AGNC Investment Corp. Announces Preliminary Estimates for Third Quarter 2023
- As of
September 30, 2023, AGNC's tangible net book value was estimated to be $8.08per share of common stock;
- For the third quarter 2023, AGNC's total comprehensive loss was estimated to be
$(1.02)per common share;
- For the third quarter 2023, AGNC's net spread and dollar roll income (a non-GAAP financial measure) was estimated to be
$0.65per common share, excluding $0.05per common share of estimated "catch-up" premium amortization benefit;1
- As of
September 30, 2023, AGNC's total investment portfolio was approximately $59.3 billion, which includes approximately $2.4 billionof To-Be-Announced ("TBA") Agency MBS and $1.1 billionof credit risk transfer and non-Agency securities;
- As of
September 30, 2023, AGNC's tangible net book value "at risk" leverage ratio was approximately 7.9x;2
- For the third quarter, AGNC's estimated economic return on tangible common equity was (10.1)%, comprised of
$0.36dividends per share of common stock declared during the third quarter and an estimated $(1.31)decrease in tangible net book value per common share;
- As of
September 30, 2023, AGNC had approximately $3.6 billionof cash and unencumbered Agency MBS, which represented approximately 52% of the Company's tangible equity as of September 30, 2023;
- As of
September 30, 2023, AGNC's hedge portfolio covered approximately 116% of the Company's funding liabilities,3 and its duration gap4 was approximately 0.2 years; and
- During the third quarter, the Company issued 44.7 million shares of common stock through "at the market" offerings at an average offering price of
$9.67per share, net of offering costs, or $432 million.
In light of recent market volatility, the Company also provided an update regarding its estimated tangible net book value per common share and its "at risk" leverage ratio. The Company estimated that its tangible net book value per common share as of
The Company will report full financial results for the third quarter of 2023 on
THIRD QUARTER STOCKHOLDER CALL AND WEBCAST
AGNC will report third quarter 2023 earnings after market close on
An archived audio of the stockholder call combined with the slide presentation will be available on the AGNC website after the call on
For further information or questions, please contact Investor Relations at (301) 968-9300 or [email protected].
ABOUT AGNC INVESTMENT CORP.
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 ("
- Net spread and dollar roll income, excluding "catch-up" premium amortization benefit, per common share is a non-GAAP measure. It is measured as estimated (i) total comprehensive loss of approximately
$1.02per common share adjusted to (a) exclude estimated net unrealized losses on investment securities measured at fair value through net income and other comprehensive income totaling $2.52per common share, (b) exclude estimated net realized losses on sale of investment securities of $0.86per common share, (c) exclude estimated net gains on derivative instruments and other securities of $2.53per common share, (d) exclude estimated retrospective "catch-up" adjustments to premium amortization cost due to a decrease in the Company's projected CPR estimates for securities acquired prior to the third quarter 2023 of a benefit of approximately $0.05per common share, (e) include estimated TBA dollar roll income of less than $0.01per common share, (f) include estimated interest rate swap net periodic income of $0.94per common share and (g) include estimated other net interest expense of $0.07per common share. The Company believes that this non-GAAP measure provides greater transparency into the information used by the Company's management in its financial and operational decision-making and that it provides additional context for users of its financial information to consider when evaluating the Company's current performance and operations. However, this measure is an incomplete measure of its estimated financial results as computed in accordance with GAAP and should be considered as supplementary to and not as a substitute for results computed in accordance with GAAP. In addition, not all companies use identical calculations, and the Company's presentation of non-GAAP measure estimates may not be comparable to other similarly-named measures of other companies. Accordingly, undue reliance should not be placed on this non-GAAP measure. A more complete presentation and reconciliation of non-GAAP measures and related information will be provided in the Company's announcement of its financial results and its periodic report to be filed with the SECfor the quarter ended September 30, 2023. For additional information pertaining to the Company's use of non-GAAP measures, please refer to its most recent Quarterly Report on Form 10-Q for the quarter ended June 30, 2023.
- "At risk" leverage is calculated as the sum of Agency, non-Agency, and CRT repurchase agreements ("Agency Repo"), net TBA position (at cost), and net receivable/payable for unsettled investment securities divided by total stockholders' equity, adjusted to exclude goodwill. Leverage excludes
U.S. Treasuryrepurchase agreements.
- The Company's funding liabilities include Agency repo, other debt and net TBA position.
- Duration is a model estimate of interest rate sensitivity measured in years as of a point in time. Duration gap is a measure of the difference between the interest rate sensitivity of the Company's assets and liabilities.
Investor Relations - (301) 968-9300