Earnings
AGNC book value drops 17% as agency mortgage bonds sell off
The mortgage REIT posted a $1.17-a-share net loss after late-September turmoil in rates hit its portfolio.
HedgeWeekly News Desk ·
AGNC Investment reported a third-quarter net loss of $1.17 a share after the close on Monday, reversing second-quarter income of $0.53. Including unrealized losses booked through other comprehensive income, the comprehensive loss was $1.28 a share, or about $1.5 billion in total.
Tangible net book value fell $1.45, or 16.9%, to $7.13 a share at September 30 from $8.58 at the end of June. With dividends included, the economic return on tangible common equity was negative 12.7% for the quarter. The company declared $0.36 a share in dividends, paid at $0.12 a month.
Net spread and dollar roll income, a non-GAAP measure, slipped to $0.37 a share from $0.40, and the net interest spread narrowed to 1.86% from 2.00%. Leverage rose to 7.9 times tangible equity from 7.4 times, while unencumbered cash and agency securities totaled $6.3 billion, or 57% of tangible equity. The investment portfolio stood at $94.4 billion.
Management said fixed-income sentiment turned sharply negative in late September as rates rose and Treasury market volatility spiked, leaving agency mortgage-backed securities as the worst-performing sector in the Bloomberg US Aggregate index. AGNC also raised $992 million by selling 97.6 million shares through its at-the-market program during the quarter.