PART I. FINANCIAL INFORMATION Item 1. Financial Statements This section presents the unaudited consolidated financial statements, showing significant asset growth and a return to profitability Consolidated Balance Sheets Total assets grew to $89.6 billion, driven by an increase in Agency securities and funded by higher repurchase agreement liabilities Consolidated Balance Sheets | | September 30, 2024 (Unaudited) | December 31, 2023 | | :--- | :--- | :--- | | Total Assets | $89,590 million | $71,596 million | | Agency securities, at fair value | $67,938 million | $53,673 million | | Total Liabilities | $79,934 million | $63,339 million | | Repurchase agreements | $65,979 million | $50,426 million | | Total Stockholders' Equity | $9,656 million | $8,257 million | Consolidated Statements of Comprehensive Income The company reported a net income of $346 million for Q3 2024, a significant turnaround from a net loss in the prior-year period Q3 Comprehensive Income | Metric | Q3 2024 | Q3 2023 | | :--- | :--- | :--- | | Net Interest Income (Expense) | ($64 million) | ($53 million) | | Total Other Gain (Loss), Net | $440 million | ($316 million) | | Net Income (Loss) | $346 million | ($392 million) | | Net Income (Loss) Available to Common Stockholders | $313 million | ($423 million) | | Net Income (Loss) per Common Share - Diluted | $0.39 | ($0.68) | | Comprehensive Income (Loss) | $546 million | ($605 million) | | Dividends Declared per Common Share | $0.36 | $0.36 | Nine-Month Comprehensive Income | Metric | Nine Months Ended Sep 30, 2024 | Nine Months Ended Sep 30, 2023 | | :--- | :--- | :--- | | Net Interest Income (Expense) | ($97 million) | ($220 million) | | Net Income (Loss) | $741 million | ($257 million) | | Net Income (Loss) Available to Common Stockholders | $645 million | ($349 million) | | Net Income (Loss) per Common Share - Diluted | $0.86 | ($0.58) | Notes to Consolidated Financial Statements Details the company's investment portfolio growth, financing via repurchase agreements, and significant equity raising activities - The company is an internally managed REIT primarily investing in Agency residential mortgage-backed securities (Agency RMBS), funded mainly through collateralized borrowings structured as repurchase agreements2325 Investment Securities | Investment Securities (Fair Value) | September 30, 2024 | December 31, 2023 | | :--- | :--- | :--- | | Total Agency RMBS | $68,044 million | $53,794 million | | CRT securities | $620 million | $723 million | | Total Investment Securities | $68,937 million | $54,824 million | Repurchase Agreements | Repurchase Agreements | September 30, 2024 | December 31, 2023 | | :--- | :--- | :--- | | Total Outstanding | $65,979 million | $50,426 million | | Weighted Average Interest Rate | 5.22% | 5.60% | | Weighted Average Days to Maturity | 14 | 19 | - During the nine months ended September 30, 2024, the company sold 149.0 million shares of common stock under its At-the-Market (ATM) offering program for net proceeds of $1,456 million122 - Subsequent to the quarter end, the company amended its ATM program to authorize sales up to $1.5 billion and established a new $1 billion stock repurchase plan124125 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations Management discusses a strong quarterly economic return of 9.3% driven by a favorable shift in Federal Reserve monetary policy Executive Overview The company generated a 9.3% economic return on tangible common equity amid a favorable shift in Federal Reserve monetary policy - Generated an economic return on tangible common equity per share of 9.3% for Q3 2024, consisting of $0.36 of dividends and a $0.42 (5%) increase in tangible net book value per common share131 - The Federal Reserve's rate cut in September marked the end of an extended period of monetary policy restraint, leading to declining Treasury rates130 - Net spread and dollar roll income per diluted common share (a non-GAAP measure) declined by $0.10 to $0.43 per share in Q3, driven by a shift in hedging strategy138 Financial Condition The investment portfolio grew to $73.1 billion, with a continued heavy concentration in fixed-rate Agency RMBS and TBA securities Investment Portfolio | Investment Portfolio (Fair Value) | September 30, 2024 | December 31, 2023 | | :--- | :--- | :--- | | Agency RMBS | $68.0 billion | $53.8 billion | | Net TBA securities | $4.1 billion | $5.4 billion | | CRT, non-Agency RMBS & CMBS | $0.9 billion | $1.0 billion | | Total Investment Portfolio | $73.1 billion | $60.2 billion | Results of Operations Analyzes operating results using non-GAAP measures, reporting an average net interest spread of 2.21% for the quarter - The company uses non-GAAP measures such as "economic interest income" and "net spread and dollar roll income" to provide greater transparency into financial performance156159 Net Interest Spread (Non-GAAP) | Net Interest Spread (Non-GAAP) | Q3 2024 | Q3 2023 | | :--- | :--- | :--- | | Average Asset Yield | 4.73% | 4.20% | | Average Aggregate Cost of Funds | (2.52)% | (1.17)% | | Average Net Interest Spread | 2.21% | 3.03% | Net Spread and Dollar Roll Income (Non-GAAP) | Net Spread and Dollar Roll Income (Non-GAAP) | Q3 2024 | Q3 2023 | | :--- | :--- | :--- | | Total Amount | $345 million | $403 million | | Per Diluted Common Share | $0.43 | $0.65 | Liquidity and Capital Resources The company maintained a strong liquidity position with $6.3 billion in unencumbered assets and a tangible net book value "at risk" leverage of 7.2x - Tangible net book value "at risk" leverage was 7.2x as of September 30, 2024, compared to 7.0x as of December 31, 2023203 - As of September 30, 2024, unencumbered assets totaled approximately $6.3 billion, or 69% of tangible equity, an increase from $5.2 billion at year-end 2023215 - The weighted average haircut on repurchase agreements was 2.9% as of September 30, 2024, a slight decrease from 3.1% at the end of 2023214 Item 3. Quantitative and Qualitative Disclosures About Market Risk Outlines primary market risks, including sensitivity analyses for interest rate and mortgage spread changes on tangible net book value Interest Rate Sensitivity | Change in Interest Rate | Estimated Change in Tangible Net Book Value Per Common Share (as of Sep 30, 2024) | | :--- | :--- | | -75 Basis Points | -2.4% | | +25 Basis Points | -1.1% | | +75 Basis Points | -5.9% | MBS Spread Sensitivity | Change in MBS Spread | Estimated Change in Tangible Net Book Value Per Common Share (as of Sep 30, 2024) | | :--- | :--- | | -25 Basis Points | +11.2% | | +25 Basis Points | -11.2% | | +50 Basis Points | -22.4% | - The company's estimated duration gap was 0.2 years as of September 30, 2024, compared to -0.5 years at year-end 2023230 Item 4. Controls and Procedures Management concluded that disclosure controls and procedures were effective with no material changes to internal controls during the quarter - Based on an evaluation as of September 30, 2024, the Chief Executive Officer and Chief Financial Officer concluded that the company's disclosure controls and procedures were effective251 - No changes occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the company's internal control over financial reporting252 PART II. OTHER INFORMATION Item 1. Legal Proceedings The company is not currently subject to any material litigation - The company reports no material litigation threatened against it or its subsidiaries, other than routine proceedings arising in the ordinary course of business255 Item 1A. Risk Factors There have been no material changes to the risk factors disclosed in the company's 2023 Annual Report on Form 10-K - No material changes to the risk factors previously disclosed in the Annual Report on Form 10-K for the year ended December 31, 2023, have occurred256 Item 5. Other Information Discloses the adoption of a Rule 10b5-1 trading plan by the President and CEO for the sale of company stock - On August 27, 2024, CEO Peter Federico adopted a Rule 10b5-1 trading plan for the sale of up to 145,000 shares of common stock, expiring August 20, 2025260 Item 6. Exhibits This section provides an index of all exhibits filed with the Form 10-Q, including certifications and XBRL data files
AGNC INVT(AGNCL) - 2024 Q3 - Quarterly Report