Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q4 2023 Earnings Presentation
30 slides from Agnc Investment's earnings presentation, Jan 23, 2024
Slide 1: Q4 Stockholder Presentation
02 Q4 STOCKHOLDER PRESENTATION JANUARY 23, 2024 THE PREMIER AGENCY RESIDENTIAL MORTGAGE REIT © 2024 AGNC Investment Corp. All Rights Reserved.
Slide 2: Important Notices
IMPORTANT NOTICES 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 Litigation Re
Slide 3: Capital Structure Highlights
CAPITAL STRUCTURE HIGHLIGHTS AGNC Common Stock THE OBJECTIVE Favorable long-term stockholder returns with a Ticker Nasdaq: AGNC substantial dividend yield component IPO Date May 2008 THE OPPORTUNITY Market Capitalization $6.8 B Agency-guaranteed residential MBS investments paired with highly attract
Slide 4: Q4 2023 Highlights
Q4 2023 HIGHLIGHTS Key Metrics $8.70 $1.00 $0.60 Tangible Net Book Comprehensive Net Spread and Dollar Roll Value Per Share1 Income Per Share Income Per Share2 Performance 12.1% $0.36 $0.62 Economic Dividends Declared Change in Tangible Return3 Per Share Net Book Value Per Share Capital Highlights 1
Slide 5: Q4 2023 Other Highlights
Q4 2023 OTHER HIGHLIGHTS Portfolio1 Average Asset Yield2 $59.3 B $60.2 B 4.47% 4.20% Assets 11.4% 6.2% Avg. Projected Actual Q4 Portfolio Life CPR Portfolio CPR 9/30/23 12/31/23 3Q23 4Q23 Leverage3 Average Repo Costs4 Average Cost of Funds5 7.9x 5.37% 5.48% 1.39% Funding and 7.0x 1.17% Leverage 9/30
Slide 6: 2023 Full Year Highlights
2023 FULL YEAR HIGHLIGHTS Key Metrics $0.30 $2.61 1.23% Comprehensive Net Spread and Dollar Roll Operating Expense Income Per Share Income Per Share2 Structure1 Performance 3.0% $1.44 $(1.14) Economic Dividends Declared Change in Tangible Return3 Per Share Net Book Value Per Share Capital Highlights
Slide 7: Market Highlights
MARKET HIGHLIGHTS1 Asset Yields: Current Coupon (CC) Agency MBS Spreads: CC Agency MBS Spread to 5/10 Year UST 7.0% (bps) 200 6.5% 175 6.0% 150 5.5% 139 5.25% 125 5.0% 4.5% 100 12/30/22 3/31/23 6/30/23 9/29/23 12/29/23 12/30/22 3/31/23 6/30/23 9/29/23 12/29/23 Interest Rates: 10 Year UST Interest Ra
Slide 8: Market Update
MARKET UPDATE Q4 2023 x Q4 2023 2 Security 12/31/22 3/31/23 6/30/23 9/30/23 12/31/23 ∆ Rate % / Price x Security 12/31/22 3/31/23 6/30/23 9/30/23 12/31/23 ∆ Rate % / Price2 SOFR Swap Rates1 x Treasury Rates1 2 Yr Swap 4.45% 4.06% 4.82% 4.97% 4.07% -0.90% / +1.73 x 2 Yr UST 4.43% 4.03% 4.90% 5.05% 4.
Slide 9: Agency Portfolio Update
AGENCY PORTFOLIO UPDATE As of 12/31/23 As of 9/30/23 $60.2 B Portfolio $59.3 B Portfolio AGNC Actual CPR1 Including Net TBA Position & Credit Including Net TBA Position & Credit 30 Yr Fixed ≤ 15 Yr Fixed 30 Yr Fixed ≤ 15 Yr Fixed 20 Yr Fixed CRT & Non-Agency 20 Yr Fixed CRT & Non-Agency Agency CMO,
Slide 10: Credit Portfolio Update
CREDIT PORTFOLIO UPDATE1 Credit Portfolio GSE CRT Portfolio $1.0 B as of Dec 31, 2023 by Issuance Year Historical Credit Portfolio CRT CMBS RMBS 2018 2019 2020 2021 2022 CRT CMBS RMBS ($ in MM) 3% 3% 2,000 9% 19% 27% 1,500 21% 1,000 500 70% 0 48% 2 22 3 23 2 2 3 3 21 /2 /2 /2 /2 /2 /2 1/ 1/ 1/ 30 30
Slide 11: Financing Summary
FINANCING SUMMARY Our average repo cost was 5.48% for the fourth quarter, compared to 5.37% for the third quarter1 Investment Securities Repurchase Agreements1 As of Dec 31, 2023 Investment Securities Repo Maturity Amount Interest Days to ▪ As of Dec 31, 2023, our repo cost was 5.60%, (Months) % ($
Slide 12: Hedging Summary
HEDGING SUMMARY Our hedge portfolio totaled $60.5 B and covered 112% of our funding liabilities (Investment Securities Repo, other debt and net TBA position) as of Dec 31, 2023, compared to 116% as of Sep 30, 2023 Hedge Portfolio Summary As of Dec 31, 2023 Interest Rate Swaps Net Hedge Net Hedge Gai
Slide 13: Duration Risk
DURATION RISK Duration is a model estimate of interest rate sensitivity measured in years as of a point in time Duration Gap Sensitivity1,2 As of Dec 31, 2023 Rates Duration Rates - 100 bps 12/31/2023 + 100 bps Mortgage Assets: 3 30-Year MBS 2.7 4.0 5.0 15-Year MBS and Other Securities 3.1 3.5 3.6 T
Slide 14: Financial Results
FINANCIAL RESULTS
Slide 15: Balance Sheets
BALANCE SHEETS ($ in millions, except per share data, unaudited except 12/31/22) 12/31/23 9/30/23 6/30/23 3/31/23 12/31/22 Agency Securities, at Fair Value $53,673 $55,758 $46,572 $44,925 $39,346 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 121 120 131 140
Slide 16: Income Statements
INCOME STATEMENTS ($ in millions, except per share data) (Unaudited) Q4 2023 Q3 2023 Q2 2023 Q1 2023 Year 2023 Interest Income $640 $593 $457 $351 $2,041 Interest Expense (666) (646) (526) (449) (2,287) Net Interest Income (26) (53) (69) (98) (246) Realized Loss on Sale of Investment Securities, Net
Slide 17: Reconciliation of GAAP Comprehensive Income to Net Spread and Dollar Roll Income
RECONCILIATION OF GAAP COMPREHENSIVE INCOME (LOSS) TO NET SPREAD AND DOLLAR ROLL INCOME (A NON-GAAP MEASURE) ($ in millions, except per share data) (Unaudited) Q4 2023 Q3 2023 Q2 2023 Q1 2023 Year 2023 Comprehensive Income (Loss) Available (Attributable) to Common Stockholders $672 $(636) $190 $(39)
Slide 18: Net Interest Spread Components by Funding Source
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE $ in millions (Unaudited) Q4 2023 Q3 2023 Q2 2023 Q1 2023 Year 2023 Adjusted Net Interest and Dollar Roll Income: Economic Interest Income: x x x x x Investment Securities - GAAP Interest Income $640 $593 $457 $351 $2,041 Estimated "Catch-Up" Premium
Slide 19: Supplemental Slides
SUPPLEMENTAL SLIDES
Slide 20: AGNC Historical Overview
AGNC HISTORICAL OVERVIEW Asset Composition ($ B)1 Tangible Net Book Value "At Risk" Leverage2 MBS TBA 9.0x 8.7x $100 $82.0 7.9x 8.0x 7.7x $80 $68.6 7.5x 7.4x 7.4x $27.6 $61.3 $61.5 $59.5 $59.3 $60.2 7.2x 7.2x $56.8 $58.0 $60 $19.5 $2.4 7.0x $5.4 7.0x $15.9 $17.9 $10.4 $10.2 $18.6 $40 $54.4 $57.0 $54
Slide 21: AGNC Historical Overview (Continued)
AGNC HISTORICAL OVERVIEW (CONTINUED) Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $0.50 $1.17 $1.00 $1.00 $0.40 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.32 $0.00 $0.30 $(0.07) $(0.31) $(1.00) $0.20 $(1.02) $(1.34) $(2.00) $0.10 $(2.01) $(2.23) $(3.00)
Slide 22: AGNC Historical Overview (Continued)
AGNC HISTORICAL OVERVIEW (CONTINUED) Average Asset Yield1 Average Cost of Funds2 4.47% 1.39% 4.5% 4.20% 1.4% 3.90% 1.17% 4.0% 3.89% 1.2% 3.68% 1.02% 1.0% 3.5% 3.31% 0.8% 3.0% 2.88% 0.63% 0.61% 0.6% 2.5% 2.28% 2.13% 0.4% 0.34% 2.0% 0.14% 0.2% 0.09% 1.5% 0.0% (0.02)% 1.0% (0.2)% Q4-21 Q1-22 Q2-22 Q3-2
Slide 23: Fixed Rate Agency Securities – MBS and Net TBA Position
FIXED RATE AGENCY SECURITIES – MBS AND NET TBA POSITION $ in millions – as of Dec 31, 2023 Weighted MBS MBS MBS Duration MBS Coupon Par Value1 Market Value1 Specified Pools2 Average Amortized Cost WALA Actual 1 Month (Years)1,6 Coupon1 Basis3 (Months)3,4 CPR3,5 ≤15 Year Mortgage Securities ≤ 2.5% $5
Slide 24: Other Hedge and Derivative Instruments
OTHER HEDGE AND DERIVATIVE INSTRUMENTS U.S. Treasury Position Net Long / (Short) As of Dec 31, 2023 ($ MM) U.S. Treasury Position Years to Maturity Face Amount Market Value ▪ $9.4 B short U.S. Treasury securities, net ≤5 $1,408 $1,454 ▪ $7.5 B short U.S. Treasury futures >5 to ≤7 (3,532) (3,767) >7
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 portfolio and tangible common equity Interest Rate Sensitivity MBS Spread Sensitivity (“Basis Risk”) ▪ The estimated sensitivity of our assets, net of hedges,
Slide 26: Endnotes
ENDNOTES Slide 3 Slide 5 1. As of Jan 15, 2024. 1. Portfolio includes net long position in forward purchases and sales of Agency MBS in the “to- 2. Total stock return includes common stock price appreciation and dividend reinvestment. be-announced” (“TBA”) market as of quarter-end. Dividends assumed
Slide 27: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 9 Slide 13 1. Wtd/avg actual 1 month annualized CPR released at the beginning of each month based on 1. Duration is a model estimate of interest rate sensitivity measured in years as of a point in time. securities held as of the preceding month-end, excludes net TBA positi
Slide 28: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 20 Slide 25 1. MBS includes CRT securities; TBA includes forward settling non-Agency securities. 1. Interest rate and MBS spread sensitivity are derived from models that are dependent on 2. Tangible net book value “at risk” leverage calculated as sum of Investment Securiti
Slide 29: 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"; "economic interest income" and "econom
Slide 30: Contact Us
Contact Us 7373 Wisconsin Avenue (301) 968-9315 www.AGNC.com 22nd Floor IR@AGNC.com Nasdaq: AGNC Bethesda, MD 20814 Media@AGNC.com Connect With Us