Kwarkot/iStock via Getty Images AGNC Investment (NASDAQ:AGNC) posted stronger-than-expected Q4 earnings as the market for Agency mortgage-backed securities improved, boosting the company’s book value per share. Tangible net book value per common share of $9.84 at Dec. 31, 2022 increased from $9.08 at Sept. 30. AGNC’s economic return of tangible common equity in the quarter swung to positive 12.3% vs. -17.4% in Q3. Still, AGNC (AGNC) stock slipped 1.1% in after-hours trading. That’s after AGNC shares had risen 13% since Jan. 1. Q4 net spread and dollar roll income per share of $0.74, beating the $0.65 consensus, fell from $0.84 in Q3. The figure excludes -$0.01 per share of estimated “catch-up” premium amortization cost due to change in projected constant prepayment rate (CPR) estimates. It includes $0.11 per common share of dollar roll income associated with the company’s $19.0B average net long position in agency mortgage-backed securities in the “to-be-announced” (TBA) market. AGNC’s (AGNC) annualized net interest spread, including the TBA positions and interest rate swaps and excluding “catch-up” premium amortization, for Q4 was 2.74% vs. 2.81% in Q3. “Fixed income markets stabilized over the quarter, and investor sentiment improved as volatility and monetary policy uncertainty began to subside,” said AGNC (AGNC) President and CEO Peter Federico. “Against this backdrop, Agency MBS spreads to benchmark rates tightened from historically wide levels, driving the meaningful improvement in our tangible net book value per common share during the quarter, both of which continued into January.” Cash and unencumbered agency MBS totaled ~$4.3B at Dec. 31, 2022, increasing/declining from ~$3.6B at Sept. 30. AGNC’s (AGNC) portfolio weighted average CPR was 6.8% in Q4 vs. 9.2% in Q3. The weighted average projected CPR for the remaining life of the company’s agency securities held as of Dec. 31, 2022 increased to 7.4% from 7.0% at Sept. 30. Conference call on Jan. 31 at 8:30 AM ET. Earlier, AGNC Investment (AGNC) non-GAAP EPS of $0.93 beats by $0.27
