2023-07-24 16:21:35 ET
AGNC Investment's ( NASDAQ: AGNC ) economic return on tangible common equity pushed into positive territory in Q2 2023, as the mortgage REIT navigated a repricing of agency mortgage-backed securities triggered by the Federal Reserve's aggressive policy tightening campaign.
Tangible net book value per common share of $9.39 at June 30, 2023, edged down from $9.41 at March 31, 2023. Economic return on tangible common equity in the quarter rose to 3.6% from -0.7% in the prior quarter.
"Market conditions in the second quarter provided further support of our favorable investment outlook for agency MBS," said AGNC President and CEO Peter Federico. After a dramatic repricing of U.S. Treasury and agency MBS markets, as the Fed tightened policy from an ultra-accommodative stance, "We believe that this transition is largely complete and that we are at the forefront of one of the most constructive investment environments in our 15 year history, driven by historically attractive asset valuations, strong funding markets, and gradually improving hedging conditions as the Fed's tightening campaign concludes," he added.
Q2 net spread and dollar roll income per share of $0.67, topping the $0.63 consensus, fell from $0.70 in Q1 2023. The figure excludes estimated "catch-up" premium amortization benefit of $0.02 due to change in projected constant prepayment rate (CPR) and includes $0.01 per common share of dollar roll income associated with the company's $10.0B average net long position in agency mortgage-backed securities in the "to-be-announced" (TBA) market.
AGNC ( AGNC ) stock slipped 0.6% in Monday after-hours trading.
AGNC's ( AGNC ) annualized net interest spread, including the TBA positions and interest rate swaps and excluding "catch-up" premium amortization, for Q2 was 3.26% vs. 2.88% in Q1.
Cash and unencumbered agency MBS totaled ~$4.3B at June 30, compared with ~$4.1B at March 31.
AGNC's ( AGNC ) portfolio weighted average CPR was 6.6% in Q2, up from 5.2% in Q1.
The weighted average projected CPR for the remaining life of the company's agency securities held as of June 30, 2023 ticked down to 9.8% from 10.0% at March 31.
Conference call on July 25 at 8:30 aM ET.
Earlier, AGNC Investment ( AGNC ) non-GAAP EPS of
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AGNC Investment Q2 earnings beat consensus amid agency MBS market repricing