AGNC posts $1.28 comprehensive loss per share in Q3 2026
The quarter’s -12.7% economic return comprised $0.36 in dividends and a $1.45 per-share decline in tangible net book value.
Sentiment and the balance of points
Rhea-AI Sentiment reads the wording of the document, how positive or negative its language is on a 1 to 5 scale. The balance of points shown with the takes weighs what the document actually discloses, so the two can disagree, for example when a trial that missed its main goal is described in upbeat language.
Form Type
8-K
Rhea-AI Filing Summary
AGNC Investment Corp. reported a $1.28 comprehensive loss per common share for the third quarter of 2026, including a $1.17 net loss and $0.11 of other comprehensive loss. Tangible net book value was $7.13 per common share as of September 30, down 16.9% from $8.58 as of June 30. AGNC declared $0.36 per common share in dividends, and its economic return on tangible common equity was -12.7%. GAAP net interest income was $402 million, compared with $305 million in the prior quarter.
The $94.4 billion investment portfolio included $93.8 billion of Agency MBS and TBA securities and $0.6 billion of credit risk transfer, non-Agency securities and other mortgage-credit investments. Net interest spread was 1.86%, compared with 2.00% in the prior quarter, while net spread and dollar roll income was $0.37 per common share versus $0.40. AGNC ended the quarter with 7.9x tangible net book value “at risk” leverage and $6.3 billion of unencumbered cash and Agency MBS. It issued 97.6 million common shares through At-the-Market Offerings for $992 million in net proceeds.
1 point · 0 major2 major · 2 points
How this balance works
Rhea-AI gives every point it takes from this document a weight. Minor counts 1, Moderate 3 and Major 9, so one Major point outweighs several Minor ones. The bar adds up the weights on each side, and when neither side holds more than 65% of the total the balance reads Mixed.
It reads the document as published, with the same rules for every company, and it does not look at what the market expected or at how the stock traded, so a point can be objectively good on a day the stock falls.
Rhea-AI Sentiment measures something else, the tone of the wording.
Positive
- Moderate pointNet interest income increased to $402 million from $305 million in the prior quarter.
Negative
- Major pointComprehensive loss reached $1.28 per common share in the third quarter of 2026.
- Major pointTangible net book value declined 16.9% to $7.13 per common share.
Filing Explained
AGNC had 1,261.8 million common shares outstanding at
8-K Event Classification
2 items: 2.02, 9.01
2 items
Item 2.02
Results of Operations and Financial Condition
Financial
Disclosure of earnings results, typically an earnings press release or preliminary financials.
Item 9.01
Financial Statements and Exhibits
Exhibits
Financial statements, pro forma financial information, or exhibit attachments filed with this report.
Key Figures
Comprehensive loss per common share: $(1.28) per common share
Net interest income: $402 million
Tangible net book value: $7.13 per common share
+5 more
8 metrics
Comprehensive loss per common share
$(1.28) per common share
Third quarter of 2026
Net interest income
$402 million
Third quarter of 2026; $305 million in the prior quarter
Tangible net book value
$7.13 per common share
As of September 30, 2026
Economic return on tangible common equity
-12.7%
Third quarter of 2026
Investment portfolio
$94.4 billion
As of September 30, 2026
Net interest spread
1.86%
Third quarter of 2026
Common shares issued through At-the-Market Offerings
97.6 million shares
Third quarter of 2026
Net proceeds from At-the-Market Offerings
$992 million
Third quarter of 2026
Key Terms
to-be-announced, constant prepayment rate, tangible net book value “at risk” leverage, net spread and dollar roll income
4 terms
to-be-announced financial
"in the “to-be-announced” (“TBA”) market"
To-be-announced (TBA) describes a trade agreed today for a bond or mortgage-backed security that will be specifically identified later, typically shortly before settlement; buyers and sellers agree on quantity, price and general characteristics but not the exact securities. It matters to investors because it lets large trades move quickly and at standardized prices while creating some uncertainty about the exact asset quality and timing—like ordering a boxed set with a promised genre but not knowing which specific titles you’ll receive until shipment—which can affect return, risk and hedging.
constant prepayment rate financial
"projected constant prepayment rate (“CPR”) estimates"
Constant prepayment rate (CPR) is an annualized percentage that estimates how quickly borrowers are expected to pay off the principal on a pool of loans, like mortgages, ahead of schedule. Investors use it to predict cash flows and risk—higher CPR means faster return of principal but fewer future interest payments, similar to getting your loan paid off sooner and changing the income you expected from that investment.
tangible net book value “at risk” leverage financial
"tangible net book value “at risk” leverage ratio"
net spread and dollar roll income financial
"net spread and dollar roll income (a non-GAAP financial measure)"
Net spread and dollar roll income is the profit a holder of mortgage-backed securities earns from short-term transactions where securities are sold for delivery now and repurchased later at a different price, plus the extra interest or coupon received while not holding the original bonds. Think of it like lending a car to someone who pays you to use it and returns a similar car later — you earn the price difference and any payments received in the interim. This income affects an investor’s cash flow, yield and exposure to timing and replacement risk.
Earnings Snapshot
Comprehensive loss per common share: $(1.28) per common share
Third quarter of 2026
Comprehensive loss per common share
$(1.28) per common share
Compared with $0.52 comprehensive income per common share in the prior quarter
Net interest income
$402 million
Compared with $305 million in the prior quarter
Tangible net book value
$7.13 per common share as of September 30, 2026
Down 16.9% from $8.58 as of June 30, 2026
Net spread and dollar roll income
$0.37 per common share
Compared with $0.40 per common share in the prior quarter
Net interest spread
1.86%
Compared with 2.00% in the prior quarter
FAQ
AI-generated questions and answers. How Rhea-AI works. Not financial advice.
What were AGNC’s net interest income and comprehensive loss in Q3 2026?
AGNC reported $402 million of net interest income and a comprehensive loss of $1.28 per common share for the quarter ended September 30, 2026. Net interest income was $305 million in the prior quarter.
How did AGNC’s tangible net book value change in Q3 2026?
Tangible net book value was $7.13 per common share as of September 30, 2026, down 16.9% from $8.58 as of June 30, 2026.
How much of AGNC’s funding liabilities did its hedges cover?
As of September 30, 2026, interest rate swaps, U.S. Treasury positions, option-based hedges and other interest rate hedges equaled 90% of funding liabilities. Excluding option-based hedges, the hedge portfolio covered 97%.
AI-generated analysis. How Rhea-AI works. Not financial advice.
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): October 19, 2026
__________________________________________________
(Exact name of registrant as specified in its charter)
__________________________________________________
| (State or Other Jurisdiction of Incorporation or Organization) | (Commission File Number) | (I.R.S. Employer Identification No.) | ||||||
(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:
| Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) | ||||||||
| Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) | ||||||||
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) | ||||||||
| Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) | ||||||||
Securities registered pursuant to Section 12(b) of the Act:
| Title of Each Class | Trading Symbol(s) | Name of Exchange on Which Registered | ||||||||||||
Redeemable Preferred Stock | ||||||||||||||
Redeemable Preferred Stock | ||||||||||||||
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 | |||||
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 2.02 Results of Operations and Financial Condition
On October 19, 2026, AGNC Investment Corp. issued a press release announcing its financial results for the quarter ended September 30, 2026. The text of the aforementioned press release is included as exhibit 99.1 to this Form 8-K. The press release included the following financial information for the quarter:
•Total comprehensive loss for the third quarter of 2026 of $(1.28) per share of common stock, comprised of $(1.17) net loss per common share and $(0.11) other comprehensive loss (“OCI”) per common share on investments marked-to-market through OCI;
•Tangible net book value of $7.13 per share of common stock as of September 30, 2026, which amount excludes $526 million, or $0.42 per common share, of goodwill as of September 30, 2026;
•$94.4 billion fair value of its investment portfolio as of September 30, 2026, inclusive of net forward purchases and sales of Agency mortgage-backed securities, in the “to-be-announced” (“TBA”) market;
•Tangible net book value “at risk” leverage ratio was 7.9x as of September 30, 2026. Tangible net book value “at risk” leverage represents the ratio of the amount outstanding under its investment securities’ repurchase agreements, net TBA position (at cost) and net receivable / payable for unsettled investment securities outstanding to the sum of total stockholders’ equity adjusted to exclude goodwill as of period end (repurchase agreements used to fund U.S. Treasury securities are excluded from the Company’s leverage measurement);
•Economic return on tangible common equity of -12.7% for the third quarter, comprised of $0.36 dividend per share of common stock declared during the third quarter and $(1.45) decrease in tangible net book value per common share;
•Cash and unencumbered Agency MBS of $6.3 billion as of September 30, 2026; and
•Issued 97.6 million shares of common equity through At-the-Market Offerings for net proceeds of $992 million.
Pursuant to the rules and regulations of the Securities and Exchange Commission, exhibit 99.1 to this Form 8-K and the information set forth therein, shall be deemed “furnished” and not “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), and shall not be deemed to be incorporated by reference in any filing under the Securities Act of 1933, as amended (the “Securities Act”), or the Exchange Act, except as shall be expressly set forth by specific reference in such a filing. Pursuant to the rules and regulations of the SEC, the information provided in this Item 2.02 of this Form 8-K shall be deemed “filed” for purposes of Section 18 of the Exchange Act, and shall be deemed to be incorporated by reference in any filing under the Securities Act, or the Exchange Act, except as shall be expressly set forth by specific reference in such a filing.
Item 9.01 Financial Statements and Exhibits
(a) None.
(b) None.
(c) Exhibits
| Exhibit No. | Description | ||||||||||
99.1 | Press Release dated | October 19, 2026 | |||||||||
| 104 | Cover Page Interactive Data File (embedded within the Inline XBRL document) | ||||||||||
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
AGNC INVESTMENT CORP. | |||||||||||
| Dated: | October 19, 2026 | By: | /s/ BERNICE E. BELL | ||||||||
| Bernice E. Bell | |||||||||||
| Executive Vice President and Chief Financial Officer | |||||||||||
Exhibit 99.1
FOR IMMEDIATE RELEASE
October 19, 2026
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9303
AGNC INVESTMENT CORP.
ANNOUNCES THIRD QUARTER 2026 FINANCIAL RESULTS
Bethesda, MD - October 19, 2026 - AGNC Investment Corp. (“AGNC” or the “Company”) (Nasdaq: AGNC) today announced financial results for the quarter ended September 30, 2026.
THIRD QUARTER 2026 FINANCIAL HIGHLIGHTS
•$(1.28) comprehensive loss per common share, comprised of:
◦$(1.17) net loss per common share
◦$(0.11) other comprehensive loss (“OCI”) per common share on investments marked-to-market through OCI
•$0.37 net spread and dollar roll income per common share1
◦Excludes $0.05 per common share of estimated “catch-up” premium amortization benefit due to change in projected constant prepayment rate (“CPR”) estimates
•$7.13 tangible net book value per common share as of September 30, 2026
◦Decreased $1.45 per common share, or 16.9%, from $8.58 per common share as of June 30, 2026
•$0.36 dividends declared per common share for the third quarter
•-12.7% economic return on tangible common equity for the quarter
◦Comprised of $0.36 dividends per common share and $1.45 decrease in tangible net book value per common share
OTHER THIRD QUARTER HIGHLIGHTS
•$94.4 billion investment portfolio as of September 30, 2026, comprised of:
◦$91.4 billion Agency mortgage-backed securities (“Agency MBS”)
◦$2.4 billion net forward purchases/(sales) of Agency MBS in the “to-be-announced” market (“TBA securities”)
◦$0.6 billion credit risk transfer (“CRT”) and non-Agency securities and other mortgage credit investments
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•7.9x tangible net book value “at risk” leverage as of September 30, 2026
◦7.6x average tangible net book value “at risk” leverage for the quarter
•Unencumbered cash and Agency MBS totaled $6.3 billion as of September 30, 2026
◦Excludes unencumbered CRT and non-Agency securities
◦Represents 57% of the Company’s tangible equity as of September 30, 2026
•6.7% average projected portfolio life CPR as of September 30, 2026
◦8.2% actual portfolio CPR for the quarter
•1.86% annualized net interest spread for the quarter2
•Issued 97.6 million shares of common equity through At-the-Market (“ATM”) Offerings for net proceeds of $992 million
___________
1.Represents a non-GAAP measure. Please refer to the Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income and Use of Non-GAAP Financial Information included in this release for additional information.
2.Please refer to Net Interest Spread Components by Funding Source included in this release for additional information regarding the Company’s annualized net interest spread.
MANAGEMENT REMARKS
“Fixed income markets experienced significant pressure in the third quarter, particularly in the final weeks of September, as fixed income investor sentiment turned decidedly bearish, interest rates increased sharply, and interest rate volatility spiked,” said Peter Federico, the Company’s President, Chief Executive Officer and Chief Investment Officer. “The instability in the Treasury market drove pronounced weakness in the Agency MBS market, and, as a result, Agency MBS was the worst performing sector of the Bloomberg U.S. Aggregate Bond Index during the quarter. Consistent with this material underperformance of our underlying asset class, AGNC’s economic return on tangible common equity in the third quarter was -12.7%.
“Despite the challenging macroeconomic environment, there are a number of reasons for optimism with respect to the outlook for Agency MBS once volatility in the Treasury market subsides. First, the return profile of Agency MBS is more attractive at current valuation levels, as mortgage spreads to benchmark rates are approaching the upper end of their multi-year trading range. Second, the fundamentals for Agency MBS are more favorable today than they were at the start of the third quarter. At current rate levels, most of the duration extension for the mortgage universe has already occurred, while prepayment risk has declined as a result of the increase in rates and the resulting reduction in the share of mortgages with a meaningful incentive to refinance. Third, supply-demand technicals remain in balance as mortgage originations remain low at these elevated rate levels and demand has been resilient. Together, these factors support a constructive outlook for Agency MBS performance.”
“AGNC’s -12.7% economic return on tangible common equity in the third quarter consisted of $0.36 of dividends declared per common share and a $1.45 decline in tangible net book value per common share,” said Bernice Bell, the Company’s Executive Vice President and Chief Financial Officer. “AGNC’s net spread and dollar roll income per common share was $0.37 for the third quarter, and AGNC concluded the third quarter with tangible net book value ‘at risk’ leverage of 7.9x and a liquidity position of $6.3 billion of unencumbered cash and Agency MBS, or 57% of our tangible equity at quarter end. Finally, AGNC was added to the S&P MidCap 400 Index during the third quarter, an important milestone for the Company and a testament to the scale that AGNC has attained over our 18-year history. This announcement and subsequent index rebalancing activity drove elevated trading volumes in AGNC’s common stock, and we took
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advantage of this outsized liquidity to issue $992 million of common stock through our ATM offering program at a significant premium to tangible net book value per common share.”
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of September 30, 2026, the Company’s tangible net book value per common share was $7.13 per share, a decrease of 16.9% for the quarter compared to $8.58 per share as of June 30, 2026. The Company’s tangible net book value per common share excludes $526 million, or $0.42 and $0.45 per share, of goodwill as of September 30 and June 30, 2026, respectively.
INVESTMENT PORTFOLIO
As of September 30, 2026, the Company’s investment portfolio totaled $94.4 billion, comprised of:
•$93.8 billion of Agency MBS and TBA securities, including:
◦$89.2 billion of fixed-rate securities, comprised of:
•$86.6 billion 30-year MBS,
•$2.1 billion 30-year TBA securities, net, and
•$0.5 billion 15 and 20-year MBS and TBA securities; and
◦$4.5 billion of collateralized mortgage obligations (“CMOs”), adjustable-rate and other Agency securities; and
•$0.6 billion of CRT and non-Agency securities and other mortgage credit investments.
As of September 30, 2026, 30-year fixed-rate Agency MBS and TBA securities represented 94% of the Company’s investment portfolio, unchanged from June 30, 2026.
As of September 30, 2026, the Company’s fixed-rate Agency MBS and TBA securities’ weighted average coupon was 5.13%, compared to 5.04% as of June 30, 2026, comprised of the following weighted average coupons:
•5.13% for 30-year fixed-rate securities;
•4.85% for 15-year fixed-rate securities; and
•3.74% for 20-year fixed-rate securities.
The Company accounts for TBA securities and other forward settling securities as derivative instruments and recognizes TBA dollar roll income in other gain (loss), net on the Company’s financial statements. As of September 30, 2026, such positions had a fair value of $2.4 billion and a GAAP net carrying value of $(70) million reported in derivative assets/(liabilities) on the Company’s balance sheet, compared to $9.7 billion and $52 million, respectively, as of June 30, 2026.
CONSTANT PREPAYMENT RATES
The Company’s weighted average projected CPR for the remaining life of its Agency securities held as of September 30, 2026 decreased to 6.7% from 8.6% as of June 30, 2026. The Company’s weighted average actual CPR for the third quarter was 8.2%, compared to 13.0% for the prior quarter.
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The weighted average cost basis of the Company’s investment portfolio was 100.3% of par value as of September 30, 2026. The Company’s investment portfolio generated a net premium amortization benefit of $34 million, or $0.03 per common share, for the third quarter, which includes a “catch-up” premium amortization benefit of $66 million, or $0.05 per common share, due to changes in the Company’s CPR projections for certain securities acquired prior to the third quarter. This compares to net premium amortization cost for the prior quarter of $47 million, or $0.04 per common share, including “catch-up” premium amortization cost of $5 million, or less than $0.01 per common share.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
The Company’s average asset yield on its investment portfolio, excluding the TBA position, was 5.21% for the third quarter, compared to 4.87% for the prior quarter. Excluding “catch-up” premium amortization, the Company’s average asset yield was 4.92% for the third quarter, compared to 4.89% for the prior quarter. Including the TBA position and excluding “catch-up” premium amortization, the Company’s average asset yield for the third quarter was 4.95%, compared to 4.89% for the prior quarter.
For the third quarter, the weighted average interest rate on the Company’s repurchase agreements was 3.77%, compared to 3.74% for the prior quarter. For the third quarter, the Company’s TBA position had an implied financing cost of 3.64%, compared to 3.46% for the prior quarter. Inclusive of interest rate swaps, the Company’s combined weighted average cost of funds for the third quarter was 3.09%, compared to 2.89% for the prior quarter.
The Company’s annualized net interest spread, including the TBA position and interest rate swaps and excluding “catch-up” premium amortization, for the third quarter was 1.86%, compared to 2.00% for the prior quarter.
NET SPREAD AND DOLLAR ROLL INCOME
The Company recognized net spread and dollar roll income (a non-GAAP financial measure) for the third quarter of $0.37 per common share, compared to $0.40 per common share for the prior quarter. Net spread and dollar roll income excludes $0.05 and less than $(0.01) per common share of estimated “catch-up” premium amortization benefit / (cost) for the third quarter and prior quarter, respectively.
The Company’s cost of funds, net interest rate spread and net spread and dollar roll income excludes the impact of the Company’s U.S. Treasury hedges, option-based hedges, and other supplemental interest rate hedges. For additional information regarding the Company’s U.S. Treasury hedges, please refer to the schedule of Key Statistics included in this release.
A reconciliation of the Company’s total comprehensive income (loss) to net spread and dollar roll income and additional information regarding the Company’s use of non-GAAP measures are included later in this release.
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LEVERAGE
As of September 30, 2026, $85.7 billion of repurchase agreements and $2.4 billion of net TBA dollar roll positions (at cost) were used to fund the Company’s investment portfolio. The remainder, or approximately $11.0 billion, of the Company’s repurchase agreements was used to fund short-term purchases of U.S. Treasury securities (“U.S. Treasury Repo”) and is not included in the Company’s leverage measurements. Inclusive of its net TBA position and net payable/(receivable) for unsettled investment securities and unsettled equity issuances, the Company’s tangible net book value “at risk” leverage ratio was 7.9x as of September 30, 2026, compared to 7.4x as of June 30, 2026. The Company’s average “at risk” leverage ratio for the third quarter was 7.6x tangible net book value, compared to 7.4x as of June 30, 2026.
As of September 30, 2026, the Company’s repurchase agreements used to fund its investment portfolio (“Investment Securities Repo”) had a weighted average interest rate of 3.95%, compared to 3.75% as of June 30, 2026, and a weighted average remaining maturity of 10 days, compared to 13 days as of June 30, 2026. As of September 30, 2026, $45.7 billion, or 53%, of the Company’s Investment Securities Repo was funded through the Company’s captive broker-dealer subsidiary, Bethesda Securities, LLC.
HEDGING ACTIVITIES
As of September 30, 2026, interest rate swaps, U.S. Treasury positions, option-based hedges (swaptions), and other interest rate hedges equaled 90% of the Company’s outstanding balance of Investment Securities Repo, net TBA position, and other debt (collectively, “funding liabilities”), compared to 73% as of June 30, 2026. Excluding option-based hedges, the Company’s hedge portfolio covered 97% of its funding liabilities as of September 30, 2026, compared to 82% as of June 30, 2026.
As of September 30, 2026, the Company’s pay fixed interest rate swap position totaled $74.6 billion in notional amount, with an average fixed pay rate of 2.96%, an average floating receive rate of 3.90% and an average maturity of 4.3 years, compared to $73.8 billion, 2.76%, 3.68% and 4.0 years, respectively, as of June 30, 2026.
As of September 30, 2026, the Company had a net short U.S. Treasury position of $11.1 billion and receiver swaptions of $6.3 billion outstanding, compared to a $2.1 billion net short U.S. Treasury position, net receiver swaptions of $7.8 billion and a two-year swap equivalent long SOFR futures position of $2.6 billion as of June 30, 2026.
OTHER GAIN (LOSS), NET
For the third quarter, the Company recorded a net loss of $(1,731) million in other gain (loss), net, or $(1.44) per common share, compared to a net gain of $379 million, or $0.33 per common share, for the prior quarter. Other gain (loss), net for the third quarter was comprised of:
•$(17) million of net realized losses on sales of investment securities;
•$(5,015) million of net unrealized losses on investment securities measured at fair value through net income;
•$153 million of interest rate swap periodic income;
•$2,052 million of net gains on interest rate swaps;
•$(34) million of net losses on interest rate swaptions;
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•$6 million of net gains on SOFR futures;
•$1,228 million of net gains on U.S. Treasury positions;
•$28 million of TBA dollar roll income;
•$(134) million of net mark-to-market losses on TBA securities; and
•$2 million of other miscellaneous gains.
OTHER COMPREHENSIVE LOSS
During the third quarter, the Company recorded other comprehensive income (loss) of $(140) million, or $(0.11) per common share, consisting of net unrealized losses on its Agency securities recognized through OCI, compared to $(7) million, or $(0.01) per common share, in the prior quarter.
COMMON STOCK DIVIDENDS
During the third quarter, the Company declared dividends of $0.12 per share to common stockholders of record as of July 31, August 31, and September 30, 2026, totaling $0.36 per share for the quarter. Since its May 2008 initial public offering through the third quarter of 2026, the Company has declared a total of $16.8 billion in common stock dividends, or $51.16 per common share.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO STATISTICS
The following measures of operating performance include net spread and dollar roll income; economic interest income; economic interest expense; and the related per common share measures and financial metrics derived from such information, which are non-GAAP financial measures. Please refer to “Use of Non-GAAP Financial Information” later in this release for further discussion of non-GAAP measures.
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| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
| CONSOLIDATED BALANCE SHEETS | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | |||||||||||||||||||||||||
| (unaudited) | (unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||||||
| Assets: | |||||||||||||||||||||||||||||
Agency securities, at fair value (including pledged securities of $86,455, $80,761, $77,364, $74,149 and $68,821, respectively) | $ | 91,394 | $ | 86,784 | $ | 84,447 | $ | 81,003 | $ | 76,198 | |||||||||||||||||||
| Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | — | — | — | 85 | 88 | ||||||||||||||||||||||||
Credit risk transfer securities, at fair value (including pledged securities of $468, $525, $545, $558 and $554, respectively) | 515 | 573 | 593 | 606 | 609 | ||||||||||||||||||||||||
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $7, $8, $8, $13 and $15, respectively) | 95 | 94 | 93 | 95 | 97 | ||||||||||||||||||||||||
U.S. Treasury securities, at fair value (including pledged securities of $11,992, $11,295, $12,313, $13,056 and $5,431, respectively) | 13,028 | 12,325 | 12,582 | 13,477 | 5,927 | ||||||||||||||||||||||||
| Cash and cash equivalents | 468 | 457 | 493 | 450 | 450 | ||||||||||||||||||||||||
| Restricted cash | 1,765 | 1,329 | 1,864 | 1,292 | 1,461 | ||||||||||||||||||||||||
| Derivative assets, at fair value | 851 | 260 | 178 | 169 | 145 | ||||||||||||||||||||||||
Receivable for investment securities sold (including pledged securities of $198, $201, $0, $149 and $1,340, respectively) | 230 | 401 | — | 152 | 1,502 | ||||||||||||||||||||||||
| Receivable under reverse repurchase agreements | 23,826 | 18,433 | 17,644 | 16,615 | 21,399 | ||||||||||||||||||||||||
| Goodwill | 526 | 526 | 526 | 526 | 526 | ||||||||||||||||||||||||
Other assets (including pledged securities of $0, $0, $0, $0 and $74, respectively) | 734 | 578 | 477 | 607 | 567 | ||||||||||||||||||||||||
| Total assets | $ | 133,432 | $ | 121,760 | $ | 118,897 | $ | 115,077 | $ | 108,969 | |||||||||||||||||||
| Liabilities: | |||||||||||||||||||||||||||||
| Repurchase agreements | $ | 96,719 | $ | 89,808 | $ | 87,616 | $ | 85,286 | $ | 74,152 | |||||||||||||||||||
| Debt of consolidated variable interest entities, at fair value | — | — | — | 56 | 58 | ||||||||||||||||||||||||
| Payable for investment securities purchased | 279 | 312 | 933 | 193 | 1,225 | ||||||||||||||||||||||||
| Derivative liabilities, at fair value | 646 | 137 | 440 | 6 | 87 | ||||||||||||||||||||||||
| Dividends payable | 197 | 184 | 182 | 182 | 170 | ||||||||||||||||||||||||
| Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 23,542 | 18,150 | 17,032 | 16,452 | 20,802 | ||||||||||||||||||||||||
| Accounts payable and other liabilities | 489 | 626 | 513 | 509 | 1,031 | ||||||||||||||||||||||||
| Total liabilities | 121,872 | 109,217 | 106,716 | 102,684 | 97,525 | ||||||||||||||||||||||||
| Stockholders’ equity: | |||||||||||||||||||||||||||||
Preferred Stock - aggregate liquidation preference of $2,033 | 1,968 | 1,968 | 1,968 | 1,968 | 1,968 | ||||||||||||||||||||||||
Common stock - $0.01 par value; 1,261.8, 1,164.2, 1,147.8, 1,107.6 and 1,072.7 shares issued and outstanding, respectively | 13 | 12 | 11 | 11 | 11 | ||||||||||||||||||||||||
| Additional paid-in capital | 20,827 | 19,830 | 19,656 | 19,261 | 18,892 | ||||||||||||||||||||||||
| Retained deficit | (10,770) | (8,929) | (9,123) | (8,524) | (9,038) | ||||||||||||||||||||||||
| Accumulated other comprehensive loss | (478) | (338) | (331) | (323) | (389) | ||||||||||||||||||||||||
| Total stockholders’ equity | 11,560 | 12,543 | 12,181 | 12,393 | 11,444 | ||||||||||||||||||||||||
| Total liabilities and stockholders’ equity | $ | 133,432 | $ | 121,760 | $ | 118,897 | $ | 115,077 | $ | 108,969 | |||||||||||||||||||
Tangible net book value per common share 1 | $ | 7.13 | $ | 8.58 | $ | 8.38 | $ | 8.88 | $ | 8.28 | |||||||||||||||||||
AGNC Investment Corp.
October 19, 2026
Page 8
| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
| CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||||||||
September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | |||||||||||||||||||||||||
| Interest income: | |||||||||||||||||||||||||||||
| Interest income | $ | 1,196 | $ | 1,014 | $ | 1,050 | $ | 944 | $ | 903 | |||||||||||||||||||
| Interest expense | 794 | 709 | 731 | 738 | 755 | ||||||||||||||||||||||||
Net interest income | 402 | 305 | 319 | 206 | 148 | ||||||||||||||||||||||||
Other gain (loss), net: | |||||||||||||||||||||||||||||
Realized (loss) gain on sale of investment securities, net | (17) | (16) | 74 | (26) | (81) | ||||||||||||||||||||||||
Unrealized (loss) gain on investment securities measured at fair value through net income, net | (5,015) | (90) | (889) | 475 | 805 | ||||||||||||||||||||||||
Gain (loss) on derivative instruments and other investments, net | 3,301 | 485 | 382 | 340 | (36) | ||||||||||||||||||||||||
Total other (loss) gain, net | (1,731) | 379 | (433) | 789 | 688 | ||||||||||||||||||||||||
| Expenses: | |||||||||||||||||||||||||||||
| Compensation and benefits | 16 | 19 | 23 | 30 | 20 | ||||||||||||||||||||||||
| Other operating expense | 12 | 11 | 11 | 11 | 10 | ||||||||||||||||||||||||
| Total operating expense | 28 | 30 | 34 | 41 | 30 | ||||||||||||||||||||||||
Net income (loss) | (1,357) | 654 | (148) | 954 | 806 | ||||||||||||||||||||||||
| Dividend on preferred stock | 45 | 44 | 44 | 46 | 42 | ||||||||||||||||||||||||
Net income (loss) available (attributable) to common stockholders | $ | (1,402) | $ | 610 | $ | (192) | $ | 908 | $ | 764 | |||||||||||||||||||
Net income (loss) | $ | (1,357) | $ | 654 | $ | (148) | $ | 954 | $ | 806 | |||||||||||||||||||
Unrealized (loss) gain on investment securities measured at fair value through other comprehensive income (loss), net | (140) | (7) | (8) | 66 | 61 | ||||||||||||||||||||||||
Comprehensive income (loss) | (1,497) | 647 | (156) | 1,020 | 867 | ||||||||||||||||||||||||
| Dividend on preferred stock | 45 | 44 | 44 | 46 | 42 | ||||||||||||||||||||||||
Comprehensive income (loss) available (attributable) to common stockholders | $ | (1,542) | $ | 603 | $ | (200) | $ | 974 | $ | 825 | |||||||||||||||||||
| Weighted average number of common shares outstanding - basic | 1,200.5 | 1,157.6 | 1,122.6 | 1,089.3 | 1,053.0 | ||||||||||||||||||||||||
| Weighted average number of common shares outstanding - diluted | 1,200.5 | 1,162.0 | 1122.6 | 1094.6 | 1056.6 | ||||||||||||||||||||||||
Net income (loss) per common share - basic | $ | (1.17) | $ | 0.53 | $ | (0.17) | $ | 0.83 | $ | 0.73 | |||||||||||||||||||
Net income (loss) per common share - diluted | $ | (1.17) | $ | 0.52 | $ | (0.17) | $ | 0.83 | $ | 0.72 | |||||||||||||||||||
Comprehensive income (loss) per common share - basic | $ | (1.28) | $ | 0.52 | $ | (0.18) | $ | 0.89 | $ | 0.78 | |||||||||||||||||||
Comprehensive income (loss) per common share - diluted | $ | (1.28) | $ | 0.52 | $ | (0.18) | $ | 0.89 | $ | 0.78 | |||||||||||||||||||
| Dividends declared per common share | $ | 0.36 | $ | 0.36 | $ | 0.36 | $ | 0.36 | $ | 0.36 | |||||||||||||||||||
AGNC Investment Corp.
October 19, 2026
Page 9
| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
RECONCILIATION OF GAAP COMPREHENSIVE INCOME (LOSS) TO NET SPREAD AND DOLLAR ROLL INCOME (NON-GAAP MEASURE) 2 | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||||||||
September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | |||||||||||||||||||||||||
Comprehensive income (loss) available (attributable) to common stockholders | $ | (1,542) | $ | 603 | $ | (200) | $ | 974 | $ | 825 | |||||||||||||||||||
| Adjustments to exclude realized and unrealized (gains) losses reported through net income: | |||||||||||||||||||||||||||||
Realized (gain) loss on sale of investment securities, net | 17 | 16 | (74) | 26 | 81 | ||||||||||||||||||||||||
Unrealized (gain) loss on investment securities measured at fair value through net income, net | 5,015 | 90 | 889 | (475) | (805) | ||||||||||||||||||||||||
(Gain) loss on derivative instruments and other securities, net | (3,301) | (485) | (382) | (340) | 36 | ||||||||||||||||||||||||
Adjustment to exclude unrealized (gain) loss reported through other comprehensive income: | |||||||||||||||||||||||||||||
Unrealized (gain) loss on available-for-sale securities measured at fair value through other comprehensive income, net | 140 | 7 | 8 | (66) | (61) | ||||||||||||||||||||||||
| Other adjustments: | |||||||||||||||||||||||||||||
Estimated ”catch up” premium amortization cost (benefit) due to change in CPR forecast 3 | (66) | 5 | (5) | 7 | 14 | ||||||||||||||||||||||||
TBA dollar roll income 4,5 | 28 | 44 | 51 | 27 | 23 | ||||||||||||||||||||||||
Interest rate swap periodic income, net 4,6 | 153 | 179 | 182 | 217 | 245 | ||||||||||||||||||||||||
Other interest income (expense), net 4,7 | — | 3 | 6 | 9 | 7 | ||||||||||||||||||||||||
| Net spread and dollar roll income available to common stockholders | $ | 444 | $ | 462 | $ | 475 | $ | 379 | $ | 365 | |||||||||||||||||||
| Weighted average number of common shares outstanding - basic | 1,200.5 | 1,157.6 | 1,122.6 | 1,089.3 | 1,053.0 | ||||||||||||||||||||||||
| Weighted average number of common shares outstanding - diluted | 1,205.1 | 1,162.0 | 1,127.3 | 1,094.6 | 1,056.6 | ||||||||||||||||||||||||
| Net spread and dollar roll income per common share - basic | $ | 0.37 | $ | 0.40 | $ | 0.42 | $ | 0.35 | $ | 0.35 | |||||||||||||||||||
| Net spread and dollar roll income per common share - diluted | $ | 0.37 | $ | 0.40 | $ | 0.42 | $ | 0.35 | $ | 0.35 | |||||||||||||||||||
AGNC Investment Corp.
October 19, 2026
Page 10
| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE 2 | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||||||||
September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | |||||||||||||||||||||||||
| Adjusted net interest and dollar roll income: | |||||||||||||||||||||||||||||
| Economic interest income: | |||||||||||||||||||||||||||||
Investment securities - GAAP interest income 8 | $ | 1,196 | $ | 1,014 | $ | 1,050 | $ | 944 | $ | 903 | |||||||||||||||||||
Estimated “catch-up” premium amortization cost (benefit) due to change in CPR forecast 3 | (66) | 5 | (5) | 7 | 14 | ||||||||||||||||||||||||
TBA dollar roll income - implied interest income 4,9 | 91 | 155 | 140 | 169 | 135 | ||||||||||||||||||||||||
| Economic interest income | 1,221 | 1,174 | 1,185 | 1,120 | 1,052 | ||||||||||||||||||||||||
Economic interest expense: | |||||||||||||||||||||||||||||
| Repurchase agreements and other debt - GAAP interest expense | (794) | (709) | (731) | (738) | (755) | ||||||||||||||||||||||||
TBA dollar roll income - implied interest expense 4,10 | (63) | (111) | (89) | (142) | (112) | ||||||||||||||||||||||||
Interest rate swap periodic income, net 4,6 | 153 | 179 | 182 | 217 | 245 | ||||||||||||||||||||||||
Economic interest expense | (704) | (641) | (638) | (663) | (622) | ||||||||||||||||||||||||
| Adjusted net interest and dollar roll income | $ | 517 | $ | 533 | $ | 547 | $ | 457 | $ | 430 | |||||||||||||||||||
| Net interest spread: | |||||||||||||||||||||||||||||
| Average asset yield: | |||||||||||||||||||||||||||||
| Investment securities - average asset yield | 5.21 | % | 4.87 | % | 4.95 | % | 4.87 | % | 4.83 | % | |||||||||||||||||||
Estimated “catch-up” premium amortization cost (benefit) due to change in CPR forecast | (0.29) | % | 0.02 | % | (0.02) | % | 0.03 | % | 0.08 | % | |||||||||||||||||||
| Investment securities average asset yield, excluding “catch-up” premium amortization | 4.92 | % | 4.89 | % | 4.93 | % | 4.90 | % | 4.91 | % | |||||||||||||||||||
TBA securities - average implied asset yield 9 | 5.37 | % | 4.87 | % | 5.42 | % | 4.91 | % | 5.31 | % | |||||||||||||||||||
Average asset yield 11 | 4.95 | % | 4.89 | % | 4.98 | % | 4.91 | % | 4.95 | % | |||||||||||||||||||
Average total cost of funds: | |||||||||||||||||||||||||||||
| Repurchase agreements and other debt - average funding cost | 3.77 | % | 3.74 | % | 3.79 | % | 4.13 | % | 4.43 | % | |||||||||||||||||||
TBA securities - average implied funding cost 10 | 3.64 | % | 3.46 | % | 3.45 | % | 4.03 | % | 4.31 | % | |||||||||||||||||||
Average cost of funds, before interest rate swap periodic income, net 11 | 3.76 | % | 3.70 | % | 3.75 | % | 4.11 | % | 4.42 | % | |||||||||||||||||||
Interest rate swap periodic income, net 12 | (0.67) | % | (0.81) | % | (0.83) | % | (1.01) | % | (1.25) | % | |||||||||||||||||||
Average total cost of funds 13 | 3.09 | % | 2.89 | % | 2.92 | % | 3.10 | % | 3.17 | % | |||||||||||||||||||
| Average net interest spread | 1.86 | % | 2.00 | % | 2.06 | % | 1.81 | % | 1.78 | % | |||||||||||||||||||
AGNC Investment Corp.
October 19, 2026
Page 11
| AGNC INVESTMENT CORP. | |||||||||||||||||||||||||||||
| KEY STATISTICS* | |||||||||||||||||||||||||||||
| (in millions, except per share data) | |||||||||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||||||||
| Key Balance Sheet Statistics: | September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | ||||||||||||||||||||||||
Investment securities: 8 | |||||||||||||||||||||||||||||
| Fixed-rate Agency MBS, at fair value - as of period end | $ | 86,874 | $ | 82,334 | $ | 80,466 | $ | 77,483 | $ | 73,283 | |||||||||||||||||||
| Other Agency MBS, at fair value - as of period end | $ | 4,520 | $ | 4,450 | $ | 3,981 | $ | 3,605 | $ | 3,003 | |||||||||||||||||||
| Credit risk transfer securities, at fair value - as of period end | $ | 515 | $ | 573 | $ | 593 | $ | 606 | $ | 609 | |||||||||||||||||||
Non-Agency MBS, at fair value - as of period end 14 | $ | 23 | $ | 24 | $ | 24 | $ | 25 | $ | 28 | |||||||||||||||||||
| Total investment securities, at fair value - as of period end | $ | 91,932 | $ | 87,381 | $ | 85,064 | $ | 81,719 | $ | 76,923 | |||||||||||||||||||
| Total investment securities, at cost - as of period end | $ | 98,178 | $ | 88,471 | $ | 86,058 | $ | 81,817 | $ | 77,563 | |||||||||||||||||||
| Total investment securities, at par - as of period end | $ | 97,917 | $ | 87,896 | $ | 84,847 | $ | 80,830 | $ | 76,625 | |||||||||||||||||||
| Average investment securities, at cost | $ | 91,905 | $ | 83,366 | $ | 84,814 | $ | 77,562 | $ | 74,783 | |||||||||||||||||||
| Average investment securities, at par | $ | 91,467 | $ | 82,557 | $ | 83,659 | $ | 76,647 | $ | 73,836 | |||||||||||||||||||
TBA securities: 15 | |||||||||||||||||||||||||||||
| Net TBA portfolio - as of period end, at fair value | $ | 2,368 | $ | 9,728 | $ | 9,548 | $ | 12,988 | $ | 13,841 | |||||||||||||||||||
| Net TBA portfolio - as of period end, at cost | $ | 2,438 | $ | 9,676 | $ | 9,742 | $ | 12,917 | $ | 13,805 | |||||||||||||||||||
| Net TBA portfolio - as of period end, carrying value | $ | (70) | $ | 52 | $ | (194) | $ | 71 | $ | 36 | |||||||||||||||||||
| Average net TBA portfolio, at cost | $ | 6,809 | $ | 12,729 | $ | 10,343 | $ | 13,764 | $ | 10,163 | |||||||||||||||||||
Average repurchase agreements and other debt 16 | $ | 82,362 | $ | 75,070 | $ | 77,120 | $ | 69,943 | $ | 66,654 | |||||||||||||||||||
Average stockholders’ equity 17 | $ | 12,206 | $ | 12,447 | $ | 12,405 | $ | 11,828 | $ | 10,732 | |||||||||||||||||||
Tangible net book value per common share 1 | $ | 7.13 | $ | 8.58 | $ | 8.38 | $ | 8.88 | $ | 8.28 | |||||||||||||||||||
Tangible net book value “at risk” leverage - average 18 | 7.6:1 | 7.4:1 | 7.4:1 | 7.4:1 | 7.5:1 | ||||||||||||||||||||||||
Tangible net book value “at risk” leverage - as of period end 19 | 7.9:1 | 7.4:1 | 7.4:1 | 7.2:1 | 7.6:1 | ||||||||||||||||||||||||
| Key Performance Statistics: | |||||||||||||||||||||||||||||
Investment securities: 8 | |||||||||||||||||||||||||||||
| Average coupon | 5.08 | % | 5.14 | % | 5.27 | % | 5.19 | % | 5.20 | % | |||||||||||||||||||
| Average asset yield | 5.21 | % | 4.87 | % | 4.95 | % | 4.87 | % | 4.83 | % | |||||||||||||||||||
| Average asset yield, excluding “catch-up” premium amortization | 4.92 | % | 4.89 | % | 4.93 | % | 4.90 | % | 4.91 | % | |||||||||||||||||||
| Average coupon - as of period end | 5.04 | % | 5.05 | % | 5.25 | % | 5.19 | % | 5.17 | % | |||||||||||||||||||
| Average asset yield - as of period end | 4.99 | % | 4.91 | % | 4.93 | % | 4.93 | % | 4.94 | % | |||||||||||||||||||
| Average actual CPR for securities held during the period | 8.2 | % | 13.0 | % | 13.2 | % | 9.7 | % | 8.3 | % | |||||||||||||||||||
| Average forecasted CPR - as of period end | 6.7 | % | 8.6 | % | 10.3 | % | 9.6 | % | 8.6 | % | |||||||||||||||||||
Total premium amortization benefit (cost) 24 | $ | 34 | $ | (47) | $ | (52) | $ | (51) | $ | (57) | |||||||||||||||||||
| TBA securities: | |||||||||||||||||||||||||||||
Average coupon - as of period end 20 | 5.23 | % | 4.89 | % | 4.11 | % | 4.98 | % | 5.11 | % | |||||||||||||||||||
Average implied asset yield 9 | 5.37 | % | 4.87 | % | 5.42 | % | 4.91 | % | 5.31 | % | |||||||||||||||||||
Combined investment and TBA securities - average asset yield, excluding “catch-up” premium amortization 11 | 4.95 | % | 4.89 | % | 4.98 | % | 4.91 | % | 4.95 | % | |||||||||||||||||||
Cost of funds: 13 | |||||||||||||||||||||||||||||
| Repurchase agreements - average funding cost | 3.77 | % | 3.74 | % | 3.79 | % | 4.13 | % | 4.43 | % | |||||||||||||||||||
TBA securities - average implied funding cost 10 | 3.64 | % | 3.46 | % | 3.45 | % | 4.03 | % | 4.31 | % | |||||||||||||||||||
Interest rate swaps - average periodic income 12 | (0.67) | % | (0.81) | % | (0.83) | % | (1.01) | % | (1.25) | % | |||||||||||||||||||
Average total cost of funds, inclusive of TBAs and interest rate swap periodic income, net 11 | 3.09 | % | 2.89 | % | 2.92 | % | 3.10 | % | 3.17 | % | |||||||||||||||||||
| Repurchase agreements - average funding cost as of period end | 3.95 | % | 3.75 | % | 3.77 | % | 3.98 | % | 4.38 | % | |||||||||||||||||||
Interest rate swaps - average net pay/(receive) rate as of period end 21 | (0.94) | % | (0.92) | % | (1.01) | % | (1.29) | % | (1.76) | % | |||||||||||||||||||
| Net interest spread: | |||||||||||||||||||||||||||||
| Combined investment and TBA securities average net interest spread, excluding “catch-up” premium amortization | 1.86 | % | 2.00 | % | 2.06 | % | 1.81 | % | 1.78 | % | |||||||||||||||||||
| Expenses % of average stockholders’ equity - annualized | 0.92 | % | 0.96 | % | 1.10 | % | 1.39 | % | 1.12 | % | |||||||||||||||||||
Economic return (loss) on tangible common equity - unannualized 22 | (12.7) | % | 6.7 | % | (1.6) | % | 11.6 | % | 10.6 | % | |||||||||||||||||||
AGNC Investment Corp.
October 19, 2026
Page 12
| Three Months Ended | |||||||||||||||||||||||||||||
September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | |||||||||||||||||||||||||
| Key Interest Rate Hedge Statistics | |||||||||||||||||||||||||||||
| Interest rate swaps: | |||||||||||||||||||||||||||||
| Average interest rate swaps, notional amount (excluding forward starting swaps), net | $ | 73,619 | $ | 75,216 | $ | 71,607 | $ | 59,863 | $ | 45,656 | |||||||||||||||||||
| Average pay-fixed rate | 2.89 | % | 2.71 | % | 2.65 | % | 2.56 | % | 2.25 | % | |||||||||||||||||||
| Average receive-floating rate | 3.71 | % | 3.65 | % | 3.67 | % | 3.98 | % | 4.35 | % | |||||||||||||||||||
| U.S. Treasury securities: | |||||||||||||||||||||||||||||
| Average short U.S. Treasury securities, at cost | $ | 19,639 | $ | 16,939 | $ | 16,772 | $ | 18,414 | $ | 21,466 | |||||||||||||||||||
| Average short U.S. Treasury securities yield | 4.29 | % | 4.23 | % | 4.25 | % | 4.18 | % | 4.21 | % | |||||||||||||||||||
| Average long U.S. Treasury securities, at cost | $ | 12,882 | $ | 12,370 | $ | 12,033 | $ | 12,964 | $ | 4,749 | |||||||||||||||||||
| Average long U.S. Treasury securities yield | 3.71 | % | 3.70 | % | 3.71 | % | 3.74 | % | 4.01 | % | |||||||||||||||||||
| U.S. Treasury futures: | |||||||||||||||||||||||||||||
| Average short U.S. Treasury futures, at cost | $ | 6,142 | $ | 4,006 | $ | 3,210 | $ | 1,901 | $ | 1,834 | |||||||||||||||||||
Average short U.S. Treasury futures implied yield 23 | 4.91 | % | 4.73 | % | 4.64 | % | 4.71 | % | 4.60 | % | |||||||||||||||||||
| Average long U.S. Treasury futures, at cost | $ | 8,862 | $ | 9,917 | $ | 11,147 | $ | 708 | $ | — | |||||||||||||||||||
Average long U.S. Treasury futures implied yield 23 | 4.32 | % | 3.89 | % | 3.71 | % | 3.92 | % | — | % | |||||||||||||||||||
| Average reverse repurchase agreement rate | 3.67 | % | 3.63 | % | 3.68 | % | 4.00 | % | 4.34 | % | |||||||||||||||||||
*Except as noted below, average numbers for each period are weighted based on days on the Company’s books and records. All percentages are annualized, unless otherwise noted.
Numbers in financial tables may not total due to rounding.
1.Tangible net book value per common share excludes preferred stock liquidation preference and goodwill.
2.Table includes non-GAAP financial measures and/or amounts derived from non-GAAP measures. Refer to “Use of Non-GAAP Financial Information” for additional discussion of non-GAAP financial measures.
3.“Catch-up” premium amortization cost/benefit is reported in interest income on the accompanying consolidated statements of operations. Amount is net of “catch-up” discount accretion benefit/cost.
4.Amount reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.
5.Dollar roll income represents the price differential, or “price drop,” between the TBA price for current month settlement versus the TBA price for forward month settlement. Amount includes dollar roll income (loss) on long and short TBA securities. Amount excludes TBA mark-to-market adjustments.
6.Represents periodic interest rate swap settlements. Amount excludes interest rate swap termination fees, mark-to-market adjustments and price alignment interest income (expense) on margin deposits.
7.Other interest income (expense), net includes interest income on cash and cash equivalents, price alignment interest income (expense) on margin deposits, and other miscellaneous interest income (expense).
8.Investment securities include Agency MBS, CRT and non-Agency securities. Amounts exclude TBA and forward settling securities accounted for as derivative instruments in the accompanying consolidated balance sheets and statements of operations.
9.The average implied asset yield and associated gross income for TBA dollar roll transactions is extrapolated by adding the average TBA implied funding cost (Note 10) to the net dollar roll yield. The net dollar roll yield is calculated by dividing dollar roll income (Note 5) by the average net TBA balance (cost basis) outstanding for the period.
10.The implied funding cost/benefit of TBA dollar roll transactions is determined using the “price drop” (Note 5) and market-based assumptions regarding the “cheapest-to-deliver” collateral that can be delivered to satisfy the TBA contract, such as the anticipated collateral’s weighted average coupon, weighted average maturity and projected 1-month CPR. The average implied funding cost/benefit for TBA transactions represents the Company’s long TBA position only, weighted based on the Company’s daily average long TBA position outstanding for the period.
11.Amount calculated on a weighted average basis based on average balances outstanding during the period and their respective asset yield/funding cost.
12.Represents interest rate swap periodic cost/income measured as a percent of total mortgage funding (Investment Securities Repo, other debt and net TBA securities (at cost)).
13.Cost of funds excludes U.S. Treasury, option-based, and other supplemental hedges used to hedge a portion of the Company’s interest rate risk and U.S. Treasury Repo.
14.Non-Agency MBS, at fair value, excludes $72 million, $70 million, $69 million, $70 million and $69 million of other mortgage credit investments held as of September 30, June 30 and March 31, 2026 and December 31 and September 30, 2025, respectively.
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15.Includes TBA dollar roll position and, if applicable, forward settling securities accounted for as derivative instruments in the accompanying consolidated balance sheets and statements of operations. Amount is net of short TBA securities.
16.Average repurchase agreements and other debt excludes U.S. Treasury Repo.
17.Average stockholders’ equity calculated as the average month-ended stockholders’ equity during the quarter.
18.Average tangible net book value “at risk” leverage during the period was calculated by dividing the sum of the daily weighted average Investment Securities Repo, other debt, and TBA and forward settling securities (at cost) outstanding for the period by the sum of average stockholders’ equity adjusted to exclude goodwill. Leverage excludes U.S. Treasury Repo.
19.Tangible net book value “at risk” leverage as of period end was calculated by dividing the sum of the amount outstanding under Investment Securities Repo, other debt, net TBA position and forward settling securities (at cost), and net receivable / payable for unsettled investment securities outstanding by the sum of total stockholders’ equity and unsettled equity issuances, adjusted to exclude goodwill. Unsettled equity issuances totaled $110 million, $0 million, $0 million, $0 million and $0 million as of September 30, June 30 and March 31, 2026 and December 31 and September 30, 2025, respectively. Leverage excludes U.S. Treasury Repo.
20.Average TBA coupon is for the long TBA position only.
21.Includes forward starting swaps not yet in effect as of reported period-end.
22.Economic return (loss) on tangible common equity represents the sum of the change in tangible net book value per common share and dividends declared on common stock during the period over the beginning tangible net book value per common share.
23.The implied yields for Treasury futures are calculated based on the “cheapest-to-deliver” security that can be delivered to satisfy the futures contract identified at the time the futures contract was initiated using data sourced from a third-party model.
24.Total premium amortization (cost) benefit is net of discount accretion benefit (cost).
STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and analysts to attend the AGNC stockholder call on October 20, 2026 at 8:30 am ET. Interested persons who do not plan on asking a question and have internet access are encouraged to utilize the webcast at www.AGNC.com. Those who plan on participating in the Q&A or do not have internet available may access the call by dialing (877) 300-5922 (U.S. domestic) or (412) 902-6621 (international). Please advise the operator you are dialing in for the AGNC Investment Corp. stockholder call.
A slide presentation will accompany the call and will be available in the Investors section of the Company’s website at www.AGNC.com. Select the Q3 2026 Stockholder Presentation link to download the presentation in advance of the stockholder call.
An archived audio of the stockholder call combined with the slide presentation will be available on the AGNC website after the call on October 20, 2026. In addition, there will be a phone recording available one hour after the call on October 20, 2026 through November 3, 2026. Those who are interested in hearing the recording of the presentation, can access it by dialing (855) 669-9658 (U.S. domestic) or (412) 317-0088 (international), passcode 5388054.
For further information, please contact Investor Relations at (301) 968-9300 or IR@AGNC.com.
ABOUT AGNC INVESTMENT CORP.
Founded in 2008, AGNC Investment Corp. (Nasdaq: AGNC) is a leading investor in Agency residential mortgage-backed securities (Agency MBS), which benefit from a guarantee against credit losses by Fannie Mae, Freddie Mac, or Ginnie Mae. We invest on a leveraged basis, financing our Agency MBS assets primarily through repurchase agreements, and utilize dynamic risk management strategies intended to protect the value of our portfolio from interest rate and other market risks.
AGNC has a track record of providing favorable long-term returns for our stockholders through substantial monthly dividend income, with over $16 billion of common stock dividends paid since inception. Our business is a significant source of private capital for the U.S. residential housing
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market, and our team has extensive experience managing mortgage assets across market cycles. AGNC is a member of many broad market indices, including the S&P MidCap 400, the S&P Composite 1500, the Russell 1000, the Russell 3000, and the Nasdaq Composite.
We use our website (www.AGNC.com) and AGNC’s LinkedIn and X accounts to distribute information about the Company. Investors should monitor these channels in addition to our press releases, filings with the U.S. Securities and Exchange Commission (“SEC”), public conference calls and webcasts, as information posted through them may be deemed material. Our website, alerts and social media channels are not incorporated by reference into, and are not a part of, this document or any report filed with the SEC. To learn more about The Premier Agency Residential Mortgage REIT, please visit www.AGNC.com, follow us on LinkedIn and X, and sign up for Investor Alerts.
FORWARD LOOKING STATEMENTS
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act. Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of the Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results could differ materially from those projected in these forward-looking statements or from our historic performance due to a variety of important factors, including, without limitation, changes in monetary policy and other factors that affect interest rates, MBS spreads to benchmark interest rates, the forward yield curve, or prepayment rates; the availability and terms of financing; changes in the market value of the Company’s assets; general economic or geopolitical conditions; liquidity and other conditions in Agency MBS and other financial markets; and legislative and regulatory changes that could adversely affect the business of the Company. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in the Company’s periodic reports filed with the Securities and Exchange Commission (“SEC”). Copies are available on the SEC’s website, www.sec.gov. The Company disclaims any obligation to update or revise any forward-looking statements based on the occurrence of future events, the receipt of new information, or otherwise.
USE OF NON-GAAP FINANCIAL INFORMATION
In addition to the results presented in accordance with GAAP, the Company’s results of operations discussed in this release include certain non-GAAP financial information, including “net spread and dollar roll income”; “economic interest income” and “economic interest expense”; and the related per common share measures and certain financial metrics derived from such non-GAAP information, such as “cost of funds” and “net interest spread.”
Net spread and dollar roll income available to common stockholders is measured as comprehensive income (loss) available (attributable) to common stockholders (GAAP measure) adjusted to: (i) exclude gains/losses on investment securities recognized through net income or other comprehensive income and gains/losses on derivative instruments and other securities (GAAP measures), (ii) exclude retrospective “catch-up” adjustments to premium amortization cost due to changes in projected CPR estimates and (iii) include interest rate swap periodic income/cost, TBA dollar roll income and other miscellaneous interest income/expense. As defined, net
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spread and dollar roll income available to common stockholders represents net interest income/expense (GAAP measure) adjusted to exclude retrospective “catch-up” adjustments to premium amortization cost due to changes in projected CPR estimates and to include TBA dollar roll income, interest rate swap periodic income/cost and other miscellaneous interest income/expense, less total operating expense (GAAP measure) and dividends on preferred stock (GAAP measure).
By providing users of the Company’s financial information with such measures in addition to the related GAAP measures, the Company believes users have greater transparency into the information used by the Company’s management in its financial and operational decision-making. The Company also believes that it is important for users of its financial information to consider information related to the Company’s current financial performance without the effects of certain transactions that are not necessarily indicative of its current investment portfolio performance and operations.
Specifically, the Company believes the inclusion of TBA dollar roll income in its non-GAAP measures is meaningful as TBAs are economically equivalent to holding and financing generic Agency MBS using short-term repurchase agreements but are recognized under GAAP in gain/loss on derivative instruments in the Company’s statement of operations. Similarly, the Company believes that the inclusion of periodic interest rate swap settlements in such measures, which are recognized under GAAP in gain/loss on derivative instruments, is meaningful as interest rate swaps are the primary instrument the Company uses to economically hedge against fluctuations in the Company’s borrowing costs and inclusion of periodic interest rate swap settlements is more indicative of the Company’s total cost of funds than interest expense alone. Finally, the Company believes the exclusion of “catch-up” adjustments to premium amortization cost is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such “catch-up” cost or benefit is more indicative of the current earnings potential of the Company’s investment portfolio.
However, because such measures are incomplete measures of the Company’s financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP. In addition, because not all companies use identical calculations, the Company’s presentation of such non-GAAP measures may not be comparable to other similarly-titled measures of other companies.
A reconciliation of GAAP comprehensive income (loss) to non-GAAP “net spread and dollar roll income” is included in this release.