Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q4 2024 Earnings Presentation
30 slides from Agnc Investment's earnings presentation, Jan 28, 2025
Slide 1: Q4 Stockholder Presentation
02 Q4 STOCKHOLDER PRESENTATION JANUARY 28, 2025 THE PREMIER AGENCY RESIDENTIAL MORTGAGE REIT © 2025 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 $8.3 B Agency-guaranteed residential MBS investments paired with highly attract
Slide 4: Q4 2024 Highlights
Q4 2024 HIGHLIGHTS Key Metrics $8.41 $(0.11) $0.37 Tangible Net Book Comprehensive Net Spread and Dollar Roll Value Per Share1 Loss Per Share Income Per Share2 Performance (0.6)% $0.36 $(0.41) Economic Dividends Declared Change in Tangible Return3 Per Share Net Book Value Per Share Capital Highlight
Slide 5: Q4 2024 Other Highlights
Q4 2024 OTHER HIGHLIGHTS Portfolio1 Average Asset Yield2 $73.1 B $73.3 B 4.73% 4.80% Assets 7.7% 9.6% Avg. Projected Actual Q4 Portfolio Life CPR Portfolio CPR 9/30/24 12/31/24 3Q24 4Q24 Leverage3 Average Repo Cost4 Average Cost of Funds5 5.41% 2.89% Funding and 7.2x 7.2x 4.86% 2.52% Leverage 9/30/2
Slide 6: 2024 Full Year Highlights
2024 FULL YEAR HIGHLIGHTS Key Metrics $0.84 $1.88 1.24% Comprehensive Net Spread and Dollar Roll Operating Expense Income Per Share Income Per Share1 Structure2 Performance 13.2% $1.44 $(0.29) Economic Dividends Declared Change in Tangible Return3 Per Share Net Book Value Per Share Capital Highlight
Slide 7: Market Highlights
MARKET HIGHLIGHTS1 Asset Yields: Current Coupon (CC) Agency MBS Spreads: CC Agency MBS Spread to UST and Swaps 7.0% (bps) Q4 Change: 30 year CC Yield +87bps Q4 Change: UST Spread +6 bps 225 Q4 Change: 15 year CC Yield +92 bps Q4 Change: Swap Spread +9 bps 6.5% 30 Year CC Yield Spread to 5/10 Yr Swap
Slide 8: Market Update
MARKET UPDATE Q4 2024 x Q4 2024 2 Security 12/31/23 3/31/24 6/30/24 9/30/24 12/31/24 ∆ Rate % / Price x Security 12/31/23 3/31/24 6/30/24 9/30/24 12/31/24 ∆ Rate % / Price2 SOFR Swap Rates1 x Treasury Rates1 2 Yr Swap 4.07% 4.55% 4.61% 3.44% 4.08% +0.64% / -1.21 x 2 Yr UST 4.25% 4.62% 4.76% 3.64% 4.
Slide 9: Agency Portfolio Update
AGENCY PORTFOLIO UPDATE As of 12/31/24 As of 9/30/24 $72.3 B Portfolio $72.1 B Portfolio AGNC Actual CPR1 30 Yr Fixed ≤ 15 Yr Fixed 30 Yr Fixed ≤ 15 Yr Fixed 14% 20 Yr Fixed Agency CMO, ARM & Other 20 Yr Fixed Agency CMO, ARM & Other 12.2% 12% $0.5 B, 0.7% $1.4 B, 2.0% $0.5 B, 0.7% $1.4 B, 1.9% $0.1
Slide 10: Credit Portfolio Update
CREDIT PORTFOLIO UPDATE1 Credit Portfolio GSE CRT Portfolio $0.9 B as of Dec 31, 2024 by Issuance Year Historical Credit Portfolio CRT CMBS RMBS 2018 2019 2020 2021 2022 CRT CMBS RMBS ($ in B) $1.5 $1.4 2% 5% 12% $1.3 12% $1.0 $1.0 $1.0 $1.0 27% $1.0 $0.9 $0.9 $0.9 $0.5 25% 72% 46% $0.0 22 3 3 3 23
Slide 11: Financing Summary
FINANCING SUMMARY Our average repo cost was 4.86% for the fourth quarter, compared to 5.41% for the third quarter1 Investment Securities Repurchase Agreements1 As of Dec 31, 2024 Investment Securities Repo ▪ As of Dec 31, 2024, our repo cost was 4.76%, Maturity Amount Interest Days to (Months) % ($
Slide 12: Hedging Portfolio
HEDGING PORTFOLIO Our hedge portfolio totaled $60.2 B and covered 91% of our funding liabilities (Investment Securities Repo, other debt and net TBA position) as of Dec 31, 2024, compared to 72% as of Sep 30, 2024 Hedge Portfolio Summary As of Dec 31, 2024 Interest Rate Swaps ▪ $39.6 B net pay fixed
Slide 13: Duration Risk
DURATION RISK Duration is a model estimate of interest rate sensitivity measured in years as of a point in time Duration Gap Sensitivity1,2 As of Dec 31, 2024 Rates Duration Rates - 100 bps 12/31/2024 + 100 bps Mortgage Assets: 3 30-Year MBS 3.3 4.7 5.5 15-Year MBS and Other Securities 3.4 3.6 3.7 T
Slide 14: Financial Results
FINANCIAL RESULTS
Slide 15: Balance Sheets
BALANCE SHEETS ($ in millions, except per share data, unaudited except 12/31/23) 12/31/24 9/30/24 6/30/24 3/31/24 12/31/23 Agency Securities, at Fair Value $65,367 $67,938 $59,586 $53,615 $53,673 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 97 106 106 114 1
Slide 16: Income Statements
INCOME STATEMENTS ($ in millions, except per share data) (Unaudited) Q4 2024 Q3 2024 Q2 2024 Q1 2024 Year 2024 Interest Income $856 $756 $695 $642 $2,949 Interest Expense (741) (820) (698) (672) (2,931) Net Interest Income (Expense) 115 (64) (3) (30) 18 Realized (Loss) Gain on Sale of Investment Sec
Slide 17: Reconciliation of GAAP Comprehensive Income to Net Spread and Dollar Roll Income
RECONCILIATION OF GAAP COMPREHENSIVE INCOME (LOSS) TO NET SPREAD AND DOLLAR ROLL INCOME (A NON-GAAP MEASURE) ($ in millions, except per share data) (Unaudited) Q4 2024 Q3 2024 Q2 2024 Q1 2024 Year 2024 Comprehensive Income (Loss) Available (Attributable) to Common Stockholders $(93) $513 $(98) $335
Slide 18: Net Interest Spread Components by Funding Source
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE $ in millions (Unaudited) Q4 2024 Q3 2024 Q2 2024 Q1 2024 Year 2024 Adjusted Net Interest and Dollar Roll Income: Economic Interest Income: x x x x x Investment Securities - GAAP Interest Income $856 $756 $695 $642 $2,949 Estimated "Catch-Up" Premium
Slide 19: Supplemental Slides
SUPPLEMENTAL SLIDES
Slide 20: AGNC Historical Overview
AGNC HISTORICAL OVERVIEW Asset Composition ($ B)1 Tangible Net Book Value "At Risk" Leverage2 MBS TBA 80 73.1 73.3 7.9x 8.0x 66.0 $4.1 $6.9 63.3 59.5 58.0 59.3 60.2 7.4x 7.4x 56.8 $5.3 60 $2.4 $8.4 7.2x 7.2x 7.2x 7.2x $5.4 7.1x 7.0x $10.4 $10.2 7.0x $18.6 40 $69.0 $66.4 $57.0 $60.7 $54.9 $54.8 $46.4
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 0.40 1.00 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.63 $0.48 $0.32 0.30 0.00 $(0.07) $(0.13) $(0.11) 0.20 (1.00) $(1.02) 0.10 (2.00) 0.00 Q4-22 Q1-23 Q2-2
Slide 22: AGNC Historical Overview (Continued)
AGNC HISTORICAL OVERVIEW (CONTINUED) Average Asset Yield1 Average Cost of Funds2 5.0% 4.69% 4.73% 4.80% 3.5% 4.47% 4.56% 4.5% 4.20% 3.0% 2.89% 3.90% 3.89% 2.52% 4.0% 3.68% 2.5% 3.5% 2.00% 2.0% 3.0% 1.58% 1.5% 1.39% 2.5% 1.17% 1.02% 1.0% 2.0% 0.61% 0.63% 1.5% 0.5% 1.0% 0.0% Q4-22 Q1-23 Q2-23 Q3-23 Q4
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, 2024 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 2.0% $34
Slide 24: U.S. Treasury Hedges
U.S. TREASURY HEDGES U.S. Treasury Position Net Long / (Short) As of Dec 31, 2024 ($ MM) U.S. Treasury Position as of Dec 31, 2024 Years to Maturity Face Amount Market Value ▪ $15.1 B short U.S. Treasury securities, net ≤5 $956 $956 >5 to ≤7 (4,304) (4,023) ▪ $4.9 B short U.S. Treasury futures >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 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 (Cont.) 1. As of Jan 15, 2025. 2. Total stock return includes common stock price appreciation and dividend reinvestment. 4. Average Repo Cost includes Investment Securities Repo. Amount excludes U.S. Treasury Dividends assumed to be reinvested at the closing price on the ex-
Slide 27: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 9 Slide 15 1. Weighted average actual 1 month annualized CPR released at the beginning of each month 1. Net Long TBA and Forward Settling Securities are reported in derivative assets/liabilities at net based on securities held as of the preceding month-end, excludes net TB
Slide 28: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 20 Slide 24 1. MBS includes CRT securities and other credit investments; TBA includes forward settling non- 1. The average U.S. Treasury securities and futures positions represent their average cost basis, Agency securities. weighted by the number of days outstanding durin
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