AGNCZ — AGNC Investment Corp. 8.75% Series H Fixed-Rate Cumulative Redeemable Preferred Stock

AGNC Investment Corp. Q1 2026 Earnings Call Summary

1. Key Financial Results and Metrics:

• Comprehensive Loss: AGNC reported a comprehensive loss of $0.18 per common share.
• Economic Return: The economic return on tangible common equity was negative 1.6%, driven by a $0.50 decrease in tangible net book value per share, despite $0.36 in dividends declared.
• Tangible Net Book Value: As of late April, tangible net book value per share increased approximately 6% for the month.
• Leverage: Ended Q1 with leverage of 7.4x tangible equity, slightly up from 7.2x in Q4.
• Liquidity Position: Maintained a robust liquidity position with $7 billion of unencumbered cash and Agency MBS, representing 60% of tangible equity.
• Net Spread and Dollar Roll Income: Increased to $0.42 per common share, up $0.07 from Q4, attributed to a 25 basis point increase in net interest spread.

2. Strategic Updates and Business Highlights:

• MBS Performance: Agency MBS performance was influenced by geopolitical events, particularly the conflict in the Middle East, which led to increased interest rate volatility.
• Investment Strategy: Focused on lower coupon specified pools, with a weighted average coupon on the portfolio declining to 4.95% from 5.12%.
• Hedging Strategy: Increased hedge portfolio notional balance to $64 billion, with a focus on maintaining a positive duration gap for prepayment protection.
• Capital Management: Issued $401 million of common equity at a premium to tangible net book value, enhancing capital for future investments.

3. Forward Guidance and Outlook:

• Market Conditions: Despite Q1 challenges, the outlook for Agency MBS remains favorable, with attractive return profiles due to wider spreads and improved supply-demand dynamics.
• Potential Catalysts: Anticipated actions by the administration to improve housing affordability could further benefit mortgage performance.
• Return Expectations: Projected returns in the range of 15% to 17% based on current spread levels, with expectations for net spread and dollar roll income to stabilize in the high 30s to low 40s cents per share.

4. Bad News, Challenges, or Points of Concern:

• Geopolitical Risks: The ongoing conflict in the Middle East has introduced significant uncertainty and volatility in interest rates, negatively impacting economic returns.
• Negative Economic Return: The negative economic return in Q1 highlights the challenges faced in a volatile market environment.
• Market Volatility: Continued uncertainty regarding Fed rate cuts and geopolitical tensions may pose risks to future performance and leverage strategies.
• Slowing Bond Fund Inflows: A noted slowdown in bond fund inflows could impact future performance and investment opportunities.

5. Notable Q&A Insights:

• Leverage Strategy: Management indicated a cautious approach to leverage, adjusting based on market conditions and spread volatility, with a current preference for maintaining a reasonable leverage position.
• GSE Activity: The GSEs are expected to act opportunistically in the market, which could provide support during periods of spread widening.
• TBA Positioning: Improved TBA implied financing levels have allowed for better positioning and flexibility in capital deployment, enhancing dollar roll income.
• Future Capital Raises: Management expressed that future equity raises would remain opportunistic, with a focus on timing and market conditions to maximize shareholder value.

Overall, AGNC Investment Corp. navigated a challenging Q1 2026 with strategic adjustments and a focus on maintaining liquidity and capital management, while remaining cautiously optimistic about future market conditions and opportunities.