Q Shareholder Presentation

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Marybeth Martin
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2 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 ti provided d by the Reform Act. Actual outcomes and results could differ materially from those forecast due to the impact of many factors beyond the control of American Capital Agency Corp. ( AGNC ). All forward-looking statements included in this presentation are made only as of the date of this presentation and are subject to change without t notice. Certain factors that could cause actual results to differ materially from those contained in the forwardlooking statements, are included in the Risks Factors section of AGNC s prospectus filed with the Securities and Exchange Commission ( SEC ) on May 15, 2008 and our subsequent periodic reports filed with the SEC. Copies are available on the SEC s website at We disclaim any obligation to update our forward looking statements. The following slides contain summaries of certain financial i and statistical ti ti information about AGNC. They should be read in conjunction with our periodic reports that are filed from time to time with the SEC, including our quarterly report on Form 10-Q for the fiscal quarter ended June 30, Historical results discussed ssed in this presentation are not indicative of future results. 2

3 Overview of AGNC Structure and Investment Objective Agency REIT Externally-Managed by an Affiliate of American Capital (Nasdaq: ACAS) Generate Attractive Risk-Adjusted Returns Distribute Income Through Quarterly Dividends Asset Class and Investment Portfolio Invest Exclusively in Agency Securities Guaranteed by Ginnie Mae, Fannie Mae and Freddie Mac Capitalize on Discrepancies in the Relative Valuations in the Agency Securities Market Leverage: Leverage and Capitalization Intended leverage range of 6x to 8x (1) Board approval needed to exceed 10x leverage Repurchase agreements with 14 global financial institutions as of 6/30/08 1. Leverage as of June 30, 2008 was 8.27x. 3

4 Q Highlights Completed $300 MM Initial Capital Raise on May 20, 2008 (1) $286 MM in net proceeds (2) Declared a Dividend of $0.31 per Share Net Income of $5.5 5 MM $0.37 per basic and diluted share 17.45% annualized ROE (3) Annualized Net Interest Rate Spread of 3.15% Borrowed o $2.2 B under repurchase agreements e as of June 30, x leverage as of June 30, 2008 $2.4 B Investment Portfolio as of June 30, % fixed rate agency securities On average, portfolio was held for approximately 27 days 1. AGNC priced its initial public offering ( IPO ) and concurrent private placement to American Capital on May 14, 2008 and closed the offerings on May 20, The earnings and ROE information are for the stub period from May 20, 2008 through June 30, Comprised of $186 million in net proceeds from IPO and $100 million in proceeds from concurrent private placement. 3. Annualized ROE based on net income and average stockholders equity for the stub period from May 20, 2008 through June 30,

5 Three Pillars of Mortgage Investing Successful MBS Investing Value Relative Value is the Main Driver of AGNC s Investment Philosophy Macro Mortgage Market Analysis American Capital Provides Unique Insight Into Economy as Well as Other Asset Classes Underwriting Asset Selection is First Order of Risk Management Understanding Nuances of Various Mortgage Products and Originators Helps Assess Performance and Relative Value Investment Portfolio 100% Agency MBS Fannie Mae, Freddie Mac and Ginnie Mae Leverage Prudent Use of Leverage Vital to Successful Mortgage Investing Asset Selection is Critical When Employing Leverage Appropriate Use of Hedging Strategies is Crucial When Utilizing Leverage 5

6 Current Market Perspective and Outlook Nasdaq: AGNC The mortgage market remains volatile Heightened concerns over the financial i resources of Fannie Mae and Freddie Mac have brought mortgage spreads to some of their widest levels in years Agency MBS pass-throughs h are a fundamentally inexpensive i asset class and can still be financed below LIBOR Prepayments continue to slow due to higher mortgage rates, tighter underwriting standards d and negative home price appreciation (HPA) Overall market conditions continue to validate AGNC s investment thesis and emphasis on relative value: The homeowner, credit markets and broader financial system will remain distressed throughout 2008 Prepayments will remain slow reflecting negative HPA, higher mortgage rates/fees, tighter lending standards d and deteriorating ti consumer financials Premium coupon MBS will continue delivering higher relative yields with less interest rate risk for some time 6

7 Asset Mix Relative Value in Fixed Rate Premium Securities Nasdaq: AGNC Constant Prepayment Rate ( CPR ) 16% projected CPR over the remaining life of the investments as of June 30, 2008 As of June 30, 2008 Amortized Cost Basis (1) Weighted Average (2) ($ in Millions) Par Value $ Amount Pur. Price Fair Value Coupon Yield Fannie Mae $1,284.3 $1, % $1, % 5.58% Ginnie Mae % % 5.36% Freddie Mac % % 5.56% Total / Wtd Avg $2, , % $2, % 5.50% (At Fair Value) Ginnie Mae 35% Floating Rate 0% Fannie Mae 54% Freddie Mac 11% Fixed Rate 100% 1. Amortized cost basis amount and purchase price of securities as of June 30, Weighted average coupon and yield during the period from May 20, 2008 to June 30,

8 Financing and Hedging Summary Diversified Funding Sources $2.2 2 B Outstanding under 12 of 14 Executed Repurchase Agreements No more than 16% exposure to any one counterparty 24 weighted average days to maturity 8.27x Leverage as of June 30, 2008 $0.7 B Notional Value of Swaps as of June 30, 2008 Repo Maturities 32% of the repurchase agreements outstanding Swaps are 6-month forward starting Repurchase Agreements ($ in millions) Repo Outstanding Interest Rate Wtd Avg Days to Maturity 30 Days or Less $1, % 16 Days Days % 55 Days Days % 65 Days Greater than 90 Days % 0 Days Swap Term Swap Agreements ($ in millions) Notional Amount Pay Rate 1 2 Years $ % 3 4 Years % 4 5 Years % Greater than 5 Years % Total / Wtd Avg $2, % 24 Days Total / Wtd Avg $ % 8

9 Business Economics Period from 5/20/08 6/30/08 As of 6/30/08 Asset Yield 550% 5.50% 5.54% 54% Cost of Funds (2.35)% (2.39)% Net Interest Rate Spread 3.15% 3.15% Leverage 4.86x 8.27x Leveraged Net Interest Rate Spread 15.31% 26.05% Asset Yield 5.50% 5.54% Gross ROE Before Expenses 20.81% 31.59% Other (1) 069% 0.69% --- Management Fees as a % of Equity (1.28)% (1.33)% Other Operating Expenses as a % of Equity (2) (2.77)% (2.90)% Total Operating Expenses as a % of Equity (4.05)% (4.23)% Net Return On Equity 17.45% 27.36% (3) 1. Represents the impact of other components of net income and differences due to weighting and rounding. 2. Other operating expenses include one-time start up costs of $0.3 MM. 3. Net return on equity as of June 30, 2008 does not include the effects of actual other income or loss. It will increase or decrease prospectively as our leverage changes and our asset yields and cost of funds increase or decrease. It will also increase or decrease prospectively based on changes in the fair value of our investments and if we realize gains or losses on our investments. 9

10 Income Statement in Millions, Except per Share Data Period From 5/20/08 6/30/08 (unaudited) Interest Income $9.9 Interest Expense (3.6) Net Interest Income 6.3 Total Other Income 0.5 Management Fee (0.4) General and Administrative Expenses (1) (0.9) Total Operating Expenses (1.3) Net Income $5.5 Basic and Diluted Shares Outstanding 15.0 Basic and Diluted EPS $0.37 Dividends Per Share (Declared) $ General and administrative expenses include one-time start up costs of $0.3 MM. 10

11 Balance Sheet $ in Millions, Except per Share Data Agency Securities, at Fair Value ($2,312.0 pledged under repurchase and swap agreements) As of 06/30/08 (unaudited) $ 2,401.9 Cash and Cash Equivalents ($15.9 restricted) 23.7 Other Assets 14.2 Total Assets $ 2,439.8 Repurchase Agreements $ 2,166.6 Dividend Payable 4.7 Other Liabilities 6.6 Total Liabilities 2,177.9 Stockholders Equity Total Liabilities and Stockholders Equity $ 2,439.8 Other Key Metrics: Leverage 8.3x Equity to MBS Portfolio 10.9% Return on Equity (1) 17.4% Book Value Per Share $ Annualized Return on Equity for the stub period from May 20, 2008 through June 30,

Investor Presentation. Third Quarter 2018

Investor Presentation. Third Quarter 2018 Investor Presentation Third Quarter 2018 Information Related to Forward-Looking Statements Statements concerning interest rates, portfolio allocation, financing costs, portfolio hedging, prepayments, dividends,