AGNC INVESTMENT CORP. ANNOUNCES FIRST QUARTER 2024 FINANCIAL RESULTS

BETHESDA, Md., April 22, 2024

FIRST QUARTER 2024 FINANCIAL HIGHLIGHTS

• $0.48 comprehensive income per common share, comprised of:
  • $0.59 net income per common share
  • $(0.11) other comprehensive loss ("OCI") per common share on investments marked-to-market through OCI
• $0.58 net spread and dollar roll income per common share¹
  • Excludes $0.01 per common share of estimated "catch-up" premium amortization benefit due to change in projected constant prepayment rate ("CPR") estimates
• $8.84 tangible net book value per common share as of March 31, 2024
  • Increased $0.14 per common share, or 1.6%, from $8.70 per common share as of December 31, 2023
• $0.36 dividends declared per common share for the first quarter
• 5.7% economic return on tangible common equity for the quarter
  • Comprised of $0.36 dividends per common share and $0.14 increase in tangible net book value per common share

OTHER FIRST QUARTER HIGHLIGHTS

• $63.3 billion investment portfolio as of March 31, 2024, comprised of:
  • $53.7 billion Agency MBS
  • $8.4 billion net forward purchases/(sales) of Agency MBS in the "to-be-announced" market ("TBA securities")
  • $1.1 billion credit risk transfer ("CRT") and non-Agency securities and other mortgage credit investments
• 7.1x tangible net book value "at risk" leverage as of March 31, 2024
  • 7.0x average tangible net book value "at risk" leverage for the quarter
• Unencumbered cash and Agency MBS totaled $5.4 billion as of March 31, 2024
  • Excludes unencumbered CRT and non-Agency securities
  • Represents 67% of the Company's tangible equity as of March 31, 2024
• 10.4% average projected portfolio life CPR as of March 31, 2024
  • 5.7% actual portfolio CPR for the quarter
• 2.98% annualized net interest spread for the quarter²
• Issued 25.1 million shares of common equity through At-the-Market ("ATM") Offerings for net proceeds of $241 million

___________
1.	Represents a non-GAAP measure. Prior to the fourth quarter 2023, this measure was referred to as "net spread and dollar roll income, excluding 'catch-up' premium amortization cost/benefit, per common share." Please refer to the Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income and Use of Non-GAAP Financial Information included in this release for additional information.
2. ARIVA.DE Börsen-Geflüster Kurse AGNC Investment Corp 9,66 $ +0,16%	Please refer to Net Interest Spread Components by Funding Source included in this release for additional information.

MANAGEMENT REMARKS
"AGNC generated an economic return of 5.7% in the first quarter of 2024, as the favorable macroeconomic environment for fixed income investors that began in late 2023 persisted throughout the first quarter of 2024" said Peter Federico, the Company's President and Chief Executive Officer. "Particularly beneficial for Agency mortgage-backed securities ('Agency MBS') investors in the first quarter, interest rate volatility declined meaningfully, Agency MBS spreads remained relatively stable, and the Federal Reserve indicated that short term rates had likely reached their pinnacle for this monetary policy cycle. Additionally, the Federal Reserve noted that a reduction in the pace of its balance sheet runoff would commence fairly soon, signaling that the quantitative tightening process was reaching its conclusion. 

"Although the first quarter unfolded largely as expected and in a positive way, the start of the second quarter has illustrated that challenges remain. In April, interest rates and interest rate volatility increased meaningfully as the timing and magnitude of rate cuts in 2024 became increasingly more uncertain and as the conflict in the Middle East escalated. Despite this recent volatility, the underlying fundamentals for Agency MBS continue to give us reason for optimism.  As a highly liquid, levered Agency MBS-focused investment vehicle, AGNC is well positioned to benefit from these favorable investment dynamics as they evolve over time."

"AGNC's strong 5.7% economic return on tangible common equity was comprised of $0.36 of dividends per common share and a $0.14 increase in tangible net book value per common share," said Bernice Bell, the Company's Executive Vice President and Chief Financial Officer. "For the quarter, AGNC generated $0.58 per common share of net spread and dollar roll income, excluding 'catch-up' premium amortization. Our leverage increased modestly to 7.1x at the end of Q1, compared to 7.0x at the end of Q4, and we continued to maintain an extremely strong liquidity position, finishing the quarter with $5.4 billion of unencumbered cash and Agency MBS, or 67% of our tangible equity."

TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of March 31, 2024, the Company's tangible net book value per common share was $8.84 per share, an increase of 1.6% for the quarter compared to $8.70 per share as of December 31, 2023. The Company's tangible net book value per common share excludes $526 million, or $0.73 and $0.76 per share, of goodwill as of March 31, 2024 and December 31, 2023, respectively.

INVESTMENT PORTFOLIO
As of March 31, 2024, the Company's investment portfolio totaled $63.3 billion, comprised of:

• $62.2 billion of Agency MBS and TBA securities, including:
  • $61.2 billion of fixed-rate securities, comprised of:
    • $51.9 billion 30-year MBS,
    • $8.4 billion 30-year TBA securities, net,
    • $0.1 billion 15-year MBS,
    • $0.1 billion 15-year TBA securities, and
    • $0.7 billion 20-year MBS; and
  • $1.0 billion of collateralized mortgage obligations ("CMOs"), adjustable-rate and other Agency securities; and
• $1.1 billion of CRT and non-Agency securities and other mortgage credit investments.

As of March 31, 2024, 30-year and 15-year fixed-rate Agency MBS and TBA securities represented 95% and less than 1%, respectively, of the Company's investment portfolio, largely unchanged from 95% and 1%, respectively, as of  December 31, 2023.

As of March 31, 2024, the Company's fixed-rate Agency MBS and TBA securities' weighted average coupon was 4.86%, compared to 4.83% as of December 31, 2023, comprised of the following weighted average coupons:

• 4.89% for 30-year fixed-rate securities;
• 3.70% for 15-year fixed-rate securities; and
• 2.82% for 20-year fixed-rate securities.

The Company accounts for TBA securities and other forward settling securities as derivative instruments and recognizes TBA dollar roll income in other gain (loss), net on the Company's financial statements. As of March 31, 2024, such positions had a fair value of $8.4 billion and a GAAP net carrying value of $43 million reported in derivative assets/(liabilities) on the Company's balance sheet, compared to $5.4 billion and $66 million, respectively, as of December 31, 2023.

CONSTANT PREPAYMENT RATES
The Company's weighted average projected CPR for the remaining life of its Agency securities held as of March 31, 2024 decreased to 10.4% from 11.4% as of December 31, 2023. The Company's weighted average CPR for the first quarter was 5.7%, compared to 6.2% for the prior quarter.

The weighted average cost basis of the Company's investment portfolio was 102.1% of par value as of March 31, 2024. The Company's investment portfolio generated net premium amortization cost of $(37) million, or $(0.05) per common share, for the first quarter, which includes a "catch-up" premium amortization benefit of $10 million, or $0.01 per common share, due to a decrease 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 $(16) million, or $(0.02) per common share, including a "catch-up" premium amortization benefit of $32 million, or $0.05 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 4.53% for the first quarter, compared to 4.55% for the prior quarter. Excluding "catch-up" premium amortization, the Company's average asset yield was 4.46% for the first quarter, compared to 4.33% 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 4.56%, compared to 4.47% for the prior quarter.

For the first quarter, the weighted average interest rate on the Company's repurchase agreements was 5.45%, compared to 5.48% for the prior quarter. For the first quarter, the Company's TBA position had an implied financing cost of 5.34%, compared to 5.37% for the prior quarter. Inclusive of interest rate swaps, the Company's combined weighted average cost of funds for the first quarter was 1.58%, compared to 1.39% for the prior quarter.

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 2.98%, compared to 3.08% for the prior quarter.

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 $0.58 per common share, compared to $0.60 per common share for the prior quarter. Net spread and dollar roll income excludes $0.01 and $0.05 per common share of estimated "catch-up" premium amortization benefit for the first quarter and prior quarter, respectively.

A reconciliation of the Company's total comprehensive income (loss) to net spread and dollar roll income and additional information regarding the Company's use of non-GAAP measures are included later in this release.

LEVERAGE
As of March 31, 2024, $48.1 billion of repurchase agreements, $8.4 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 $1.8 billion, of the Company's repurchase agreements was used to fund short-term 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 7.1x as of March 31, 2024, compared to 7.0x as of December 31, 2023. The Company's average "at risk" leverage ratio for the first quarter was 7.0x tangible net book value, compared to 7.4x for the prior quarter.

As of March 31, 2024, the Company's repurchase agreements used to fund its investment portfolio ("Investment Securities Repo") had a weighted average interest rate of 5.46%, compared to 5.60% as of December 31, 2023, and a weighted average remaining maturity of 22 days, compared to 19 days as of December 31, 2023. As of March 31, 2024, $23.2 billion, or 48%, of the Company's Investment Securities Repo was funded through the Company's captive broker-dealer subsidiary, Bethesda Securities, LLC.

HEDGING ACTIVITIES
As of March 31, 2024, interest rate swaps, swaptions, U.S. Treasury positions and other interest rate hedges equaled 99% of the Company's outstanding balance of Investment Securities Repo, TBA position and other debt, compared to 112% as of December 31, 2023.

As of March 31, 2024, the Company's pay fixed interest rate swap position totaled $44.4 billion in notional amount, had an average fixed pay rate of 0.97%, an average floating receive rate of 5.34% and an average maturity of 3.8 years, compared to $44.5 billion, 0.57%, 5.37% and 3.0 years, respectively, as of December 31, 2023. As of March 31, 2024, the Company's receive fixed interest rate swap position totaled $1.0 billion in notional amount, had an average fixed receive rate of 4.65%, an average floating pay rate of 5.34%, and an average maturity of 1.3 years, which were largely unchanged from December 31, 2023.

As of March 31, 2024, the Company had net payer (receiver) swaptions totaling $(0.2) billion, a two-year swap equivalent long SOFR futures position of $0.7 billion and a net short U.S. Treasury position of $13.8 billion outstanding, compared to $1.3 billion, $0.9 billion and $16.9 billion, respectively, as of December 31, 2023.

OTHER GAIN (LOSS), NET
For the first quarter, the Company recorded a net gain of $497 million in other gain (loss), net, or $0.71 per common share, compared to a net gain of $466 million, or $0.69 per common share, for the prior quarter. Other gain (loss), net for the first quarter was comprised of:

• $(91) million of net realized losses on sales of investment securities;
• $(471) million of net unrealized losses on investment securities measured at fair value through net income;
• $536 million of interest rate swap periodic income;
• $113 million of net gains on interest rate swaps;
• $33 million of net gains on interest rate swaptions;
• $(10) million of net losses on SOFR futures;
• $481 million of net gains on U.S. Treasury positions;
• $(58) million of net mark-to-market losses on TBA securities;
• $(35) million of other interest income (expense), net; and
• $(1) million of other miscellaneous losses.

OTHER COMPREHENSIVE LOSS
During the first quarter, the Company recorded other comprehensive loss of $(77) million, or $(0.11) per common share, consisting of net unrealized losses on the Company's Agency securities recognized through OCI, compared to $291 million, or $0.43 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 29, and March 29, 2024, totaling $0.36 per share for the quarter. Since its May 2008 initial public offering through the first quarter of 2024, the Company has declared a total of $13.1 billion in common stock dividends, or $47.56 per common share.

FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO STATISTICS
The following measures of operating performance include net spread and dollar roll income; economic interest income; economic interest expense; and the related per common share measures and financial metrics derived from such information, which are non-GAAP financial measures. Please refer to "Use of Non-GAAP Financial Information" later in this release for further discussion of non-GAAP measures.

AGNC INVESTMENT CORP
CONSOLIDATED BALANCE SHEETS
(in millions, except per share data)
	March 31, 2024		December 31, 2023		September 30, 2023		June 30, 2023		March 31, 2023
	(unaudited)				(unaudited)		(unaudited)		(unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $48,461, $49,575, $52,250, $41,185 and $41,852, respectively)	$                    53,615		$                    53,673		$                    55,758		$                    46,572		$                    44,925
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)	114		121		120		131		140
Credit risk transfer securities, at fair value (including pledged securities of $722, $678, $709, $664 and $747, respectively)	753		723		736		711		769
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $245, $262, $253, $283 and $457, respectively)	353		351		353		353		530
U.S. Treasury securities, at fair value (including pledged securities of $1,825, $1,530, $246, $1,523 and $6,481, respectively)	1,836		1,540		246		1,523		6,642
Cash and cash equivalents	505		518		493		716		975
Restricted cash	1,368		1,253		1,389		907		1,864
Derivative assets, at fair value	84		185		413		234		229
Receivable for investment securities sold (including pledged securities of $5, $0, $273, $148 and $339, respectively)	5		—		311		148		346
Receivable under reverse repurchase agreements	12,424		11,618		8,900		7,990		8,929
Goodwill	526		526 Werbung Mehr Nachrichten zur AGNC Investment Corp Aktie kostenlos abonnieren E-Mail-Adresse Bitte überprüfe deine die E-Mail-Adresse. Benachrichtigungen von ARIVA.DE (Mit der Bestellung akzeptierst du die Datenschutzhinweise) -1 Vielen Dank, dass du dich für unseren Newsletter angemeldet hast. Du erhältst in Kürze eine E-Mail mit einem Aktivierungslink. Hinweis: ARIVA.DE veröffentlicht in dieser Rubrik Analysen, Kolumnen und Nachrichten aus verschiedenen Quellen. Die ARIVA.DE AG ist nicht verantwortlich für Inhalte, die erkennbar von Dritten in den „News“-Bereich dieser Webseite eingestellt worden sind, und macht sich diese nicht zu Eigen. Diese Inhalte sind insbesondere durch eine entsprechende „von“-Kennzeichnung unterhalb der Artikelüberschrift und/oder durch den Link „Um den vollständigen Artikel zu lesen, klicken Sie bitte hier.“ erkennbar; verantwortlich für diese Inhalte ist allein der genannte Dritte. Andere Nutzer interessierten sich auch für folgende News 10.05.24 - PR Newswire Mid Wynd International Investment Trust Plc - Transaction in Own Shares 10.05.24 - PR Newswire Global Opportunities Trust Plc - Portfolio Holdings as at 30 April 2024 10.05.24 - PR Newswire Mondi Plc - Holding(s) in Company Vor Neubewertung    Geheimtipp aus der 2. Reihe könnte Kursbooster für dein Depot sein weiterlesen» Anzeige wo-site-teaser-box-16905_site-teaser-box_2024-05-10_08%253A00%253A00_2024-05-11_09%253A00%253A59