Agnc Investment Corp. · NASDAQ:AGNC
Agnc Investment — Q3 2026 Earnings Presentation
28 slides from Agnc Investment's earnings presentation, Oct 20, 2026
Slide 1: Q3 Stockholder Presentation
02 Q3 STOCKHOLDER PRESENTATION OCTOBER 20, 2026 THE PREMIER AGENCY RESIDENTIAL MORTGAGE REIT © 2026 AGNC Investment Corp. All Rights Reserved.
Slide 2: Important Notices
IMPORTANT NOTICES 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 Re
Slide 3: Capital Structure Highlights
CAPITAL STRUCTURE HIGHLIGHTS AGNC Common Stock THE OBJECTIVE Favorable long-term stockholder returns with a Ticker Nasdaq: AGNC substantial dividend yield component IPO Date May 2008 THE OPPORTUNITY Market Capitalization $11.4 B Agency-guaranteed residential MBS investments paired with highly attrac
Slide 4: Q3 2026 Highlights
Q3 2026 HIGHLIGHTS Key Metrics $7.13 $(1.28) $0.37 Tangible Net Book Comprehensive Net Spread and Dollar Roll Value Per Share1 Loss Per Share Income Per Share2 Performance (12.7)% $0.36 $(1.45) Economic Dividends Declared Change in Tangible Return3 Per Share Net Book Value Per Share Capital Highligh
Slide 5: Q3 2026 Other Highlights
Q3 2026 OTHER HIGHLIGHTS Portfolio1 Average Asset Yield2 $97.2 B $94.4 B 4.89% 4.95% Assets 6.7% 8.2% Avg. Projected Actual Q3 Portfolio Life CPR Portfolio CPR 6/30/26 9/30/26 2Q26 3Q26 Leverage3 Average Repo Cost4 Average Cost of Funds5 7.9x 3.09% Funding and 7.4x 3.74% 3.77% 2.89% Leverage 6/30/26
Slide 6: Market Highlights
MARKET HIGHLIGHTS1 Asset Yields: Current Coupon (CC) Agency MBS Spreads: CC Agency MBS Spread to UST and Swaps 7.5% (bps) Q3 Change: 30 year CC Yield +103 bps Q3 Change: 5/10 Yr Swap Spread +16 bps 225 Q3 Change: 5/10 Yr UST Spread +18 bps Q3 Change: 15 year CC Yield +104 bps 7.0% 200 6.5% 6.44% 175
Slide 7: Market Update
MARKET UPDATE Q3 2026 x Q3 2026 Security 9/30/25 12/31/25 3/31/26 6/30/26 9/30/26 ∆ Rate % / Price 2 x Security 9/30/25 12/31/25 3/31/26 6/30/26 9/30/26 ∆ Rate % / Price2 SOFR Swap Rates1 x Treasury Rates1 2 Yr Swap 3.40% 3.31% 3.62% 4.02% 4.75% +0.73% / -1.36 x 2 Yr UST 3.61% 3.48% 3.80% 4.18% 4.89
Slide 8: Portfolio Summary
PORTFOLIO SUMMARY Investment Securities 1 Investment Securities ($ In Millions) September 30, 2026 June 30, 2026 Security Type FMV % FMV % ▪ $94.3 B investment portfolio as of Sep 30, 2026, a 30 Year MBS $86,622 92% $82,059 85% decrease of $(2.8) B from Jun 30, 2026 1 Fixed Rate 30 Year TBA 2,108 2%
Slide 9: Financing Summary
FINANCING SUMMARY Investment Securities Repurchase Agreements1 Repo Funding1 As of Sep 30, 2026 ▪ As of Sep 30, 2026, our repo cost was 3.95%, Maturity Amount Interest Days to compared to 3.75% as of Jun 30, 2026, and the (Months) % ($ MM) Rate Maturity average maturity was 10 days compared to 13 da
Slide 10: Hedging Portfolio
HEDGING PORTFOLIO Hedge Portfolio Summary Amount % of Total $ in MM (Long)/Short Duration2 Amount Hedge Portfolio Swap and Treasury Hedges: Interest Rate Swaps $74,608 (3.5) 94% ▪ Our hedge portfolio totaled $79.4 B and covered Long Treasuries (19,895) 2.7 (25)% 90% of our funding liabilities1 as of
Slide 11: Financial Results
FINANCIAL RESULTS
Slide 12: Balance Sheets
BALANCE SHEETS ($ in millions, except per share data, unaudited except 12/31/25) 9/30/26 6/30/26 3/31/26 12/31/25 9/30/25 Agency Securities, at Fair Value $91,394 $86,784 $84,447 $81,003 $76,198 Agency Securities Transferred to Consolidated Variable Interest Entities, at Fair Value — — — 85 88 Credi
Slide 13: Income Statements
INCOME STATEMENTS ($ in millions, except per share data) (Unaudited) Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Interest Income $1,196 $1,014 $1,050 $944 $903 Interest Expense (794) (709) (731) (738) (755) Net Interest Income 402 305 319 206 148 Realized (Loss) Gain on Sale of Investment Securities, Ne
Slide 14: Reconciliation of GAAP Comprehensive Income (Loss) to Net Spread and Dollar Roll Income
RECONCILIATION OF GAAP COMPREHENSIVE INCOME (LOSS) TO NET SPREAD AND DOLLAR ROLL INCOME (A NON-GAAP MEASURE) ($ in millions, except per share data) (Unaudited) Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Comprehensive Income (Loss) Available (Attributable) to Common Stockholders $(1,542) $603 $(200) $97
Slide 15: Net Interest Spread Components by Funding Source
NET INTEREST SPREAD COMPONENTS BY FUNDING SOURCE $ in millions (Unaudited) Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Adjusted Net Interest and Dollar Roll Income: Economic Interest Income: x x x x x Investment Securities - GAAP Interest Income $1,196 $1,014 $1,050 $944 $903 Estimated “Catch-Up“ Premiu
Slide 16: Supplemental Slides
SUPPLEMENTAL SLIDES
Slide 17: AGNC Historical Overview
AGNC HISTORICAL OVERVIEW Asset Composition ($ B)1 Tangible Net Book Value “At Risk“ Leverage2 MBS TBA $94.8 $94.7 $97.2 $100 $94.4 7.9x $90.8 8.0x $9.7 $2.4 $82.3 $13.0 $9.5 7.6x 7.6x $78.9 $13.8 7.5x $80 $73.1 $73.3 7.4x 7.4x $8.3 7.2x 7.2x 7.2x $7.5 $4.1 $6.9 $60 7.0x $87.5 $92.0 $40 $81.8 $85.1 $
Slide 18: AGNC Historical Overview (Continued)
AGNC HISTORICAL OVERVIEW (CONTINUED) Comprehensive Income (Loss) per Common Share Dividends per Common Share 1.50 0.50 $0.89 1.00 $0.78 $0.63 0.40 $0.52 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 $0.36 0.50 $0.12 0.30 0.00 $(0.11) $(0.13) $(0.18) (0.50) 0.20 (1.00) 0.10 (1.50) $(1.28) (2.00) 0.
Slide 19: AGNC Historical Overview (Continued)
AGNC HISTORICAL OVERVIEW (CONTINUED) Average Asset Yield1 Average Cost of Funds2 5.5% 3.5% 4.98% 3.17% 3.10% 3.09% 4.87% 4.87% 4.95% 4.91% 4.89% 4.95% 5.0% 4.73% 4.80% 2.89% 2.86% 2.92% 2.89% 3.0% 2.75% 4.5% 2.52% 2.5% 4.0% 3.5% 2.0% 3.0% 1.5% 2.5% 1.0% 2.0% 0.5% 1.5% 1.0% 0.0% Q3-24 Q4-24 Q1-25 Q2-
Slide 20: Fixed Rate Agency Securities – MBS and Net TBA Position
FIXED RATE AGENCY SECURITIES – MBS AND NET TBA POSITION $ in millions – as of Sep 30, 2026 Weighted MBS MBS MBS Duration MBS Coupon Par Value1 Market Value1 Specified Pools2 Average Amortized Cost WALA Actual 1 Month (Years)1,6 Coupon1 Basis3 (Months)3,4 CPR3,5 ≤15 Year Mortgage Securities 2.0% $26
Slide 21: U.S. Treasury Hedges
U.S. TREASURY HEDGES U.S. Treasury Position Net Long / (Short) U.S. Treasury Position as of Sep 30, 2026 As of Sep 30, 2026 ($ MM) ▪ $10.5 B short U.S. Treasury securities, net Years to Maturity Face Amount Market Value ≤5 $12,639 $12,512 ▪ $0.6 B short U.S. Treasury futures, net >5 to ≤7 3,292 3,44
Slide 22: Duration Risk
DURATION RISK Duration Gap Sensitivity1,2 As of Sep 30, 2026 Rates Duration Rates - 100 bps 9/30/2026 + 100 bps Mortgage Assets: 3 30-Year MBS 4.5 5.6 6.1 15-Year MBS and Other Securities 4.4 4.5 4.5 Total Mortgage Assets 4.5 5.5 6.0 Liabilities and Hedges (4.6) (4.7) (4.8) Net Duration Gap (0.1) 0.
Slide 23: NAV Sensitivity to Rates and MBS Spreads
NAV SENSITIVITY TO RATES AND MBS SPREADS Changes in interest rates and MBS spreads relative to our hedges can impact the market value of our portfolio and tangible common equity Interest Rate Sensitivity MBS Spread Sensitivity (“Basis Risk”) ▪ The estimated sensitivity of our assets, net of hedges,
Slide 24: Endnotes
ENDNOTES Slide 3 Slide 5 1. As of Oct 15, 2026. 1. Portfolio includes net long position in forward purchases and sales of Agency MBS in the “to- 2. Total stock return includes common stock price appreciation and dividend reinvestment. be-announced” (“TBA”) market as of quarter-end. Dividends assumed
Slide 25: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 8 Slide 14 1. Amounts exclude AGNC’s limited partnership interest in a mortgage credit investment fund 1. “Catch-up“ premium amortization (cost)/benefit is reported in interest income on the totaling $72 million and $70 million as of Sep 30, 2026 and Jun 30, 2026, respecti
Slide 26: Endnotes (Continued)
ENDNOTES (CONTINUED) Slide 17 Slide 21 1. MBS includes CRT securities and other credit investments; TBA includes forward settling non- 1. The average U.S. Treasury securities and futures positions represent their average cost basis, Agency securities. weighted by the number of days outstanding durin
Slide 27: Use of Non-GAAP Financial Information
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 presentation include certain non-GAAP financial information, including “net spread and dollar roll income“; “economic interest income“ and “econom
Slide 28: Contact Us
Contact Us 7373 Wisconsin Avenue (301) 968-9315 www.AGNC.com 22nd Floor [email protected] Nasdaq: AGNC Bethesda, MD 20814 [email protected] Connect With Us