Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q2 2025 Earnings Presentation
27 slides from Agnc Investment's earnings presentation, Jul 22, 2025
Slide 1: Q2 Stockholder Presentation
02 Q2 STOCKHOLDER PRESENTATION JULY 22, 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 $9.6 B Agency-guaranteed residential MBS investments paired with highly attract
Slide 4: Q2 2025 Highlights
Q2 2025 HIGHLIGHTS Key Metrics $7.81 $(0.13) $0.38 Tangible Net Book Comprehensive Net Spread and Dollar Roll Value Per Share1 Loss Per Share Income Per Share2 Performance (1.0)% $0.36 $(0.44) Economic Dividends Declared Change in Tangible Return3 Per Share Net Book Value Per Share Capital Highlight
Slide 5: Q2 2025 Other Highlights
Q2 2025 OTHER HIGHLIGHTS Portfolio1 Average Asset Yield2 Assets 7.8% 8.7% Avg. Projected Actual Q2 Portfolio Life CPR Portfolio CPR Leverage3 Average Repo Cost4 Average Cost of Funds5 Funding and Leverage Hedge Ratio6 Duration Gap7 Risk $6.4 B 65% Management Unencumbered % of Tangible Cash & Agency
Slide 6: Market Highlights
MARKET HIGHLIGHTS1 Asset Yields: Current Coupon (CC) Agency MBS Spreads: CC Agency MBS Spread to UST and Swaps (bps Q2 Change: 30 year CC Yield -3 bps Q2 Change: 5/10 Yr Swap Spread +11 bps ) Q2 Change: 15 year CC Yield -9 bps Q2 Change: 5/10 Yr UST Spread +3 bps Interest Rates: Select UST Yields In
Slide 7: Market Update
MARKET UPDATE Q2 2025 x Q2 2025 Security 6/30/24 9/30/24 12/31/24 3/31/25 6/30/25 ∆ Rate % / Price2 x Security 6/30/24 9/30/24 12/31/24 3/31/25 6/30/25 ∆ Rate % / Price2 SOFR Swap Rates1 x Treasury Rates1 2 Yr Swap 4.61% 3.44% 4.08% 3.72% 3.49% -0.23 % / +0.44 x 2 Yr UST 4.76% 3.64% 4.24% 3.89% 3.72
Slide 8: Portfolio Summary
PORTFOLIO SUMMARY Investment Securities 1 Investment Securities June 30, 2025 March 31, 2025 Security Type FMV % FMV % ▪ $82.2 B investment portfolio as of Jun 30, 2025, an 30 Year MBS $70,544 86% $67,887 86% increase of $3.4 B from Mar 31, 2025, primarily Fixed Rate 30 Year TBA 8,062 10% 7,473 9% c
Slide 9: Financing Summary
FINANCING SUMMARY Our average repo cost was 4.44% for the second quarter, compared to 4.45% for the first quarter1 Investment Securities Repurchase Agreements1 As of Jun 30, 2025 Investment Securities Repo Maturity Amount Interest Days to ▪ As of Jun 30, 2025, our repo cost was 4.49%, (Months) % ($
Slide 10: Hedging Portfolio
HEDGING PORTFOLIO Our hedge portfolio totaled $65.7 B and covered 89% of our funding liabilities (Investment Securities Repo, other debt and net TBA position) as of Jun 30, 2025, compared to 91% as of Mar 31, 2025 Hedge Portfolio Summary Amount % of Total Interest Rate Swaps $ in MM (Long)/Short Dur
Slide 11: 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 Jun 30, 2025 Rates Duration Rates - 100 bps 6/30/2025 + 100 bps Mortgage Assets: 3 30-Year MBS 2.8 4.7 5.9 15-Year MBS and Other Securities 3.8 4.1 4.4 To
Slide 12: Financial Results
FINANCIAL RESULTS
Slide 13: Balance Sheets
BALANCE SHEETS ($ in millions, except per share data, unaudited except 12/31/24) 6/30/25 3/31/25 12/31/24 9/30/24 6/30/24 Agency Securities, at Fair Value $73,232 $70,363 $65,367 $67,938 $59,586 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 91 95 97 106 106
Slide 14: Income Statements
INCOME STATEMENTS ($ in millions, except per share data) (Unaudited) Q2 2025 Q1 2025 Q4 2024 Q3 2024 Q2 2024 Interest Income $830 $846 $856 $756 $695 Interest Expense (668) (687) (741) (820) (698) Net Interest Income (Expense) 162 159 115 (64) (3) Realized (Loss) Gain on Sale of Investment Securitie
Slide 15: Reconciliation of GAAP Comprehensive Income to Net Spread and Dollar Roll Income
RECONCILIATION OF GAAP COMPREHENSIVE INCOME (LOSS) TO NET SPREAD AND DOLLAR ROLL INCOME (A NON-GAAP MEASURE) ($ in millions, except per share data) (Unaudited) Q2 2025 Q1 2025 Q4 2024 Q3 2024 Q2 2024 Comprehensive Income (Loss) Available (Attributable) to Common Stockholders $(130) $108 $(93) $513 $
Slide 16: Net Interest Spread Components by Funding Source
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE $ in millions (Unaudited) Q2 2025 Q1 2025 Q4 2024 Q3 2024 Q2 2024 Adjusted Net Interest and Dollar Roll Income: Economic Interest Income: x x x x x Investment Securities - GAAP Interest Income $830 $846 $856 $756 $695 Estimated "Catch-Up" Premium Amor
Slide 17: Supplemental Slides
SUPPLEMENTAL SLIDES
Slide 18: AGNC Historical Overview
AGNC HISTORICAL OVERVIEW Asset Composition ($ B)1 Tangible Net Book Value "At Risk" Leverage2 Agency MBS Fixed Rate Securities3 Hedge Ratio4 18 Detailed endnotes are included at the end of this presentation.
Slide 19: AGNC Historical Overview (Continued)
AGNC HISTORICAL OVERVIEW (CONTINUED) Comprehensive Income (Loss) per Common Share Dividends per Common Share Tangible Net Book Value per Common Share1 Economic Return2 19 Detailed endnotes are included at the end of this presentation.
Slide 20: AGNC Historical Overview (Continued)
AGNC HISTORICAL OVERVIEW (CONTINUED) Average Asset Yield1 Average Cost of Funds2 Net Spread and TBA Dollar Roll Income per Net Interest Spread1,2 Share3 20 Detailed endnotes are included at the end of this presentation.
Slide 21: Fixed Rate Agency Securities – MBS and Net TBA Position
FIXED RATE AGENCY SECURITIES – MBS AND NET TBA POSITION $ in millions – as of Jun 30, 2025 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% $32
Slide 22: U.S. Treasury Hedges
U.S. TREASURY HEDGES U.S. Treasury Position Net Long / (Short) As of Jun 30, 2025 ($ MM) Years to Maturity Face Amount Market Value U.S. Treasury Position as of Jun 30, 2025 ▪ $17.7 B short U.S. Treasury securities, net ≤5 $706 $726 >5 to ≤7 (967) (910) ▪ $2.2 B short U.S. Treasury futures, net >7 t
Slide 23: 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 24: Endnotes
ENDNOTES Slide 3 Slide 5 1. As of Jul 15, 2025. 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 25: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 8 Slide 13 1. Amounts exclude AGNC's limited partnership interest in a mortgage credit investment fund 1. Net Long TBA and Forward Settling Securities are reported in derivative assets/liabilities at net totaling $66 million and $63 million as of Jun 30, 2025 and Mar 31, 2
Slide 26: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 18 Slide 22 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 27: 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