BETHESDA, Md., Jan. 27, 2025 /PRNewswire/ — AGNC Investment Corp. (“AGNC” or the “Company”) (Nasdaq: AGNC) today announced financial results for the quarter ended December 31, 2024.
FOURTH QUARTER 2024 FINANCIAL HIGHLIGHTS
OTHER FOURTH QUARTER HIGHLIGHTS
2024 FULL YEAR HIGHLIGHTS
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.
Please refer to Net Interest Spread Components by Funding Source included in this release for additional information regarding the Company’s annualized net interest spread.
3.
Includes dividend reinvestments. Source Bloomberg
MANAGEMENT REMARKS
“Entering 2025, we continue to have a very positive outlook for Agency MBS, supported by the increasingly favorable environment that emerged in 2024” said Peter Federico, the Company’s President and Chief Executive Officer. “The Federal Reserve finally shifted its restrictive monetary policy stance and began the process of returning short term rates to a neutral level. With declining inflationary pressures and accommodative monetary policy, interest rate volatility eased during the year, and the yield curve steepened after being inverted for the second longest episode on record. In addition, with primary mortgages rates again near 7%, the supply of Agency MBS should continue to be limited and reasonably well-aligned with investor demand. Lastly, and perhaps most importantly to our business, Agency MBS spreads to benchmark rates remain in a well-defined range and offer levered and unlevered investors very attractive return opportunities.
“Against this improved investment backdrop, AGNC generated a positive economic return of 13.2% in 2024, driven by our compelling monthly dividend. Our 2024 performance provides investors a good example of AGNC’s ability to generate strong investment returns in environments in which Agency MBS spreads are wide and stable, and we anticipate that this favorable environment for Agency MBS will persist. Moreover, AGNC provides investors with access to this unique and attractively valued fixed income asset class on a levered basis through an investment vehicle that has produced best-in-class returns since inception.”
“AGNC’s -0.6% economic return on tangible common equity in the fourth quarter was comprised of $0.36 of dividends per common share and a $(0.41) decline in tangible net book value per common share resulting from higher interest rates and modestly wider spreads for the quarter,” said Bernice Bell, the Company’s Executive Vice President and Chief Financial Officer. “During the fourth quarter, we issued $511 million in common stock through our ATM program at a considerable premium to our tangible book value, which brought our total issuance for the year to $2.0 billion and yielded significant accretion for our stockholders. AGNC’s net spread and dollar roll income totaled $0.37 per common share for the quarter. Finally, our average and ending leverage remained unchanged at 7.2x relative to the prior quarter, and we concluded the quarter with a significant liquidity position at $6.1 billion of unencumbered cash and Agency MBS, or 66% of our tangible equity.”
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of December 31, 2024, the Company’s tangible net book value per common share was $8.41 per share, a decrease of -4.6% for the quarter compared to $8.82 per share as of September 30, 2024. The Company’s tangible net book value per common share excludes $526 million, or $0.59 and $0.62 per share, of goodwill as of December 31 and September 30, 2024, respectively.
INVESTMENT PORTFOLIO
As of December 31, 2024, the Company’s investment portfolio totaled $73.3 billion, comprised of:
As of December 31, 2024, 30-year and 15-year fixed-rate Agency MBS and TBA securities represented 96% and less than 1%, respectively, of the Company’s investment portfolio, unchanged from September 30, 2024.
As of December 31, 2024, the Company’s fixed-rate Agency MBS and TBA securities’ weighted average coupon was 5.02%, compared to 4.90% as of September 30, 2024, comprised of the following weighted average coupons:
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, 2024, such positions had a fair value of $6.9 billion and a GAAP net carrying value of $(26) million reported in derivative assets/(liabilities) on the Company’s balance sheet, compared to $4.1 billion and $1 million, respectively, as of September 30, 2024.
CONSTANT PREPAYMENT RATES
The Company’s weighted average projected CPR for the remaining life of its Agency securities held as of December 31, 2024 decreased to 7.7% from 13.2% as of September 30, 2024. The Company’s weighted average CPR for the fourth quarter was 9.6%, compared to 7.3% for the prior quarter.
The weighted average cost basis of the Company’s investment portfolio was 101.5% of par value as of December 31, 2024. The Company’s investment portfolio generated a net premium amortization benefit of $11 million, or $0.01 per common share, for the fourth quarter, which includes a “catch-up” premium amortization benefit of $51 million, or $0.06 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 $(69) million, or $(0.09) per common share, including “catch-up” premium amortization cost of $(24) million, or $(0.03) 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 5.02% for the fourth quarter, compared to 4.54% for the prior quarter. Excluding “catch-up” premium amortization, the Company’s average asset yield was 4.72% for the fourth quarter, compared to 4.68% 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 4.80%, compared to 4.73% for the prior quarter.
For the fourth quarter, the weighted average interest rate on the Company’s repurchase agreements was 4.86%, compared to 5.41% for the prior quarter. For the fourth quarter, the Company’s TBA position had an implied financing cost of 4.74%, compared to 5.10% for the prior quarter. Inclusive of interest rate swaps, the Company’s combined weighted average cost of funds for the fourth quarter was 2.89%, compared to 2.52% 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 1.91%, compared to 2.21% 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 $0.37 per common share, compared to $0.43 per common share for the prior quarter. Net spread and dollar roll income excludes $0.06 and $(0.03) per common share of estimated “catch-up” premium amortization benefit / (cost) for the fourth quarter and prior quarter, respectively.
The Company’s cost of funds, net interest rate spread and net spread and dollar income excludes the impact of the Company’s U.S. Treasury hedges and other supplemental interest rate hedges. For additional information regarding the Company’s U.S. Treasury hedges, please refer to the schedule of Key Statistics included in this release.
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, 2024, $59.4 billion of repurchase agreements, $6.9 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 $1.4 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 7.2x as of December 31, 2024, unchanged from September 30, 2024. The Company’s average “at risk” leverage ratio for the fourth quarter was also 7.2x tangible net book value and unchanged from the prior quarter.
As of December 31, 2024, the Company’s repurchase agreements used to fund its investment portfolio (“Investment Securities Repo”) had a weighted average interest rate of 4.76%, compared to 5.23% as of September 30, 2024, and a weighted average remaining maturity of 11 days, compared to 15 days as of September 30, 2024. As of December 31, 2024, $30.6 billion, or 52%, 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, 2024, interest rate swaps, U.S. Treasury positions, swaptions and other interest rate hedges equaled 91% of the Company’s outstanding balance of Investment Securities Repo, TBA position and other debt, compared to 72% as of September 30, 2024.
As of December 31, 2024, the Company’s pay fixed interest rate swap position totaled $39.6 billion in notional amount, had an average fixed pay rate of 1.46%, an average floating receive rate of 4.46% and an average maturity of 4.4 years, compared to $39.1 billion, 1.43%, 4.94% and 4.5 years, respectively, as of September 30, 2024.
As of December 31, 2024, the Company had a net short U.S. Treasury position of $20.0 billion, net payer swaptions totaling $1.9 billion and a two-year swap equivalent long SOFR futures position of $1.2 billion outstanding, compared to $10.6 billion, $0.2 billion and $1.0 billion, respectively, as of September 30, 2024.
OTHER GAIN (LOSS), NET
For the fourth quarter, the Company recorded a net gain of $39 million in other gain (loss), net, or $0.04 per common share, compared to a net gain of $440 million, or $0.54 per common share, for the prior quarter. Other gain (loss), net for the fourth quarter was comprised of:
OTHER COMPREHENSIVE LOSS
During the fourth quarter, the Company recorded other comprehensive loss of $(179) million, or $(0.20) per common share, consisting of net unrealized losses on the Company’s Agency securities recognized through OCI, compared to $200 million, or $0.24 per common share, of other comprehensive income 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 29, and December 31, 2024, totaling $0.36 per share for the quarter. Since its May 2008 initial public offering through the fourth quarter of 2024, the Company has declared a total of $14.0 billion in common stock dividends, or $48.64 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 2024 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,
2024
September 30,
2024
June 30,
2024
March 31,
2024
December 31,
2023
(unaudited)
(unaudited)
(unaudited)
(unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $59,952,
$62,331, $54,999, $48,461 and $49,575, respectively)
$ 65,367
$ 67,938
$ 59,586
$ 53,615
$ 53,673
Agency securities transferred to consolidated variable interest entities,
at fair value (pledged securities)
97
106
106
114
121
Credit risk transfer securities, at fair value (including pledged securities
of $590, $588, $647, $722 and $678, respectively)
633
620
683
753
723
Non-Agency securities, at fair value, and other mortgage credit
investments (including pledged securities of $206, $224, $213, $245
and $262, respectively)
315
334
317
353
351
U.S. Treasury securities, at fair value (including pledged securities of
$1,565, $2,527, $2,319, $1,825 and $1,530, respectively)
1,575
2,570
2,441
1,836
1,540
Cash and cash equivalents
505
507
530
505
518
Restricted cash
1,266
1,279
1,376
1,368
1,253
Derivative assets, at fair value
205
157
131
84
185
Receivable for investment securities sold (including pledged securities
of $0, $1,612, $0, $5 and $0, respectively)
—
1,706
—
5
—
Receivable under reverse repurchase agreements
17,137
13,494
13,662
12,424
11,618
Goodwill
526
526
526
526
526
Other assets
389
353
327
293
1,088
Total assets
$ 88,015
$ 89,590
$ 79,685
$ 71,876
$ 71,596
Liabilities:
Repurchase agreements
$ 60,798
$ 65,979
$ 56,947
$ 49,971
$ 50,426
Debt of consolidated variable interest entities, at fair value
64
69
71
76
80
Payable for investment securities purchased
74
324
208
636
210
Derivative liabilities, at fair value
94
53
64
65
362
Dividends payable
143
134
125
118
115
Obligation to return securities borrowed under reverse repurchase
agreements, at fair value
16,676
13,009
13,248
12,115
10,894
Accounts payable and other liabilities
404
366
370
317
1,252
Total liabilities
78,253
79,934
71,033
63,298
63,339
Stockholders’ equity:
Preferred Stock – aggregate liquidation preference of $1,688
1,634
1,634
1,634
1,634
1,634
Common stock – $0.01 par value; 897.4, 844.2, 766.1, 720.3 and 694.3
shares issued and outstanding, respectively
9
8
8
7
7
Additional paid-in capital
17,264
16,746
15,960
15,521
15,281
Retained deficit
(8,554)
(8,320)
(8,338)
(7,990)
(8,148)
Accumulated other comprehensive loss
(591)
(412)
(612)
(594)
(517)
Total stockholders’ equity
9,762
9,656
8,652
8,578
8,257
Total liabilities and stockholders’ equity
$ 88,015
$ 89,590
$ 79,685
$ 71,876
$ 71,596
Tangible net book value per common share 1
$ 8.41
$ 8.82
$ 8.40
$ 8.84
$ 8.70
AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF OPERATIONS
(in millions, except per share data)
(unaudited)
Three Months Ended
Year Ended
December 31,
2024
September 30,
2024
June 30,
2024
