Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q3 2023 Earnings Presentation
25 slides from Agnc Investment's earnings presentation, Oct 31, 2023
Slide 1: Q3 2023 Stockholder Presentation
Q3 2023 Stockholder Presentation October 31, 2023 © 2023 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 $8.08 Per Share 1 2 IPO Date: Total Dividends Paid Since IPO : Total Common Equity Capital : May 2008 $46.84 Per Share $5.8 B Type: Preferred Stock Depositary Aggregat
Slide 4: Q3 2023 Highlights
Q3 2023 Highlights ▪ $(1.02) Comprehensive Loss per Share, Comprised of: • $(0.68) net loss per share • $(0.34) other comprehensive loss (“OCI”) per share on investments marked-to-market through OCI ▪ $0.65 Net Spread and Dollar Roll Income per Share, Excluding Estimated “Catch- 1 Up” Premium Amorti
Slide 5: Q3 2023 Other Highlights
Q3 2023 Other Highlights ▪ $59.3 B Investment Portfolio as of Sep 30, 2023 • $55.9 B Agency MBS • $2.4 B net TBA mortgage position • $1.1 B credit risk transfer ("CRT") and non-Agency securities and other mortgage credit investments 1 ▪ 7.9x Tangible Net Book Value “At Risk” Leverage as of Sep 30, 2
Slide 6: Market Update
Market Update Q3 2023 x Q3 2023 2 2 Security 9/30/22 12/31/22 3/31/23 6/30/23 9/30/23 Δ Rate % / Price x Security 9/30/22 12/31/22 3/31/23 6/30/23 9/30/23 Δ Rate % / Price 1 1 SOFR Swap Rates x Treasury Rates 2 Yr Swap 4.25% 4.45% 4.06% 4.82% 4.97% +0.15% / -0.29 x 2 Yr UST 4.28% 4.43% 4.03% 4.90% 5
Slide 7: Agency Portfolio Update
Agency Portfolio Update As of 9/30/23 As of 6/30/23 1 $59.3 B Portfolio $58.0 B Portfolio AGNC Actual CPR Including Net TBA Position Including Net TBA Position Agency CMO, ARM Agency CMO, ARM & Other $0.5 B 1% 20 Yr Fixed $1.2 B 2% & Other $0.5 B 1% 20 Yr Fixed $1.3 B 2% 8% 7% CRT & Non-Agency CRT &
Slide 8: Credit Portfolio Update
1 Credit Portfolio Update Credit Portfolio GSE CRT Portfolio Historical Credit Portfolio $1.0 B as of Sep 30, 2023 by Issuance Year CRT CMBS RMBS ($ in MM) 2022 2,400 2021 4% 2017 RMBS 8% 2,200 2% $— B 2,000 RMBS, $0.04 B, 4% 4% 1,800 2018 CMBS,CMBS $0.3 B, 26% 23% 1,600 $0.3 B 2020 1,400 26% 19% 1,
Slide 9: Financing Summary
Financing Summary ▪ Our average repo cost for the third Investment Securities Repurchase Agreements 1 quarter was 5.37%, compared to As of Sep 30, 2023 1 5.01% for the second quarter Maturity (Mths) % Amount ($ MM) Interest Rate Days to Maturity • As of Sep 30, 2023, our repo cost was 5.47%, ≤3 100%
Slide 10: Hedging Summary
Hedging Summary ▪ Our hedge portfolio totaled $63.2 B and Hedge Portfolio Summary As of Sep 30, 2023 covered 116% of our funding liabilities Net Hedge Net Hedge (Investment Securities Repo, other debt and Amount (Long)/Short Duration Gains/ (Losses) Gains/ (Losses) Per Share net TBA position) as of
Slide 11: Duration Risk
Duration Risk 1,2 Duration Gap Sensitivity As of Sep 30, 2023 Rates Duration Rates - 100 bps 9/30/2023 + 100 bps 3 Mortgage Assets: 30-Year MBS 4.2 5.0 5.5 15-Year MBS and Other Securities 3.6 3.7 3.6 Total Mortgage Assets 4.2 4.9 5.3 Liabilities and Hedges (4.7) (4.7) (4.6) Net Duration Gap (0.5) 0
Slide 12: Financial Results
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Slide 13: Balance Sheets
Balance Sheets ($ in millions, except per share data, unaudited except 12/31/22) 9/30/23 6/30/23 3/31/23 12/31/22 9/30/22 Agency Securities, at Fair Value $55,758 $46,572 $44,925 $39,346 $41,740 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 120 131 140 144 1
Slide 14: Income Statements
Income Statements ($ in millions, except per share data) (Unaudited) Q3 2023 Q2 2023 Q1 2023 Q4 2022 Q3 2022 Interest Income $593 $457 $351 $347 $373 Interest Expense (646) (526) (449) (322) (196) Net Interest Income (53) (69) (98) 25 177 Realized Loss on Sale of Investment Securities, Net (534) (25
Slide 15: Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income
Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income (a Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q3 2023 Q2 2023 Q1 2023 Q4 2022 Q3 2022 Comprehensive Income (Loss) Available (Attributable) to Common Stockholders $(636) $190 $(39) $667 $
Slide 16: Net Interest Spread Components by Funding Source
Net Interest Spread Components by Funding Source $ in millions (Unaudited) Q3 2023 Q2 2023 Q1 2023 Q4 2022 Q3 2022 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 $593 $457 $35
Slide 17: Tangible Net Book Value Roll Forward
Tangible Net Book Value Roll Forward Q3 2023 Tangible Common Shares Net Book Value (In millions, except per share data) (Unaudited) Balance Outstanding per Common Share Beginning Tangible Common Equity $5,664 603.3 $9.39 Net Income (Loss) (392) x x Other Comprehensive Income (Loss), Net (213) x x Co
Slide 18: Supplemental Slides
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Slide 19: AGNC Historical Overview
AGNC Historical Overview 1 2 Asset Composition ($ B) Tangible Net Book Value "At Risk" Leverage MBS TBA 9.0x 8.7x $90 $80 7.9x 8.0x 7.7x $70 $28.7 $27.6 7.5x 7.5x 7.4x 7.4x $60 $19.5 7.2x 7.2x $2.4 $50 $15.9 $17.9 $10.4 $10.2 7.0x $18.6 $40 $30 $55.4 $57.0 $54.4 6.0x $49.1 $45.4 $43.6 $46.4 $47.8 $2
Slide 20: AGNC Historical Overview
AGNC Historical Overview Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $0.50 $1.50 $1.17 $1.00 $0.40 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.50 $0.37 $0.32 $0.00 $0.30 $(0.07) $-0.50 $(0.31) $-1.00 $0.20 $(1.02) $-1.50 $(1.34) $-2.00 $0.10 $(2.01) $-2
Slide 21: AGNC Historical Overview
AGNC Historical Overview 1 2 Average Asset Yield Average Cost of Funds 4.5% 4.20% 1.17% 1.2% 4.0% 3.90% 3.89% 1.02% 3.68% 1.0% 3.5% 3.31% 0.8% 2.88% 0.61% 0.63% 3.0% 0.6% 2.5% 2.28% 0.4% 0.34% 2.16% 2.13% 2.0% 0.2% 0.14% 0.09% 1.5% 0.0% (0.03)% (0.02)% 1.0% (0.2)% Q3-21 Q4-21 Q1-22 Q2-22 Q3-22 Q4-22
Slide 22: Fixed Rate Agency Securities – MBS and Net TBA Position
Fixed Rate Agency Securities – MBS and Net TBA Position $ in millions – as of Sep 30, 2023 Weighted MBS MBS MBS Average Amortized Cost WALA Actual 1 Month Duration 1 2 2 3 1 4 4,5 4,6 2,7 MBS Coupon Par Value Market Value Specified Pools Coupon Basis (Months) CPR (Years) ≤15 YR Mortgage Securities ≤
Slide 23: Other Hedge and Derivative Instruments
Other Hedge and Derivative Instruments U.S. Treasury Position Net Long / (Short) ▪ U.S. Treasury Position Years to Maturity As of Sep 30, 2023 ($ MM) Face Amount Market Value • $8.8 B short U.S. Treasury securities, net ≤5 $(845) $(819) • $9.9 B short U.S. Treasury futures >5 to ≤7 (5,872) (6,129) >
Slide 24: 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 Sep 30, 2023 ▪ Interest Rate Sensitivity (based on instantaneous parallel shift in interest rates) • The estimated cha
Slide 25: 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