Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Barclays Global Financial Services Conference 2019
11 slides from Agnc Investment's conference presentation, Sep 9, 2019
Slide 1: Barclays Global Financial Services Conference
Barclays Global Financial Services Conference September 9, 2019 © 2019 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: AGNC Update
AGNC Update Concerns regarding the impact of the inverted yield curve and the current prepayment environment on AGNC’s business model appear overblown We believe our portfolio is well-positioned to weather today’s prepayment landscape, as evidenced by recent trends in prepayment data Despite the ral
Slide 4: Market Update
Market Update Virtually all of the macroeconomic factors that impact AGNC’s business exhibited significant volatility during the third quarter of 2019 Yield Curve Comparison1 MBS Spreads2 Nov 30, 2018 Jun 30, 2019 Aug 31, 2019 (bps) 30yr CC Spread 15yr CC Spread 3.30% 125 3.5% 3.19% 3.01% 2.92% 2.80
Slide 5: The Importance of Asset Selection
The Importance of Asset Selection Wider mortgage spreads provide the opportunity to generate higher marginal returns on new purchases while sustaining higher primary mortgage rates, but asset selection is critical in high prepay environments 30-Year Agency MBS Holdings As of 8/31/19 Market Value Spe
Slide 6: Prepayment Protection In Action
Prepayment Protection In Action Certain mortgage pool characteristics, such as loan balance and property location, can have a material impact on prepayment performance 1 Month Prepayment Speeds9 Jun 2019 CPR Jul 2019 CPR 60% 51% 49% 50% 42% 40% 37% 34% 36% 28% 30% 27% 20% 20% 20% 15% 13% 14% 11% 11%
Slide 7: Dollar Roll Update
Dollar Roll Update Monthly carry for TBA securities varies significantly by coupon Coupon Price Drop Implied Carry Hedge Carry All-In Carry 3.0% + 1.8 / 32 70 bps 60 bps 130 bps 3.5% – 0.8 / 32 (30 bps) 40 bps 10 bps 4.0% – 2.2 / 32 (80 bps) 30 bps (50 bps) Note: Table above for illustrative purpose
Slide 8: The Fed Balance Sheet and Reinvestments
The Fed Balance Sheet and Reinvestments Elevated prepayments are expected to drive increased Federal Reserve MBS reinvestments, providing incremental technical support for Agency MBS Under current practice, Fed portfolio paydowns of Agency debt and Agency MBS, up to the runoff cap of $20 billion per
Slide 9: Funding Update
Funding Update Despite recent headwinds, the LIBOR-repo spread has begun to improve from recent adverse lows 3-Month LIBOR Spread to Repo Rate3 50 bps 40 bps 30 bps 20 bps 10 bps 0 bps (1) bp (10 bps) (20 bps) (30 bps) Jan-18 Mar-18 May-18 Jul-18 Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Note: For a
Slide 10: Looking Ahead
Looking Ahead Despite the inverted yield curve, the current environment provides an opportunity to generate favorable risk-adjusted returns Wider spreads on mortgages relative to Treasuries / swaps ultimately improve expected returns on new purchases and mitigate prepayment exposure on AGNC’s portfo
Slide 11: Endnotes
Endnotes 1) Source: US Treasury. 2) 30yr CC spread to blended 5yr and 10yr swap rates; 15yr CC spread to 5yr swap rates. Data through Aug 23, 2019. Source: Citi Velocity. 3) Reflects the three-month LIBOR spread to a generic three-month FICC MBS repo rate estimate. Data through Aug 26, 2019. Source:
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