BETHESDA, Md., April 22, 2024 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or the "Company") (NASDAQ:AGNC) today announced financial results for the quarter ended March 31, 2024. FIRST QUARTER 2024 FINANCIAL HIGHLIGHTS $0.48 comprehensive income per common share, comprised of: $0.59 net income per common share $(0.11) other comprehensive loss ("OCI") per common share on investments marked-to-market through OCI $0.58 net spread and dollar roll income per common share1 Excludes $0.01 per common share of estimated "catch-up" premium amortization benefit due to change in projected constant prepayment rate ("CPR") estimates $8.84 tangible net book value per common share as of March 31, 2024 Increased $0.14 per common share, or 1.6%, from $8.70 per common share as of December 31, 2023 $0.36 dividends declared per common share for the first quarter 5.7% economic return on tangible common equity for the quarter Comprised of $0.36 dividends per common share and $0.14 increase in tangible net book value per common share OTHER FIRST QUARTER HIGHLIGHTS $63.3 billion investment portfolio as of March 31, 2024, comprised of: $53.7 billion Agency MBS $8.4 billion net forward purchases/(sales) of Agency MBS in the "to-be-announced" market ("TBA securities") $1.1 billion credit risk transfer ("CRT") and non-Agency securities and other mortgage credit investments 7.1x tangible net book value "at risk" leverage as of March 31, 2024 7.0x average tangible net book value "at risk" leverage for the quarter Unencumbered cash and Agency MBS totaled $5.4 billion as of March 31, 2024 Excludes unencumbered CRT and non-Agency securities Represents 67% of the Company's tangible equity as of March 31, 2024 10.4% average projected portfolio life CPR as of March 31, 2024 5.7% actual portfolio CPR for the quarter 2.98% annualized net interest spread for the quarter2 Issued 25.1 million shares of common equity through At-the-Market ("ATM") Offerings for net proceeds of $241 million ___________ 1. Represents a non-GAAP measure. Prior to the fourth quarter 2023, this measure was referred to as "net spread and dollar roll income, excluding 'catch-up' premium amortization cost/benefit, per common share." Please refer to the Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income and Use of Non-GAAP Financial Information included in this release for additional information. 2. Please refer to Net Interest Spread Components by Funding Source included in this release for additional information. MANAGEMENT REMARKS"AGNC generated an economic return of 5.7% in the first quarter of 2024, as the favorable macroeconomic environment for fixed income investors that began in late 2023 persisted throughout the first quarter of 2024" said Peter Federico, the Company's President and Chief Executive Officer. "Particularly beneficial for Agency mortgage-backed securities ('Agency MBS') investors in the first quarter, interest rate volatility declined meaningfully, Agency MBS spreads remained relatively stable, and the Federal Reserve indicated that short term rates had likely reached their pinnacle for this monetary policy cycle. Additionally, the Federal Reserve noted that a reduction in the pace of its balance sheet runoff would commence fairly soon, signaling that the quantitative tightening process was reaching its conclusion.  "Although the first quarter unfolded largely as expected and in a positive way, the start of the second quarter has illustrated that challenges remain. In April, interest rates and interest rate volatility increased meaningfully as the timing and magnitude of rate cuts in 2024 became increasingly more uncertain and as the conflict in the Middle East escalated. Despite this recent volatility, the underlying fundamentals for Agency MBS continue to give us reason for optimism.  As a highly liquid, levered Agency MBS-focused investment vehicle, AGNC is well positioned to benefit from these favorable investment dynamics as they evolve over time.""AGNC's strong 5.7% economic return on tangible common equity was comprised of $0.36 of dividends per common share and a $0.14 increase in tangible net book value per common share," said Bernice Bell, the Company's Executive Vice President and Chief Financial Officer. "For the quarter, AGNC generated $0.58 per common share of net spread and dollar roll income, excluding 'catch-up' premium amortization. Our leverage increased modestly to 7.1x at the end of Q1, compared to 7.0x at the end of Q4, and we continued to maintain an extremely strong liquidity position, finishing the quarter with $5.4 billion of unencumbered cash and Agency MBS, or 67% of our tangible equity." TANGIBLE NET BOOK VALUE PER COMMON SHAREAs of March 31, 2024, the Company's tangible net book value per common share was $8.84 per share, an increase of 1.6% for the quarter compared to $8.70 per share as of December 31, 2023. The Company's tangible net book value per common share excludes $526 million, or $0.73 and $0.76 per share, of goodwill as of March 31, 2024 and December 31, 2023, respectively. INVESTMENT PORTFOLIOAs of March 31, 2024, the Company's investment portfolio totaled $63.3 billion, comprised of: $62.2 billion of Agency MBS and TBA securities, including: $61.2 billion of fixed-rate securities, comprised of: $51.9 billion 30-year MBS, $8.4 billion 30-year TBA securities, net, $0.1 billion 15-year MBS, $0.1 billion 15-year TBA securities, and $0.7 billion 20-year MBS; and $1.0 billion of collateralized mortgage obligations ("CMOs"), adjustable-rate and other Agency securities; and $1.1 billion of CRT and non-Agency securities and other mortgage credit investments. As of March 31, 2024, 30-year and 15-year fixed-rate Agency MBS and TBA securities represented 95% and less than 1%, respectively, of the Company's investment portfolio, largely unchanged from 95% and 1%, respectively, as of  December 31, 2023.As of March 31, 2024, the Company's fixed-rate Agency MBS and TBA securities' weighted average coupon was 4.86%, compared to 4.83% as of December 31, 2023, comprised of the following weighted average coupons: 4.89% for 30-year fixed-rate securities; 3.70% for 15-year fixed-rate securities; and 2.82% for 20-year fixed-rate securities. The Company accounts for TBA securities and other forward settling securities as derivative instruments and recognizes TBA dollar roll income in other gain (loss), net on the Company's financial statements. As of March 31, 2024, such positions had a fair value of $8.4 billion and a GAAP net carrying value of $43 million reported in derivative assets/(liabilities) on the Company's balance sheet, compared to $5.4 billion and $66 million, respectively, as of December 31, 2023. CONSTANT PREPAYMENT RATESThe Company's weighted average projected CPR for the remaining life of its Agency securities held as of March 31, 2024 decreased to 10.4% from 11.4% as of December 31, 2023. The Company's weighted average CPR for the first quarter was 5.7%, compared to 6.2% for the prior quarter. The weighted average cost basis of the Company's investment portfolio was 102.1% of par value as of March 31, 2024. The Company's investment portfolio generated net premium amortization cost of $(37) million, or $(0.05) per common share, for the first quarter, which includes a "catch-up" premium amortization benefit of $10 million, or $0.01 per common share, due to a decrease in the Company's CPR projections for certain securities acquired prior to the first quarter. This compares to net premium amortization cost for the prior quarter of $(16) million, or $(0.02) per common share, including a "catch-up" premium amortization benefit of $32 million, or $0.05 per common share. ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD The Company's average asset yield on its investment portfolio, excluding the TBA position, was 4.53% for the first quarter, compared to 4.55% for the prior quarter. Excluding "catch-up" premium amortization, the Company's average asset yield was 4.46% for the first quarter, compared to 4.33% for the prior quarter. Including the TBA position and excluding "catch-up" premium amortization, the Company's average asset yield for the first quarter was 4.56%, compared to 4.47% for the prior quarter. For the first quarter, the weighted average interest rate on the Company's repurchase agreements was 5.45%, compared to 5.48% for the prior quarter. For the first quarter, the Company's TBA position had an implied financing cost of 5.34%, compared to 5.37% for the prior quarter. Inclusive of interest rate swaps, the Company's combined weighted average cost of funds for the first quarter was 1.58%, compared to 1.39% for the prior quarter.The Company's annualized net interest spread, including the TBA position and interest rate swaps and excluding "catch-up" premium amortization, for the first quarter was 2.98%, compared to 3.08% for the prior quarter. NET SPREAD AND DOLLAR ROLL INCOMEThe Company recognized net spread and dollar roll income (a non-GAAP financial measure) for the first quarter of $0.58 per common share, compared to $0.60 per common share for the prior quarter. Net spread and dollar roll income excludes $0.01 and $0.05 per common share of estimated "catch-up" premium amortization benefit for the first quarter and prior quarter, respectively. A reconciliation of the Company's total comprehensive income (loss) to net spread and dollar roll income and additional information regarding the Company's use of non-GAAP measures are included later in this release. LEVERAGEAs of March 31, 2024, $48.1 billion of repurchase agreements, $8.4 billion of net TBA dollar roll positions (at cost) and $0.1 billion of other debt were used to fund the Company's investment portfolio. The remainder, or approximately $1.8 billion, of the Company's repurchase agreements was used to fund short-term purchases of U.S. Treasury securities ("U.S. Treasury repo") and is not included in the Company's leverage measurements. Inclusive of its TBA position and net payable/(receivable) for unsettled investment securities, the Company's tangible net book value "at risk" leverage ratio was 7.1x as of March 31, 2024, compared to 7.0x as of December 31, 2023. The Company's average "at risk" leverage ratio for the first quarter was 7.0x tangible net book value, compared to 7.4x for the prior quarter. As of March 31, 2024, the Company's repurchase agreements used to fund its investment portfolio ("Investment Securities Repo") had a weighted average interest rate of 5.46%, compared to 5.60% as of December 31, 2023, and a weighted average remaining maturity of 22 days, compared to 19 days as of December 31, 2023. As of March 31, 2024, $23.2 billion, or 48%, of the Company's Investment Securities Repo was funded through the Company's captive broker-dealer subsidiary, Bethesda Securities, LLC. HEDGING ACTIVITIES As of March 31, 2024, interest rate swaps, swaptions, U.S. Treasury positions and other interest rate hedges equaled 99% of the Company's outstanding balance of Investment Securities Repo, TBA position and other debt, compared to 112% as of December 31, 2023.As of March 31, 2024, the Company's pay fixed interest rate swap position totaled $44.4 billion in notional amount, had an average fixed pay rate of 0.97%, an average floating receive rate of 5.34% and an average maturity of 3.8 years, compared to $44.5 billion, 0.57%, 5.37% and 3.0 years, respectively, as of December 31, 2023. As of March 31, 2024, the Company's receive fixed interest rate swap position totaled $1.0 billion in notional amount, had an average fixed receive rate of 4.65%, an average floating pay rate of 5.34%, and an average maturity of 1.3 years, which were largely unchanged from December 31, 2023. As of March 31, 2024, the Company had net payer (receiver) swaptions totaling $(0.2) billion, a two-year swap equivalent long SOFR futures position of $0.7 billion and a net short U.S. Treasury position of $13.8 billion outstanding, compared to $1.3 billion, $0.9 billion and $16.9 billion, respectively, as of December 31, 2023. OTHER GAIN (LOSS), NETFor the first quarter, the Company recorded a net gain of $497 million in other gain (loss), net, or $0.71 per common share, compared to a net gain of $466 million, or $0.69 per common share, for the prior quarter. Other gain (loss), net for the first quarter was comprised of: $(91) million of net realized losses on sales of investment securities; $(471) million of net unrealized losses on investment securities measured at fair value through net income; $536 million of interest rate swap periodic income; $113 million of net gains on interest rate swaps; $33 million of net gains on interest rate swaptions; $(10) million of net losses on SOFR futures; $481 million of net gains on U.S. Treasury positions; $(58) million of net mark-to-market losses on TBA securities; $(35) million of other interest income (expense), net; and $(1) million of other miscellaneous losses. OTHER COMPREHENSIVE LOSSDuring the first quarter, the Company recorded other comprehensive loss of $(77) million, or $(0.11) per common share, consisting of net unrealized losses on the Company's Agency securities recognized through OCI, compared to $291 million, or $0.43 per common share, of other comprehensive income for the prior quarter. COMMON STOCK DIVIDENDSDuring the first quarter, the Company declared dividends of $0.12 per share to common stockholders of record as of January 31, February 29, and March 29, 2024, totaling $0.36 per share for the quarter. Since its May 2008 initial public offering through the first quarter of 2024, the Company has declared a total of $13.1 billion in common stock dividends, or $47.56 per common share.FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO STATISTICSThe following measures of operating performance include net spread and dollar roll income; economic interest income; economic interest expense; and the related per common share measures and financial metrics derived from such information, which are non-GAAP financial measures. Please refer to "Use of Non-GAAP Financial Information" later in this release for further discussion of non-GAAP measures.   AGNC INVESTMENT CORP CONSOLIDATED BALANCE SHEETS (in millions, except per share data) March 31,2024 December 31,2023 September 30,2023 June 30,2023 March 31,2023 (unaudited) (unaudited) (unaudited) (unaudited) Assets: Agency securities, at fair value (including pledged securities of $48,461,$49,575, $52,250, $41,185 and $41,852, respectively) $                    53,615 $                    53,673 $                    55,758 $                    46,572 $                    44,925 Agency securities transferred to consolidated variable interest entities,at fair value (pledged securities) 114 121 120 131 140 Credit risk transfer securities, at fair value (including pledged securitiesof $722, $678, $709, $664 and $747, respectively) 753 723 736 711 769 Non-Agency securities, at fair value, and other mortgage creditinvestments (including pledged securities of $245, $262, $253, $283and $457, respectively) 353 351 353 353 530 U.S. Treasury securities, at fair value (including pledged securities of$1,825, $1,530, $246, $1,523 and $6,481, respectively) 1,836 1,540 246 1,523 6,642 Cash and cash equivalents 505 518 493 716 975 Restricted cash 1,368 1,253 1,389 907 1,864 Derivative assets, at fair value 84 185 413 234 229 Receivable for investment securities sold (including pledged securitiesof $5, $0, $273, $148 and $339, respectively) 5 — 311 148 346 Receivable under reverse repurchase agreements 12,424 11,618 8,900 7,990 8,929 Goodwill 526 526 526 526 526 Other assets 293 1,088 746 707 236 Total assets $                    71,876 $                    71,596 $                    69,991 $                    60,518 $                    66,111 Liabilities: Repurchase agreements $                    49,971 $                    50,426 $                    52,107 $                    42,029 $                    48,384 Debt of consolidated variable interest entities, at fair value 76 80 80 87 92 Payable for investment securities purchased 636 210 701 1,901 — Derivative liabilities, at fair value 65 362 80 117 326 Dividends payable 118 115 109 103 101 Obligation to return securities borrowed under reverse repurchaseagreements, at fair value 12,115 10,894 9,022 7,970 8,869 Accounts payable and other liabilities 317 1,252 442 433 547 Total liabilities 63,298 63,339 62,541 52,640 58,319 Stockholders' equity: Preferred Stock - aggregate liquidation preference of $1,688 1,634 1,634 1,634 1,634 1,634 Common stock - $0.01 par value; 720.3, 694.3, 648.0, 603.3 and 592.5shares issued and outstanding, respectively 7 7 6 6 6 Additional paid-in capital 15,521 15,281 14,901 14,466 14,356 Retained deficit (7,990) (8,148) (8,283) (7,633) (7,674) Accumulated other comprehensive loss (594) (517) (808) (595) (530) Total stockholders' equity 8,578 8,257 7,450 7,878 7,792 Total liabilities and stockholders' equity $                    71,876 $                    71,596 $                    69,991 $                    60,518 $                    66,111 Tangible net book value per common share1 $                        8.84 $                        8.70 $                        8.08 $                        9.39 $                        9.41   AGNC INVESTMENT CORP CONSOLIDATED STATEMENTS OF OPERATIONS (in millions, except per share data) (unaudited)