AGNC公布2026年二季度财报，账面价值上升但净利差收入小幅下滑

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Press Release

AGNC Investment Corp. Announces Second Quarter 2026 Financial Results

July 20, 2026

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BETHESDA, Md. , July 20, 2026 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today announced financial results for the quarter ended June 30, 2026 .

SECOND QUARTER 2026 FINANCIAL HIGHLIGHTS

$0.52 comprehensive income per common share, comprised of:
$0.52 net income per common share

$(0.01) other comprehensive loss ("OCI") per common share on investments marked-to-market through OCI

$0.40 net spread and dollar roll income per common share 1
Excludes less than $(0.01) per common share of estimated "catch-up" premium amortization cost due to change in projected constant prepayment rate ("CPR") estimates

$8.58 tangible net book value per common share as of June 30, 2026
Increased $0.20 per common share, or 2.4%, from $8.38 per common share as of March 31, 2026

$0.36 dividends declared per common share for the second quarter

6.7% economic return on tangible common equity for the quarter
Comprised of $0.36 dividends per common share and $0.20 increase in tangible net book value per common share

OTHER SECOND QUARTER HIGHLIGHTS

$97.2 billion investment portfolio as of June 30, 2026 , comprised of:
$86.8 billion Agency mortgage-backed securities ("Agency MBS")

$9.7 billion net forward purchases/(sales) of Agency MBS in the "to-be-announced" market ("TBA securities")

$0 .7 billion credit risk transfer ("CRT") and non-Agency securities and other mortgage credit investments

7.4x tangible net book value "at risk" leverage as of June 30, 2026
7.4x average tangible net book value "at risk" leverage for the quarter

Unencumbered cash and Agency MBS totaled $7.5 billion as of June 30, 2026
Excludes unencumbered CRT and non-Agency securities

Represents 62% of the Company's tangible equity as of June 30, 2026

8.6% average projected portfolio life CPR as of June 30, 2026
13.0% actual portfolio CPR for the quarter

2.00% annualized net interest spread for the quarter 2

Issued 16.2 million shares of common equity through At-the-Market ("ATM") Offerings for net proceeds of $167 million

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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.

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
"The investment environment in the second quarter continued to be challenging, as escalating rhetoric and hostilities between the United States and Iran largely dictated financial market performance," said Peter Federico , the Company's President, Chief Executive Officer and Chief Investment Officer. "Elevated energy prices and supply chain disruptions were the dominant macroeconomic concerns, particularly in April and May when maritime traffic through the Strait of Hormuz was severely constrained. These concerns caused Treasury yields to increase, the yield curve to flatten, and the market's monetary policy expectations to pivot from rate cuts to rate hikes.

"Despite the volatile macroeconomic backdrop, AGNC delivered a strong economic return of 6.7% for the second quarter. Elevated mortgage rates caused a reduction in projected Agency MBS supply, while demand remained strong, creating a positive technical backdrop that supported Agency MBS performance and drove spreads to benchmark rates tighter. Although mortgage spreads have declined from recent peak levels, they remain elevated by historical standards. Agency MBS also offer compelling value relative to other fixed income alternatives, particularly corporate bonds, which are at or near historically tight spreads to U.S . Treasuries despite record issuance and rising credit concerns. Together, these favorable dynamics should be supportive of Agency MBS performance over the near to intermediate term and position AGNC to continue to deliver strong risk-adjusted returns for our stockholders."

"AGNC's 6.7% economic return on tangible common equity in the second quarter was comprised of $0.36 of dividends per common share and a $0.20 increase in tangible net book value per common share," said Bernice Bell , the Company's Executive Vice President and Chief Financial Officer. "Additionally, AGNC generated a 12.3% unannualized total stock return in the second quarter, with dividends reinvested, despite the significant volatility experienced by financial markets. AGNC's net spread and dollar roll income per common share was $0.40 for the second quarter, a modest decrease of $0.02 per common share from the prior quarter. Finally, AGNC concluded the second quarter with tangible 'at risk' leverage of 7.4x and a substantial liquidity position of $7.5 billion of unencumbered cash and Agency MBS, representing 62% of our tangible equity at quarter end."

TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of June 30, 2026 , the Company's tangible net book value per common share was $8.58 per share, an increase of 2.4% for the quarter compared to $8.38 per share as of March 31, 2026 . The Company's tangible net book value per common share excludes $526 million , or $0.45 and $0.46 per share, of goodwill as of June 30 and March 31, 2026 , respectively.

INVESTMENT PORTFOLIO
As of June 30, 2026 , the Company's investment portfolio totaled $97.2 billion , comprised of:

$96.5 billion of Agency MBS and TBA securities, including:
$92.1 billion of fixed-rate securities, comprised of:
$82.1 billion 30-year MBS,

$9.5 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

$0.7 billion of CRT and non-Agency securities and other mortgage credit investments.

As of June 30, 2026 , 30-year fixed-rate Agency MBS and TBA securities represented 94% of the Company's investment portfolio, unchanged from March 31, 2026 .

As of June 30, 2026 , the Company's fixed-rate Agency MBS and TBA securities' weighted average coupon was 5.04%, compared to 4.95% as of March 31, 2026 , comprised of the following weighted average coupons:

5.05% for 30-year fixed-rate securities;

4.82% 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 June 30, 2026 , such positions had a fair value of $9.7 billion and a GAAP net carrying value of $52 million reported in derivative assets/(liabilities) on the Company's balance sheet, compared to $9.5 billion and $(194) million , respectively, as of March 31, 2026 .

CONSTANT PREPAYMENT RATES
The Company's weighted average projected CPR for the remaining life of its Agency securities held as of June 30, 2026 decreased to 8.6% from 10.3% as of March 31, 2026 . The Company's weighted average actual CPR for the second quarter was 13.0%, compared to 13.2% for the prior quarter.

The weighted average cost basis of the Company's investment portfolio was 100.7% of par value as of June 30, 2026 . The Company's investment portfolio generated net premium amortization cost of $(47) million , or $(0.04) per common share, for the second quarter, which includes a "catch-up" premium amortization cost of $(5) million , or less than $(0.01) per common share, due to changes in the Company's CPR projections for certain securities acquired prior to the second quarter. This compares to net premium amortization cost for the prior quarter of $(52) million , or $(0.05) per common share, including a "catch-up" premium amortization benefit of $5 million , or less than $0.01