AGNC Investment (AGNC) investor relations material

Executive summary

• Q3 economic return on tangible common equity was -12.7%, including $0.36 in dividends and a $1.45 decline in tangible book value per share to $7.13.

• Sharply higher rates and late-quarter volatility drove Agency MBS weakness and substantial mark-to-market losses.

Financial highlights

• GAAP comprehensive loss was $1.28 per diluted common share; net loss was $1.357 billion, including $5.015 billion of unrealized investment-security losses.

• Net spread and dollar roll income was $0.37 per common share, or $444 million, versus $0.40 per share and $462 million in Q2; Q3 included a $0.05-per-share catch-up premium amortization benefit.

• Net interest income was $402 million, up from $305 million QoQ; annualized net interest spread narrowed to 1.86% from 2.00%.

Outlook and guidance

• Expected ROE on mortgages at then-current prices was 18%-20%, based on 7.5x leverage, current coupon yields above 6.25%, and adjusted net spread near 170 bps.

• Management sees attractive Agency MBS returns once Treasury volatility subsides, supported by wider spreads, reduced prepayment risk, and balanced supply and demand.

• Dividend was described as aligned with portfolio economics and long-run cost of capital; four market-priced Fed hikes would not materially change management's dividend view.

• Additional leverage and asset deployment depend on greater market stability and confidence in the Treasury range; management expected the Fed to hold at its next meeting, with a possible December increase.