Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q1 2024 Earnings Presentation
29 slides from Agnc Investment's earnings presentation, Apr 23, 2024
Slide 1: Q1 Stockholder Presentation
02 Q1 STOCKHOLDER PRESENTATION APRIL 23, 2024 THE PREMIER AGENCY RESIDENTIAL MORTGAGE REIT © 2024 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 $7.1 B Agency-guaranteed residential MBS investments paired with highly attract
Slide 4: Q1 2024 Highlights
Q1 2024 HIGHLIGHTS Key Metrics $8.84 $0.48 $0.58 Tangible Net Book Comprehensive Net Spread and Dollar Roll Value Per Share1 Income Per Share Income Per Share2 Performance 5.7% $0.36 $0.14 Economic Dividends Declared Change in Tangible Return3 Per Share Net Book Value Per Share Capital Highlights 14
Slide 5: Q1 2024 Other Highlights
Q1 2024 OTHER HIGHLIGHTS Portfolio1 Average Asset Yield2 $60.2 B $63.3 B 4.47% 4.56% Assets 10.4% 5.7% Avg. Projected Actual Q1 Portfolio Life CPR Portfolio CPR 12/31/23 3/31/24 4Q23 1Q24 Leverage3 Average Repo Cost4 Average Cost of Funds5 5.48% 5.45% 1.58% Funding and 7.0x 7.1x 1.39% Leverage 12/31
Slide 6: Market Highlights
MARKET HIGHLIGHTS1 Asset Yields: Current Coupon (CC) Agency MBS Spreads: CC Agency MBS Spread to 5/10 Year UST 7.0% (bps) 200 6.5% 6.0% 175 5.60% 5.5% 150 5.0% 139 4.5% 125 3/31/23 6/29/23 9/27/23 12/26/23 3/25/24 3/31/23 6/29/23 9/27/23 12/26/23 3/25/24 Interest Rates: 10 Year UST Interest Rate Vol
Slide 7: Market Update
MARKET UPDATE Q1 2024 x Q1 2024 2 Security 3/31/23 6/30/23 9/30/23 12/31/23 3/31/24 ∆ Rate % / Price x Security 3/31/23 6/30/23 9/30/23 12/31/23 3/31/24 ∆ Rate % / Price2 SOFR Swap Rates1 x Treasury Rates1 2 Yr Swap 4.06% 4.82% 4.97% 4.07% 4.55% +0.48% / -0.91 x 2 Yr UST 4.03% 4.90% 5.05% 4.25% 4.62
Slide 8: Agency Portfolio Update
AGENCY PORTFOLIO UPDATE As of 3/31/24 As of 12/31/23 $62.2 B Portfolio $59.1 B Portfolio AGNC Actual CPR1 30 Yr Fixed ≤ 15 Yr Fixed 30 Yr Fixed ≤ 15 Yr Fixed 20 Yr Fixed Agency CMO, ARM & Other 20 Yr Fixed Agency CMO, ARM & Other 8% $0.7 B, 1.2% $0.8 B, 1.3% 7.0% $1.0 B, 1.5% $0.6 B, 1.1% 6.6% $0.2
Slide 9: Credit Portfolio Update
CREDIT PORTFOLIO UPDATE1 Credit Portfolio GSE CRT Portfolio $1.0 B as of Mar 31, 2024 by Issuance Year Historical Credit Portfolio CRT CMBS RMBS 2018 2019 2020 2021 2022 CRT CMBS RMBS ($ in B) $2.0 $1.8 1% 3% $1.7 $1.7 8% 19% $1.5 $1.4 27% $1.3 $1.0 $1.0 $1.0 $1.0 23% $1.0 $0.5 72% $0.0 47% 2 2 2 22
Slide 10: Financing Summary
FINANCING SUMMARY Our average repo cost was 5.45% for the first quarter, compared to 5.48% for the fourth quarter1 Investment Securities Repurchase Agreements1 As of Mar 31, 2024 Investment Securities Repo ▪ As of Mar 31, 2024, our repo cost was 5.46%, Maturity Amount Interest Days to (Months) % ($
Slide 11: Hedging Summary
HEDGING SUMMARY Our hedge portfolio totaled $56.3 B and covered 99% of our funding liabilities (Investment Securities Repo, other debt and net TBA position) as of Mar 31, 2024, compared to 112% as of Dec 31, 2023 Hedge Portfolio Summary As of Mar 31, 2024 Net Hedge Net Hedge Gains/ Interest Rate Swa
Slide 12: Duration Risk
DURATION RISK Duration is a model estimate of interest rate sensitivity measured in years as of a point in time Duration Gap Sensitivity1,2 As of Mar 31, 2024 Rates Duration Rates - 100 bps 3/31/2024 + 100 bps Mortgage Assets: 3 30-Year MBS 3.0 4.3 5.2 15-Year MBS and Other Securities 2.9 3.3 3.5 To
Slide 13: Financial Results
FINANCIAL RESULTS
Slide 14: Balance Sheets
BALANCE SHEETS ($ in millions, except per share data, unaudited except 12/31/23) 3/31/24 12/31/23 9/30/23 6/30/23 3/31/23 Agency Securities, at Fair Value $53,615 $53,673 $55,758 $46,572 $44,925 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 114 121 120 131 1
Slide 15: Income Statements
INCOME STATEMENTS ($ in millions, except per share data) (Unaudited) Q1 2024 Q4 2023 Q3 2023 Q2 2023 Q1 2023 Interest Income $642 $640 $593 $457 $351 Interest Expense (672) (666) (646) (526) (449) Net Interest Income (30) (26) (53) (69) (98) Realized Loss on Sale of Investment Securities, Net (91) (
Slide 16: Reconciliation of GAAP Comprehensive Income to Net Spread and Dollar Roll Income
RECONCILIATION OF GAAP COMPREHENSIVE INCOME (LOSS) TO NET SPREAD AND DOLLAR ROLL INCOME (A NON-GAAP MEASURE) ($ in millions, except per share data) (Unaudited) Q1 2024 Q4 2023 Q3 2023 Q2 2023 Q1 2023 Comprehensive Income (Loss) Available (Attributable) to Common Stockholders $335 $672 $(636) $190 $(
Slide 17: Net Interest Spread Components by Funding Source
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE $ in millions (Unaudited) Q1 2024 Q4 2023 Q3 2023 Q2 2023 Q1 2023 Adjusted Net Interest and Dollar Roll Income: Economic Interest Income: x x x x x Investment Securities - GAAP Interest Income $642 $640 $593 $457 $351 Estimated "Catch-Up" Premium Amor
Slide 18: Supplemental Slides
SUPPLEMENTAL SLIDES
Slide 19: AGNC Historical Overview
AGNC HISTORICAL OVERVIEW Asset Composition ($ B)1 Tangible Net Book Value "At Risk" Leverage2 MBS TBA 9.0x 8.7x $80 $68.6 $61.3 $61.5 $63.3 7.9x $59.5 $59.3 $60.2 8.0x $56.8 $58.0 $60 $19.5 $2.4 $8.4 7.5x $5.4 7.4x 7.4x $15.9 $17.9 $10.4 $10.2 7.2x 7.2x 7.1x $18.6 7.0x 7.0x $40 $57.0 $54.9 $54.8 $49
Slide 20: AGNC Historical Overview (Continued)
AGNC HISTORICAL OVERVIEW (CONTINUED) Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $0.50 $1.17 $1.00 $1.00 $0.40 $0.48 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.32 $0.00 $0.30 $(0.07) $(1.00) $0.20 $(1.02) $(1.34) $(2.00) $0.10 $(2.01) $(2.23) $(3.00) $
Slide 21: AGNC Historical Overview (Continued)
AGNC HISTORICAL OVERVIEW (CONTINUED) Average Asset Yield1 Average Cost of Funds2 5.0% 1.58% 4.47% 4.56% 1.6% 4.5% 4.20% 1.39% 1.4% 3.90% 3.89% 4.0% 3.68% 1.17% 1.2% 3.31% 1.02% 3.5% 1.0% 2.88% 3.0% 0.8% 0.61% 0.63% 2.5% 2.28% 0.6% 2.0% 0.4% 0.34% 1.5% 0.2% 0.14% 0.09% 1.0% 0.0% Q1-22 Q2-22 Q3-22 Q4-
Slide 22: Fixed Rate Agency Securities – MBS and Net TBA Position
FIXED RATE AGENCY SECURITIES – MBS AND NET TBA POSITION $ in millions – as of Mar 31, 2024 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 ≤ 2.5% $5
Slide 23: Other Hedge and Derivative Instruments
OTHER HEDGE AND DERIVATIVE INSTRUMENTS U.S. Treasury Position Net Long / (Short) As of Mar 31, 2024 ($ MM) U.S. Treasury Position Years to Maturity Face Amount Market Value ▪ $10.3 B short U.S. Treasury securities, net ≤5 $586 $605 >5 to ≤7 (1,468) (1,441) ▪ $3.5 B short U.S. Treasury futures >7 to
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 portfolio and tangible common equity Interest Rate Sensitivity MBS Spread Sensitivity (“Basis Risk”) ▪ The estimated sensitivity of our assets, net of hedges,
Slide 25: Endnotes
ENDNOTES Slide 3 Slide 5 1. As of Apr 15, 2024. 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 26: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 8 Slide 12 1. Weighted average actual 1 month annualized CPR released at the beginning of each month 1. Duration is a model estimate of interest rate sensitivity measured in years as of a point in time. based on securities held as of the preceding month-end, excludes net T
Slide 27: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 19 Slide 24 1. MBS includes CRT securities and other credit investments; TBA includes forward settling non- 1. Interest rate and MBS spread sensitivity are derived from models that are dependent on Agency securities. inputs and assumptions provided by third parties as well
Slide 28: 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
Slide 29: Contact Us
Contact Us 7373 Wisconsin Avenue (301) 968-9315 www.AGNC.com 22nd Floor IR@AGNC.com Nasdaq: AGNC Bethesda, MD 20814 Media@AGNC.com Connect With Us