AGNC Investment Corp. Announces Fourth Quarter 2023 Financial Results

BETHESDA, Md., Jan. 22, 2024

FOURTH QUARTER 2023 FINANCIAL HIGHLIGHTS

• $1.00 comprehensive income per common share, comprised of:
  • $0.57 net income per common share
  • $0.43 other comprehensive income ("OCI") per common share on investments marked-to-market through OCI
• $0.60 net spread and dollar roll income per common share¹
  • Includes $0.01 per common share of dollar roll income associated with the Company's $5.0 billion average net long position in Agency mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA") market
  • Excludes $0.05 per common share of estimated "catch-up" premium amortization benefit due to change in projected constant prepayment rate ("CPR") estimates
• $8.70 tangible net book value per common share as of December 31, 2023
  • Increased $0.62 per common share, or 7.7%, from $8.08 per common share as of September 30, 2023
• $0.36 dividends declared per common share for the fourth quarter
• 12.1% economic return on tangible common equity for the quarter
  • Comprised of $0.36 dividends per common share and $0.62 increase in tangible net book value per common share

OTHER FOURTH QUARTER HIGHLIGHTS

• $60.2 billion investment portfolio as of December 31, 2023, comprised of:
  • $53.8 billion Agency MBS
  • $5.4 billion net TBA mortgage position
  • $1.1 billion credit risk transfer ("CRT") and non-Agency securities and other mortgage credit investments
• 7.0x tangible net book value "at risk" leverage as of December 31, 2023
  • 7.4x average tangible net book value "at risk" leverage for the quarter
• Unencumbered cash and Agency MBS totaled $5.1 billion as of December 31, 2023
  • Excludes unencumbered CRT and non-Agency securities
  • Represents 66% of the Company's tangible equity as of December 31, 2023
• 11.4% average projected portfolio life CPR as of December 31, 2023
  • 6.2% actual portfolio CPR for the quarter
• 3.08% annualized net interest spread²
• Issued 46.3 million shares of common equity through At-the-Market ("ATM") Offerings for net proceeds of $376 million

2023 FULL YEAR HIGHLIGHTS

• $0.30 comprehensive income per common share, comprised of:
  • $0.05 net income per common share
  • $0.25 OCI per common share
• $2.61 net spread and dollar roll income per common share¹
  • Includes $0.05 per common share of dollar roll income
  • Excludes $0.01 per common share of estimated "catch-up" premium amortization benefit
• $1.44 in dividends declared per common share
• 3.0% economic return on tangible common equity for the year, comprised of:
  • $1.44 dividends per common share
  • $(1.14) decrease in tangible net book value per common share, or -11.6%, from $9.84 per common share as of December 31, 2022
• 10.0% total stock return³
• Issued 118.8 million shares of common equity through ATM Offerings for net proceeds of $1.1 billion

___________
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 additional information regarding the use of non-GAAP financial information included in this release. ARIVA.DE Börsen-Geflüster Kurse AGNC Investment Corp 9,66 $ +0,16%
2.	Please refer to Net Interest Spread Components by Funding Source included in this release for additional information.
3.	Includes dividend reinvestments. Source: Bloomberg

MANAGEMENT REMARKS
"The fourth quarter of 2023 illustrated the importance of our active portfolio management strategy, as AGNC generated a very favorable 12.1% economic return despite significant intra-quarter volatility," said Peter Federico, the Company's President and Chief Executive Officer. "Over the last two years, the Federal Reserve has engineered one of the most aggressive tightening campaigns ever experienced, increasing the Federal Funds rate by 5.25% while simultaneously reducing its balance sheet by $1.3 trillion. Despite this challenging fixed income environment, AGNC generated a positive economic return of 3.0% in 2023, produced a total stock return of 10.0%, and, importantly, provided shareholders with a stable and compelling monthly dividend.

"As a levered Agency MBS investor, the two primary drivers of our performance are changes in Agency MBS spreads and interest rate volatility. Over the past two years, as the Federal Reserve aggressively tightened monetary policy, Agency MBS spreads widened by more than 100 basis points, and interest rates and interest rate volatility moved sharply higher. Today, we believe many of the factors that drove these adverse conditions are largely behind us. Historically attractive and stable Agency MBS spreads combined with declining interest rate volatility create a compelling investment environment for AGNC and form the basis for our positive investment outlook." 

"AGNC generated a strong 12.1% economic return on tangible common equity in the fourth quarter, comprised of $0.36 of dividends per common share and a $0.62 increase in tangible net book value per common share," said Bernice Bell, the Company's Executive Vice President and Chief Financial Officer. "AGNC's net spread and dollar roll income remained very strong at $0.60 per common share in the quarter, demonstrating the value of our short-term debt hedging strategy. Our leverage declined to 7.0x at the end of Q4, compared to 7.9x at the end of Q3, and we finished the quarter with $5.1 billion of unencumbered cash and Agency MBS, or 66% of our tangible equity."

TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of December 31, 2023, the Company's tangible net book value per common share was $8.70 per share, an increase of 7.7% for the quarter compared to $8.08 per share as of September 30, 2023. The Company's tangible net book value per common share excludes $526 million, or $0.76 and $0.81 per share, of goodwill as of December 31, 2023 and September 30, 2023, respectively.

INVESTMENT PORTFOLIO
As of December 31, 2023, the Company's investment portfolio totaled $60.2 billion, comprised of:

• $59.1 billion of Agency MBS and TBA securities, including:
  • $58.5 billion of fixed-rate securities, comprised of:
    • $51.7 billion 30-year MBS,
    • $5.3 billion 30-year TBA securities, net,
    • $0.7 billion 15-year MBS,
    • $0.1 billion 15-year TBA securities, and
    • $0.8 billion 20-year MBS; and
  • $0.6 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 December 31, 2023, 30-year and 15-year fixed-rate Agency MBS and TBA securities represented 95% and 1%, respectively, of the Company's investment portfolio, compared to 94% and 2%, respectively, as of September 30, 2023.

As of December 31, 2023, the Company's fixed-rate Agency MBS and TBA securities' weighted average coupon was 4.83%, compared to 4.71% as of September 30, 2023, comprised of the following weighted average coupons:

• 4.88% for 30-year fixed-rate securities;
• 3.44% 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 December 31, 2023, such positions had a fair value of $5.4 billion and a GAAP net carrying value of $66 million reported in derivative assets/(liabilities) on the Company's balance sheet, compared to $2.4 billion and $(31) million, respectively, as of September 30, 2023.

CONSTANT PREPAYMENT RATES
The Company's weighted average projected CPR for the remaining life of its Agency securities held as of December 31, 2023 increased to 11.4% from 8.3% as of September 30, 2023. The Company's weighted average CPR for the fourth quarter was 6.2%, compared to 7.1% for the prior quarter.

The weighted average cost basis of the Company's investment portfolio was 102.2% of par value as of December 31, 2023. The Company's investment portfolio generated net premium amortization cost of $(16) million, or $(0.02) per common share, for the fourth quarter, which includes a "catch-up" premium amortization benefit of $32 million, or $0.05 per common share, due to a decrease in the Company's CPR projections for certain securities acquired prior to the fourth quarter. This compares to net premium amortization cost for the prior quarter of $(20) million, or $(0.03) per common share, including a "catch-up" premium amortization benefit of $31 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 4.55% for the fourth quarter, compared to 4.26% for the prior quarter. Excluding "catch-up" premium amortization, the Company's average asset yield was 4.33% for the fourth quarter, compared to 4.04% for the prior quarter. Including the TBA position and excluding "catch-up" premium amortization, the Company's average asset yield for the fourth quarter was 4.47%, compared to 4.20% for the prior quarter.

For the fourth quarter, the weighted average interest rate on the Company's repurchase agreements was 5.48%, compared to 5.37% for the prior quarter. For the fourth quarter, the Company's TBA position had an implied financing cost of 5.37%, compared to 5.28% for the prior quarter. Inclusive of interest rate swaps, the Company's combined weighted average cost of funds for the fourth quarter was 1.39%, compared to 1.17% 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 fourth quarter was 3.08%, compared to 3.03% 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 fourth quarter of $0.60 per common share, compared to $0.65 per common share for the prior quarter. Net spread and dollar roll income excludes $0.05 per common share of estimated "catch-up" premium amortization benefit for the fourth quarter and prior quarter.

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 December 31, 2023, $48.9 billion of repurchase agreements, $5.3 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 $1.5 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 7.0x as of December 31, 2023, compared to 7.9x September 30, 2023. The Company's average "at risk" leverage ratio for the fourth quarter was 7.4x tangible net book value, compared to 7.5x for the prior quarter.

As of December 31, 2023, the Company's repurchase agreements used to fund its investment portfolio ("Investment Securities Repo") had a weighted average interest rate of 5.60%, compared to 5.47% as of September 30, 2023, and a weighted average remaining maturity of 19 days, compared to 16 days as of September 30, 2023. As of December 31, 2023, $24.1 billion, or 49%, of the Company's Investment Securities Repo was funded through the Company's captive broker-dealer subsidiary, Bethesda Securities, LLC.

HEDGING ACTIVITIES
As of December 31, 2023, interest rate swaps, swaptions, U.S. Treasury positions and other interest rate hedges equaled 112% of the Company's outstanding balance of Investment Securities Repo, TBA position and other debt, compared to 116% as of September 30, 2023.

As of December 31, 2023, the Company's net interest rate swap position totaled $43.5 billion in notional amount, compared to $44.4 billion as of September 30, 2023. As of December 31, 2023, the Company's interest rate swap portfolio had an average fixed pay rate of 0.68%, an average receive rate of 5.35% and an average maturity of 3.0 years, compared to 0.74%, 5.30% and 3.5 years, respectively, as of September 30, 2023.

As of December 31, 2023, the Company had net payer swaptions totaling $1.1 billion, a two-year swap equivalent long SOFR futures position of $0.9 billion and a net short U.S. Treasury position of $16.9 billion outstanding, compared to $1.4 billion, $1.1 billion and $18.6 billion, respectively, as of September 30, 2023.

OTHER GAIN (LOSS), NET
For the fourth quarter, the Company recorded a net gain of $466 million in other gain (loss), net, or $0.69 per common share, compared to a net loss of $(316) million, or $(0.51) per common share, for the prior quarter. Other gain (loss), net for the fourth quarter was comprised of:

• $(697) million of net realized losses on sales of investment securities;
• $2,803 million of net unrealized gains on investment securities measured at fair value through net income;
• $548 million of interest rate swap periodic income;
• $(1,256) million of net losses on interest rate swaps;
• $(70) million of net losses on interest rate swaptions;
• $15 million of net gains on SOFR futures;
• $(1,054) million of net losses on U.S. Treasury positions;
• $7 million of TBA dollar roll income;
• $214 million of net mark-to-market gains on TBA securities;
• $(36) million of other interest income (expense), net; and
• $(8) million of other miscellaneous losses.

OTHER COMPREHENSIVE INCOME
During the fourth quarter, the Company recorded other comprehensive income of $291 million, or $0.43 per common share, consisting of net unrealized gains on the Company's Agency securities recognized through OCI, compared to $(213) million, or $(0.34) per common share, of other comprehensive loss for the prior quarter.

COMMON STOCK DIVIDENDS
During the fourth quarter, the Company declared dividends of $0.12 per share to common stockholders of record as of October 31, November 31, and December 29, 2023, totaling $0.36 per share for the quarter. Since its May 2008 initial public offering through the fourth quarter of 2023, the Company has declared a total of $12.9 billion in common stock dividends, or $47.20 per common share.

The Company also announced it has published the tax characteristics of its distributions for common stock dividends and for each series of its preferred stock dividends for calendar year 2023 on its website at www.AGNC.com. Stockholders should receive an IRS Form 1099-DIV containing this information from their brokers, transfer agents or other institutions.

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)
	December 31, 2023		September 30, 2023		June 30, 2023		March 31, 2023		December 31, 2022
	(unaudited)		(unaudited)		(unaudited)		(unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $49,602, $52,250, $41,185, $41,852 and $35,800, respectively)	$        53,673		$        55,758		$   46,572		$   44,925		$        39,346
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)	121		120		131		140		144
Credit risk transfer securities, at fair value (including pledged securities of $678, $709, $664, $747 and $703, respectively)	723		736		711		769		757
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $262, $253, $283, $457 and $605, respectively)	351		353		353		530		682
U.S. Treasury securities, at fair value (including pledged securities of $1,530, $246, $1,523, $6,481 and $353, respectively)	1,540		246		1,523		6,642		353
Cash and cash equivalents	518		493		716		975		1,018
Restricted cash	1,253		1,389		907		1,864		1,316
Derivative assets, at fair value	185		413		234		229		617
Receivable for investment securities sold (including pledged securities of $0, $273, $148, $339 and $119, respectively)	—		311		148		346		120 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 11.05.24 - PR Newswire ROSEN, TRUSTED INVESTOR COUNSEL, Encourages Plug Power Inc. Investors to Secure Counsel Before Important May 21 Deadline in Securities Class Action - PLUG 11.05.24 - wallstreet:online ... Community-Rückblick: "Amputierte Esel aller Länder, lasst euch von InnoCan CBD spritzen!" 11.05.24 - XTB BITCOIN am Wochende: Break über $65.000 voraus?! -- Die aktuelle BITCOIN-Analyse am 11.05.24 Spezial aus aktuellem Anlass:    JanOne – Smallcap über Nacht mit Milliardentransaktionen! weiterlesen» Anzeige wo-site-teaser-box-16911_site-teaser-box_2024-05-11_09%253A00%253A00_2024-05-12_09%253A00%253A59