Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q1 2021 Earnings Presentation
32 slides from Agnc Investment's earnings presentation, Apr 27, 2021
Slide 1: Q1 2021 Stockholder Presentation
Q1 2021 Stockholder Presentation April 27, 2021 © 2021 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 $17.72 Per Share 1 2 IPO Date: Total Dividends Paid Since IPO : Total Common Equity Capital : May 2008 $43.24 Per Share $9.8 B Type: Preferred Stock Depositary Aggrega
Slide 4: Q1 2021 Highlights
Q1 2021 Highlights ▪ $1.33 Comprehensive Income per Share, Comprised of: • $1.77 net income per share • $(0.44) other comprehensive loss (“OCI”) per share on investments marked-to-market through OCI ▪ $0.76 Net Spread and Dollar Roll Income per Share, Excluding Estimated “Catch- 1 Up” Premium Amorti
Slide 5: Q1 2021 Other Highlights
Q1 2021 Other Highlights ▪ $90.3 B Investment Portfolio as of Mar 31, 2021 • $63.6 B Agency MBS • $24.8 B net TBA mortgage position • $1.9 B credit risk transfer ("CRT") and non-Agency securities 1 ▪ 7.7x Tangible Net Book Value “At Risk” Leverage as of Mar 31, 2021 • 8.0x average tangible net book
Slide 6: Market Update
Market Update Q1 2021 x Q1 2021 2 2 Security 3/31/20 6/30/20 9/30/20 12/31/20 3/31/21 🜂 Rate % / Price x Security 3/31/20 6/30/20 9/30/20 12/31/20 3/31/21 🜂 Rate % / Price 1 1 SOFR Swap Rates x Treasury Rates 2 Yr Swap 0.09% —% 0.03% 0.06% 0.12% +0.06% / -0.11 x 2 Yr UST 0.25% 0.15% 0.13% 0.12%…
Slide 7: Agency Portfolio Update
Agency Portfolio Update As of 3/31/21 As of 12/31/20 1 $90.3 B Portfolio $97.9 B Portfolio AGNC Actual CPR Including Net TBA Position Including Net TBA Position Agency CMO, ARM Agency CMO, ARM 32% & Other $0.4 B 0% 20 Yr Fixed $2.6 B 3% & Other $0.5 B 1% 20 Yr Fixed $2.5 B 3% 29% 29% 28% 27% 27% 23%
Slide 8: Credit Portfolio Update
Credit Portfolio Update Credit Portfolio GSE CRT Portfolio Historical Credit Portfolio $1.9 B as of Mar 31, 2021 by Issuance Year CRT CMBS RMBS 2016 ($ in MM) 2021 3% 2,000 6% 1,800 2020 2017 1,600 RMBS, $0.5 B, 26% 14% 19% 1,400 1,200 1,000 800 CRT, $1.1 B, 55% 2019 600 CMBS, $0.4 B, 19% 23% 400 20
Slide 9: Financing Summary
Financing Summary AGNC has access to attractive funding across a significant number of counterparties and a wide range of financing terms ▪ Our average Agency Repo cost for the Agency Repurchase Agreements 1 first quarter was 0.21%, compared to As of Mar 31, 2021 0.38% for the fourth quarter Maturit
Slide 10: Hedging Summary
Hedging Summary ▪ Our hedge portfolio totaled $79.3 B Hedge Portfolio Summary and covered 98% of our funding As of Mar 31, 2021 Net Hedge liabilities (Agency Repo, other debt Net Hedge Gains/ Gains/ (Losses) Per Amount Duration (Losses) Share and net TBA position) as of Mar 31, $ in MM 3/31/2021 3/3
Slide 11: Duration Risk
Duration Risk Our interest rate exposure remains limited over a wide range of interest rate scenarios 1,2 Duration Gap Sensitivity As of Mar 31, 2021 Rates Duration Rates - 100 bps 3/31/2021 + 100 bps 3 Mortgage Assets: 30-Year MBS 2.1 5.3 7.1 15-Year MBS and Other Securities 2.6 4.2 4.8 Total Mortg
Slide 12: Financial Results
p> AGNC Financial Results
Slide 13: Balance Sheets
Balance Sheets ($ in millions, except per share data, unaudited except 12/31/20) 3/31/21 12/31/20 9/30/20 6/30/20 3/31/20 Agency Securities, at Fair Value $63,286 $64,836 $66,556 $75,488 $70,292 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 270 295 323 344 3
Slide 14: Income Statements
Income Statements ($ in millions, except per share data) (Unaudited) Q1 2021 Q4 2020 Q3 2020 Q2 2020 Q1 2020 Interest Income $557 $235 $364 $429 $491 Interest Expense (29) (52) (62) (134) (426) Net Interest Income 528 183 302 295 65 Realized Gain (Loss) on Sale of Investment Securities, Net (13) 133
Slide 15: Reconciliation of GAAP Net Interest Income to Net Spread and Dollar Roll Income
Reconciliation of GAAP Net Interest Income to Net Spread and Dollar Roll Income (a Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q1 2021 Q4 2020 Q3 2020 Q2 2020 Q1 2020 GAAP Net Interest Income: x x x x x Interest Income $557 $235 $364 $429 $491 Interest Expense (29) (52) (62)
Slide 16: Net Interest Spread Components by Funding Source
Net Interest Spread Components by Funding Source $ in millions (Unaudited) Q1 2021 Q4 2020 Q3 2020 Q2 2020 Q1 2020 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 $557 $235 $36
Slide 17: Reconciliation of GAAP Net Income to Taxable Income (Loss)
Reconciliation of GAAP Net Income to Taxable Income (Loss) (Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q1 2021 Q4 2020 Q3 2020 Q2 2020 Q1 2020 Net Income / (Loss) $975 $775 $662 $718 $(2,421) Book to Tax Differences: x x x x x Premium Amortization, Net (269) 44 (11) 22 237
Slide 18: Net Book Value Roll Forward
Net Book Value Roll Forward Q1 2021 Net Book Value Common Shares per Common (In millions, except per share data) (Unaudited) Balance Outstanding Share 1 Beginning Net Common Equity $9,541 539.5 $17.68 Net Income (Loss) 975 x x Other Comprehensive Income (Loss), Net (237) x x Common Stock Dividend (1
Slide 19: Supplemental Slides
p> AGNC Supplemental Slides
Slide 20: AGNC Historical Overview
AGNC Historical Overview 2 Asset Composition ($ B) Tangible Net Book Value "At Risk" Leverage 1 MBS TBA 11.0x $110 $7.4 10.0x 9.8x 9.8x $100 $7.0 $11.2 $1.9 9.4x 9.4x 9.4x $90 9.2x $20.5 8.8x $80 $21.2 $29.5 $31.5 9.0x $24.8 8.5x $70 $60 8.0x 7.7x $50 $95.3 $100.7 $100.4 $93.3 $40 7.0x $71.8 $77.1 $
Slide 21: AGNC Historical Overview
AGNC Historical Overview Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $1.59 $1.60 $0.80 $1.50 $1.22 $1.28 $1.16 $1.33 $0.70 $1.00 $0.42 $0.50 $0.60 $0.54 $0.00 $0.50 $0.48 $0.48 $0.48 $0.50 $-0.50 $(0.15) $-1.00 $0.40 $0.36 $0.36 $0.36 $0.36 $-1.50 $0.30 $-2.00 $-2.5
Slide 22: AGNC Historical Overview
AGNC Historical Overview 1 2 Average Asset Yield Average Cost of Funds 3.5% 3.33% 2.4% 2.27% 2.24% 3.24% 3.16% 2.2% 3.09% 2.97% 2.0% 1.85% 3.0% 1.76% 1.8% 1.67% 2.56% 1.6% 2.5% 2.30% 1.4% 2.07% 1.2% 2.02% 2.0% 1.0% 0.88% 0.8% 0.6% 1.5% 0.4% 0.15% 0.2% 0.05% 0.02% 1.0% 0.0% Q1-19 Q2-19 Q3-19 Q4-19 Q1
Slide 23: Fixed Rate Agency Securities – MBS and Net TBA Position
Fixed Rate Agency Securities – MBS and Net TBA Position $ in millions – as of Mar 31, 2021 MBS MBS MBS Amortized Cost MBS WALA Actual 1 Month Duration 1 2 2 3 4 4,5 4,5 4,6 2,7 MBS Coupon Par Value Market Value Specified Pools Basis Average WAC (Months) CPR (Years) ≤15 YR Mortgage Securities 1.5% $3
Slide 24: Other Hedge and Derivative Instruments
Other Hedge and Derivative Instruments U.S. Treasury Position Net Long / (Short) ▪ U.S. Treasury Position As of Mar 31, 2021 ($ MM) Maturity Face Amount Market Value • $15.1 B short U.S. Treasury securities 5 Year $(1,965) $(1,921) 7 Year (1,333) (1,282) • $1.3 B short U.S. Treasury futures 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 Mar 31, 2021 ▪ Interest Rate Sensitivity (based on instantaneous parallel shift in interest rates) • The estimated cha
Slide 26: Appendix
p> AGNC Appendix
Slide 27: Broad Market Outperformance Since IPO
Broad Market Outperformance Since IPO Since its IPO, AGNC has outperformed the S&P 500 by 175%, the utilities sector by 284%, and the financials sector by 336% 1,3 Total Stock Return by Sector Since AGNC's May 2008 IPO through Mar 31, 2021 500% 444% 450% 400% 350% 300% 269% 250% 200% 160% 150% 110%
Slide 28: AGNC’s Track Record of Outperformance
AGNC’s Track Record of Outperformance Since its May 2008 IPO, AGNC has generated a total stock return of 444% compared to 269% for the S&P 500 and 110% for the Bloomberg Mortgage REIT Index 1,3 Total Stock Return by Sector Since AGNC's May 2008 IPO through Mar 31, 2021 Note: For additional detail, r
Slide 29: High Yield Generation
High Yield Generation AGNC’s current dividend yield significantly exceeds the average yields of the various S&P 500 sectors, including traditional defensive sectors 3,4 Dividend Yield by Sector as of Mar 31, 2021 10% AGNC's dividend yield provides a substantial income component to 9% 8.6% returns 8%
Slide 30: Industry-Leading Cost Structure
Industry-Leading Cost Structure AGNC has the lowest cost structure in the industry at less than 0.90% of stockholder’s equity 2,5 Residential Mortgage REIT Operating Cost Structures for the 12 Mths Ended Dec 31, 2020 Residential mREIT Group Averages Large Residential mREITs ($2 Billion+ in Stockhold
Slide 31: Endnotes
Endnotes 1. Stock return is measured from AGNC’s IPO through Mar 31, 2021. Total stock return over a period includes price appreciation and dividend reinvestment; dividends are assumed to be reinvested at the closing price of the security on the ex-dividend date. Source: S&P Global Market Intelligen
Slide 32: 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