AGNC Investment : Q4 2022 Presentation

Q4 2022 Stockholder Presentation

January 31, 2023

© 2023 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	$9.84 Per Share
IPO Date:	Total Dividends Paid Since IPO1:	Total Common Equity Capital2:
May 2008	$45.76 Per Share	$6.2 B

Type:

Preferred Stock

Preferred				Annual		Depositary		Aggregate
Type:	Issue Date:	Ticker:	1	Shares	6	Liquidation
Stock:	Dividend Rate :	Outstanding :	Preference:
Series C4	Fixed-to-Floating Rate	Aug 22, 2017	AGNCN	9.94071%		13.0 Million		$325 Million
Series D5	Fixed-to-Floating Rate	Mar 6, 2019	AGNCM	6.875%		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 Dec 31, 2022 unless otherwise indicated

1. As of Jan 15, 2023
2. "Tangible Net Book Value" and "Total Common Equity Capital" are net of preferred stock liquidation preference
3. Series C, D, E, F and G 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, April 15, 2025 and Oct 15, 2027, respectively
4. Series C accrues at a floating rate equal to 3M LIBOR plus a spread of 5.111%, per annum. The annual dividend rate is as of the most recent dividend determination date
5. At the conclusion of the Series D, E, and F fixed rate period on 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 4.332%, 4.993% and 4.697%, respectively, per annum. At the conclusion of the Series G initial fixed rate period on Oct 15, 2027, and every five years thereafter, the Series G dividend rate will reset to a rate equal to the

	five-year US Treasury rate plus a spread of 4.39%, per annum	3
6.	Each depositary share outstanding represents a 1/1,000th interest in a share of preferred stock

Q4 2022 Highlights

• $1.17 Comprehensive Income per Share, Comprised of:
• • $0.93 net income per share
  • $0.24 other comprehensive income ("OCI") per share on investments marked-to-market through
    OCI
• $0.74 Net Spread and Dollar Roll Income per Share, Excluding Estimated "Catch- Up" Premium Amortization Cost 1
• • Includes $0.11 per share of dollar roll income associated with a $19.0 B average net long position in forward purchases and sales of Agency MBS in the "to-be-announced" ("TBA") market 2
  • Excludes $(0.01) per share of estimated "catch-up" premium amortization cost due to change in projected constant prepayment rate ("CPR") estimates
• $9.84 Tangible Net Book Value per Share as of Dec 31, 2022
• • Increased $0.76 per share, or 8.4%, from $9.08 per share as of Sep 30, 2022
  • Excludes $526 MM, or $0.92 per share, of goodwill as of Dec 31, 2022
• $0.36 Dividends Declared per Share for the Fourth Quarter
• 12.3% Economic Return on Tangible Common Equity for the Quarter
• • Comprised of $0.36 dividends per share and $0.76 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

Q4 2022 Other Highlights

▪ $59.5 B Investment Portfolio as of Dec 31, 2022

	• $39.5 B Agency MBS
	• $18.6 B net TBA mortgage position
	• $1.4 B credit risk transfer ("CRT") and non-Agency securities
▪ 7.4x Tangible Net Book Value "At Risk" Leverage as of Dec 31, 2022 1
	• 7.8x average tangible net book value "at risk" leverage for the quarter
▪ Cash and Unencumbered Agency MBS Totaled $4.3 B as of Dec 31, 2022
	• Excludes unencumbered CRT and non-Agency securities
	• Represents 59% of tangible equity as of Dec 31, 2022
▪ 7.4% Average Projected Portfolio Life CPR as of Dec 31, 2022
	• 6.8% actual portfolio CPR for the quarter
▪ 2.74% Annualized Net Interest Spread and TBA Dollar Roll Income for the Quarter, Excluding
	Estimated "Catch-Up" Premium Amortization Cost	2
	• Excludes -3 bps of "catch-up" premium amortization cost due to change in projected CPR
	estimates
▪	Capital Markets Activity
	• Issued 23.3 MM common shares through At-the-Market("ATM") Offerings at an average offering
	price of $8.02 per share, net of costs, or $187 MM
1.	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
2.	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