Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q4 2020 Earnings Presentation
33 slides from Agnc Investment's earnings presentation, Jan 26, 2021
Slide 1: Q4 2020 Stockholder Presentation
Q4 2020 Stockholder Presentation January 26, 2021 © 2021 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 $16.71 Per Share 1 2 IPO Date: Total Dividends Paid Since IPO : Total Common Equity Capital : May 2008 $42.88 Per Share $9.5 B Type: Preferred Stock Depositary Aggrega
Slide 4: Q4 2020 Highlights
Q4 2020 Highlights ▪ $1.16 Comprehensive Income per Share, Comprised of: • $1.37 net income 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 2020 Other Highlights
Q4 2020 Other Highlights ▪ $97.9 B Investment Portfolio as of Dec 31, 2020 • $65.1 B Agency MBS • $31.5 B net TBA mortgage position • $1.3 B credit risk transfer ("CRT") and non-Agency securities 1 ▪ 8.5x Tangible Net Book Value “At Risk” Leverage as of Dec 31, 2020 • 8.4x average tangible net book
Slide 6: 2020 Full Year Highlights
2020 Full Year Highlights ▪ $0.47 Comprehensive Income per Share, Comprised of: • $(0.66) net loss per share • $1.13 OCI per share ▪ $2.70 Net Spread and Dollar Roll Income per Share, Excluding Estimated "Catch- 1 Up" Premium Amortization Cost • Includes $0.77 per share of dollar roll income • Exclu
Slide 7: Market Update
Market Update Q4 2020 x Q4 2020 2 2 Security 12/31/19 3/31/20 6/30/20 9/30/20 12/31/20 🜂 Rate % / Price x Security 12/31/19 3/31/20 6/30/20 9/30/20 12/31/20 🜂 Rate % / Price 1 1 Swap Rates x Treasury Rates 2 Yr Swap 1.70% 0.49% 0.23% 0.22% 0.20% -0.02% / +0.04 x 2 Yr UST 1.57% 0.25% 0.15% 0.13%…
Slide 8: Agency Portfolio Update
Agency Portfolio Update As of 12/31/20 As of 9/30/20 1 $97.9 B Portfolio $97.6 B Portfolio AGNC Actual CPR Including Net TBA Position Including Net TBA Position Agency CMO, ARM Agency CMO, ARM 32% & Other $0.5 B 1% 20 Yr Fixed $2.5 B 3% & Other $0.6 B 1% 20 Yr Fixed $2.4 B 3% 29% 28% 27% 27% 27% 24%
Slide 9: Credit Portfolio Update
Credit Portfolio Update Credit Portfolio GSE CRT Portfolio Historical Credit Portfolio $1.3 B as of Dec 31, 2020 by Issuance Year CRT CMBS RMBS ($ in MM) 2,000 2016 1,800 2020 RMBS, $0.2 B, 15% 5% 1,600 17% 1,400 2017 1,200 26% 1,000 800 CMBS, $0.4 B, 28% CRT, $0.7 B, 57% 600 2019 26% 400 200 2018 —
Slide 10: Financing Summary
Financing Summary AGNC has access to attractive funding across a significant number of counterparties and a wide range of financing terms ▪ Our average Agency repo cost for the 1 Agency Repurchase Agreements fourth quarter was 0.38%, compared to As of Dec 31, 2020 0.40% for the third quarter Amount
Slide 11: Hedging Summary
Hedging Summary ▪ Our hedge portfolio totaled $66.7 B Hedge Portfolio Summary and covered 80% of our funding As of Dec 31, 2020 Net Hedge liabilities (Agency repo, other debt Notional/ Net Hedge Gains/ Market Gains/ (Losses) Per Value Duration (Losses) Share and net TBA position) as of Dec 31, $ in
Slide 12: Duration Risk
Duration Risk Our interest rate exposure remains limited over a wide range of interest rate scenarios 1,2 Duration Gap Sensitivity As of Dec 31, 2020 Rates Duration Rates - 100 bps 12/31/2020 + 100 bps 3 Mortgage Assets: 30-Year MBS 0.7 3.3 6.0 15-Year MBS and Other Securities 1.3 3.0 4.5 Total Mort
Slide 13: Financial Results
p> AGNC Financial Results
Slide 14: Balance Sheets
Balance Sheets ($ in millions, except per share data, unaudited except 12/31/19) 12/31/20 9/30/20 6/30/20 3/31/20 12/31/19 Agency Securities, at Fair Value $64,836 $66,556 $75,488 $70,292 $98,516 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value 295 323 344 358
Slide 15: Income Statements
Income Statements ($ in millions, except per share data) (Unaudited) Q4 2020 Q3 2020 Q2 2020 Q1 2020 Year 2020 Interest Income $235 $364 $429 $491 $1,519 Interest Expense (52) (62) (134) (426) (674) Net Interest Income 183 302 295 65 845 Realized Gain on Sale of Investment Securities, Net 133 346 15
Slide 16: Reconciliation of GAAP Net Interest Income to Net Spread and Dollar Roll Income
Reconciliation of GAAP Net Interest Income to Net Spread and Dollar Roll Income (a Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q4 2020 Q3 2020 Q2 2020 Q1 2020 Year 2020 GAAP Net Interest Income: x x x x x Interest Income $235 $364 $429 $491 $1,519 Interest Expense (52) (62)
Slide 17: Net Interest Spread Components by Funding Source
Net Interest Spread Components by Funding Source $ in millions (Unaudited) Q4 2020 Q3 2020 Q2 2020 Q1 2020 Year 2020 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 $235 $364 $
Slide 18: Reconciliation of GAAP Net Income to Estimated Taxable Income
Reconciliation of GAAP Net Income to Estimated Taxable Income (Non-GAAP Measure) ($ in millions, except per share data) (Unaudited) Q4 2020 Q3 2020 Q2 2020 Q1 2020 Year 2020 Net Income / (Loss) $775 $662 $718 $(2,421) $(266) Book to Tax Differences: x x x x x Premium Amortization, Net 44 (11) 22 237
Slide 19: Net Book Value Roll Forward
Net Book Value Roll Forward Q4 2020 Year 2020 Net Book Value Common Net Book Value Common Shares per Common Shares per Common (In millions, except per share data) (Unaudited) Balance Outstanding Share Balance Outstanding Share 1 Beginning Net Common Equity $9,182 545.2 $16.84 $10,078 540.9 $18.63 Ne
Slide 20: Supplemental Slides
p> AGNC Supplemental Slides
Slide 21: AGNC Historical Overview
AGNC Historical Overview 2 Asset Composition ($ B) Tangible Net Book Value "At Risk" Leverage 1 MBS TBA 11.0x $110 $7.4 10.0x 9.8x 9.8x $100 $7.0 $11.2 $1.9 9.4x 9.4x 9.4x $90 9.2x $7.3 $20.5 9.0x $21.2 $29.5 $31.5 9.0x 8.8x $80 8.5x $70 $60 8.0x $50 $95.3 $100.7 $100.4 $93.3 $40 $84.3 7.0x $71.8 $7
Slide 22: AGNC Historical Overview
AGNC Historical Overview Comprehensive Income (Loss) per Common Share Dividends per Common Share $2.00 $1.59 $1.60 $0.80 $1.50 $1.22 $1.28 $1.16 $0.70 $1.00 $0.42 $0.50 $0.60 $0.54 $0.54 $0.00 $0.50 $0.48 $0.48 $0.48 $0.50 $-0.50 $(0.15) $-1.00 $0.40 $0.36 $0.36 $0.36 $(0.90) $-1.50 $0.30 $-2.00 $-2
Slide 23: AGNC Historical Overview
AGNC Historical Overview 1 2 Average Asset Yield Average Cost of Funds 3.5% 3.33% 2.4% 2.27% 2.24% 3.26% 3.24% 3.16% 2.2% 2.09% 3.09% 2.97% 2.0% 1.85% 3.0% 1.76% 1.8% 1.67% 2.56% 1.6% 2.5% 2.30% 1.4% 2.07% 1.2% 2.0% 1.0% 0.88% 0.8% 0.6% 1.5% 0.4% 0.15% 0.2% 0.05% 1.0% 0.0% Q4-18 Q1-19 Q2-19 Q3-19 Q4
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, 2020 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% $5
Slide 25: Other Hedge and Derivative Instruments
Other Hedge and Derivative Instruments U.S. Treasury Position Net Long / (Short) ▪ U.S. Treasury Position As of Dec 31, 2020 ($ MM) Maturity Face Amount Market Value • $11.7 B short U.S. Treasury securities 5 Year $(425) $(425) 7 Year (1,083) (1,089) • $1.4 B short U.S. Treasury futures 10 Year (10,
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, 2020 ▪ 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 148%, the utilities sector by 243%, and the financials sector by 316% 1,3,5 Total Stock Return by Sector Since AGNC's May 2008 IPO 450% 396% 400% 350% 300% 248% 250% 200% 153% 150% 100% 80% 76% 69% 50% 0% S&P 5
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 396% compared to 248% for the S&P 500 and 76% for the peer group 1,3,5 Total Stock Return by Sector Since AGNC's May 2008 IPO Note: For additional detail, refer to endnotes in the Appendix. 29
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, 2020 10% AGNC's dividend yield provides a substantial income component to 9.2% returns 9% 8%
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 Residential mREIT Group Averages Large Residential mREIT's ($2 Billion+ in Stockholders' Equity) 6.73% AGNC’s cost str
Slide 32: Endnotes
Endnotes 1. Stock return is measured from AGNC’s IPO through Dec 31, 2020. 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