Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q2 2023 Earnings Presentation
26 slides from Agnc Investment's earnings presentation, Jul 25, 2023
Slide 1: Q2 2023 Stockholder Presentation
Q2 2023 Stockholder Presentation July 25, 2023 © 2023 AGNC Investment Corp. All Rights Reserved.
Slide 2: Safe Harbor Statement
Safe Harbor Statement Safe harbor statement under the private securities litigation reform act of 1995 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 Litigatio
Slide 3: Capital Stock Highlights
Capital Stock Highlights Type: Common Stock 2 Exchange / Ticker: IPO Price: Tangible Net Book Value : Nasdaq / AGNC $20.00 Per Share $9.39 Per Share 1 2 IPO Date: Total Dividends Paid Since IPO : Total Common Equity Capital : May 2008 $46.48 Per Share $6.2 B Type: Preferred Stock Depositary Aggregat
Slide 4: Q2 2023 Highlights
Q2 2023 Highlights ▪ $0.32 Comprehensive Income per Share, Comprised of: • $0.43 net income per share • $(0.11) other comprehensive loss (“OCI”) per share on investments marked-to-market through OCI ▪ $0.67 Net Spread and Dollar Roll Income per Share, Excluding Estimated “Catch- 1 Up” Premium Amorti
Slide 5: Q2 2023 Other Highlights
Q2 2023 Other Highlights ▪ $58.0 B Investment Portfolio as of Jun 30, 2023 • $46.7 B Agency MBS • $10.2 B net TBA mortgage position • $1.1 B credit risk transfer ("CRT") and non-Agency securities 1 ▪ 7.2x Tangible Net Book Value “At Risk” Leverage as of Jun 30, 2023 • 7.2x average tangible net book
Slide 6: Market Update
Market Update Q2 2023 x Q2 2023 2 2 Security 6/30/22 9/30/22 12/31/22 3/31/23 6/30/23 Δ Rate % / Price x Security 6/30/22 9/30/22 12/31/22 3/31/23 6/30/23 Δ Rate % / Price 1 1 SOFR Swap Rates x Treasury Rates 2 Yr Swap 2.99% 4.25% 4.45% 4.06% 4.82% +0.76% / -1.49 x 2 Yr UST 2.96% 4.28% 4.43% 4.03% 4
Slide 7: Agency Portfolio Update
Agency Portfolio Update As of 6/30/23 As of 3/31/23 1 $58.0 B Portfolio $56.8 B Portfolio AGNC Actual CPR Including Net TBA Position Including Net TBA Position Agency CMO, ARM Agency CMO, ARM 10% & Other $0.5 B 1% 20 Yr Fixed $1.3 B 2% & Other $0.3 B 1% 20 Yr Fixed $1.3 B 2% CRT & Non-Agency CRT & N
Slide 8: Credit Portfolio Update
1 Credit Portfolio Update Credit Portfolio GSE CRT Portfolio Historical Credit Portfolio $1.0 B as of Jun 30, 2023 by Issuance Year CRT CMBS RMBS ($ in MM) 2022 2,400 6% 2017 RMBS 2021 2,200 2% $— B 11% 2,000 RMBS, $0.04 B, 4% 4% 2018 1,800 20% 1,600 CMBS,CMBS $0.3 B, 27% 1,400 $0.3 B 27% 2020 1,200
Slide 9: Financing Summary
Financing Summary ▪ Our average Agency Repo cost for the Agency Repurchase Agreements 1 second quarter was 5.01%, compared As of Jun 30, 2023 to 4.51% for the first quarter Maturity % Amount ($ MM) Interest Rate Days to Maturity • As of Jun 30, 2023, our Agency Repo cost ≤ 3 Mths 100% $40,674 5.23%
Slide 10: Hedging Summary
Hedging Summary ▪ Our hedge portfolio totaled $61.2 B and Hedge Portfolio Summary As of Jun 30, 2023 covered 119% of our funding liabilities Net Hedge Net Hedge (Agency Repo, other debt and net TBA Amount (Long)/Short Duration Gains/ (Losses) Gains/ (Losses) Per Share position) as of Jun 30, 2023, c
Slide 11: Duration Risk
Duration Risk 1,2 Duration Gap Sensitivity As of Jun 30, 2023 Rates Duration Rates - 100 bps 6/30/2023 + 100 bps 3 Mortgage Assets: 30-Year MBS 3.6 4.6 5.3 15-Year MBS and Other Securities 3.3 3.6 3.7 Total Mortgage Assets 3.6 4.5 5.1 Liabilities and Hedges (4.2) (4.1) (4.0) Net Duration Gap (0.6) 0
Slide 12: Agency MBS vs. Investment Grade Corporate Debt
Agency MBS vs. Investment Grade Corporate Debt Agency MBS and IG Corporate Spreads to Treasuries Basis Points 140 bps 125 bps Agency MBS to IG Corporate Spread Differential 15 bps 90 bps wider than historical average Basis Points Average: (75) bps 1. Agency MBS spread reflects the UMBS 30-year curre
Slide 13: Financial Results
p> AGNC Financial Results
Slide 14: Balance Sheets
Balance Sheets ($ in millions, except per share data, unaudited except 12/31/22) 6/30/23 3/31/23 12/31/22 9/30/22 6/30/22 Agency Securities, at Fair Value $46,572 $44,925 $39,346 $41,740 $43,459 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 131 140 144 149 1
Slide 15: Income Statements
Income Statements ($ in millions, except per share data) (Unaudited) Q2 2023 Q1 2023 Q4 2022 Q3 2022 Q2 2022 Interest Income $457 $351 $347 $373 $395 Interest Expense (526) (449) (322) (196) (80) Net Interest Income (69) (98) 25 177 315 Realized Loss on Sale of Investment Securities, Net (255) (81)
Slide 16: Reconciliation of GAAP Comprehensive Income to Net Spread and Dollar Roll Income
Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income (a Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q2 2023 Q1 2023 Q4 2022 Q3 2022 Q2 2022 Comprehensive Income (Loss) Available (Attributable) to Common Stockholders $190 $(39) $667 $(1,064)
Slide 17: Net Interest Spread Components by Funding Source
Net Interest Spread Components by Funding Source $ in millions (Unaudited) Q2 2023 Q1 2023 Q4 2022 Q3 2022 Q2 2022 Adjusted Net Interest and Dollar Roll Income, Excluding "Catch-Up" Amortization: x x x x x Economic Interest Income: x x x x x Investment Securities - GAAP Interest Income $457 $351 $34
Slide 18: Tangible Net Book Value Roll Forward
Tangible Net Book Value Roll Forward Q2 2023 Tangible Common Shares Net Book Value (In millions, except per share data) (Unaudited) Balance Outstanding per Common Share Beginning Tangible Common Equity $5,578 592.5 $9.41 Net Income (Loss) 286 x x Other Comprehensive Income (Loss), Net (65) x x Commo
Slide 19: Supplemental Slides
p> AGNC Supplemental Slides
Slide 20: AGNC Historical Overview
AGNC Historical Overview 1 2 Asset Composition ($ B) Tangible Net Book Value "At Risk" Leverage MBS TBA 10.0x $100 $90 9.0x 8.7x $80 $27.7 $70 $28.7 7.9x $27.6 8.0x 7.7x $60 7.5x 7.5x 7.4x 7.4x $19.5 $15.9 7.2x 7.2x $50 $17.9 $18.6 $10.4 $10.2 7.0x $40 $30 $59.8 $55.4 $54.4 $49.1 $45.4 $43.6 $46.4 $
Slide 21: AGNC Historical Overview
AGNC Historical Overview Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $0.50 $1.50 $1.17 $1.00 $0.40 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.50 $0.37 $0.32 $0.00 $0.30 $(0.07) $-0.50 $(0.31) $-1.00 $0.20 $(0.97) $-1.50 $(1.34) $-2.00 $0.10 $(2.01) $-2
Slide 22: AGNC Historical Overview
AGNC Historical Overview 1 2 Average Asset Yield Average Cost of Funds 1.2% 4.0% 3.90% 3.89% 1.02% 3.68% 1.0% 3.5% 3.31% 0.8% 3.0% 2.88% 0.61% 0.63% 0.6% 2.5% 2.28% 0.34% 2.15% 2.16% 0.4% 2.13% 2.0% 0.2% 0.14% 0.06% 0.09% 1.5% 0.0% (0.03)% (0.02)% 1.0% (0.2)% Q2-21 Q3-21 Q4-21 Q1-22 Q2-22 Q3-22 Q4-2
Slide 23: Fixed Rate Agency Securities – MBS and Net TBA Position
Fixed Rate Agency Securities – MBS and Net TBA Position $ in millions – as of Jun 30, 2023 Weighted MBS MBS MBS Average Amortized Cost WALA Actual 1 Month Duration 1 2 2 3 1 4 4,5 4,6 2,7 MBS Coupon Par Value Market Value Specified Pools Coupon Basis (Months) CPR (Years) ≤15 YR Mortgage Securities ≤
Slide 24: Other Hedge and Derivative Instruments
Other Hedge and Derivative Instruments U.S. Treasury Position Net Long / (Short) ▪ U.S. Treasury Position Years to Maturity As of Jun 30, 2023 ($ MM) Face Amount Market Value • $6.4 B short U.S. Treasury securities, net ≤5 $592 $590 • $6.8 B short U.S. Treasury futures >5 to ≤7 (5,372) (5,802) >7 to
Slide 25: NAV Sensitivity to Rates and MBS Spreads
NAV Sensitivity to Rates and MBS Spreads Changes in interest rates and MBS spreads relative to our hedges can impact the market value of our equity 1 Interest Rate Sensitivity As of Jun 30, 2023 ▪ Interest Rate Sensitivity (based on instantaneous parallel shift in interest rates) • The estimated cha
Slide 26: Use of Non-GAAP Financial Information
Use of Non-GAAP Financial Information In addition to the results presented in accordance with GAAP, the Company's results of operations discussed in this presentation include certain non- GAAP financial information, including "net spread and dollar roll income"; "net spread and dollar roll income, e