AGNC Investment : Q3 2021 Presentation

Q3 2021 Stockholder Presentation

October 26, 2021

© 2021 AGNC Investment Corp. All Rights Reserved.

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 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 Stock Highlights

Type:

Common Stock

	Exchange / Ticker:		IPO Price:		Tangible Net Book Value2:
	Nasdaq / AGNC	$20.00 Per Share		$16.41 Per Share
		IPO Date:	Total Dividends Paid Since IPO1:	Total Common Equity Capital2:
		May 2008	$43.96 Per Share		$9.1 B
				Type:
			Preferred Stock
	Preferred				Annual	Depositary	Aggregate
	Type4:	Issue Date:	Ticker:	Shares	Liquidation
	Stock3:	Dividend Rate:	Outstanding5:	Preference:
	Series C	Fixed-to-Floating Rate	Aug 22, 2017	AGNCN	7.000%	13.0 Million	$325 Million
	Series D	Fixed-to-Floating Rate	Mar 6, 2019	AGNCM	6.875%	9.4 Million	$235 Million
	Series E	Fixed-to-Floating Rate	Oct 3, 2019	AGNCO	6.500%	16.1 Million	$403 Million
	Series F	Fixed-to-Floating Rate	Feb 11, 2020	AGNCP	6.125%	23.0 Million	$575 Million

Note: Information as of Sep 30, 2021 unless otherwise indicated

1. As of Oct 15, 2021
2. "Tangible Net Book Value" and "Total Common Equity Capital" are net of preferred stock liquidation preference
3. Series C, D, E and F preferred stock are redeemable at the Company's option, in whole or in part, at their liquidation preference of $25 per depositary share, plus any accumulated and unpaid dividends, on or after Oct 15, 2022, April 15, 2024, Oct 15, 2024 and April 15, 2025, respectively
4. At the conclusion of the Series C, D, E and F fixed rate period on Oct 15, 2022, Apr 15, 2024, Oct 15, 2024 and April 15, 2025, respectively, the preferred stock dividend will accrue at a floating rate equal to 3M LIBOR

	plus a spread of 5.111%, 4.332%, 4.993% and 4.697%, respectively, per annum	3
5.	Each depositary share outstanding represents a 1/1,000th interest in a share of preferred stock

Q3 2021 Highlights

• $0.37 Comprehensive Income per Share, Comprised of:
• • $0.35 net income per share
  • $0.02 other comprehensive income ("OCI") per share on investments marked-to-market through
    OCI
• $0.75 Net Spread and Dollar Roll Income per Share, Excluding Estimated "Catch- Up" Premium Amortization Cost 1
• • Includes $0.33 per share of dollar roll income associated with a $30.3 B average net long position in forward purchases and sales of Agency MBS in the "to-be-announced" ("TBA") market 2
  • Excludes less than $(0.01) per share of estimated "catch-up" premium amortization cost due to change in projected constant prepayment rate ("CPR") estimates
• $16.41 Tangible Net Book Value per Share as of Sep 30, 2021
• • Increased $0.02 per share, or 0.1%, from $16.39 per share as of Jun 30, 2021
  • Excludes $526 MM, or $1.00 per share, of goodwill as of Sep 30, 2021
• $0.36 Dividends Declared per Share for the Third Quarter
• 2.3% Economic Return on Tangible Common Equity for the Quarter
• • Comprised of $0.36 dividends per share and $0.02 increase in tangible net book value per share

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

1.	Represents a non-GAAP measure. Refer to the supplemental slides later in this presentation for a reconciliation and further discussion of non-GAAP measures	4
2.	Dollar roll income is recognized in gain (loss) on derivative instruments and other securities, net

Q3 2021 Other Highlights

• $84.1 B Investment Portfolio as of Sep 30, 2021
• • $53.7 B Agency MBS
  • $28.3 B net TBA mortgage position
  • $2.1 B credit risk transfer ("CRT") and non-Agency securities 1
• 7.5x Tangible Net Book Value "At Risk" Leverage as of Sep 30, 2021 2
• • 7.5x average tangible net book value "at risk" leverage for the quarter
• Cash and Unencumbered Agency MBS Totaled Approximately $5.2 B as of Sep 30, 2021
• • Excludes unencumbered CRT and non-Agency securities and assets held at the Company's broker-dealer subsidiary, Bethesda Securities
• 22.5% Portfolio CPR for the Quarter
• • 10.7% average projected portfolio life CPR as of Sep 30, 2021
• 2.19% Annualized Net Interest Spread and TBA Dollar Roll Income for the Quarter, Excluding Estimated "Catch-Up" Premium Amortization Cost 3
• • Excludes -1 bps of "catch-up" premium amortization cost due to change in projected CPR estimates

1.	Includes $0.5 B of forward settling non-Agency securities reported in derivative assets on the accompanying balance sheet
2.	Tangible net book value "at risk" leverage calculated as sum of repurchase agreements used to fund Agency and non-Agency MBS and CRT investments (collectively "Agency Repo"), net
	TBA position and forward settling non-Agency securities (at cost), net payable/receivable for investment securities not yet settled, and other debt divided by the sum of total
	stockholders' equity less goodwill
3.	Net interest spread and TBA dollar roll income calculated as the average asset yield, less average cost of funds (actual and implied). Average cost of funds includes Agency Repo, TBA
	implied cost of funds, other debt and periodic swap cost. Cost of funds excludes other supplemental hedges (such as swaptions), U.S. Treasury positions and U.S. Treasury repurchase	5
	agreements