Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q4 2022 Earnings Presentation
27 slides from Agnc Investment's earnings presentation, Jan 31, 2023
Slide 1: Q4 2022 Stockholder Presentation
Q4 2022 Stockholder Presentation January 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 $9.84 Per Share 1 2 IPO Date: Total Dividends Paid Since IPO : Total Common Equity Capital : May 2008 $45.76 Per Share $6.2 B Type: Preferred Stock Depositary Aggregat
Slide 4: Q4 2022 Highlights
Q4 2022 Highlights ▪ $1.17 Comprehensive Income per Share, Comprised of: • $0.93 net income per share • $0.24 other comprehensive income (“OCI”) per share on investments marked-to-market through OCI ▪ $0.74 Net Spread and Dollar Roll Income per Share, Excluding Estimated “Catch- 1 Up” Premium Amorti
Slide 5: Q4 2022 Other Highlights
Q4 2022 Other Highlights ▪ $59.5 B Investment Portfolio as of Dec 31, 2022 • $39.5 B Agency MBS • $18.6 B net TBA mortgage position • $1.4 B credit risk transfer (“CRT”) and non-Agency securities 1 ▪ 7.4x Tangible Net Book Value “At Risk” Leverage as of Dec 31, 2022 • 7.8x average tangible net book
Slide 6: 2022 Full Year Highlights
2022 Full Year Highlights ▪ $(4.22) Comprehensive Loss per Share, Comprised of: • $(2.41) net loss per share • $(1.81) OCI per share ▪ $3.11 Net Spread and Dollar Roll Income per Share, Excluding Estimated "Catch- 1 Up" Premium Amortization Benefit • Includes $0.96 per share of dollar roll income •
Slide 7: Market Update
Market Update Q4 2022 x Q4 2022 2 2 Security 12/31/21 3/31/22 6/30/22 9/30/22 12/31/22 Δ Rate % / Price x Security 12/31/21 3/31/22 6/30/22 9/30/22 12/31/22 Δ Rate % / Price 1 1 SOFR Swap Rates x Treasury Rates 2 Yr Swap 0.74% 2.28% 2.99% 4.25% 4.45% +0.20% / -0.36 x 2 Yr UST 0.73% 2.34% 2.96% 4.28%
Slide 8: Agency Portfolio Update
Agency Portfolio Update As of 12/31/22 As of 9/30/22 1 $59.5 B Portfolio $61.5 B Portfolio AGNC Actual CPR Including Net TBA Position Including Net TBA Position Agency CMO, Agency CMO, 10% ARM & Other $0.3 20 Yr Fixed $1.4 B 2% ARM & Other $0.3 20 Yr Fixed $1.5 B 2% 9% B 1% B 1% 9% CRT & Non- CRT &
Slide 9: Credit Portfolio Update
1 Credit Portfolio Update Credit Portfolio GSE CRT Portfolio Historical Credit Portfolio $1.4 B as of Dec 31, 2022 by Issuance Year CRT CMBS RMBS ($ in MM) 2022 2,400 12% 2017 RMBS 6% 2,200 $0.1 B 2,000 RMBS, $0.1 B, 6% 6% 1,800 2021 10% 1,600 2018 25% 1,400 1,200 CMBS, CMBS $0.6 B, 40% 2020 1,000 C
Slide 10: Financing Summary
Financing Summary ▪ Our average Agency Repo cost for the Agency Repurchase Agreements 1 fourth quarter was 3.55%, compared to As of Dec 31, 2022 1.89% for the third quarter Maturity % Amount ($ MM) Interest Rate Days to Maturity • As of Dec 31, 2022, our Agency Repo cost ≤ 3 Mths 96% $34,475 4.43% 1
Slide 11: Hedging Summary
Hedging Summary ▪ Our hedge portfolio totaled $67.6 B and Hedge Portfolio Summary As of Dec 31, 2022 covered 124% of our funding liabilities Net Hedge Net Hedge (Agency Repo, other debt and net TBA Amount Duration Gains/ (Losses) Gains/ (Losses) Per Share position) as of Dec 31, 2022, compared to 1
Slide 12: Duration Risk
Duration Risk 1,2 Duration Gap Sensitivity As of Dec 31, 2022 Rates Duration Rates - 100 bps 12/31/2022 + 100 bps 3 Mortgage Assets: 30-Year MBS 4.3 5.2 5.8 15-Year MBS and Other Securities 3.5 3.7 3.6 Total Mortgage Assets 4.2 5.1 5.6 Liabilities and Hedges (4.7) (4.7) (4.6) Net Duration Gap (0.5)
Slide 13: Financial Results
p> AGNC Financial Results
Slide 14: Balance Sheets
Balance Sheets ($ in millions, except per share data, unaudited except 12/31/21) 12/31/22 9/30/22 6/30/22 3/31/22 12/31/21 Agency Securities, at Fair Value $39,346 $41,740 $43,459 $47,214 $52,396 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 144 149 167 184
Slide 15: Income Statements
Income Statements ($ in millions, except per share data) (Unaudited) Q4 2022 Q3 2022 Q2 2022 Q1 2022 Year 2022 Interest Income $347 $373 $395 $475 $1,590 Interest Expense (322) (196) (80) (27) (625) Net Interest Income 25 177 315 448 965 Realized Loss on Sale of Investment Securities, Net (1,068) (5
Slide 16: Reconciliation of GAAP Comprehensive Income to Net Spread and Dollar Roll Income
Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income (a Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q4 2022 Q3 2022 Q2 2022 Q1 2022 Year 2022 Comprehensive Income (Loss) Available (Attributable) to Common Stockholders $667 $(1,064) $(704) $
Slide 17: Net Interest Spread Components by Funding Source
Net Interest Spread Components by Funding Source $ in millions (Unaudited) Q4 2022 Q3 2022 Q2 2022 Q1 2022 Year 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 $347 $373 $
Slide 18: 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) Q4 2022 Q3 2022 Q2 2022 Q1 2022 Year 2022 Net Income / (Loss) $561 $(666) $(434) $(651) $(1,190) Book to Tax Differences: x x x x x Premium Amortization, Net 20 (15) (78)
Slide 19: Net Book Value Roll Forward
Net Book Value Roll Forward Q4 2022 Year 2022 Common Net Book Value Common Net Book Value Shares per Common Shares per Common (In millions, except per share data) (Unaudited) Balance Outstanding Share Balance Outstanding Share 1 Beginning Net Common Equity $5,534 551.3 $10.04 $8,753 522.2 $16.76 Net
Slide 20: Supplemental Slides
p> AGNC Supplemental Slides
Slide 21: AGNC Historical Overview
AGNC Historical Overview 1 2 Asset Composition ($ B) Tangible Net Book Value "At Risk" Leverage MBS TBA 10.0x $110 $100 9.0x 8.7x $90 8.5x $80 $31.5 $24.8 7.9x $27.7 8.0x 7.7x 7.7x $70 $28.7 $27.6 7.5x 7.5x 7.4x 7.4x $60 $19.5 $50 $15.9 $17.9 $18.6 7.0x $40 $30 $66.4 $65.5 $59.8 $55.4 $54.4 $49.1 6.
Slide 22: AGNC Historical Overview
AGNC Historical Overview Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $0.50 $1.50 $1.16 $1.33 $1.17 $1.00 $0.37 $0.40 $0.50 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.00 $-0.50 $0.30 $(0.31) $-1.00 $(0.97) $-1.50 $0.20 $(1.34) $-2.00 $-2.50 $(2.01) $(2.
Slide 23: AGNC Historical Overview
AGNC Historical Overview 1 2 Average Asset Yield Average Cost of Funds 4.0% 1.0% 0.94% 3.68% 3.5% 3.31% 0.8% 3.0% 2.88% 0.6% 0.50% 2.5% 2.28% 0.4% 2.15% 2.16% 2.13% 2.07% 2.02% 0.18% 2.0% 0.2% 0.06% 0.09% 0.05% 0.02% 1.5% 0.0% (0.03)% (0.02)% 1.0% (0.2)% Q4-20 Q1-21 Q2-21 Q3-21 Q4-21 Q1-22 Q2-22 Q3-
Slide 24: Fixed Rate Agency Securities – MBS and Net TBA Position
Fixed Rate Agency Securities – MBS and Net TBA Position $ in millions – as of Dec 31, 2022 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 25: Other Hedge and Derivative Instruments
Other Hedge and Derivative Instruments U.S. Treasury Position Net Long / (Short) ▪ U.S. Treasury Position Maturity As of Dec 31, 2022 ($ MM) Face Amount Market Value • $6.2 B short U.S. Treasury securities, net 5 Year $356 $353 • $10.5 B short U.S. Treasury futures 7 Year (545) (473) 10 Year (14,131
Slide 26: 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 Dec 31, 2022 ▪ Interest Rate Sensitivity (based on instantaneous parallel shift in interest rates) • The estimated cha
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," "net spread and dollar roll income, e