In light of recent market volatility, the Company also announced preliminary estimates for certain financial measures for the third quarter 2022:
- As of
September 30, 2022, AGNC's tangible net book value per common share was estimated to be between $9.06and $9.10per share, after deductions for common and preferred stock dividends declared through September 30, 2022.
- For the quarter ended
September 30, 2022, AGNC's comprehensive loss per common share was estimated to be between $1.99and $2.03per share.
- For the quarter ended
September 30, 2022, AGNC's net spread and dollar roll income (a non-GAAP financial measure) was estimated to be between $0.82and $0.86per common share, excluding approximately $0.03per common share of estimated "catch-up" premium amortization benefit.1
- As of
September 30, 2022, AGNC had approximately $3.6 billionof cash and unencumbered Agency MBS, which includes approximately $0.8 billionat the Company's captive broker-dealer Bethesda Securitiesand excludes unencumbered CRT and non-Agency securities. Cash and unencumbered Agency MBS represented approximately 54% of the Company's tangible equity as of September 30, 2022, largely unchanged from June 30, 2022.
- For the quarter ended
September 30, 2022, AGNC's average "at risk" leverage was approximately 8.1x. As of September 30, 2022, the Company's "at risk" leverage was approximately 8.7x.2
- As of
September 30, 2022, AGNC's total investment portfolio was approximately $61.5 billion, which includes approximately $17.9 billionof To-Be-Announced ("TBA") Agency MBS and approximately $1.7 billionof credit risk transfer and non-Agency securities.
- As of
September 30, 2022, AGNC's hedge portfolio covered approximately 118% of the Company's funding liabilities,3 and its duration gap4 was approximately one year.
The Company will report full financial results for the third quarter of 2022 on
THIRD QUARTER STOCKHOLDER CALL AND WEBCAST
AGNC will report third quarter 2022 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].
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 ("
- Projected 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
$1.99to $2.03per common share adjusted to (a) exclude net unrealized losses on investment securities measured at fair value through net income and other comprehensive income totaling approximately $4.00per common share, (b) exclude net realized losses on sale of investment securities of approximately $1.06per common share, (c) exclude net gains on derivative instruments and other securities of approximately $2.80per common share, (d) exclude 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 2022 of a benefit of approximately $0.03per common share, (e) include TBA dollar roll income of approximately $0.22per common share, and (f) include interest rate swap net periodic income of approximately $0.40per 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, 2022. 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, 2022.
- "At risk" leverage is calculated as the sum of Agency and non-Agency repurchase agreements, 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
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