AGNC(AGNC) - 2024 Q3 - Quarterly Report

Economic Performance - AGNC generated an economic return on tangible common equity per share of 9.3% for Q3 2024, consisting of $0.36 in dividends and a$0.42 (5%) increase in tangible net book value per share [119]. - Year-to-date economic return through September 30, 2024, reached 13.8% per common share, with a modest increase in tangible net book value of 1.4% and $1.08 in dividends per common share [119]. - Net income available to common stockholders for the three months ended September 30, 2024, was$313 million, compared to a loss of $423 million in the same period of 2023 [150]. - Economic return on tangible common equity was 9.3$546 million, recovering from a loss of $(605) million in Q3 2023 [150]. Investment Portfolio - As of September 30, 2024, the investment portfolio totaled$73.1 billion, up from $60.2 billion as of December 31, 2023 [133]. - The fair value of Agency RMBS was$68.0 billion as of September 30, 2024, compared to $53.8 billion as of December 31, 2023 [133]. - The total investment securities amounted to$74.028 billion as of September 30, 2024, with an average coupon of 4.95% [134]. - The total fixed rate Agency RMBS and TBA securities were valued at $73.160 billion as of September 30, 2024, with an average coupon of 4.90$68,937 million as of September 30, 2024, compared to $54,824 million as of December 31, 2023, representing a growth of approximately 25.7$79,934 million as of September 30, 2024, from $63,339 million as of December 31, 2023, marking a growth of approximately 26.3$1 billion remaining capacity in its stock repurchase plan, set to expire on December 31, 2024 [189]. - The company reported a total loss on derivative instruments and other securities of $(1,408) million for the three months ended September 30, 2024, compared to a gain of$1,574 million for the same period in 2023 [173]. Income and Expenses - Economic interest income for Q3 2024 was $756 million, up from$593 million in Q3 2023, reflecting a year-over-year increase of approximately 27.6% [150]. - Economic interest expense for the three months ended September 30, 2024, was $820 million, an increase from$646 million in the same period of 2023, reflecting a cost of funds of 5.41% compared to 5.37% [162]. - The total economic interest income available to common stockholders is adjusted to exclude certain gains/losses and includes TBA dollar roll income [139]. - The total net spread and dollar roll income available to common stockholders is derived from comprehensive income adjusted for specific items [143]. - The average interest rate swap net pay/(receive) rate was (3.98)% for the three months ended September 30, 2024, compared to (4.87)% in the same period of 2023 [166]. Market Conditions and Risks - The favorable investment environment is expected to continue, with stable long-term interest rates and Agency RMBS spreads anticipated [120]. - Forward-looking statements are subject to risks including changes in U.S. monetary policy and fluctuations in interest rates [192]. - The company may face challenges in raising additional equity capital at favorable terms due to market conditions and investor demand [189]. - The effectiveness of the company's risk mitigation strategies is a key factor in its performance outlook [193]. - The company is subject to various risks including geopolitical events and changes in laws that could impact its operations and market conditions [193]. Shareholder Returns - Dividends declared per common share remained stable at $0.36 for Q3 2024, consistent with Q3 2023 [150]. - The company may repurchase shares when the trading price of its common stock is less than its tangible net book value per common share [189]. - The company emphasizes the importance of maintaining a minimum level of securities that trade at or near TBA values to enhance portfolio liquidity [188]. - The average age of TBA positions for the total fixed rate portfolio is 35 months [137]. - The company does not maintain relationships with unconsolidated entities or financial partnerships for off-balance sheet arrangements as of September 30, 2024 [190].