AGNC Investment Corp. Q1 FY26 Results

Agency MBS performance in the first quarter was driven by two divergent macroeconomic themes. In January and February, the Administration’s focus on reducing interest rate volatility, maintaining mortgage spread stability, and improving housing affordability drove strong performance across the broader fixed income complex and Agency MBS specifically. This favorable investment environment was, however, quickly eclipsed in March by the war in Iran and the potential for more widespread conflict in the Middle East. The associated increase in volatility and negative shift in investor sentiment caused Agency MBS spreads to benchmark rates to widen, and, as a result, AGNC’s economic return on tangible common equity in the first quarter was negative 1.6%. Despite the quarter-over-quarter spread widening, Agency MBS generated a positive excess return to both US Treasuries and investment grade corporate bonds in the first quarter, again demonstrating the diversification benefit of this high credit quality, fixed income asset class.

We continue to believe that many of the factors we cited at the beginning of the year remain positive catalysts for Agency MBS performance. First, mortgage spreads to benchmark rates widened significantly in March and provide investors with compelling value on both an absolute and relative basis at these levels. Second, supply-demand technicals have improved as a result of higher mortgage rates, increased bond fund inflows, and proposed regulatory capital changes. Third, the higher rate environment also increases the likelihood of actions by the administration to stabilize or reduce mortgage spreads as a means to mitigate housing affordability issues. Finally, although interest rate volatility has increased and the path of future Federal Reserve monetary policy actions has become a bit more uncertain, we believe that, with some form of resolution or easing of tensions in the Middle East, these factors could quickly revert to positive catalysts for Agency MBS. As a result, our longer-term outlook for Agency MBS remains constructive, despite near-term challenges associated with heightened geopolitical and macroeconomic risks. Moreover, AGNC is well-positioned to capitalize on these favorable conditions and build upon our lengthy track-record of generating strong risk-adjusted returns over market cycles for our stockholders.

AGNC’s negative 1.6% economic return on tangible common equity in the first quarter was comprised of $0.36 of dividends per common share and a $0.50 decrease in tangible net book value per common share. AGNC’s net spread and dollar roll income per common share was $0.42 for the first quarter, an increase of $0.07 per common share from the prior quarter that was driven by a 25 basis point increase in our net interest spread. During the quarter, AGNC issued over $400 million of common stock under our at-the-market issuance program, continuing our active capital management strategy to generate meaningful accretion for our common shareholders. Finally, AGNC concluded the first quarter with tangible ‘at risk’ leverage of 7.4x and a significant liquidity position of $7.0 billion of unencumbered cash and Agency MBS, which constituted 60% of our tangible equity at quarter end.