Agnc Investment Corp. · NASDAQ:AGNC

Agnc Investment — Barclays Global Financial Services Conference 2017

16 slides from Agnc Investment's conference presentation, Sep 12, 2017

  1. Slide 1: Barclays Global Financial Services Conference

    © 2017 AGNC Investment Corp. All Rights Reserved. Barclays Global Financial Services Conference September 12, 2017 Exhibit 99.1

  2. Slide 2: Safe Harbor Statement

    Safe harbor statement under the private securities litigation reform act of 1995 2 Safe Harbor Statement This presentation contains statements that, to the extent they are not recitations of historical fact, constitute "forward-looking statements" within the meaning of the Private Securities Litigat

  3. Slide 3: AGNC At a Glance

     AGNC is an internally-managed mortgage real estate investment trust (“REIT”)  As a REIT, AGNC is generally not subject to U.S. federal or state corporate taxes to the extent that AGNC makes distributions of annual taxable net income to its stockholders on a timely basis Structure AGNC Investment

  4. Slide 4: AGNC: Well-Positioned for the Current Environment

    4 AGNC: Well-Positioned for the Current Environment The investment environment for levered Agency MBS investors such as AGNC has improved materially due to the confluence of several positive market dynamics:  Favorable projected Agency MBS returns driven by anticipated Fed tapering of MBS purchases

  5. Slide 5: Attractiveness of Agency MBS

    200 320 440 560 680 800 40 60 80 100 120 140 H igh Yield and CR TIn ve st m en t G ra de Investment Grade High Yield (RHS) CRT (RHS) (20) 0 20 40 60 (20) 0 20 40 60 30 Year Current Coupon MBS OAS 5 Attractiveness of Agency MBS Spreads on Agency MBS and other fixed income assets have diverged over th

  6. Slide 6: Advantageous Funding Dynamics

    (10 bps) (5 bps) - 5 bps 10 bps 15 bps 20 bps 1Q 14 2Q 14 3Q 14 4Q 14 1Q 15 2Q 15 3Q 15 4Q 15 1Q 16 2Q 16 3Q 16 4Q 16 1Q 17 2Q 17 AGNC’s direct access to the FICC through its captive broker-dealer, Bethesda Securities, further enhances AGNC’s funding profile  Access to wholesale repo rates provides

  7. Slide 7: Opportunistic Risk Management Activity

    7 Opportunistic Risk Management Activity AGNC has opportunistically reduced its exposure to rising interest rates given the year- to-date decline in rates, weaker global economic growth and a more hawkish Fed  As a result of these risk management actions, AGNC’s projected tangible net book value de

  8. Slide 8: Putting it All Together: Business Economics

    Asset Yield 3.0% Less: Cost of Funds (1.8%) Net Interest Rate Spread 1.2% Times: Leverage 8x - 9x Leveraged Net Interest Rate Spread 10% - 11% Plus: Asset Yield 3.0% Gross Levered ROE 13% - 14% Less: Net Operating Expenses as % of Equity (0.7%) Net Levered ROE 12% - 13% As a result of current market

  9. Slide 9: The AGNC Value Proposition

    The AGNC Value Proposition Note: For additional detail, refer to endnotes in the Appendix. 9 Industry-Leading Performance Highly Efficient Operating Cost Structure Disciplined Risk Management Stockholder Focus Liquidity and Scale Since its 2008 IPO, AGNC has delivered industry- leading performance a

  10. Slide 10: AGNC's Track Record of Outperformance

    (100%) (50%) 0% 50% 100% 150% 200% 250% 300% 350% 400% May-08 May-09 May-10 May-11 May-12 May-13 May-14 May-15 May-16 May-17 AGNC Peer Group Large Resi mREIT Group Resi mREIT Universe S&P 500 27% 21% 21% 15% 11% 0% 5% 10% 15% 20% 25% 30% AGNC Large Resi mREIT Group Peer Group Resi mREIT Universe S&P

  11. Slide 11: Industry-Leading Operating Cost Structure

    524 315 170 155 146 90 70 319 306 262 175 90 70 REIT A REIT B REIT C REIT D REIT E AGNC Gross AGNC Net Mid / Small Resi mREIT Group Resi mREIT Universe Large Resi mREIT Group AGNC Peer Group AGNC Gross AGNC Net Note: For additional detail, refer to endnotes in the Appendix. 11 In today’s environment

  12. Slide 12: Implications of AGNC's Operating Efficiency

    (Illustrative Purposes Only) Hypothetical Externally- Managed REIT AGNC (Hypothetical) Business Economics (Hypothetical): Asset Yield 2.6% 2.6% Less: Cost of Funds (1.4) (1.4) Net Interest Rate Spread 1.2% 1.2% Times: Leverage 7.7x 7.7x Leveraged Net Interest Rate Spread 9.2% 9.2% Plus: Asset Yield

  13. Slide 13: Appendix

    b AGNC Appendix

  14. Slide 14: Risk Management and Interest Rate Sensitivity

    (1.0%) (0.5%) 0.0% 0.5% - 50 bps No Change + 50 bps 1. Interest rate and MBS spread sensitivity are derived from models that are dependent on inputs and assumptions provided by third parties as well as by AGNC’s investment team and, accordingly, actual results could differ materially from these esti

  15. Slide 15: AGNC's Liquidity and Scale

    $13.6 $7.7 $5.1 $3.6 $3.6 $3.5 $1.9 $1.3 $1.3 $1.2 $1.1 $0.9 $0.9 $0.7 $0.6 $0.5 $0.4 $0.4 $0.4 $0.2 $0.2 $0.2 $0.1 $71 $- $20 $40 $60 $80 $100 $- $3.0 $6.0 $9.0 $12.0 $15.0 NLY AGNC NRZ CIM TWO MFA IVR CYS RWT PMT ARR CMO MTGE NYMT ANH MITT WMC ORC DX AJX CHMI EARN OAKS A verage D aily Trading V ol

  16. Slide 16: Endnotes

    16 Endnotes 1) Mortgage REIT cost structures are based on operating expenses and average stockholders’ equity (excluding noncontrolling interests, as applicable) over the trailing twelve month period ended June 30, 2017 as publicly reported by such REITs. Operating costs include expenses for compens

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