AGNC INVT(AGNCM) - 2025 Q1 - Quarterly Results

Executive Summary & Highlights Q1 2025 Financial Highlights AGNC reported $0.12 comprehensive income per common share and $0.02 net income per common share for Q1 2025, with net spread and dollar roll income at $0.44 per common share, while tangible net book value decreased by 1.9% to $8.25 and economic return on tangible common equity was 2.4% | Metric | Q1 2025 | | :-------------------------------- | :------ | | Comprehensive Income per Share | $0.12 | | Net Income per Share | $0.02 | | OCI per Share | $0.10 | | Net Spread & Dollar Roll Income per Share | $0.44 | | Tangible Net Book Value per Share | $8.25 | | Dividends Declared per Share | $0.36 | | Economic Return on Tangible Common Equity | 2.4% | | Investment Portfolio | $78.9 billion | | Agency MBS | $70.5 billion | | Net TBA securities | $7.5 billion | | CRT & Non-Agency securities | $0.9 billion | - Tangible net book value per common share decreased $(0.16) or -1.9% from $8.41 as of December 31, 2024[5] Other Q1 Highlights The company maintained a conservative leverage profile with 7.5x tangible net book value 'at risk' leverage and substantial liquidity of $6.0 billion, also issuing $509 million in common equity through At-the-Market (ATM) offerings - Tangible net book value 'at risk' leverage was 7.5x as of March 31, 2025, with an average of 7.3x for the quarter[9] - Unencumbered cash and Agency MBS totaled $6.0 billion as of March 31, 2025, representing 63% of the Company's tangible equity[9] - Issued 49.7 million shares of common equity through ATM Offerings for net proceeds of $509 million[9] - Annualized net interest spread for the quarter was 2.12%[9] Management Remarks Management noted increased financial market volatility and widening Agency MBS spreads due to concerns over economic growth and inflation, yet AGNC achieved a 2.4% economic return on tangible common equity and a 7.8% total stock return, attributing resilience to its conservative leverage and ample liquidity, seeing compelling return opportunities in Agency MBS at current valuations - Investor sentiment turned decidedly more cautious due to potential governmental policy actions impacting economic growth and accelerating inflationary pressures, driving a flight to high quality assets[7] - AGNC generated a favorable economic return of 2.4% on tangible common equity and a total stock return of 7.8% (with dividends reinvested) for the first quarter[7][8] - Widening of Agency MBS spreads drove a modest decline in tangible book value, but anticipated portfolio returns have increased commensurately[8] - AGNC was well-positioned for instability with a conservative leverage profile and ample liquidity at quarter end[8] Financial Performance Overview Tangible Net Book Value Per Common Share Tangible net book value per common share decreased by 1.9% to $8.25 as of March 31, 2025, from $8.41 at the end of the prior quarter, primarily due to the moderate increase in mortgage spreads | Metric | March 31, 2025 | December 31, 2024 | Change | % Change | | :----------------------------- | :------------- | :---------------- | :----- | :------- | | Tangible Net Book Value per Share | $8.25 | $8.41 | $(0.16) | -1.9% | - The decline was a result of the moderate increase in mortgage spreads to benchmark rates quarter-over-quarter[8] Investment Portfolio AGNC's investment portfolio totaled $78.9 billion as of March 31, 2025, primarily composed of Agency MBS and TBA securities, with the weighted average coupon slightly increasing to 5.03% | Portfolio Component | March 31, 2025 (Billions) | | :-------------------------------- | :------------------------ | | Total Investment Portfolio | $78.9 | | Agency MBS and TBA securities | $77.9 | | Fixed-rate securities | $75.9 | | 30-year MBS | $67.9 | | 30-year TBA securities, net | $7.5 | | 15-year MBS | $0.1 | | 20-year MBS | $0.5 | | CMOs, adjustable-rate and other Agency securities | $2.0 | | CRT and non-Agency securities and other mortgage credit investments | $0.9 | - 30-year and 15-year fixed-rate Agency MBS and TBA securities represented 96% and less than 1%, respectively, of the investment portfolio, unchanged from December 31, 2024[11] - The weighted average coupon for fixed-rate Agency MBS and TBA securities was 5.03%, a slight increase from 5.02% as of December 31, 2024[12] Constant Prepayment Rates (CPR) The projected portfolio life CPR increased to 8.3% from 7.7% in the prior quarter, while the actual portfolio CPR for Q1 2025 decreased to 7.0% from 9.6% in the prior quarter | Metric | March 31, 2025 | December 31, 2024 | | :-------------------------------- | :------------- | :---------------- | | Weighted Average Projected CPR (life) | 8.3% | 7.7% | | Weighted Average Actual CPR (Q1) | 7.0% | 9.6% | Premium Amortization The company incurred a net premium amortization cost of $(39) million, or $(0.04) per common share, for Q1 2025, including a 'catch-up' cost of $(2) million, contrasting with a net premium amortization benefit of $11 million in the prior quarter | Metric | Q1 2025 | Q4 2024 | | :-------------------------------- | :------ | :------ | | Net Premium Amortization Cost (Benefit) | $(39) million | $11 million | | Per Common Share | $(0.04) | $0.01 | | "Catch-up" Premium Amortization Cost (Benefit) | $(2) million | $51 million | | "Catch-up" Per Common Share | <$(0.01) | $0.06 | Asset Yields, Cost of Funds and Net Interest Rate Spread The average asset yield (excluding 'catch-up' premium amortization and including TBA) increased to 4.87% from 4.80% in the prior quarter, while the combined weighted average cost of funds decreased to 2.75% from 2.89%, resulting in an improved annualized net interest spread of 2.12% for Q1 2025, up from 1.91% | Metric | Q1 2025 | Q4 2024 | Change | | :---------------------------------------------------------------- | :------ | :------ | :----- | | Average Asset Yield (incl. TBA, excl. "catch-up" premium amort.) | 4.87% | 4.80% | +0.07% | | Weighted Average Interest Rate on Repurchase Agreements | 4.45% | 4.86% | -0.41% | | TBA Implied Financing Cost | 4.34% | 4.74% | -0.40% | | Combined Weighted Average Cost of Funds (incl. swaps) | 2.75% | 2.89% | -0.14% | | Annualized Net Interest Spread (incl. TBA & swaps, excl. "catch-up") | 2.12% | 1.91% | +0.21% | Net Spread and Dollar Roll Income Net spread and dollar roll income increased to $0.44 per common share in Q1 2025, up from $0.37 per common share in the prior quarter, excluding 'catch-up' premium amortization adjustments | Metric | Q1 2025 | Q4 2024 | Change | | :-------------------------------- | :------ | :------ | :----- | | Net Spread & Dollar Roll Income per Share | $0.44 | $0.37 | +$0.07 | Leverage The company's tangible net book value 'at risk' leverage ratio increased to 7.5x as of March 31, 2025, from 7.2x in the prior quarter, with repurchase agreements used to fund the investment portfolio having a weighted average interest rate of 4.47% and a remaining maturity of 19 days | Metric | March 31, 2025 | December 31, 2024 | Change | | :------------------------------------ | :------------- | :---------------- | :----- | | Tangible Net Book Value "at risk" Leverage Ratio | 7.5x | 7.2x | +0.3x | | Average "at risk" Leverage Ratio (Q1) | 7.3x | 7.2x | +0.1x | | Weighted Average Interest Rate (Investment Securities Repo) | 4.47% | 4.76% | -0.29% | | Weighted Average Remaining Maturity (Investment Securities Repo) | 19 days | 11 days | +8 days | - $63.3 billion of repurchase agreements, $7.4 billion of net TBA dollar roll positions, and $0.1 billion of other debt were used to fund the investment portfolio[23] Hedging Activities Hedging activities, including interest rate swaps, U.S. Treasury positions, and swaptions, covered 91% of the company's outstanding debt and TBA position, unchanged from the prior quarter, with the notional amount of pay fixed interest rate swaps increasing to $47.8 billion - 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, unchanged from December 31, 2024[25] Interest Rate Swaps | Metric (Interest Rate Swaps) | March 31, 2025 | December 31, 2024 | | :--------------------------- | :------------- | :---------------- | | Notional Amount | $47.8 billion | $39.6 billion | | Average Fixed Pay Rate | 1.91% | 1.46% | | Average Floating Receive Rate | 4.40% | 4.46% | | Average Maturity | 5.0 years | 4.4 years | U.S. Treasury Positions | Metric (U.S. Treasury Positions) | March 31, 2025 | December 31, 2024 | | :------------------------------- | :------------- | :---------------- | | Net Short U.S. Treasury Position | $15.7 billion | $20.0 billion | | Net Payer Swaptions | $1.9 billion | $1.9 billion | | Two-year Swap Equivalent Long SOFR Futures | $1.2 billion | $1.2 billion | Other Gain (Loss), Net The company recorded a net loss of $(81) million, or $(0.09) per common share, in other gain (loss), net for Q1 2025, a significant change from a net gain of $39 million in the prior quarter, primarily driven by net unrealized gains on investment securities measured at fair value through net income, offset by net losses on interest rate swaps and U.S. Treasury positions | Component | Q1 2025 (Millions) | Q4 2024 (Millions) | | :---------------------------------------------------- | :----------------- | :----------------- | | Total Other Gain (Loss), Net | $(81) | $39 | | Per Common Share | $(0.09) | $0.04 | | Net Realized Losses on Sales of Investment Securities | $(245) | $(88) | | Net Unrealized Gains on Investment Securities (FV through NI) | $1,183 | $(1,895) | | Interest Rate Swap Periodic Income | $293 | N/A | | Net Losses on Interest Rate Swaps | $(862) | N/A | | Net Losses on U.S. Treasury Positions | $(500) | N/A | | TBA Dollar Roll Income | $23 | N/A | | Net Mark-to-Market Gains on TBA Securities | $54 | N/A | Other Comprehensive Income AGNC recorded other comprehensive income of $93 million, or $0.10 per common share, in Q1 2025, a positive shift from an other comprehensive loss of $(179) million in the prior quarter, due to net unrealized gains on Agency securities | Metric | Q1 2025 (Millions) | Q4 2024 (Millions) | | :-------------------------------- | :----------------- | :----------------- | | Other Comprehensive Income (Loss) | $93 | $(179) | | Per Common Share | $0.10 | $(0.20) | Common Stock Dividends The company declared total dividends of $0.36 per common share for Q1 2025, maintaining its consistent dividend payout, and has declared $14.3 billion in common stock dividends, or $49.00 per common share, since its IPO in May 2008 | Metric | Q1 2025 | Since IPO (May 2008) | | :-------------------------- | :------ | :------------------- | | Dividends Declared per Share | $0.36 | $49.00 | | Total Common Stock Dividends | N/A | $14.3 billion | Financial Statements & Key Statistics Consolidated Balance Sheets As of March 31, 2025, total assets increased to $95.889 billion from $88.015 billion at December 31, 2024, driven by an increase in Agency securities and receivable under reverse repurchase agreements, with total liabilities also increasing to $85.847 billion, primarily due to higher repurchase agreements | Metric | March 31, 2025 (Millions) | December 31, 2024 (Millions) | Change (Millions) | | :---------------------------------------------------- | :------------------------ | :------------------------- | :---------------- | | Total Assets | $95,889 | $88,015 | +$7,874 | | Agency Securities, at fair value | $70,363 | $65,367 | +$4,996 | | U.S. Treasury Securities, at fair value | $3,280 | $1,575 | +$1,705 | | Receivable under Reverse Repurchase Agreements | $17,604 | $17,137 | +$467 | | Total Liabilities | $85,847 | $78,253 | +$7,594 | | Repurchase Agreements | $66,138 | $60,798 | +$5,340 | | Obligation to return securities borrowed under reverse repurchase agreements | $17,180 | $16,676 | +$504 | | Total Stockholders' Equity | $10,042 | $9,762 | +$280 | Consolidated Statements of Operations For Q1 2025, net interest income was $159 million, a significant improvement from $115 million in the prior quarter, while net income available to common stockholders was $15 million, or $0.02 per common share, down from $86 million in Q4 2024, primarily due to a net loss in other gain (loss) despite higher net interest income | Metric | Q1 2025 (Millions) | Q4 2024 (Millions) | Change (Millions) | | :---------------------------------------------------- | :----------------- | :----------------- | :---------------- | | Interest Income | $846 | $856 | $(10) | | Interest Expense | $687 | $741 | $(54) | | Net Interest Income (Expense) | $159 | $115 | +$44 | | Total Other (Loss) Gain, Net | $(81) | $39 | $(120) | | Net Income (Loss) | $50 | $122 | $(72) | | Net Income (Loss) Available to Common Stockholders | $15 | $86 | $(71) | | Net Income (Loss) per Common Share - Diluted | $0.02 | $0.10 | $(0.08) | | Comprehensive Income (Loss) | $143 | $(57) | +$200 | | Comprehensive Income (Loss) Available to Common Stockholders | $108 | $(93) | +$201 | | Comprehensive Income (Loss) per Common Share - Diluted | $0.12 | $(0.11) | +$0.23 | Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income (Non-GAAP Measure) The reconciliation shows that Net Spread and Dollar Roll Income available to common stockholders was $403 million, or $0.44 per common share, for Q1 2025, an increase from $329 million ($0.37 per share) in the prior quarter, after various adjustments for realized/unrealized gains/losses and specific income/expense items | Metric | Q1 2025 (Millions) | Q4 2024 (Millions) | Change (Millions) | | :---------------------------------------------------------------- | :----------------- | :----------------- | :---------------- | | Comprehensive Income (Loss) Available to Common Stockholders | $108 | $(93) | +$201 | | Adjustments (Net) | $295 | $422 | $(127) | | Net Spread and Dollar Roll Income Available to Common Stockholders | $403 | $329 | +$74 | | Net Spread and Dollar Roll Income per Common Share - Diluted | $0.44 | $0.37 | +$0.07 | Net Interest Spread Components by Funding Source Adjusted net interest and dollar roll income increased to $477 million in Q1 2025 from $405 million in the prior quarter, with the average net interest spread improving to 2.12% from 1.91%, driven by a higher average asset yield and lower average total cost of funds | Metric | Q1 2025 | Q4 2024 | Change | | :---------------------------------------------------------------- | :------ | :------ | :----- | | Economic Interest Income | $952 million | $889 million | +$63 million | | Economic Interest Expense | $(475) million | $(484) million | +$9 million | | Adjusted Net Interest and Dollar Roll Income | $477 million | $405 million | +$72 million | | Average Asset Yield | 4.87% | 4.80% | +0.07% | | Average Total Cost of Funds | 2.75% | 2.89% | -0.14% | | Average Net Interest Spread | 2.12% | 1.91% | +0.21% | Key Statistics This section provides a detailed breakdown of key balance sheet, performance, and interest rate hedge statistics, showing trends over the past five quarters Key Balance Sheet Statistics Total investment securities at fair value increased to $71.325 billion, net TBA portfolio at fair value also increased to $7.473 billion, and average tangible net book value 'at risk' leverage increased to 7.3:1 for the quarter | Metric | March 31, 2025 (Millions) | December 31, 2024 (Millions) | | :------------------------------------ | :------------------------ | :------------------------- | | Total Investment Securities, at fair value | $71,325 | $66,348 | | Net TBA Portfolio, at fair value | $7,473 | $6,861 | | Average Repurchase Agreements and Other Debt | $61,707 | $59,690 | | Tangible Net Book Value "at risk" Leverage - average | 7.3:1 | 7.2:1 | | Tangible Net Book Value "at risk" Leverage - as of period end | 7.5:1 | 7.2:1 | Key Performance Statistics Average asset yield (excluding 'catch-up' premium amortization) increased to 4.80%, while average actual CPR decreased to 7.0%, and the economic return on tangible common equity was 2.4% | Metric | Q1 2025 | Q4 2024 | | :---------------------------------------------------- | :------ | :------ | | Average Asset Yield (excl. "catch-up" premium amort.) | 4.80% | 4.72% | | Average Actual CPR for Securities Held | 7.0% | 9.6% | | Average Forecasted CPR - as of period end | 8.3% | 7.7% | | Total Premium Amortization Benefit (Cost) | $(39) million | $11 million | | Average Total Cost of Funds | 2.75% | 2.89% | | Economic Return (Loss) on Tangible Common Equity - unannualized | 2.4% | (0.6)% | Key Interest Rate Hedge Statistics Average interest rate swaps notional amount increased to $44,179 million, with the average pay-fixed rate rising to 1.73% and average receive-floating rate decreasing to 4.38%, while average short U.S. Treasury securities also increased | Metric | Q1 2025 (Millions) | Q4 2024 (Millions) | | :---------------------------------------------------- | :----------------- | :----------------- | | Average Interest Rate Swaps, Notional Amount (net) | $44,179 | $39,483 | | Average Pay-Fixed Rate (Swaps) | 1.73% | 1.45% | | Average Receive-Floating Rate (Swaps) | 4.38% | 4.71% | | Average Short U.S. Treasury Securities, at cost | $18,677 | $15,731 | | Average Short U.S. Treasury Securities Yield | 3.98% | 3.78% | Additional Information Stockholder Call Information AGNC announced a stockholder call on April 22, 2025, at 8:30 am ET to discuss Q1 2025 financial results, with webcast and dial-in options available, along with an accompanying slide presentation and archived audio - Stockholder call scheduled for April 22, 2025, at 8:30 am ET[46] - Webcast available at www.AGNC.com; dial-in options for Q&A participants[46] - A slide presentation and an archived audio of the call will be available on the AGNC website[47][48] About AGNC Investment Corp. AGNC Investment Corp. is a leading investor in Agency residential mortgage-backed securities (Agency MBS), founded in 2008, investing on a leveraged basis, financing assets through repurchase agreements, and employing dynamic risk management, having paid over $14 billion in common stock dividends since inception and serving as a significant source of private capital for the U.S. residential housing market - AGNC Investment Corp. (Nasdaq: AGNC), founded in 2008, is a leading investor in Agency residential mortgage-backed securities (Agency MBS)[50] - The company invests on a leveraged basis, financing Agency MBS assets primarily through repurchase agreements, and utilizes dynamic risk management strategies[50] - AGNC has declared a total of $14.3 billion in common stock dividends, or $49.00 per common share, since its May 2008 initial public offering through the first quarter of 2025[30][51] - The company's business is a significant source of private capital for the U.S. residential housing market[51] - Information about the Company is distributed via its website (www.AGNC.com) and AGNC's LinkedIn and X accounts[53] Forward Looking Statements This section contains a standard disclaimer regarding forward-looking statements, noting that actual results may differ materially due to various factors such as changes in monetary policy, interest rates, MBS spreads, financing availability, market values, economic conditions, and regulatory changes, with the company disclaiming any obligation to update these statements - Forward-looking statements are based on management's estimates, projections, beliefs, and assumptions and are not guarantees of future performance[54] - Actual results could differ materially due to factors including changes in monetary policy, interest rates, MBS spreads, financing availability, market value of assets, economic/geopolitical conditions, and legislative/regulatory changes[54] - The Company disclaims any obligation to update or revise any forward-looking statements[54] Use of Non-GAAP Financial Information This section explains the company's use of non-GAAP financial measures like 'net spread and dollar roll income,' 'economic interest income,' and 'economic interest expense,' clarifying that these measures provide greater transparency into management's decision-making by adjusting GAAP figures to include/exclude certain items that better reflect current investment portfolio performance, while cautioning that these are supplementary and not substitutes for GAAP results - Non-GAAP financial information, such as 'net spread and dollar roll income,' provides greater transparency into management's financial and operational decision-making[55][57] - Net spread and dollar roll income adjusts GAAP comprehensive income by excluding gains/losses on investment securities and derivatives, excluding 'catch-up' premium amortization, and including interest rate swap periodic income, TBA dollar roll income, and other miscellaneous interest income/expense[55][58] - Inclusion of TBA dollar roll income and periodic interest rate swap settlements is meaningful as they are economically equivalent to holding/financing Agency MBS and hedging borrowing costs, respectively[58] - Exclusion of 'catch-up' adjustments to premium amortization cost is meaningful as it better indicates the current earnings potential of the investment portfolio[58] - Non-GAAP measures are supplementary to, not substitutes for, GAAP results and may not be comparable to other companies' similarly-titled measures[59]