Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q4 2021 Earnings Presentation
33 slides from Agnc Investment's earnings presentation, Feb 1, 2022
Slide 1: Q4 2021 Stockholder Presentation
Q4 2021 Stockholder Presentation February 1, 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 $15.75 Per Share 1 2 IPO Date: Total Dividends Paid Since IPO : Total Common Equity Capital : May 2008 $44.32 Per Share $8.8 B Type: Preferred Stock Depositary Aggrega
Slide 4: Q4 2021 Highlights
Q4 2021 Highlights ▪ $(0.31) Comprehensive Loss per Share, Comprised of: • $(0.10) net loss per share • $(0.21) other comprehensive loss (“OCI”) per share on investments marked-to-market through OCI ▪ $0.75 Net Spread and Dollar Roll Income per Share, Excluding Estimated “Catch- 1 Up” Premium Amorti
Slide 5: Q4 2021 Other Highlights
Q4 2021 Other Highlights ▪ $82.0 B Investment Portfolio as of Dec 31, 2021 • $52.6 B Agency MBS • $27.1 B net TBA mortgage position 1 • $2.3 B credit risk transfer ("CRT") and non-Agency securities 2 ▪ 7.7x Tangible Net Book Value “At Risk” Leverage as of Dec 31, 2021 • 7.6x average tangible net boo
Slide 6: 2021 Full Year Highlights
2021 Full Year Highlights ▪ $0.44 Comprehensive Income per Share, Comprised of: • $1.22 net income per share • $(0.78) OCI per share ▪ $3.02 Net Spread and Dollar Roll Income per Share, Excluding Estimated "Catch- 1 Up" Premium Amortization Benefit • Includes $1.24 per share of dollar roll income •
Slide 7: Market Update
Market Update Q4 2021 x Q4 2021 2 2 Security 12/31/20 3/31/21 6/30/21 9/30/21 12/31/21 🜂 Rate % / Price x Security 12/31/20 3/31/21 6/30/21 9/30/21 12/31/21 🜂 Rate % / Price 1 1 SOFR Swap Rates x Treasury Rates 2 Yr Swap 0.06% 0.12% 0.19% 0.24% 0.74% +0.50% / -1.00 x 2 Yr UST 0.12% 0.16% 0.25%…
Slide 8: Agency Portfolio Update
Agency Portfolio Update As of 12/31/21 As of 9/30/21 1 $82.0 B Portfolio $84.1 B Portfolio AGNC Actual CPR Including Net TBA Position Including Net TBA Position Agency CMO, ARM & Agency CMO, ARM & 32% Other $0.3 B 0% 20 Yr Fixed $1.9 B 2% Other $0.3 B 0% 20 Yr Fixed $2.1 B 2% 28% CRT & Non-Agency CR
Slide 9: Credit Portfolio Update
Credit Portfolio Update Credit Portfolio GSE CRT Portfolio 1 Historical Credit Portfolio $2.3 B as of Dec 31, 2021 by Issuance Year CRT CMBS RMBS 2016 ($ in MM) 2021 3% 2,400 13% 2,200 2017 2,000 13% 1,800 RMBS 2020 1,600 8% $0.8 B RMBS, $0.8 B, 34% 1,400 34% 1,200 CRT, CRT $1.0 B, 43% $1.0 B 1,000
Slide 10: Financing Summary
Financing Summary ▪ Our average Agency Repo cost for the Agency Repurchase Agreements 1 fourth quarter was 0.12%, unchanged As of Dec 31, 2021 from the third quarter Maturity % Amount ($ MM) Interest Rate Days to Maturity • As of Dec 31, 2021, our Agency Repo cost ≤ 3 Mths 82% $38,528 0.14% 31 was 0
Slide 11: Hedging Summary
Hedging Summary ▪ Our hedge portfolio totaled $75.4 B and Hedge Portfolio Summary As of Dec 31, 2021 covered 101% of our funding liabilities (Agency Repo, other debt and net TBA Net Hedge Net Hedge Gains/ Gains/ Amount Duration (Losses) position) as of Dec 31, 2021, compared to $ in MM 12/31/2021 12
Slide 12: Duration Risk
Duration Risk 1,2 Duration Gap Sensitivity As of Dec 31, 2021 Rates Duration Rates - 100 bps 12/31/2021 + 100 bps 3 Mortgage Assets: 30-Year MBS 1.4 4.3 6.7 15-Year MBS and Other Securities 1.5 2.8 3.7 Total Mortgage Assets 1.4 4.1 6.4 Liabilities and Hedges (3.7) (4.0) (4.4) Net Duration Gap (2.3)
Slide 13: Financial Results
p> AGNC Financial Results
Slide 14: Balance Sheets
Balance Sheets ($ in millions, except per share data, unaudited except 12/31/20) 12/31/21 9/30/21 6/30/21 3/31/21 12/31/20 Agency Securities, at Fair Value $52,396 $53,517 $57,896 $63,286 $64,836 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 208 226 245 270
Slide 15: Income Statements
Income Statements ($ in millions, except per share data) (Unaudited) Q4 2021 Q3 2021 Q2 2021 Q1 2021 Year 2021 Interest Income $262 $293 $249 $557 $1,361 Interest Expense (15) (14) (17) (29) (75) Net Interest Income 247 279 232 528 1,286 Realized Gain (Loss) on Sale of Investment Securities, Net (64
Slide 16: Reconciliation of GAAP Net Interest Income to Net Spread and Dollar Roll Income
Reconciliation of GAAP Net Interest Income to Net Spread and Dollar Roll Income (a Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q4 2021 Q3 2021 Q2 2021 Q1 2021 Year 2021 GAAP Net Interest Income: x x x x x Interest Income $262 $293 $249 $557 $1,361 Interest Expense (15) (14)
Slide 17: Net Interest Spread Components by Funding Source
Net Interest Spread Components by Funding Source $ in millions (Unaudited) Q4 2021 Q3 2021 Q2 2021 Q1 2021 Year 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 $262 $293 $
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 2021 Q3 2021 Q2 2021 Q1 2021 Year 2021 Net Income / (Loss) $(27) $212 $(411) $975 $749 Book to Tax Differences: x x x x x Premium Amortization, Net 13 (45) 1 (269) (300
Slide 19: Net Book Value Roll Forward
Net Book Value Roll Forward Q4 2021 Year 2021 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 $9,141 524.9 $17.41 $9,541 539.5 $17.68 Net
Slide 20: Supplemental Slides
p> AGNC Supplemental Slides
Slide 21: AGNC Historical Overview
AGNC Historical Overview 1 2 Asset Composition ($ B) Tangible Net Book Value "At Risk" Leverage MBS TBA 11.0x $110 $100 $7.4 10.0x 9.4x 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 7.5x $50 $100.4 $40 7.0x $71.8 $77.1 $68.0 $66.4 $65.5
Slide 22: AGNC Historical Overview
AGNC Historical Overview Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $1.59 $1.60 $0.70 $1.50 $1.28 $1.16 $1.33 $1.00 $0.60 $0.37 $0.50 $0.48 $0.48 $0.50 $0.00 $-0.50 $0.40 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $(0.31) $-1.00 $-1.50 $(0.97) $0.30 $-2.00 $0.20 $-2
Slide 23: AGNC Historical Overview
AGNC Historical Overview 1 2 Average Asset Yield Average Cost of Funds 3.5% 2.2% 2.0% 3.09% 1.76% 2.97% 1.8% 1.67% 3.0% 1.6% 2.56% 1.4% 2.5% 1.2% 2.30% 1.0% 0.88% 2.15% 2.16% 2.13% 2.07% 2.02% 0.8% 2.0% 0.6% 0.4% 0.15% 0.2% 0.05% 0.02% 0.06% 1.5% 0.0% (0.2)% (0.03)% (0.02)% 1.0% (0.4)% Q4-19 Q1-20 Q
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, 2021 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 1.5% $1
Slide 25: Other Hedge and Derivative Instruments
Other Hedge and Derivative Instruments U.S. Treasury Position Net Long / (Short) ▪ U.S. Treasury Position As of Dec 31, 2021 ($ MM) Maturity Face Amount Market Value • $9.2 B short U.S. Treasury securities 5 Year $(310) $(293) 7 Year (1,218) (1,206) • $2.0 B short U.S. Treasury futures 10 Year (9,09
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, 2021 ▪ Interest Rate Sensitivity (based on instantaneous parallel shift in interest rates) • The estimated cha
Slide 27: Appendix
p> AGNC Appendix
Slide 28: Broad Market Outperformance Since IPO
Broad Market Outperformance Since IPO Since its IPO, AGNC has outperformed the S&P 500 by 74%, the utilities sector by 224%, and the financials sector by 280% 1,3 Total Stock Return by Sector Since AGNC's May 2008 IPO through Dec 31, 2021 500% 450% 422% 400% 348% 350% 300% 250% 198% 200% 146% 142% 1
Slide 29: 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 422% compared to 348% for the S&P 500 and 118% for the Bloomberg Mortgage REIT Index 1,3 Total Stock Return by Sector Since AGNC's May 2008 IPO through Dec 31, 2021 422% 348% 198% 146% 142% 118%
Slide 30: 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 Dec 31, 2021 11% AGNC's dividend yield provides a substantial income component to 10% 9.6% returns 9
Slide 31: 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 Sep 30, 2021 Residential mREIT Group Averages Large Residential mREITs ($2 Billion+ in Stockhold
Slide 32: Endnotes
Endnotes 1. Stock return is measured from AGNC’s IPO through Dec 31, 2021. 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 33: 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