UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
__________________________________________________
FORM 8-K
__________________________________________________
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): September 12, 2017
__________________________________________________
AGNC INVESTMENT CORP.
(Exact name of registrant as specified in its charter)
__________________________________________________
Delaware | 001-34057 | 26-1701984 |
(State or Other Jurisdiction of Incorporation or Organization) | (Commission File Number) | (I.R.S. Employer Identification No.) |
2 Bethesda Metro Center, 12th Floor
Bethesda, Maryland 20814
(Address of principal executive offices)
Registrant’s telephone number, including area code:
(301) 968-9300
N/A
(Former name or former address, if changed since last report)
__________________________________________________
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
o | Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) | |
o | Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) | |
o | Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) | |
o | Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) | |
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter). | |
Emerging Growth Company | o |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o
Item 7.01. Regulation FD Disclosure
On September 12, 2017, Gary Kain, Chief Executive Officer, President and Chief Investment Officer of AGNC Investment Corp. (the “Company”), will present at the Barclays Global Financial Services Conference in New York City at 2:45 pm ET. A copy of the presentation is attached hereto as Exhibit 99.1.
This Current Report on Form 8-K is neither an offer to sell nor a solicitation of an offer to buy any securities and shall not constitute an offer, solicitation or sale in any jurisdiction in which such offer, solicitation or sale would be unlawful.
The information contained in this Item 7.01 and Exhibit 99.1 hereto shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or incorporated by reference in any filing under the Securities Act of 1933, as amended or the Exchange Act, except as shall be expressly set forth by reference in such a filing.
Item 9.01. Financial Statements and Exhibits.
(d) Exhibits.
Exhibit No. | Description | ||
99.1 | |||
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
AGNC INVESTMENT CORP. | ||
Dated: September 12, 2017 | By: | /s/ Kenneth L. Pollack |
Kenneth L. Pollack | ||
Senior Vice President, Chief Compliance Officer, General Counsel and Secretary | ||
© 2017 AGNC Investment Corp. All Rights Reserved.
Barclays Global Financial
Services Conference
September 12, 2017
Exhibit 99.1
Safe harbor statement under the private securities litigation reform act of
1995
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 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.
AGNC is an internally-managed mortgage real estate investment trust (“REIT”)
As a REIT, AGNC is generally not subject to U.S. federal or state corporate taxes
to the extent that AGNC makes distributions of annual taxable net income to its
stockholders on a timely basis
Structure
AGNC Investment Corp. is an internally-managed real estate investment trust
that invests predominantly in Agency residential mortgage-backed securities
3
AGNC At a Glance
1. As of August 31, 2017.
Note: Information as of June 30, 2017 unless otherwise noted.
May 2008IPO Date
Bethesda, MDHeadquarters
Nasdaq: AGNCExchange
57# Employees
$64 BillionTotal Portfolio
10%1Dividend Yield
AGNC invests primarily in Agency residential mortgage-backed securities (“MBS”)
for which the principal and interest payments are guaranteed by a U.S.
Government-sponsored entity (“GSE”), such as Fannie Mae and Freddie Mac, or a
U.S. Government agency, such as Ginnie Mae
AGNC may also invest in other types of mortgage and mortgage-related
securities, such as credit risk transfer (“CRT”) securities and non-Agency
residential and commercial MBS
Investment Focus
Affiliates
AGNC manages MTGE Investment Corp.
(Nasdaq: MTGE), a hybrid mortgage REIT
with a $7 billion portfolio consisting of
Agency, non-Agency and other real
estate-related assets
AGNC’s funding profile is greatly
enhanced by Bethesda Securities, a
wholly-owned broker-dealer
subsidiary with direct access to the
Fixed Income Clearing Corporation
Analyst Coverage1
$7.7 Billion1Market Cap
4
AGNC: Well-Positioned for the Current Environment
The investment environment for levered Agency MBS investors such as AGNC has
improved materially due to the confluence of several positive market dynamics:
Favorable projected Agency MBS returns driven by anticipated Fed tapering of MBS purchases
Supportive funding backdrop, which is further enhanced for AGNC by its captive broker-dealer
Low interest rate volatility environment
AGNC specifically offers investors a unique residential mortgage investment vehicle
with multiple value-enhancing attributes:
A track record of substantial outperformance since inception in 2008
One of the lowest operating cost structures of any residential mortgage REIT, with a gross
operating expense ratio of approximately 90 bps of stockholders’ equity, or approximately 70 bps
of stockholders’ equity, net of MTGE management fee income1,14
Disciplined risk management
An internalized management structure that aligns management and stockholder interests over
the long-term
Considerable scale with ample stockholder liquidity
Together, the favorable investment environment and AGNC’s
unique attributes provide a compelling value proposition for investors
Note: For additional detail, refer to endnotes in the Appendix.
200
320
440
560
680
800
40
60
80
100
120
140
H
igh Yield and CR
TIn
ve
st
m
en
t
G
ra
de
Investment Grade High Yield (RHS) CRT (RHS)
(20)
0
20
40
60
(20)
0
20
40
60
30 Year Current Coupon MBS OAS
5
Attractiveness of Agency MBS
Spreads on Agency MBS and other fixed income assets have diverged over the last year
as the market has focused on Fed tapering of its MBS and Treasury purchases
Spreads in most credit-centric sectors are currently near post-crisis tights, while Agency MBS spreads
have widened to levels last seen before QE3 was priced into the market
The stability of MBS valuations in the face of relatively hawkish communication from the Fed seems to
support AGNC’s view that the market has already largely priced in the anticipated reduction in the Fed’s
reinvestment activity
Wider MBS spreads create attractive investment opportunities and can be accretive to
AGNC’s long-term franchise value
Note: For additional detail, refer to endnotes in the Appendix.
Agency MBS OAS vs. Other Fixed Income Spreads (Dec 2009 – Aug 2017)
30 Year Current Coupon MBS OAS2 Investment Grade, High Yield and CRT Spreads3
QE3
MBS spreads have
returned to pre-QE3
levels…
QE3 …while other fixed
income spreads have
tightened
bps bps bps bps
(10 bps)
(5 bps)
-
5 bps
10 bps
15 bps
20 bps
1Q
14
2Q
14
3Q
14
4Q
14
1Q
15
2Q
15
3Q
15
4Q
15
1Q
16
2Q
16
3Q
16
4Q
16
1Q
17
2Q
17
AGNC’s direct access to the FICC through its captive broker-dealer, Bethesda Securities,
further enhances AGNC’s funding profile
Access to wholesale repo rates provides a funding benefit of approximately 10 – 15 bps in comparison
to retail rates available through bilateral repo counterparties
Bethesda Securities significantly expands and diversifies AGNC’s funding base, with approximately $10
billion of Agency repo as of June 30, 2017
Attractive pricing and haircut levels available through AGNC’s broker-dealer provide the opportunity for
AGNC to operate at higher leverage under appropriate market conditions
Approximately 20 – 40% of AGNC’s total Agency repo financing is expected to be funded through
Bethesda Securities over the long-term
6
Advantageous Funding Dynamics for AGNC
The funding backdrop for Agency MBS
has improved materially over the last
several years as money market reform has
driven a significant flow of capital from
prime to government funds
Agency MBS funding costs have decreased
substantially relative to LIBOR as a result
The Agency repo market is now supported by
a broader mix of counterparties and
substantially less exposure to the largest
global banks
Note: For additional detail, refer to endnotes in the Appendix.
AGNC Repo Cost Spread to LIBOR4
AGNC’s weighted average repo
cost relative to 3-month LIBOR
has improved by approximately
15 bps from the historical average
Average
7
Opportunistic Risk Management Activity
AGNC has opportunistically reduced its exposure to rising interest rates given the year-
to-date decline in rates, weaker global economic growth and a more hawkish Fed
As a result of these risk management actions, AGNC’s projected tangible net book value decline in a
+100 bps interest rate shock scenario has been reduced by approximately 40% from December 31, 2016
to June 30, 2017
Reduced interest rate volatility and the relatively flat curve have allowed AGNC to
mitigate interest rate risk without a significant impact on current earnings
As of June 30, 2017, AGNC’s hedge portfolio totaled approximately $56 billion and
covered 98% of funding liabilities (Agency repo, other debt and net TBA position)
AGNC’s hedge portfolio includes interest rate swaps, payer swaptions and U.S. Treasury securities and
futures
AGNC Interest Rate Sensitivity610 Year U.S. Treasury Rate5
Note: For additional detail, refer to endnotes in the Appendix.
(Estimated change in portfolio value as a % of tangible net book value in a
+100 bps interest rate shock scenario)
(15.3%) (15.1%)
(9.2%)
(20%)
(15%)
(10%)
(5%)
0%
Dec 31, 2016 Mar 31, 2017 Jun 30, 2017
1.3%
1.5%
1.7%
1.9%
2.1%
2.3%
2.5%
2.7%
Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17
2015 Range
~80 bps
2016 Range
~120 bps
2017 YTD Range
~50 bps
Asset Yield 3.0%
Less: Cost of Funds (1.8%)
Net Interest Rate Spread 1.2%
Times: Leverage 8x - 9x
Leveraged Net Interest Rate Spread 10% - 11%
Plus: Asset Yield 3.0%
Gross Levered ROE 13% - 14%
Less: Net Operating Expenses as % of Equity (0.7%)
Net Levered ROE 12% - 13%
As a result of current market conditions and AGNC’s unique attributes, AGNC
projects favorable returns from its investments in Agency MBS
8
Putting it All Together: Business Economics
Hypothetical Business Economics
for 30-Year 3.5% MBS Investments7 The AGNC Advantage
Note: For additional detail, refer to endnotes in the Appendix.
Opportunity for Outperformance
1
Agency MBS option-adjusted spreads are near multiyear wides as market participants
have priced in the end of Fed MBS purchases
AGNC’s current portfolio is seasoned and heavily prepay-protected
The potential for opportunistic growth of AGNC’s CRT and non-Agency portfolio
provides investment flexibility as market conditions shift
Assets
AGNC’s broker-dealer provides a 10 – 15 bps financing cost benefit, expands AGNC’s
funding base and facilitates higher leverage levels through lower collateral haircuts
Agency repo costs relative to LIBOR have decreased substantially and remain on the
low end of the post-crisis range
Funding and Leverage
AGNC operates with one of the lowest cost structures of any residential mortgage
REIT, which is critical in a sustained lower interest rate environment1,14
Operating Efficiency
Recent low interest rate volatility has provided an opportunity to increase AGNC’s
hedge position in a cost-effective manner, with minimal impact on projected earnings
Risk Management and Hedging
The AGNC Value Proposition
Note: For additional detail, refer to endnotes in the Appendix. 9
Industry-Leading
Performance
Highly Efficient
Operating Cost
Structure
Disciplined Risk
Management
Stockholder
Focus
Liquidity and
Scale
Since its 2008 IPO, AGNC has delivered industry-
leading performance as measured by
total stock return8,15 and total economic return9,15
18%
Annualized
Stock
Return8
14%
Annualized
Economic
Return9
0.90%
Gross
Operating
Expense
Ratio1
Monthly
Dividend Payment &
Net Book Value Disclosure
$7.7 Billion
Market Capitalization as
of August 31, 2017
Limited
Duration
Gap10
40
Funding
Counterparties
AGNC has one of the lowest operating cost
structures as a percentage of stockholders’ equity
among residential mortgage REITs1,14
AGNC utilizes a comprehensive risk management
framework that is predicated on careful asset
selection, disciplined hedging and
diversified funding
AGNC has consistently been recognized as an
industry leader for its financial disclosure,
transparency and shareholder-focused approach to
capital management
AGNC is the largest internally-managed residential
mortgage REIT by stockholders’ equity and
one of only three residential mortgage REITs
with a market cap over $5 billion14
0.70%
Net
Operating
Expense
Ratio1
(100%)
(50%)
0%
50%
100%
150%
200%
250%
300%
350%
400%
May-08 May-09 May-10 May-11 May-12 May-13 May-14 May-15 May-16 May-17
AGNC
Peer Group
Large Resi mREIT Group
Resi mREIT Universe
S&P 500
27%
21% 21%
15%
11%
0%
5%
10%
15%
20%
25%
30%
AGNC Large Resi
mREIT
Group
Peer
Group
Resi
mREIT
Universe
S&P 500
10
AGNC’s Track Record of Outperformance
Since its May 2008 IPO, AGNC has generated a total stock return of 370%
compared to 131% for the peer group and 115% for the S&P 500
Residential Mortgage REIT Total Stock Returns
Since AGNC’s May 2008 IPO8 2017 Year-to-Date11
370%
153%
131%
115%
108%
AGNC’s outperformance
continues year-to-date
15
16
14
15
16 14
Note: For additional detail, refer to endnotes in the Appendix.
524
315
170 155 146
90
70
319 306
262
175
90
70
REIT
A
REIT
B
REIT
C
REIT
D
REIT
E
AGNC
Gross
AGNC
Net
Mid / Small
Resi mREIT
Group
Resi
mREIT
Universe
Large
Resi mREIT
Group
AGNC
Peer
Group
AGNC
Gross
AGNC
Net
Note: For additional detail, refer to endnotes in the Appendix. 11
In today’s environment, cost structure is a critical consideration in evaluating any and all
investment vehicles
Projected operating expenses, net of MTGE management fee income, are expected to be
approximately 70 bps of stockholders’ equity, or less than 10 bps of total assets1
On a per-asset basis, AGNC’s net operating cost is in-line with low-cost bond ETFs, which are passive,
unlevered and unhedged and do not have access to the broker-dealer financing that AGNC enjoys
As depicted below, AGNC’s operating cost is significantly lower than those of comparable
residential mortgage REITs
Industry-Leading Operating Cost Structure
Residential Mortgage REIT Operating Cost Structure Comparison1
(Operating expenses as a percentage of stockholders’ equity, in basis points)
Large Resi mREITs ($3 Billion+ in Stockholders’ Equity) Resi mREIT Group Averages
1 1 1 1
16 1614 15
AGNC’s gross cost structure
is approximately one-half and
one-third of the peer group
and the large resi mREIT
group averages, respectively
(Illustrative Purposes Only)
Hypothetical
Externally-
Managed REIT
AGNC
(Hypothetical)
Business Economics (Hypothetical):
Asset Yield 2.6% 2.6%
Less: Cost of Funds (1.4) (1.4)
Net Interest Rate Spread 1.2% 1.2%
Times: Leverage 7.7x 7.7x
Leveraged Net Interest Rate Spread 9.2% 9.2%
Plus: Asset Yield 2.6 2.6
Gross Levered ROE 11.8% 11.8%
Less: Net Operating Expenses as % of Equity (1.8) (0.7)
Net Levered ROE 10.0% 11.1%
(Illustrative Purposes Only)
AGNC
(Hypothetical)
Base Assumptions
Beginning Equity Capital $8.0 Billion
Net Operating Expense Ratio 70 bps
Hypothetical $1 Billion Capital Raise
Pro Forma Equity Capital $9.0 Billion
Incremental Management Fees None
Pro Forma Net Operating Expense Ratio 62 bps
Net Operating Expense Ratio Reduction 11%
12
Implications of AGNC’s Operating Efficiency
With a net cost structure that is
approximately 100 bps lower than its
peer group average,15 AGNC’s operating
efficiency translates into incremental net
return potential for stockholders
AGNC’s net operating expense ratio of
approximately 70 bps compares favorably to
approximately 175 bps for the peer group
average1,15
12
Note: For additional detail, refer to endnotes in the Appendix.
Lower Cost Structure Generates
Incremental Earnings Power
Accretive Equity Capital Raises
Significantly Improve Cost Structure
As an internally-managed REIT,
incremental equity capital does not
create incremental management fees
Therefore, as AGNC issues new equity, its
operating efficiency improves significantly as
a largely fixed cost infrastructure is leveraged
across a greater capital base
Conversely, issuing new equity capital
increases total management fees for
externally-managed REITs
AGNC’s lower cost structure provides a 10 – 11%
potential earnings benefit versus the average peer group
cost structure1,15 at a pro forma 10% net levered ROE
A $1 billion equity capital raise would be expected to
reduce AGNC’s net operating expense ratio1 by
approximately 11%
13
1
1
1
Appendix
(1.0%)
(0.5%)
0.0%
0.5%
- 50 bps No Change + 50 bps
1. Interest rate and MBS spread sensitivity are derived from models that are dependent on inputs and assumptions provided by third parties as well as by AGNC’s investment team and, accordingly,
actual results could differ materially from these estimates.
2. Estimated dollar change in value expressed as a percentage of the total market value of “at risk” assets.
3. Reflects estimated change in portfolio market value (vertical axis) for each interest rate scenario (horizontal axis) as reported by AGNC and its peer group. The peer group is unweighted and
includes ARR, CMO, CYS and NLY (ANH does not provide this information for ±50 bps interest rate shifts as of June 30, 2017). 14
AGNC utilizes a comprehensive approach to risk management that emphasizes careful asset
selection, upfront hedging with Treasuries, swaps and swaptions, and ongoing portfolio
rebalancing
AGNC adjusts the size and type of hedge instruments based on the risks inherent in its assets for a given market
environment
While mortgage spread risk (or “basis risk”) is a significant component of its business, AGNC
uses asset selection and leverage to help size the magnitude of this exposure
AGNC provides investors with detailed information on both assets and hedges and provides model estimates of
both interest rate and mortgage spread exposure
Risk Management Approach
The primary objective of AGNC’s risk management actions is not to eliminate risk
or to lock in a particular net interest margin, but to maintain fluctuations in net
book value within reasonable bands over a wide range of interest rate scenarios
MBS Spread Sensitivity1
(“Basis Risk”)
As of June 30, 2017
MBS Spread
Shock (bps)
Estimated Change in
Portfolio Market
Value2
– 25 + 1.3%
– 10 + 0.5%
+ 10 – 0.5%
+ 25 – 1.3%
Interest Rate Sensitivity1
As of June 30, 2017
(Based on instantaneous parallel shift in interest rates)
Interest Rate
Shock (bps)
Estimated Change in
Portfolio Market
Value2
– 100 – 0.5%
– 50 0.0%
+ 50 – 0.4%
+ 100 – 1.0%
AGNC Interest Rate
Sensitivity vs. Peer Group3
As of June 30, 2017
AGNC
Peer
Group
$13.6
$7.7
$5.1
$3.6
$3.6 $3.5
$1.9
$1.3
$1.3 $1.2
$1.1 $0.9 $0.9 $0.7 $0.6 $0.5 $0.4 $0.4 $0.4 $0.2 $0.2 $0.2 $0.1
$71
$-
$20
$40
$60
$80
$100
$-
$3.0
$6.0
$9.0
$12.0
$15.0
NLY AGNC NRZ CIM TWO MFA IVR CYS RWT PMT ARR CMO MTGE NYMT ANH MITT WMC ORC DX AJX CHMI EARN OAKS
A
verage D
aily Trading V
olum
e ($ M
illions)
M
ar
ke
t
Ca
pi
ta
liz
at
io
n
($
B
ill
io
ns
)
Market Cap (Left Axis) ADTV (Right Axis)
1. The residential mortgage REIT universe includes all REITs shown above.
2. Market capitalizations as of August 31, 2017.
3. Average daily trading volume from September 1, 2016 through August 31, 2017. Daily trading volume reflects total trading volume (in number of shares) multiplied by the average of the stock’s
closing price on such trading day and the prior trading day.
4. Median includes all REITs shown above except AGNC.
Source: SNL Financial. 15
AGNC’s Liquidity and Scale
As the second largest residential mortgage REIT by stockholders’ equity,1
AGNC offers favorable liquidity and scale benefits
Residential Mortgage REIT Market Capitalizations2 and Average Daily Trading Volumes3
$7.7 Billion
$0.9 BillionMedian4
Market Cap ADTV
$71 Million
$7 Million
9x 11x
16
Endnotes
1) Mortgage REIT cost structures are based on operating expenses and average stockholders’ equity (excluding noncontrolling interests, as applicable) over the trailing twelve month period ended June
30, 2017 as publicly reported by such REITs. Operating costs include expenses for compensation and benefits, management fees and G&A and may include one-time or nonrecurring expenses.
Operating costs exclude direct costs associated with operating activities, such as loan acquisition costs, securitization costs, servicing expenses, etc. to the extent publicly disclosed by such REITs.
AGNC’s ratio is based on average stockholders’ equity from June 30, 2016 through June 30, 2017 and excludes nonrecurring transaction-related charges (including retention or stay bonuses), one-time
or transitionary expenses, and non-cash expenses, such as non-cash amortization charges, associated with the internalization transaction. AGNC’s gross ratio excludes the net economic benefit
associated with MTGE management fee income and incremental G&A expenses associated with AGNC’s management of MTGE that are reimbursed by MTGE; AGNC’s net ratio includes the net
economic benefit associated with MTGE management fee income but excludes incremental G&A expenses associated with AGNC’s management of MTGE that are reimbursed by MTGE. Source:
Company SEC filings and SNL Financial.
2) Reflects an unweighted monthly average of daily LIBOR OAS close valuations from the following models: Citi, JP Morgan, Credit Suisse and Barclays. Data is through August 29, 2017.
3) Investment grade reflects a monthly average of daily close valuations of the DJ CDX.NA.IG on the run 5 year CDS spread index. High yield reflects a monthly average of daily close valuations of the DJ
CDX.NA.HY on the run 5 year CDS spread index. CRT reflects a monthly average of new issuance spreads. Data is through August 30, 2017. Source: Bloomberg.
4) Reflects a quarterly average of month-end AGNC repo spreads to month-end 3-month LIBOR.
5) Reflects daily close values of the H15T10Y Index (10 year U.S. Treasury constant maturity) on Bloomberg. Data is through August 31, 2017. Source: Bloomberg.
6) Interest rate sensitivity assumes an instantaneous parallel shift in interest rates and is derived from models that are dependent on inputs and assumptions provided by third parties as well as by
AGNC’s investment team and, accordingly, actual results could differ materially from these estimates. Estimated change as a percentage of tangible net book value incorporates the impact of leverage.
7) These hypothetical examples are for illustrative purposes only and are dependent on a variety of inputs and assumptions, which are assumed to be static. Actual results could differ materially based on
a number of factors, including changes in interest rates, spreads, prepayments, asset values, funding levels, risk positions, hedging costs, expenses and other factors.
8) Stock return is measured from IPO through August 31, 2017. 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: SNL Financial.
9) Economic return is measured from June 30, 2008 through June 30, 2017. Total economic return represents the change in net book value per common share and dividends declared on common stock
during the period over the beginning net book value per common share. Source: Company SEC filings and SNL Financial.
10) The duration of an asset or liability measures how much its price is expected to change if interest rates move in a parallel manner; it is a model estimate of interest rate sensitivity and is measured in
years as of a point in time. Duration gap is a measure of the difference in the interest rate exposure, or estimated price sensitivity, of AGNC’s assets and liabilities (including hedges).
11) Stock return is measured from December 31, 2016 through August 31, 2017. 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: SNL Financial.
12) Hypothetical analysis is for illustrative purposes only and assumes AGNC and the hypothetical externally-managed REIT have identical portfolios, funding and leverage profiles but different operating
cost structures.
13) Hypothetical analysis is for illustrative purposes only and assumes unchanged G&A expenses in the capital raise scenario.
14) The residential mortgage REIT universe is unweighted and includes AJX, ANH, ARR, CHMI, CIM, CMO, CYS, DX, EARN, IVR, MFA, MITT, MTGE, NLY, NRZ, NYMT, OAKS, ORC, PMT, RWT, TWO and WMC.
15) For agency-focused residential mortgage REIT peer comparison purposes, AGNC’s peer group is unweighted and includes ANH, ARR, CMO, CYS and NLY.
16) The large resi mREIT group includes resi mREITs with greater than $3 billion in total stockholders’ equity as of June 30, 2017: CIM, MFA, NLY, NRZ and TWO. The mid / small resi mREIT group includes
resi mREITs with less than $3 billion in total stockholders’ equity as of June 30, 2017: AJX, ANH, ARR, CHMI, CMO, CYS, DX, EARN, IVR, MITT, MTGE, NYMT, OAKS, ORC, PMT, RWT and WMC.