Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q3 2022 Earnings Presentation
26 slides from Agnc Investment's earnings presentation, Oct 25, 2022
Slide 1: Q3 2022 Stockholder Presentation
Q3 2022 Stockholder Presentation October 25, 2022 © 2022 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 $9.08 Per Share 1 2 IPO Date: Total Dividends Paid Since IPO : Total Common Equity Capital : May 2008 $45.40 Per Share $5.5 B Type: Preferred Stock Depositary Aggregat
Slide 4: Q3 2022 Highlights
Q3 2022 Highlights ▪ $(2.01) Comprehensive Loss per Share, Comprised of: • $(1.31) net loss per share • $(0.70) other comprehensive loss (“OCI”) per share on investments marked-to-market through OCI ▪ $0.84 Net Spread and Dollar Roll Income per Share, Excluding Estimated “Catch- 1 Up” Premium Amorti
Slide 5: Q3 2022 Other Highlights
Q3 2022 Other Highlights ▪ $61.5 B Investment Portfolio as of Sep 30, 2022 • $41.9 B Agency MBS • $17.9 B net TBA mortgage position • $1.7 B credit risk transfer ("CRT") and non-Agency securities 1 ▪ 8.7x Tangible Net Book Value “At Risk” Leverage as of Sep 30, 2022 • 8.1x average tangible net book
Slide 6: Market Update
Market Update Q3 2022 x Q3 2022 2 2 Security 9/30/21 12/31/21 3/31/22 6/30/22 9/30/22 Δ Rate % / Price x Security 9/30/21 12/31/21 3/31/22 6/30/22 9/30/22 Δ Rate % / Price 1 1 SOFR Swap Rates x Treasury Rates 2 Yr Swap 0.24% 0.74% 2.28% 2.99% 4.25% +1.26% / -2.40 x 2 Yr UST 0.28% 0.73% 2.34% 2.96% 4
Slide 7: Historical Agency MBS Spread
Historical Agency MBS Spread The 30 year current coupon spread to the 10 year US Treasury recently reached 190 basis points, surpassing the widest level attained during the financial market dislocation in 2020 30 Year Current Coupon MBS to 10 Year UST Spread (bps) 190 bps 178 bps 158 bps ± 3 Std Dev
Slide 8: Agency Portfolio Update
Agency Portfolio Update As of 9/30/22 As of 6/30/22 1 $61.5 B Portfolio $61.3 B Portfolio AGNC Actual CPR Including Net TBA Position Including Net TBA Position Agency CMO, ARM Agency CMO, ARM 15% & Other $0.3 B 1% 20 Yr Fixed $1.5 B 2% & Other $0.2 B 0% 20 Yr Fixed $1.6 B 3% 12% CRT & Non-Agency CRT
Slide 9: Credit Portfolio Update
1 Credit Portfolio Update Credit Portfolio GSE CRT Portfolio Historical Credit Portfolio $1.7 B as of Sep 30, 2022 by Issuance Year CRT CMBS RMBS 2016 ($ in MM) 2022 0.2% 2,400 14% 2017 2,200 RMBS 9% $0.2 B 2,000 RMBS, $0.2 13% B, 13% 1,800 2021 1,600 8% 1,400 2018 26% 1,200 CRT, $0.9 CRT B, 50% 202
Slide 10: Financing Summary
Financing Summary ▪ Our average Agency Repo cost for the Agency Repurchase Agreements 1 third quarter was 1.89%, compared to As of Sep 30, 2022 0.74% for the second quarter Maturity % Amount ($ MM) Interest Rate Days to Maturity • As of Sep 30, 2022, our Agency Repo cost ≤ 3 Mths 96% $37,640 2.90% 2
Slide 11: Hedging Summary
Hedging Summary ▪ Our hedge portfolio totaled $68.9 B and Hedge Portfolio Summary As of Sep 30, 2022 covered 118% of our funding liabilities Net Hedge Net Hedge (Agency Repo, other debt and net TBA Amount Duration Gains/ (Losses) Gains/ (Losses) Per Share position) as of Sep 30, 2022, compared to 1
Slide 12: Duration Risk
Duration Risk 1,2 Duration Gap Sensitivity As of Sep 30, 2022 Rates Duration Rates - 100 bps 9/30/2022 + 100 bps 3 Mortgage Assets: 30-Year MBS 5.1 5.8 6.2 15-Year MBS and Other Securities 3.6 3.8 3.8 Total Mortgage Assets 5.0 5.7 6.0 Liabilities and Hedges (4.4) (4.5) (4.5) Net Duration Gap 0.6 1.2
Slide 13: Financial Results
p> AGNC Financial Results
Slide 14: Balance Sheets
Balance Sheets ($ in millions, except per share data, unaudited except 12/31/21) 9/30/22 6/30/22 3/31/22 12/31/21 9/30/21 Agency Securities, at Fair Value $41,740 $43,459 $47,214 $52,396 $53,517 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 149 167 184 208 2
Slide 15: Income Statements
Income Statements ($ in millions, except per share data) (Unaudited) Q3 2022 Q2 2022 Q1 2022 Q4 2021 Q3 2021 Interest Income $373 $395 $475 $262 $293 Interest Expense (196) (80) (27) (15) (14) Net Interest Income 177 315 448 247 279 Realized Loss on Sale of Investment Securities, Net (560) (946) (34
Slide 16: Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income
Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income (a Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q3 2022 Q2 2022 Q1 2022 Q4 2021 Q3 2021 Comprehensive Income (Loss) Available (Attributable) to Common Stockholders $(1,064) $(704) $(1,167)
Slide 17: Net Interest Spread Components by Funding Source
Net Interest Spread Components by Funding Source $ in millions (Unaudited) Q3 2022 Q2 2022 Q1 2022 Q4 2021 Q3 2021 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 $373 $395 $47
Slide 18: Reconciliation of GAAP Net Income to Taxable Income (Loss)
Reconciliation of GAAP Net Income to Taxable Income (Loss) (Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q3 2022 Q2 2022 Q1 2022 Q4 2021 Q3 2021 Net Income / (Loss) $(666) $(434) $(651) $(27) $212 Book to Tax Differences: x x x x x Premium Amortization, Net (15) (78) (176) 13
Slide 19: Net Book Value Roll Forward
Net Book Value Roll Forward Q3 2022 Common Net Book Value Shares per Common (In millions, except per share data) (Unaudited) Balance Outstanding Share 1 Beginning Net Common Equity $6,502 522.7 $12.44 Net Income (Loss) (666) x x Other Comprehensive Income (Loss), Net (372) x x Common Stock Dividend
Slide 20: Supplemental Slides
p> AGNC Supplemental Slides
Slide 21: AGNC Historical Overview
AGNC Historical Overview 1 2 Asset Composition ($ B) Tangible Net Book Value "At Risk" Leverage MBS TBA 11.0x $110 $100 10.0x $90 $29.5 $31.5 9.0x 8.8x 8.7x $80 $24.8 8.5x $70 $27.7 $28.7 $27.6 7.9x $60 8.0x 7.7x 7.7x $19.5 7.5x 7.5x 7.4x $50 $15.9 $17.9 $40 7.0x $68.0 $66.4 $65.5 $30 $59.8 $55.4 $5
Slide 22: AGNC Historical Overview
AGNC Historical Overview Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $0.50 $1.50 $1.28 $1.16 $1.33 $1.00 $0.37 $0.40 $0.50 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.00 $-0.50 $0.30 $(0.31) $-1.00 $(0.97) $-1.50 $0.20 $(1.34) $-2.00 $-2.50 $(2.01) $(2.
Slide 23: AGNC Historical Overview
AGNC Historical Overview 1 2 Average Asset Yield Average Cost of Funds 3.5% 0.8% 3.31% 0.6% 3.0% 2.88% 0.50% 0.4% 2.5% 2.30% 2.28% 2.15% 2.16% 0.18% 2.13% 0.2% 0.15% 2.07% 2.02% 0.09% 0.05% 0.06% 2.0% 0.02% 0.0% (0.03)% (0.02)% 1.5% (0.2)% 1.0% (0.4)% Q3-20 Q4-20 Q1-21 Q2-21 Q3-21 Q4-21 Q1-22 Q2-22
Slide 24: Other Hedge and Derivative Instruments
Other Hedge and Derivative Instruments U.S. Treasury Position Net Long / (Short) ▪ U.S. Treasury Position Maturity As of Sep 30, 2022 ($ MM) Face Amount Market Value • $6.3 B short U.S. Treasury securities, net 5 Year $(1,912) $(1,949) • $12.1 B short U.S. Treasury futures 7 Year (970) (833) 10 Year
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 Sep 30, 2022 ▪ 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