Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — American Capital Agency — Morgan Stanley Financials Conference 2013
11 slides from Agnc Investment's conference presentation, Jun 11, 2013
Slide 1: Morgan Stanley Financials Conference June 12, 2013
© 2013 American Capital Agency Corp. All Rights Reserved. Morgan Stanley Financials Conference June 12, 2013
Slide 2: Safe Harbor Statement
Nasdaq: AGNC 2 Safe Harbor Statement 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 Reform Act of 1995 (the “Reform Act”). All such forward- looking
Slide 3: Corporate Overview
Nasdaq: AGNC Corporate Overview Summary American Capital Agency Corp. is a real estate investment trust that invests in and manages a levered portfolio of residential mortgage-backed securities for which the principal and interest payments are guaranteed by a U.S. government-sponsored entity (Fa
Slide 4: Market Update
Nasdaq: AGNC Market Update 4 Agency MBS have underperformed swaps and treasuries recently as market participants positioned for higher rates and the possibility that the Federal Reserve (FED) may begin to taper its asset purchase program Security 9/30/12 12/31/12 3/31/13 6/07/13 Q2TD 2013 % ∆ Q2TD 2
Slide 5: Specified Pool Pay-Ups Since QE3
Nasdaq: AGNC Specified Pool Pay-Ups Since QE3 5 The price pay-up for prepay protected MBS has fallen further in the second quarter as rates increased and investor sentiment continued to shift toward up rate protection Specified Pool Price vs. Generic TBA Price (“Pay-up”) (1) Coupon Pre-QE3 12/31/201
Slide 6: Agency MBS Spread Performance
Nasdaq: AGNC -30 -20 -10 0 10 20 30 40 50 60 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 2013 Agency MBS Spread Performance 6 Agency MBS spreads relative to swaps have widened significantly since the announcement of QE3 despite massive FED purchases totaling approximately $625 billion (1). We believe
Slide 7: AGNC's Approach to the Current Environment
Nasdaq: AGNC AGNC’s Approach to the Current Environment ♦ Our leverage has remained within a reasonable band during the quarter despite declines in book value Current aggregate leverage (TBAs + on balance sheet assets) is not significantly different from our first quarter average of 8.2x and has n
Slide 8: Managing Mortgage Extension Risk
Nasdaq: AGNC Managing Mortgage Extension Risk (1) 8 Our hedges, coupled with ongoing portfolio rebalancing actions, have allowed us to maintain a conservative interest rate risk profile despite the rise in interest rates (2) 1. Extension risk is the risk that the duration of a mortgage security incr
Slide 9: Significant Capacity to Withstand Market Disruptions
Nasdaq: AGNC 9 Significant Capacity to Withstand Market Disruptions We believe we have the capacity to withstand significant market disruptions given that we have significant equity available to absorb potential reductions to book value, higher margin requirements, or other unexpected cash needs ♦ A
Slide 10: Outlook for MBS
Nasdaq: AGNC 10 Outlook for MBS We believe the intermediate term outlook (next 3-12 months) is positive for Agency MBS given current valuations and favorable supply and demand dynamics even with gradual FED tapering ♦ It is reasonable to expect significant near term volatility in both interest rates
Slide 11: End of Formal Presentation
Nasdaq: AGNC End of Formal Presentation
American Capital Agency — Morgan Stanley Financials Conference 2013 on 6ix