AGNC Funding Corp. Declares Fourth Quarter 2022 Monetary Outcomes

BETHESDA, Md., Jan. 30, 2023 /PRNewswire/ — AGNC Funding Corp. (“AGNC” or the “Firm”) (Nasdaq: AGNC) in the present day introduced monetary outcomes for the quarter ended December 31, 2022.

FOURTH QUARTER 2022 FINANCIAL HIGHLIGHTS

• $1.17 complete revenue per frequent share, comprised of:

• $0.74 internet unfold and greenback roll revenue per frequent share, excluding estimated “catch-up” premium amortization price ¹

• $9.84 tangible internet ebook worth per frequent share as of December 31, 2022

• $0.36 dividends declared per frequent share for the fourth quarter

• 12.3% financial return on tangible frequent fairness for the quarter

OTHER FOURTH QUARTER HIGHLIGHTS

• $59.5 billion funding portfolio as of December 31, 2022, comprised of:

• 7.4x tangible internet ebook worth “in danger” leverage as of December 31, 2022

• Money and unencumbered Company MBS totaled $4.3 billion as of December 31, 2022

• 7.4% common projected portfolio life CPR as of December 31, 2022

• 2.74% annualized internet curiosity unfold and TBA greenback roll revenue for the quarter, excluding estimated “catch-up” premium amortization price

• Capital markets exercise

2022 FULL YEAR HIGHLIGHTS

• $(4.22) complete loss per frequent share, comprised of:

• $3.11 internet unfold and greenback roll revenue per frequent share, excluding estimated “catch-up” premium amortization profit ¹

• $1.44 in dividends declared per frequent share

• -28.4% financial return on tangible frequent fairness for the yr, comprised of:

• -21.7% whole inventory return ²

• Capital markets exercise

MANAGEMENT REMARKS
“The fourth quarter of 2022 supplied cause for optimism {that a} very constructive and sturdy funding setting is rising for Company MBS,” mentioned Peter Federico, the Firm’s President and Chief Government Officer. “Fastened revenue markets stabilized over the quarter, and investor sentiment improved as volatility and financial coverage uncertainty started to subside. In opposition to this backdrop, Company MBS spreads to benchmark charges tightened from traditionally extensive ranges, driving the significant enchancment in our tangible internet ebook worth per frequent share in the course of the quarter, each of which continued into January. Whereas Company MBS as an asset class posted its worst annual efficiency on document in 2022, adversarial market episodes up to now have usually preceded AGNC’s most favorable funding environments and have confirmed to be worth enhancing over the long term.

“Trying forward, our favorable outlook for Company MBS is supported by a number of compelling dynamics. First, mortgage spreads stay effectively above historic averages and in keeping with producing sturdy risk-adjusted returns. Second, the provision of Company MBS to the non-public sector ought to be manageable given elevated mortgage charges and affordability challenges. Third, rate of interest volatility ought to decline because the Federal Reserve slows the tempo of price hikes and in the end achieves its short-term price goal. Collectively, these components create a really favorable funding setting for Company MBS, which, importantly, could show to be extra sturdy than earlier episodes. With funding spreads more likely to stay above historic averages, we imagine AGNC is well-positioned to generate enticing returns for shareholders with out compromising our long-standing threat administration self-discipline.”

“AGNC generated a 12.3% financial return within the fourth quarter of 2022, comprised of a $0.76 enhance in tangible internet ebook worth per frequent share and $0.36 of dividends per frequent share, as mortgage spreads to benchmark rates of interest drove a robust restoration in Company MBS valuations,” mentioned Bernice Bell, the Firm’s Government Vice President and Chief Monetary Officer. “AGNC’s internet unfold and greenback roll revenue, excluding ‘catch-up’ premium amortization, was $0.74 per frequent share, as increased funding prices continued to be largely offset by our massive rate of interest swap place. Lastly, with tangible internet ebook worth ‘in danger’ leverage of seven.4x as of quarter-end, we imagine AGNC has flexibility to benefit from favorable funding alternatives all through 2023.”

TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of December 31, 2022, the Firm’s tangible internet ebook worth per frequent share was $9.84 per share, a rise of 8.4% for the quarter in comparison with $9.08 per share as of September 30, 2022. The Firm’s tangible internet ebook worth per frequent share excludes $526 million, or $0.92 and $0.95 per share of goodwill as of December 31, 2022 and September 30, 2022, respectively.

INVESTMENT PORTFOLIO
As of December 31, 2022, the Firm’s funding portfolio totaled $59.5 billion, comprised of:

• $58.1 billion of Company MBS and TBA securities, together with:

• $1.4 billion of CRT and non-Company securities.

As of December 31, 2022, 30-year and 15-year fixed-rate Company MBS and TBA securities represented 92% and three%, respectively, of the Firm’s funding portfolio, unchanged from September 30, 2022.

As of December 31, 2022, the Firm’s fixed-rate Company MBS and TBA securities’ weighted common coupon was 4.13%, in comparison with 3.80% as of September 30, 2022, comprised of the next weighted common coupons:

• 4.20% for 30-year fixed-rate securities;

• 3.25% for 15-year fastened price securities; and

• 2.51% for 20-year fixed-rate securities.

The Firm accounts for TBA securities and different ahead settling securities as by-product devices and acknowledges TBA greenback roll revenue in different achieve (loss), internet on the Firm’s monetary statements. As of December 31, 2022, such positions had a good worth of $18.6 billion and a GAAP internet carrying worth of $0.2 billion reported in by-product property/(liabilities) on the Firm’s steadiness sheet, in comparison with $17.9 billion and $(1.2) billion, respectively, as of September 30, 2022.

CONSTANT PREPAYMENT RATES
The Firm’s weighted common projected CPR for the remaining lifetime of its Company securities held as of December 31, 2022 elevated to 7.4% from 7.0% as of September 30, 2022. The Firm’s weighted common CPR for the fourth quarter was 6.8%, in comparison with 9.2% for the prior quarter.

The weighted common price foundation of the Firm’s funding portfolio was 103.4% of par worth as of December 31, 2022. The Firm’s funding portfolio generated internet premium amortization price of $(55) million, or $(0.10) per frequent share, for the fourth quarter, which incorporates “catch-up” premium amortization price of $(5) million, or $(0.01) per frequent share, on account of a rise within the Firm’s CPR projections for sure securities acquired previous to the fourth quarter. This compares to internet premium amortization price for the prior quarter of $(36) million, or $(0.07) per frequent share, together with a “catch-up” premium amortization advantage of $18 million, or $0.03 per frequent share.

ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
The Firm’s common asset yield on its funding portfolio, excluding the TBA place, was 3.14% for the fourth quarter, in comparison with 3.09% for the prior quarter. Excluding “catch-up” premium amortization, the Firm’s common asset yield was 3.17% for the fourth quarter, in comparison with 2.94% for the prior quarter. Together with the TBA place and excluding “catch-up” premium amortization, the Firm’s common asset yield for the fourth quarter was 3.68%, in comparison with 3.31% for the prior quarter.

For the fourth quarter, the weighted common rate of interest on the Firm’s repurchase agreements was 3.55%, in comparison with 1.89% for the prior quarter. For the fourth quarter, the Firm’s TBA place had an implied financing price of three.41%, in comparison with 1.80% for the prior quarter. Inclusive of rate of interest swaps, the Firm’s mixed weighted common price of funds for the fourth quarter was 0.94%, in comparison with 0.50% for the prior quarter.

The Firm’s annualized internet curiosity unfold, together with the TBA place and rate of interest swaps and excluding “catch-up” premium amortization, for the fourth quarter was 2.74%, in comparison with 2.81% for the prior quarter.

NET SPREAD AND DOLLAR ROLL INCOME
The Firm acknowledged internet unfold and greenback roll revenue (a non-GAAP monetary measure) for the fourth quarter of $0.74 per frequent share, excluding $(0.01) per frequent share of “catch-up” premium amortization price, in comparison with $0.84 per frequent share for the prior quarter, excluding $0.03 per frequent share of “catch-up” premium amortization profit.

A reconciliation of the Firm’s whole complete revenue (loss) to internet unfold and greenback roll revenue, excluding “catch-up” premium amortization, and extra info relating to the Firm’s use of non-GAAP measures are included later on this launch.

LEVERAGE
As of December 31, 2022, $35.9 billion of repurchase agreements, $18.4 billion of internet TBA greenback roll positions (at price) and $0.1 billion of different debt had been used to fund the Firm’s funding portfolio. The rest, or roughly $0.4 billion, of the Firm’s repurchase agreements was used to fund purchases of U.S. Treasury securities (“U.S. Treasury repo”) and isn’t included within the Firm’s leverage measurements. Inclusive of its TBA place and internet payable/(receivable) for unsettled funding securities, the Firm’s tangible internet ebook worth “in danger” leverage ratio was 7.4x as of December 31, 2022, in comparison with 8.7x as of September 30, 2022. The Firm’s common “in danger” leverage for the fourth quarter was 7.8x tangible internet ebook worth, in comparison with 8.1x for the prior quarter.

As of December 31, 2022, the Firm’s repurchase agreements had a weighted common rate of interest of 4.31%, in comparison with 2.85% as of September 30, 2022, and a weighted common remaining maturity of 23 days, in comparison with 35 days as of September 30, 2022. As of December 31, 2022, $17.8 billion, or 50%, of the Firm’s repurchase agreements had been funded by means of the Firm’s captive broker-dealer subsidiary, Bethesda Securities, LLC.

As of December 31, 2022, the Firm’s repurchase agreements had remaining maturities of:

HEDGING ACTIVITIES
As of December 31, 2022, rate of interest swaps, swaptions and U.S. Treasury positions equaled 124% of the Firm’s excellent steadiness of repurchase agreements, TBA place and different debt, in comparison with 118% as of September 30, 2022.

As of December 31, 2022, the Firm’s rate of interest swap place totaled $47.8 billion in notional quantity, in comparison with $47.1 billion as of September 30, 2022. As of December 31, 2022, the Firm’s rate of interest swap portfolio had a mean fastened pay price of 0.37%, a mean obtain price of 4.31% and a mean maturity of three.2 years, in comparison with 0.21%, 3.00% and three.5 years, respectively, as of September 30, 2022. As of December 31, 2022, 81% and 19% of the Firm’s rate of interest swap portfolio had been linked to the Secured In a single day Financing Price (“SOFR”) and In a single day Index Swap Price (“OIS”), respectively.

As of December 31, 2022, the Firm had payer swaptions excellent totaling $3.1 billion, in comparison with $3.4 billion as of September 30, 2022, and internet brief U.S. Treasury positions excellent totaling $16.7 billion, in comparison with $18.4 billion as of September 30, 2022.

OTHER GAIN (LOSS), NET
For the fourth quarter, the Firm recorded a internet achieve of $550 million in different achieve (loss), internet, or $0.97 per frequent share, in comparison with a internet lack of $(824) million, or $(1.56) per frequent share, for the prior quarter. Different achieve (loss), internet for the fourth quarter was comprised of:

• $(1,068) million of internet realized losses on gross sales of funding securities;

• $1,462 million of internet unrealized good points on funding securities measured at honest worth by means of internet revenue;

• $356 million of rate of interest swap periodic revenue;

• $(191) million of internet losses on rate of interest swaps;

• $(9) million of internet losses on rate of interest swaptions;

• $(145) million of internet losses on U.S. Treasury positions;

• $65 million of TBA greenback roll revenue;

• $105 million of internet mark-to-market good points on TBA securities; and

• $(25) million of different miscellaneous losses.

OTHER COMPREHENSIVE INCOME
Throughout the fourth quarter, the Firm recorded different complete revenue of $135 million, or $0.24 per frequent share, consisting of internet unrealized good points on the Firm’s Company securities acknowledged by means of OCI, in comparison with $(372) million, or $(0.70) per frequent share, of different complete loss for the prior quarter.

COMMON STOCK DIVIDENDS
Throughout the fourth quarter, the Firm declared dividends of $0.12 per share to frequent stockholders of document as of October 31, November 30, and December 30, 2022, totaling $0.36 per share for the quarter. Since its Could 2008 preliminary public providing by means of the fourth quarter of 2022, the Firm has declared a complete of $12.0 billion in frequent inventory dividends, or $45.76 per frequent share.

The Firm additionally introduced it has revealed the tax traits of its distributions for frequent inventory dividends and for every collection of its most popular inventory dividends for calendar yr 2022 on its web site at www.AGNC.com. Stockholders ought to obtain an IRS Type 1099-DIV containing this info from their brokers, switch brokers or different establishments.

FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO STATISTICS
The next measures of working efficiency embody internet unfold and greenback roll revenue; internet unfold and greenback roll revenue, excluding “catch-up” premium amortization; financial curiosity revenue; financial curiosity expense; estimated taxable revenue; and the associated per frequent share measures and monetary metrics derived from such info, that are non-GAAP monetary measures. Please discuss with “Use of Non-GAAP Monetary Info” later on this launch for additional dialogue of non-GAAP measures.