2024
Q1 STOCKHOLDER PRESENTATION
APRIL 23, 2024
THE PREMIER AGENCY RESIDENTIAL MORTGAGE REIT
© 2024 AGNC Investment Corp. All Rights Reserved.
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 Reform Act of 1995 (the "Reform Act"). All such forward-looking statements are intended to be subject to the safe harbor protection provided by the Reform Act. Actual outcomes and results could differ materially from such forecasts due to the impact of many factors beyond the control of AGNC Investment Corp. ("AGNC" or the "Company"). All forward-looking statements included in this presentation are made only as of the date of this presentation and are subject to change without notice. Certain important factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in our periodic reports filed with the Securities and Exchange Commission ("SEC"). Copies are available on the SEC's website at www.sec.gov. AGNC disclaims any obligation to update such forward-looking statements unless required by law.
The following slides contain summaries of certain financial and statistical information about AGNC. They should be read in conjunction with our periodic reports that are filed from time to time with the SEC. Historical results discussed in this presentation are not indicative of future results.
2
CAPITAL STRUCTURE HIGHLIGHTS
AGNC Common Stock
Ticker | Nasdaq: AGNC |
IPO Date | May 2008 |
Market Capitalization | $7.1 B |
Total Dividends Paid Since IPO1 | $13.1 B |
Total Stock Return Since IPO2 | 370% |
Dividend Yield | 14.5% |
THE OBJECTIVE
Favorable long-term stockholder returns with a substantial dividend yield component
THE OPPORTUNITY
Agency-guaranteed residential MBS investments paired with highly attractive funding
THE IMPACT
Permanent capital supporting American homeownership across generations
AGNC Preferred Stock
Preferred | Structure | Issue Date | Ticker | Annual | 1 | Depositary | Aggregate |
3 | Shares | Liquidation | |||||
Stock | Dividend Rate | Outstanding6 | Preference | ||||
Series C4 | Fixed-to-Floating Rate | Aug 22, 2017 | AGNCN | 10.70027% | 13.0 Million | $325 Million | |
Series D4 | Fixed-to-Floating Rate | Mar 6, 2019 | AGNCM | 9.92127% | 9.4 Million | $235 Million | |
Series E5 | Fixed-to-Floating Rate | Oct 3, 2019 | AGNCO | 6.500% | 16.1 Million | $403 Million | |
Series F5 | Fixed-to-Floating Rate | Feb 11, 2020 | AGNCP | 6.125% | 23.0 Million | $575 Million | |
Series G5 | Fixed-Rate Reset | Sept 14, 2022 | AGNCL | 7.750% | 6.0 Million | $150 Million |
Note: Information as of Mar 31, 2024 unless otherwise indicated. Detailed endnotes are included at the end of this presentation.
3
Q1 2024 HIGHLIGHTS
Key Metrics | $8.84 |
Tangible Net Book | |
Value Per Share1 |
$0.48
Comprehensive
Income Per Share
$0.58
Net Spread and Dollar Roll
Income Per Share2
5.7%
Performance Economic
Return3
$0.36
Dividends Declared
Per Share
$0.14
Change in Tangible
Net Book Value Per Share
Capital Highlights | 14.5% |
Dividend | |
Yield4 |
$6.9 B
Total Common Equity Capital1
$241 MM
Common Equity Issued
ATM Offerings
Note: Per share amounts included throughout this presentation are per share of common stock, unless otherwise indicated. Income and loss per share amounts included throughout this presentation are per diluted common share, unless otherwise indicated.
Detailed endnotes are included at the end of this presentation.
4
Q1 2024 OTHER HIGHLIGHTS
Portfolio1 | Average Asset Yield2 | |||||
$60.2 B | $63.3 B | 4.47% | 4.56% | |||
Assets | 10.4% | |||||
Avg. Projected | ||||||
Portfolio Life CPR | ||||||
12/31/23 | 3/31/24 | 4Q23 | 1Q24 |
5.7%
Actual Q1
Portfolio CPR
Funding and
Leverage
Leverage3 | Average Repo Cost4 | Average Cost of Funds5 | |||
7.0x | 7.1x | 5.48% | 5.45% | 1.39% | 1.58% |
12/31/23 | 3/31/24 | 4Q23 | 1Q24 | 4Q23 | 1Q24 |
Hedge Ratio6
112%
Risk99% Management
12/31/233/31/24
Note: Amounts on slide are as of period end unless otherwise noted. Detailed endnotes are included at the end of this presentation.
Duration Gap7
0.2 Years | $5.4 B | |
Unencumbered | ||
-0.5 Years | Cash & Agency MBS | |
12/31/23 | 3/31/24 |
67%
- of Tangible Equity
5
MARKET HIGHLIGHTS1
Asset Yields: Current Coupon (CC) Agency MBS | Spreads: CC Agency MBS Spread to 5/10 Year UST | ||||||||
7.0% | (bps) | ||||||||
6.5% | 200 | ||||||||
6.0% | 175 | ||||||||
5.5% | 5.60% | ||||||||
5.0% | 150 | ||||||||
139 | |||||||||
4.5% | 6/29/23 | 9/27/23 | 12/26/23 | 3/25/24 | 125 | 6/29/23 | 9/27/23 | 12/26/23 | 3/25/24 |
3/31/23 | 3/31/23 | ||||||||
Interest Rates: 10 Year UST | Interest Rate Volatility: MOVE Index | ||||||||
5.0% | 175 | ||||||||
4.5% | 150 | ||||||||
4.0% | 4.20% | 125 | |||||||
3.5% | 100 | ||||||||
86 | |||||||||
3.0% | 6/29/23 | 9/27/23 | 12/26/23 | 3/25/24 | 75 | 6/30/23 | 9/29/23 | 12/29/23 | |
3/31/23 | 3/31/23 |
Detailed endnotes are included at the end of this presentation.
6
MARKET UPDATE
Q1 2024 | |||||||
Security | 3/31/23 | 6/30/23 | 9/30/23 | 12/31/23 | 3/31/24 | ∆ Rate % / Price2 | |
SOFR Swap Rates1 | |||||||
2 Yr Swap | 4.06% | 4.82% | 4.97% | 4.07% | 4.55% | +0.48% | / -0.91 |
5 Yr Swap | 3.34% | 3.94% | 4.38% | 3.53% | 3.98% | +0.45% | / -2.05 |
10 Yr Swap | 3.17% | 3.58% | 4.27% | 3.47% | 3.84% | +0.37% | / -3.01 |
30 Yr Swap | 2.93% | 3.20% | 4.01% | 3.32% | 3.62% | +0.30% | / -5.57 |
x | Agency 30 Year Fixed Rate MBS Price3 | ||||||
2.50% | 86.16 | 84.77 | 79.39 | 85.24 | 82.77 | -2.47 | |
3.00% | 89.63 | 88.01 | 82.75 | 88.58 | 86.16 | -2.42 | |
3.50% | 92.82 | 91.11 | 86.02 | 91.86 | 89.61 | -2.25 | |
4.00% | 95.59 | 93.84 | 89.09 | 94.69 | 92.74 | -1.95 | |
4.50% | 97.92 | 96.14 | 91.85 | 97.04 | 95.34 | -1.70 | |
5.00% | 99.69 | 98.00 | 94.39 | 99.04 | 97.70 | -1.34 | |
5.50% | 101.00 | 99.55 | 96.68 | 100.56 | 99.58 | -0.98 | |
6.00% | 102.08 | 100.88 | 98.74 | 101.63 | 100.98 | -0.65 | |
6.50% | 103.23 | 102.12 | 100.52 | 102.51 | 102.21 | -0.30 |
x
- Security
x
- 2 Yr UST
- 5 Yr UST
- 10 Yr UST
- 30 Yr UST
- x
x
- to 5 Yr UST Spread
- to 10 Yr UST Spread
- to 5/10 Yr UST
xSpread
- 30 Yr Agency CC
30 Yr Mortgage
-
Rate
CRT M2
CMBS AAA
CDX IG
- CDX HY
Q1 2024 | ||||||
3/31/23 | 6/30/23 | 9/30/23 | 12/31/23 | 3/31/24 | ∆ Rate % / Price2 | |
Treasury Rates1 | ||||||
4.03% | 4.90% | 5.05% | 4.25% | 4.62% | +0.37% | / -0.70 |
3.58% | 4.16% | 4.61% | 3.85% | 4.21% | +0.36% | / -1.63 |
3.47% | 3.84% | 4.57% | 3.88% | 4.20% | +0.32% | / -2.55 |
3.65% | 3.86% | 4.70% | 4.03% | 4.34% | +0.31% | / -5.19 |
Mortgage Rates and Credit Spreads4 | ||||||
147 | 147 | 175 | 140 | 139 | -1 | |
158 | 179 | 179 | 137 | 140 | +3 | |
152 | 163 | 177 | 139 | 139 | - | |
5.05% | 5.63% | 6.36% | 5.25% | 5.60% | 0.35% | |
6.40% | 6.78% | 7.41% | 6.56% | 6.74% | 0.18% | |
423 | 360 | 252 | 206 | 182 | -24 | |
171 | 151 | 137 | 118 | 88 | -30 | |
76 | 66 | 74 | 56 | 51 | -5 | |
463 | 428 | 482 | 350 | 327 | -23 |
Note: Price information is provided for illustrative purposes only, is for generic instruments and is not meant to be reflective of securities held by AGNC. Prices can vary materially depending on the source.
Detailed endnotes are included at the end of this presentation.
7
AGENCY PORTFOLIO UPDATE
As of 3/31/24 | As of 12/31/23 | 1 |
$62.2 B Portfolio | $59.1 B Portfolio | AGNC Actual CPR |
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% | $1.0 B, 1.5% | $0.8 B, 1.3% | $0.6 B, 1.1% | ||||
$0.2 B, 0.3% | $0.8 B, 1.4% | ||||||
6%
4%
2%
0%
$60.3 B, 96.9% | $56.9 B, 96.3% |
7.0%
6.6%
5.7% 5.5% 5.8% 5.8%
11/1/23 12/1/23 1/1/24 2/1/24 3/1/24 4/1/24
30 Year - $60.3 B Portfolio (95% of Total) as of 3/31/24
Specified | Apr '24 | 12 M | Life | ||||
($ In Millions) | FMV | % | WALA3 | 1 M Actual | Forecast | Forecast | |
Coupon | Pool %2 | CPR1 | CPR4 | CPR4 | |||
≤ 3.0% | $3,358 | 6% | 56% | 36 | 5% | 5% | 6% |
3.5% | 4,998 | 8% | 86% | 100 | 6% | 6% | 7% |
4.0% | 5,997 | 10% | 92% | 83 | 6% | 7% | 8% |
4.5% | 5,752 | 10% | 67% | 48 | 7% | 8% | 8% |
5.0% | 6,273 | 10% | 58% | 18 | 6% | 6% | 8% |
5.5% | 10,700 | 18% | 36% | 13 | 6% | 6% | 10% |
6.0% | 11,442 | 19% | 28% | 9 | 8% | 10% | 15% |
≥ 6.5% | 3,394 | 6% | 49% | 8 | 9% | 13% | 17% |
30 Year MBS | 51,914 | 86% | 54% | 36 | 7% | 8% | 10% |
Net TBA | 8,358 | 14% | N/A | N/A | N/A | N/A | N/A |
Total 30 Year | $60,272 | 100% | 46% | N/A | N/A | N/A | N/A |
≤15 Year - $0.2 B Portfolio (less than 1% of Total) as of 3/31/24
Specified | Apr '24 | 12 M | Life | ||||
($ In Millions) | FMV | % | WALA3 | 1 M Actual | Forecast | Forecast | |
Coupon | Pool %2 | CPR1 | CPR4 | CPR4 | |||
2.0% | $35 | 17% | 100% | 39 | 8% | 7% | 9% |
2.5% | 16 | 8% | 100% | 133 | 19% | 12% | 14% |
3.0% | 44 | 21% | 100% | 128 | 16% | 12% | 14% |
3.5% | 12 | 6% | 100% | 129 | 11% | 13% | 14% |
4.0% | 11 | 5% | 6% | 157 | 19% | 24% | 26% |
4.5% | 1 | -% | 100% | 157 | 7% | 22% | 23% |
5.0% | - | -% | -% | - | -% | -% | -% |
5.5% | - | -% | -% | - | -% | -% | -% |
≤ 15 Year MBS | 119 | 57% | 92% | 103 | 14% | 12% | 14% |
Net TBA | 90 | 43% | N/A | N/A | N/A | N/A | N/A |
Total ≤ 15 Year | $209 | 100% | 52% | N/A | N/A | N/A | N/A |
Note: Amounts may not total due to rounding.
Detailed endnotes are included at the end of this presentation.
8
CREDIT PORTFOLIO UPDATE1
Credit Portfolio | GSE CRT Portfolio | Historical Credit Portfolio |
$1.0 B as of Mar 31, 2024 | by Issuance Year |
CRT | CMBS | RMBS | 2018 | 2019 | 2020 | 2021 | 2022 | ||||||||
($ in B) | |||||||||||||||
1% | 3% | $2.0 | |||||||||||||
8% | 19% | ||||||||||||||
$1.5 | |||||||||||||||
27% | |||||||||||||||
23% | $1.0 | ||||||||||||||
$0.5 | |||||||||||||||
72% |
CRT CMBS RMBS
$1.7 $1.8 $1.7
$1.4
$1.3
$1.0 $1.0 $1.0 $1.0
47%
$0.0
3/31/22 | 6/30/22 | 9/30/22 | 12/31/22 | 3/31/23 | 6/30/23 | 9/30/23 | 12/31/23 | 3/31/24 |
Credit Portfolio Characteristics2
Sector | Current | FMV | % | Price | Coupon | Credit | 60+ DQ5 | HPI LTV6 |
Face4 | Enhancement5 | |||||||
GSE Credit Risk Transfer | $687 | $753 | 72% | 109.53 | 10.81% | 1.63% | 1.77% | 51.31% |
New Issue Jumbo/ | 21 | 14 | 1% | 69.71 | 4.99% | 1.86% | 1.64% | 45.02% |
Conforming | ||||||||
Residential Credit Total | 708 | 767 | 73% | 108.37 | 10.70% | 1.63% | 1.76% | 51.20% |
Conduit | 49 | 40 | 4% | 81.73 | 3.50% | 15.92% | 3.84% | N/A |
Single Asset/Single Borrower | 248 | 226 | 22% | 91.26 | 7.79% | 29.06% | 3.65% | N/A |
GSE Multifamily Credit Risk | 13 | 14 | 1% | 104.01 | 11.82% | 1.50% | 0.00% | N/A |
Transfer | ||||||||
Commercial Credit Total | 310 | 280 | 27% | 90.27 | 7.36% | 25.88% | 3.50% | N/A |
Total | $1,018 | $1,047 | 100% | 102.85 | 9.81% | 8.10% | 2.23% | 51.20% |
- Ratings Distribution by Sector2,3
Below | |||||||
x | Sector | AAA | AA | A | BBB | Investment | Total |
Grade | |||||||
x | GSE Credit Risk Transfer | 0% | 0% | 0% | 15% | 85% | 100% |
x | New Issue Jumbo/Conforming | 7% | 0% | 0% | 0% | 93% | 100% |
x | Residential Credit Total | 0% | 0% | 0% | 15% | 85% | 100% |
x | Conduit | 13% | 19% | 46% | 12% | 10% | 100% |
x | Single Asset/Single Borrower | 1% | 13% | 4% | 11% | 71% | 100% |
GSE Multifamily Credit Risk | 0% | 0% | 0% | 0% | 100% | 100% | |
Transfer | |||||||
x | Commercial Credit Total | 2% | 13% | 10% | 11% | 64% | 100% |
x | Total | 1% | 3% | 3% | 14% | 79% | 100% |
Detailed endnotes are included at the end of this presentation.
9
FINANCING SUMMARY
Our average repo cost was 5.45% for the first quarter, compared to 5.48% for the fourth quarter1
Investment Securities Repurchase Agreements1
Investment Securities Repo
As of Mar 31, 2024
- As of Mar 31, 2024, our repo cost was 5.46%, compared to 5.60% as of Dec 31, 2023, and the average maturity was 22 days compared to 19 days, respectively
Maturity | % | Amount | Interest | Days to |
(Months) | ($ MM) | Rate | Maturity | |
≤ 3 | 98% | $47,356 | 5.46% | 20 |
> 3 to ≤ 6 | 2% | 784 | 5.41% | 151 |
Total / Wtd Avg | 100% | $48,140 | 5.46% | 22 |
Cost of Funds
- Our total cost of funds, inclusive of our TBA dollar roll funding and interest rate swaps, for the first quarter was 1.58%, compared to 1.39% for the fourth quarter
Broker-Dealer Funding
- $23.2 B of repo funded through captive broker- dealer subsidiary, Bethesda Securities, as of Mar 31, 2024, compared too $24.1 B as of Dec 31, 20231
Average Cost of Funds2
For Q1 2024
% | Amount | Interest | |
($ MM) | Rate | ||
Investment Securities Repo | 89% | $48,730 | 5.45% |
TBA Funding | 11% | 6,190 | 5.34% |
Total Funding Liabilities | 100% | $54,920 | 5.44% |
Interest Rate Swaps | 80% | $43,903 | (3.86)% |
Total Avg. Cost of Funds | N/A | N/A | 1.58% |
Detailed endnotes are included at the end of this presentation.
10
Attachments
- Original Link
- Original Document
- Permalink
Disclaimer
AGNC Investment Corp. published this content on 22 April 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 22 April 2024 20:38:02 UTC.