Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q1 2022 Earnings Presentation
32 slides from Agnc Investment's earnings presentation, May 3, 2022
Slide 1: Q1 2022 Stockholder Presentation
Q1 2022 Stockholder Presentation May 3, 2022 © 2022 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 $13.12 Per Share 1 2 IPO Date: Total Dividends Paid Since IPO : Total Common Equity Capital : May 2008 $44.68 Per Share $7.4 B Type: Preferred Stock Depositary Aggrega
Slide 4: Q1 2022 Highlights
Q1 2022 Highlights ▪ $(2.23) Comprehensive Loss per Share, Comprised of: • $(1.29) net loss per share • $(0.94) other comprehensive loss (“OCI”) per share on investments marked-to-market through OCI ▪ $0.72 Net Spread and Dollar Roll Income per Share, Excluding Estimated “Catch- 1 Up” Premium Amorti
Slide 5: Q1 2022 Other Highlights
Q1 2022 Other Highlights ▪ $68.6 B Investment Portfolio as of Mar 31, 2022 • $47.4 B Agency MBS • $19.5 B net TBA mortgage position • $1.7 B credit risk transfer ("CRT") and non-Agency securities 1 ▪ 7.5x Tangible Net Book Value “At Risk” Leverage as of Mar 31, 2022 • 7.8x average tangible net book
Slide 6: Market Update
Market Update Q1 2022 x Q1 2022 2 2 Security 3/31/21 6/30/21 9/30/21 12/31/21 3/31/22 Δ Rate % / Price x Security 3/31/21 6/30/21 9/30/21 12/31/21 3/31/22 Δ Rate % / Price 1 1 SOFR Swap Rates x Treasury Rates 2 Yr Swap 0.12% 0.19% 0.24% 0.74% 2.28% +1.54% / -3.01 x 2 Yr UST 0.16% 0.25% 0.28% 0.73% 2
Slide 7: Agency Portfolio Update
Agency Portfolio Update As of 3/31/22 As of 12/31/21 1 $68.6 B Portfolio $82.0 B Portfolio AGNC Actual CPR Including Net TBA Position Including Net TBA Position Agency CMO, ARM Agency CMO, ARM 25% & Other $0.3 B 0% 20 Yr Fixed $1.7 B 3% & Other $0.3 B 0% 20 Yr Fixed $1.9 B 2% CRT & Non-Agency CRT &
Slide 8: Credit Portfolio Update
Credit Portfolio Update Credit Portfolio GSE CRT Portfolio Historical Credit Portfolio $1.7 B as of Mar 31, 2022 by Issuance Year CRT CMBS RMBS 2016 ($ in MM) 2022 8% 1% 2,400 2,200 2021 2017 RMBS 2,000 9% 16% $0.3 B 1,800 RMBS, $0.3 B, 19% 19% 1,600 2020 1,400 8% 1,200 1,000 CRT, $0.9 CRT B, 52% 80
Slide 9: Financing Summary
Financing Summary ▪ Our average Agency Repo cost for the Agency Repurchase Agreements 1 first quarter was 0.23%, compared to As of Mar 31, 2022 0.12% for the fourth quarter Maturity % Amount ($ MM) Interest Rate Days to Maturity • As of Mar 31, 2022, our Agency Repo cost ≤ 3 Mths 79% $34,668 0.35% 3
Slide 10: Hedging Summary
Hedging Summary ▪ Our hedge portfolio totaled $77.5 B and Hedge Portfolio Summary As of Mar 31, 2022 covered 121% of our funding liabilities (Agency Repo, other debt and net TBA Net Hedge Net Hedge Gains/ Gains/ Amount Duration (Losses) position) as of Mar 31, 2022, compared to $ in MM 3/31/2022 3/3
Slide 11: Duration Risk
Duration Risk 1,2 Duration Gap Sensitivity As of Mar 31, 2022 Rates Duration Rates - 100 bps 3/31/2022 + 100 bps 3 Mortgage Assets: 30-Year MBS 3.6 5.5 6.9 15-Year MBS and Other Securities 2.7 3.4 3.8 Total Mortgage Assets 3.5 5.3 6.6 Liabilities and Hedges (4.7) (5.0) (5.2) Net Duration Gap (1.2) 0
Slide 12: Financial Results
p> AGNC Financial Results
Slide 13: Balance Sheets
Balance Sheets ($ in millions, except per share data, unaudited except 12/31/21) 3/31/22 12/31/21 9/30/21 6/30/21 3/31/21 Agency Securities, at Fair Value $47,214 $52,396 $53,517 $57,896 $63,286 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 184 208 226 245 2
Slide 14: Income Statements
Income Statements ($ in millions, except per share data) (Unaudited) Q1 2022 Q4 2021 Q3 2021 Q2 2021 Q1 2021 Interest Income $475 $262 $293 $249 $557 Interest Expense (27) (15) (14) (17) (29) Net Interest Income 448 247 279 232 528 Realized Gain (Loss) on Sale of Investment Securities, Net (342) (64
Slide 15: Reconciliation of GAAP Net Interest Income to Net Spread and Dollar Roll Income
Reconciliation of GAAP Net Interest Income to Net Spread and Dollar Roll Income (a Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q1 2022 Q4 2021 Q3 2021 Q2 2021 Q1 2021 GAAP Net Interest Income: x x x x x Interest Income $475 $262 $293 $249 $557 Interest Expense (27) (15) (14)
Slide 16: Net Interest Spread Components by Funding Source
Net Interest Spread Components by Funding Source $ in millions (Unaudited) Q1 2022 Q4 2021 Q3 2021 Q2 2021 Q1 2021 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 $475 $262 $29
Slide 17: Reconciliation of GAAP Net Income to Taxable Income (Loss)
Reconciliation of GAAP Net Income to Taxable Income (Loss) (Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q1 2022 Q4 2021 Q3 2021 Q2 2021 Q1 2021 Net Income / (Loss) $(651) $(27) $212 $(411) $975 Book to Tax Differences: x x x x x Premium Amortization, Net (176) 13 (45) 1 (269
Slide 18: Net Book Value Roll Forward
Net Book Value Roll Forward Q1 2022 Common Net Book Value Shares per Common (In millions, except per share data) (Unaudited) Balance Outstanding Share 1 Beginning Net Common Equity $8,753 522.2 $16.76 Net Income (Loss) (651) x x Other Comprehensive Income (Loss), Net (491) x x Common Stock Dividend
Slide 19: Supplemental Slides
p> AGNC Supplemental Slides
Slide 20: AGNC Historical Overview
AGNC Historical Overview 1 2 Asset Composition ($ B) Tangible Net Book Value "At Risk" Leverage MBS TBA 11.0x $110 $100 10.0x 9.4x $90 9.2x $20.5 8.8x $80 $21.2 $29.5 $31.5 9.0x $24.8 8.5x $70 $27.7 $28.7 $27.6 7.9x $60 8.0x 7.7x 7.7x $19.5 7.5x 7.5x $50 $40 7.0x $71.8 $77.1 $68.0 $66.4 $65.5 $30 $5
Slide 21: AGNC Historical Overview
AGNC Historical Overview Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $1.60 $0.70 $1.50 $1.28 $1.16 $1.33 $1.00 $0.60 $0.37 $0.50 $0.48 $0.50 $0.00 $-0.50 $0.40 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $(0.31) $-1.00 $-1.50 $(0.97) $0.30 $-2.00 $0.20 $-2.50 $(
Slide 22: AGNC Historical Overview
AGNC Historical Overview 1 2 Average Asset Yield Average Cost of Funds 3.5% 2.2% 2.0% 2.97% 1.8% 1.67% 3.0% 1.6% 2.56% 1.4% 2.5% 1.2% 2.30% 2.28% 1.0% 0.88% 2.15% 2.16% 2.13% 2.07% 2.02% 0.8% 2.0% 0.6% 0.4% 0.15% 0.09% 0.2% 0.05% 0.02% 0.06% 1.5% 0.0% (0.2)% (0.03)% (0.02)% 1.0% (0.4)% Q1-20 Q2-20 Q
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, 2022 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 2.0% $5
Slide 24: Other Hedge and Derivative Instruments
Other Hedge and Derivative Instruments U.S. Treasury Position Net Long / (Short) ▪ U.S. Treasury Position As of Mar 31, 2022 ($ MM) Maturity Face Amount Market Value • $9.6 B net short U.S. Treasury securities 5 Year $(259) $(331) 7 Year (1,562) (1,464) • $6.6 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, 2022 ▪ 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 39%, the utilities sector by 154%, and the financials sector by 227% 1,3 Total Stock Return by Sector Since AGNC's May 2008 IPO through Mar 31, 2022 450% 400% 366% 350% 327% 300% 250% 212% 200% 150% 139% 131% 1
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 366% compared to 327% for the S&P 500 and 108% for the Bloomberg Mortgage REIT Index 1,3 Total Stock Return by Sector Since AGNC's May 2008 IPO through Mar 31, 2022 366% 327% 212% 139% 131% 108%
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, 2022 12% AGNC's dividend yield provides a 11.0% substantial income component to 11% returns
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, 2021 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, 2022. 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