AGNC Investment Corp. Announces Third Quarter 2024 Financial Results

THIRD QUARTER 2024 FINANCIAL HIGHLIGHTS

• $0.63 comprehensive income per common share, comprised of:
  • $0.39 net income per common share
  • $0.24 other comprehensive income ("OCI") per common share on investments marked-to-market through OCI
• $0.43 net spread and dollar roll income per common share1
  • Excludes $(0.03) per common share of estimated "catch-up" premium amortization cost due to change in projected constant prepayment rate ("CPR") estimates
• $8.82 tangible net book value per common share as of September 30, 2024
  • Increased $0.42 per common share, or 5.0%, from $8.40 per common share as of June 30, 2024
• $0.36 dividends declared per common share for the third quarter
• 9.3% economic return on tangible common equity for the quarter
  • Comprised of $0.36 dividends per common share and $0.42 increase in tangible net book value per common share

OTHER THIRD QUARTER HIGHLIGHTS

• $73.1 billion investment portfolio as of September 30, 2024, comprised of:
  • $68.0 billion Agency MBS
  • $4.1 billion net forward purchases/(sales) of Agency MBS in the "to-be-announced" market ("TBA securities")
  • $1.0
    billion credit risk transfer ("CRT") and non-Agency securities and other mortgage credit investments
• 7.2x tangible net book value "at risk" leverage as of September 30, 2024
  • 7.2x average tangible net book value "at risk" leverage for the quarter
• Unencumbered cash and Agency MBS totaled $6.2 billion as of September 30, 2024
  • Excludes unencumbered CRT and non-Agency securities
  • Represents 68% of the Company's tangible equity as of September 30, 2024
• 13.2% average projected portfolio life CPR as of September 30, 2024
  • 7.3% actual portfolio CPR for the quarter
• 2.21% annualized net interest spread for the quarter2
• Issued 78.1 million shares of common equity through At-the-Market ("ATM") Offerings for net proceeds of $781 million

MANAGEMENT REMARKS
"AGNC generated a very strong economic return of 9.3% in the third quarter, driven by significant book value growth and our compelling monthly dividend, which has remained stable at $0.12 per common share for 55 consecutive months" said Peter Federico, the Company's President and Chief Executive Officer. "As a levered and hedged investor in Agency MBS, AGNC's return opportunities are most favorable when Agency MBS spreads to benchmark rates are wide and stable and interest rates and monetary policy are less volatile. Our year-to-date performance – a 13.8% unannualized economic return – reflects both the benefits of our active portfolio management and the increasingly positive macroeconomic conditions.
"The long-awaited monetary policy pivot by the Fed occurred at its September meeting with an initial 50 basis point rate cut.
Consistent with historical experience, the Fed is expected to return the federal funds rate to a neutral level over the next 12 to 24 months, which would typically be accompanied by a steepening of the yield curve and growing demand for high quality fixed income instruments such as Agency MBS. Although the path of financial markets is never perfectly linear and periods of volatility are inevitable, the outlook for Agency MBS today is decidedly better than it was in 2022 and 2023 as a result of the positive direction of the broader economy, the accommodative Fed monetary policy stance, and the stability of Agency MBS spreads at these historically favorable levels."
"AGNC's 9.3% economic return on tangible common equity in the third quarter was comprised of $0.36 of dividends per common share and a $0.42 increase in tangible net book value per common share," said Bernice Bell, the Company's Executive Vice President and Chief Financial Officer. "During the third quarter, we issued $781 million in common stock through our ATM program at a considerable premium to our tangible net book value, providing substantial accretion for our stockholders and new capital to fund investments in Agency MBS at attractive levels. AGNC also generated $0.43 per common share of net spread and dollar roll income in the quarter. Finally, our leverage declined modestly to 7.2x at the end of the third quarter (from 7.4x the prior quarter), and we concluded the quarter with $6.2 billion of unencumbered cash and Agency MBS, or 68% of our tangible equity."

TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of September 30, 2024, the Company's tangible net book value per common share was $8.82 per share, an increase of 5.0% for the quarter compared to $8.40 per share as of June 30, 2024. The Company's tangible net book value per common share excludes $526 million, or $0.62 and $0.69 per share, of goodwill as of September 30 and June 30, 2024, respectively.

INVESTMENT PORTFOLIO
As of September 30, 2024, the Company's investment portfolio totaled $73.1 billion, comprised of:

• $72.1 billion of Agency MBS and TBA securities, including:
  • $70.7 billion of fixed-rate securities, comprised of:
    • $66.0 billion 30-year MBS,
    • $4.1 billion 30-year TBA securities, net,
    • $0.1 billion 15-year MBS, and
    • $0.5 billion 20-year MBS; and
  • $1.4 billion of collateralized mortgage obligations ("CMOs"), adjustable-rate and other Agency securities; and
• $1.0
  billion of CRT and non-Agency securities and other mortgage credit investments.

As of September 30, 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 June 30, 2024.
As of September 30, 2024, the Company's fixed-rate Agency MBS and TBA securities' weighted average coupon was 4.90%, compared to 4.95% as of June 30, 2024, comprised of the following weighted average coupons:

• 4.92% for 30-year fixed-rate securities;
• 2.72% for 15-year fixed-rate securities; and
• 3.11% 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 September 30, 2024, such positions had a fair value of $4.1 billion and a GAAP net carrying value of $1 million reported in derivative assets/(liabilities) on the Company's balance sheet, compared to $5.3 billion and $30 million, respectively, as of June 30, 2024.

CONSTANT PREPAYMENT RATES
The Company's weighted average projected CPR for the remaining life of its Agency securities held as of September 30, 2024 increased to 13.2% from 9.2% as of June 30, 2024. The Company's weighted average CPR for the third quarter was 7.3%, compared to 7.1% for the prior quarter.
The weighted average cost basis of the Company's investment portfolio was 101.3% of par value as of September 30, 2024. The Company's investment portfolio generated net premium amortization cost of $(69) million, or $(0.09) per common share, for the third quarter, which includes a "catch-up" premium amortization cost of $(24) million, or $(0.03) per common share, due to an increase in the Company's CPR projections for certain securities acquired prior to the third quarter. This compares to net premium amortization cost for the prior quarter of $(28) million, or $(0.04) per common share, including a "catch-up" premium amortization benefit of $14 million, or $0.02 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 4.54% for the third quarter, compared to 4.70% for the prior quarter. Excluding "catch-up" premium amortization, the Company's average asset yield was 4.68% for the third quarter, compared to 4.60% for the prior quarter. Including the TBA position and excluding "catch-up" premium amortization, the Company's average asset yield for the third quarter was 4.73%, compared to 4.69% for the prior quarter.
For the third quarter, the weighted average interest rate on the Company's repurchase agreements was 5.41%, compared to 5.44% for the prior quarter. For the third quarter, the Company's TBA position had an implied financing cost of 5.10%, compared to 5.11% for the prior quarter. Inclusive of interest rate swaps, the Company's combined weighted average cost of funds for the third quarter was 2.52%, compared to 2.00% 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 third quarter was 2.21%, compared to 2.69% 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 third quarter of $0.43 per common share, compared to $0.53 per common share for the prior quarter. Net spread and dollar roll income excludes $(0.03) and $0.02 per common share of estimated "catch-up" premium amortization (cost) / benefit for the third 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 September 30, 2024, $63.4 billion of repurchase agreements, $4.1 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 $2.6 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 September 30, 2024, compared to 7.4x as of June 30, 2024. The Company's average "at risk" leverage ratio for the third quarter was 7.2x tangible net book value, unchanged from the prior quarter.
As of September 30, 2024, the Company's repurchase agreements used to fund its investment portfolio ("Investment Securities Repo") had a weighted average interest rate of 5.23%, compared to 5.50% as of June 30, 2024, and a weighted average remaining maturity of 15 days, compared to 27 days as of June 30, 2024. As of September 30, 2024, $33.0 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 September 30, 2024, interest rate swaps, swaptions, U.S. Treasury positions and other interest rate hedges equaled 72% of the Company's outstanding balance of Investment Securities Repo, TBA position and other debt, compared to 98% as of June 30, 2024.
As of September 30, 2024, the Company's pay fixed interest rate swap position totaled $39.1 billion in notional amount, had an average fixed pay rate of 1.43%, an average floating receive rate of 4.94% and an average maturity of 4.5 years, compared to $48.7 billion, 1.43%, 5.33% and 4.4 years, respectively, as of June 30, 2024.
As of September 30, 2024, the Company had receiver swaptions totaling $0.2 billion, a two-year swap equivalent long SOFR futures position of $1.0 billion and a net short U.S. Treasury position of $10.6 billion outstanding, compared to $0.2 billion, $0.6 billion and $10.9 billion, respectively, as of June 30, 2024.

OTHER GAIN (LOSS), NET
For the third quarter, the Company recorded a net gain of $440 million in other gain (loss), net, or $0.54 per common share, compared to a net loss of $(21) million, or $(0.03) per common share, for the prior quarter. Other gain (loss), net for the third quarter was comprised of:

• $106 million of net realized gains on sales of investment securities;
• $1,742 million of net unrealized gains on investment securities measured at fair value through net income;
• $456 million of interest rate swap periodic income;
• $(1,492) million of net losses on interest rate swaps;
• $36 million of net gains on SOFR futures;
• $(490) million of net losses on U.S. Treasury positions;
• $4 million of TBA dollar roll income;
• $94 million of net mark-to-market gains on TBA securities; and
• $(12) million of other interest income (expense), net; and
• $(4) million of other miscellaneous losses.

OTHER COMPREHENSIVE INCOME
During the third quarter, the Company recorded other comprehensive income of $200 million, or $0.24 per common share, consisting of net unrealized gains on the Company's Agency securities recognized through OCI, compared to $(18) million, or $(0.02) per common share, of other comprehensive loss for the prior quarter.

COMMON STOCK DIVIDENDS
During the third quarter, the Company declared dividends of $0.12 per share to common stockholders of record as of July 31, August 30, and September 30, 2024, totaling $0.36 per share for the quarter. Since its May 2008 initial public offering through the third quarter of 2024, the Company has declared a total of $13.7 billion in common stock dividends, or $48.28 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.

*Except as noted below, average numbers for each period are weighted based on days on the Company's books and records. All percentages are annualized, unless otherwise noted.

Numbers in financial tables may not total due to rounding.