unrealized gain (loss)
on investment securities measured at fair value
through net income, net
|
594
|
|
1,462
|
|
(1,738)
|
|
(987)
|
|
(2,532)
|
(Loss) gain on
derivative instruments and other investments, net
|
(544)
|
|
156
|
|
1,474
|
|
1,204
|
|
1,796
|
Total other (loss)
gain, net
|
(31)
|
|
550
|
|
(824)
|
|
(729)
|
|
(1,078)
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
14
|
|
5
|
|
11
|
|
12
|
|
13
|
Other operating
expense
|
8
|
|
9
|
|
8
|
|
8
|
|
8
|
Total operating
expense
|
22
|
|
14
|
|
19
|
|
20
|
|
21
|
Net income
(loss)
|
(151)
|
|
561
|
|
(666)
|
|
(434)
|
|
(651)
|
Dividend on preferred
stock
|
30
|
|
29
|
|
26
|
|
25
|
|
25
|
Net income (loss)
available (attributable) to common stockholders
|
$
(181)
|
|
$
532
|
|
$
(692)
|
|
$
(459)
|
|
$
(676)
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
(151)
|
|
$
561
|
|
$
(666)
|
|
$
(434)
|
|
$
(651)
|
Unrealized gain (loss)
on investment securities measured at fair value
through other comprehensive income (loss), net
|
142
|
|
135
|
|
(372)
|
|
(245)
|
|
(491)
|
Comprehensive income
(loss)
|
(9)
|
|
696
|
|
(1,038)
|
|
(679)
|
|
(1,142)
|
Dividend on preferred
stock
|
30
|
|
29
|
|
26
|
|
25
|
|
25
|
Comprehensive income
(loss) available (attributable) to common
stockholders
|
$
(39)
|
|
$
667
|
|
$
(1,064)
|
|
$
(704)
|
|
$
(1,167)
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
579.3
|
|
568.4
|
|
528.7
|
|
526.2
|
|
524.3
|
Weighted average
number of common shares outstanding - diluted
|
579.3
|
|
569.5
|
|
528.7
|
|
526.2
|
|
524.3
|
Net income (loss)
per common share - basic
|
$
(0.31)
|
|
$
0.94
|
|
$
(1.31)
|
|
$
(0.87)
|
|
$
(1.29)
|
Net income (loss)
per common share - diluted
|
$
(0.31)
|
|
$
0.93
|
|
$
(1.31)
|
|
$
(0.87)
|
|
$
(1.29)
|
Comprehensive income
(loss) per common share - basic
|
$
(0.07)
|
|
$
1.17
|
|
$
(2.01)
|
|
$
(1.34)
|
|
$
(2.23)
|
Comprehensive income
(loss) per common share - diluted
|
$
(0.07)
|
|
$
1.17
|
|
$
(2.01)
|
|
$
(1.34)
|
|
$
(2.23)
|
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,
2023
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
Comprehensive income
(loss) available (attributable) to common
stockholders
|
$
(39)
|
|
$
667
|
|
$
(1,064)
|
|
$
(704)
|
|
$
(1,167)
|
Adjustments to
exclude realized and unrealized (gains) losses reported
through net income:
|
|
|
|
|
|
|
|
|
|
Realized loss on sale
of investment securities, net
|
81
|
|
1,068
|
|
560
|
|
946
|
|
342
|
Unrealized (gain) loss
on investment securities measured at fair value
through net income, net
|
(594)
|
|
(1,462)
|
|
1,738
|
|
987
|
|
2,532
|
(Gain) loss on
derivative instruments and other securities, net
|
544
|
|
(156)
|
|
(1,474)
|
|
(1,204)
|
|
(1,796)
|
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
|
(142)
|
|
(135)
|
|
372
|
|
245
|
|
491
|
Other
adjustments:
|
|
|
|
|
|
|
|
|
|
TBA dollar roll
income 3,4
|
18
|
|
65
|
|
119
|
|
182
|
|
152
|
Interest rate swap
periodic income (cost) 3,8,22
|
504
|
|
401
|
|
236
|
|
56
|
|
(18)
|
Other interest income
(expense), net 3,23
|
(33)
|
|
(33)
|
|
(25)
|
|
(7)
|
|
—
|
Net spread and
dollar roll income available to common stockholders
|
339
|
|
415
|
|
462
|
|
501
|
|
536
|
Estimated "catch up"
premium amortization cost
(benefit) due to change in
CPR forecast 11
|
69
|
|
5
|
|
(18)
|
|
(66)
|
|
(159)
|
Net spread and
dollar roll income, excluding "catch-up" premium
amortization, available to common stockholders
|
$
408
|
|
$
420
|
|
$
444
|
|
$
435
|
|
$
377
|
|
|
|
|
|
|
|
|
|
|
Weighted average number
of common shares outstanding - basic
|
579.3
|
|
568.4
|
|
528.7
|
|
526.2
|
|
524.3
|
Weighted average number
of common shares outstanding - diluted
|
580.5
|
|
569.5
|
|
529.8
|
|
527.1
|
|
525.7
|
Net spread and dollar
roll income per common share - basic
|
$
0.59
|
|
$
0.73
|
|
$
0.87
|
|
$
0.95
|
|
$
1.02
|
Net spread and dollar
roll income per common share - diluted
|
$
0.58
|
|
$
0.73
|
|
$
0.87
|
|
$
0.95
|
|
$
1.02
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - basic
|
$
0.70
|
|
$
0.74
|
|
$
0.84
|
|
$
0.83
|
|
$
0.72
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - diluted
|
$
0.70
|
|
$
0.74
|
|
$
0.84
|
|
$
0.83
|
|
$
0.72
|
AGNC INVESTMENT
CORP.
|
NET INTEREST SPREAD
COMPONENTS BY FUNDING SOURCE 2,22
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March 31,
2023
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
Adjusted net
interest and dollar roll income, excluding "catch-up"
premium amortization:
|
|
|
|
|
|
|
|
|
|
Economic interest
income:
|
|
|
|
|
|
|
|
|
|
Investment securities -
GAAP interest income 12
|
$
351
|
|
$
347
|
|
$
373
|
|
$
395
|
|
$
475
|
Estimated "catch-up"
premium amortization cost
(benefit) due to change in
CPR forecast 11
|
69
|
|
5
|
|
(18)
|
|
(66)
|
|
(159)
|
TBA dollar roll income
- implied interest income 3,6
|
220
|
|
230
|
|
213
|
|
180
|
|
123
|
Economic interest
income, excluding "catch-up" premium amortization
|
640
|
|
582
|
|
568
|
|
509
|
|
439
|
Economic interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - GAAP interest expense
|
(449)
|
|
(322)
|
|
(196)
|
|
(80)
|
|
(27)
|
TBA dollar roll income
- implied interest (expense)
benefit 3,5
|
(202)
|
|
(165)
|
|
(94)
|
|
2
|
|
29
|
Interest rate swap
periodic (cost)
income, net 3,8,22
|
504
|
|
401
|
|
236
|
|
56
|
|
(18)
|
Economic interest
expense
|
(147)
|
|
(86)
|
|
(54)
|
|
(22)
|
|
(16)
|
Adjusted net interest
and dollar roll income, excluding "catch-up" premium
amortization
|
$
493
|
|
$
496
|
|
$
514
|
|
$
487
|
|
$
423
|
|
|
|
|
|
|
|
|
|
|
Net interest spread,
excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities -
average asset yield
|
2.93 %
|
|
3.14 %
|
|
3.09 %
|
|
3.09 %
|
|
3.55 %
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in
CPR forecast
|
0.58 %
|
|
0.03 %
|
|
(0.15) %
|
|
(0.51) %
|
|
(1.19) %
|
Investment securities
average asset yield, excluding "catch-up" premium
amortization
|
3.51 %
|
|
3.17 %
|
|
2.94 %
|
|
2.58 %
|
|
2.36 %
|
TBA securities -
average implied asset yield 6
|
4.93 %
|
|
4.86 %
|
|
4.18 %
|
|
3.66 %
|
|
2.09 %
|
Average asset yield,
excluding "catch-up" premium amortization 7
|
3.90 %
|
|
3.68 %
|
|
3.31 %
|
|
2.88 %
|
|
2.28 %
|
Average total cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt - average funding cost
|
4.51 %
|
|
3.55 %
|
|
1.89 %
|
|
0.74 %
|
|
0.23 %
|
TBA securities -
average implied funding cost
(benefit) 5
|
4.53 %
|
|
3.41 %
|
|
1.80 %
|
|
(0.04) %
|
|
(0.49) %
|
Average
cost (benefit) of funds, before interest rate swap periodic cost
(income), net 7
|
4.52 %
|
|
3.50 %
|
|
1.86 %
|
|
0.49 %
|
|
(0.01) %
|
Interest rate swap
periodic cost
(income), net 10,22
|
(3.50) %
|
|
(2.89) %
|
|
(1.52) %
|
|
(0.35) %
|
|
0.10 %
|
Average total
cost of
funds 9
|
1.02 %
|
|
0.61 %
|
|
0.34 %
|
|
0.14 %
|
|
0.09 %
|
Average net interest
spread, excluding "catch-up" premium amortization
|
2.88 %
|
|
3.07 %
|
|
2.97 %
|
|
2.74 %
|
|
2.19 %
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
March 31,
2023
|
|
December 31,
2022
|
|
September 30,
2022
|
|
June 30,
2022
|
|
March 31,
2022
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency MBS,
at fair value - as of period end
|
$
44,754
|
|
$
39,169
|
|
$
41,578
|
|
$
43,382
|
|
$
47,124
|
Other Agency MBS, at
fair value - as of period end
|
$
311
|
|
$
321
|
|
$
311
|
|
$
244
|
|
$
274
|
Credit risk transfer
securities, at fair value - as of period end
|
$
769
|
|
$
757
|
|
$
860
|
|
$
894
|
|
$
885
|
Non-Agency MBS, at fair
value - as of period end 21
|
$
505
|
|
$
657
|
|
$
843
|
|
$
881
|
|
$
804
|
Total investment
securities, at fair value - as of period end
|
$
46,339
|
|
$
40,904
|
|
$
43,592
|
|
$
45,401
|
|
$
49,087
|
Total investment
securities, at cost - as of period end
|
$
49,575
|
|
$
44,880
|
|
$
49,162
|
|
$
48,862
|
|
$
51,316
|
Total investment
securities, at par - as of period end
|
$
48,123
|
|
$
43,403
|
|
$
47,646
|
|
$
47,347
|
|
$
49,511
|
Average investment
securities, at cost
|
$
47,846
|
|
$
44,351
|
|
$
48,362
|
|
$
51,089
|
|
$
53,535
|
Average investment
securities, at par
|
$
46,374
|
|
$
42,978
|
|
$
46,863
|
|
$
49,453
|
|
$
51,749
|
TBA securities:
20
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio - as
of period end, at fair value
|
$
10,395
|
|
$
18,574
|
|
$
17,902
|
|
$
15,893
|
|
$
19,543
|
Net TBA portfolio - as
of period end, at cost
|
$
10,385
|
|
$
18,407
|
|
$
19,116
|
|
$
16,001
|
|
$
20,152
|
Net TBA portfolio - as
of period end, carrying value
|
$
10
|
|
$
167
|
|
$
(1,214)
|
|
$
(108)
|
|
$
(609)
|
Average net TBA
portfolio, at cost
|
$
17,851
|
|
$
18,988
|
|
$
20,331
|
|
$
19,653
|
|
$
23,605
|
Average repurchase
agreements and other debt 13
|
$
39,824
|
|
$
35,486
|
|
$
40,530
|
|
$
42,997
|
|
$
46,570
|
Average stockholders'
equity 14
|
$
8,053
|
|
$
7,481
|
|
$
8,040
|
|
$
8,525
|
|
$
9,545
|
Tangible net book value
per common share 1
|
$
9.41
|
|
$
9.84
|
|
$
9.08
|
|
$
11.43
|
|
$
13.12
|
Tangible net book value
"at risk" leverage - average 15
|
7.7 :1
|
|
7.8 :1
|
|
8.1 :1
|
|
7.8 :1
|
|
7.8 :1
|
Tangible net book value
"at risk" leverage - as of period end 16
|
7.2 :1
|
|
7.4 :1
|
|
8.7 :1
|
|
7.4 :1
|
|
7.5 :1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
4.06 %
|
|
3.74 %
|
|
3.49 %
|
|
3.19 %
|
|
3.07 %
|
Average asset
yield
|
2.93 %
|
|
3.14 %
|
|
3.09 %
|
|
3.09 %
|
|
3.55 %
|
Average asset yield,
excluding "catch-up" premium amortization
|
3.51 %
|
|
3.17 %
|
|
2.94 %
|
|
2.58 %
|
|
2.36 %
|
Average coupon - as of
period end
|
4.15 %
|
|
3.94 %
|
|
3.63 %
|
|
3.35 %
|
|
3.13 %
|
Average asset yield -
as of period end
|
3.55 %
|
|
3.37 %
|
|
3.14 %
|
|
2.85 %
|
|
2.56 %
|
Average actual CPR for
securities held during the period
|
5.2 %
|
|
6.8 %
|
|
9.2 %
|
|
12.4 %
|
|
14.5 %
|
Average forecasted CPR
- as of period end
|
10.0 %
|
|
7.4 %
|
|
7.0 %
|
|
7.2 %
|
|
7.9 %
|
Total premium
amortization (cost) benefit, net
|
$
(120)
|
|
$
(55)
|
|
$
(36)
|
|
$
—
|
|
$
78
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Average coupon - as of
period end 17
|
5.06 %
|
|
4.84 %
|
|
4.30 %
|
|
4.35 %
|
|
3.25 %
|
Average implied asset
yield 6
|
4.93 %
|
|
4.86 %
|
|
4.18 %
|
|
3.66 %
|
|
2.09 %
|
Combined investment and
TBA securities - average asset yield,
excluding "catch-up" premium amortization 7
|
3.90 %
|
|
3.68 %
|
|
3.31 %
|
|
2.88 %
|
|
2.28 %
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements -
average funding cost
|
4.51 %
|
|
3.55 %
|
|
1.89 %
|
|
0.74 %
|
|
0.23 %
|
TBA securities -
average implied funding cost (benefit) 5
|
4.53 %
|
|
3.41 %
|
|
1.80 %
|
|
(0.04) %
|
|
(0.49) %
|
Interest rate swaps -
average periodic (income) expense, net 10,22
|
(3.50) %
|
|
(2.89) %
|
|
(1.52) %
|
|
(0.35) %
|
|
0.10 %
|
Average total cost
(benefit) of funds, inclusive of TBAs and interest
rate swap periodic (income) expense, net 7,9,22
|
1.02 %
|
|
0.61 %
|
|
0.34 %
|
|
0.14 %
|
|
0.09 %
|
Repurchase agreements -
average funding cost as of period end
|
4.81 %
|
|
4.31 %
|
|
2.85 %
|
|
1.25 %
|
|
0.37 %
|
Interest rate swaps -
average net pay/(receive) rate as of period end 18
|
(4.39) %
|
|
(3.94) %
|
|
(2.79) %
|
|
(1.23) %
|
|
(0.04) %
|
Net interest
spread: 22
|
|
|
|
|
|
|
|
|
|
Combined investment and
TBA securities average net interest spread
|
2.46 %
|
|
3.03 %
|
|
3.07 %
|
|
3.11 %
|
|
3.01 %
|
Combined investment and
TBA securities average net interest
spread, excluding "catch-up" premium amortization
|
2.88 %
|
|
3.07 %
|
|
2.97 %
|
|
2.74 %
|
|
2.19 %
|
Expenses % of average
stockholders' equity - annualized
|
1.09 %
|
|
0.75 %
|
|
0.95 %
|
|
0.94 %
|
|
0.88 %
|
Economic return (loss)
on tangible common equity - unannualized 19
|
(0.7) %
|
|
12.3 %
|
|
(17.4) %
|
|
(10.1) %
|
|
(14.4) %
|
*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, mark-to-market
adjustments and price alignment interest income (expense) on margin
deposits.
- 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) and U.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, $25
million and $26 million of
other mortgage credit investments
held as of March 31, 2023 and
December 31 and September 30, 2022, respectively.
- In the first quarter 2023, the Company began reporting price
alignment interest income (expense) ("PAI") on interest swap margin
deposits posted by or (to) the Company in other interest income
(expense), net. The Company previously reported PAI in interest
rate swap periodic income (cost). Both current and former
categorizations are components of net spread and dollar roll
income. Prior quarter amounts have been reclassified and cost of
funds restated to conform to the current quarter's
presentation.
- Other interest income (expense), net includes interest income
on cash and cash equivalents, PAI, and other miscellaneous interest
income (expense).
STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and
analysts to attend the AGNC stockholder call on April 25, 2023
at 8:30 am ET. Interested persons who
do not plan on asking a question and have internet access are
encouraged to utilize the free 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 (U.S.
domestic) or (412) 902-6621 (international). Please advise the
operator you are dialing in for the AGNC Investment Corp.
stockholder call.
A slide presentation will accompany the call and will be available
at www.AGNC.com. Select the Q1 2023 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 25, 2023. In addition, there will be a phone
recording available one hour after the call on April 25, 2023
through May 2, 2023. Those who are
interested in hearing the recording of the presentation, can access
it by dialing (877) 344-7529 (U.S. domestic) or (412) 317-0088
(international), passcode 9749241.
For further information, please contact Investor Relations
at (301) 968-9300 or IR@AGNC.com.
ABOUT AGNC INVESTMENT CORP.
AGNC Investment Corp. is an internally managed real estate
investment trust ("REIT") that invests primarily in residential
mortgage-backed securities for which the principal and interest
payments are guaranteed by a U.S. Government-sponsored enterprise
or a U.S. Government agency. For further information, please refer
to www.AGNC.com.
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," "net spread and dollar roll income,
excluding 'catch-up' premium amortization"; "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) 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.
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, excluding 'catch-up' premium
amortization" is included in this release.
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9303
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SOURCE AGNC Investment Corp.