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

  1. to 5 Yr UST Spread
  1. to 10 Yr UST Spread
  1. 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

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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.