third quarter 2026
Filed Oct 19, 2026AGNC reported a $(1.28) comprehensive loss per common share and a -12.7% economic return on tangible common equity as Agency MBS and fixed income markets weakened sharply.
The quarter included a $(1,357) million GAAP net loss, a $(1,497) million comprehensive loss, a 16.9% decline in tangible net book value per common share, and a -12.7% economic return on tangible common equity. Net spread and dollar roll income remained positive at $0.37 per common share, but declined from $0.40 in the prior quarter.
Key metrics
shortened, hover for the filing’s print| Metric | Value | q/q | y/y |
|---|---|---|---|
| Interest income, third quarter 2026GAAP | $1.20B | – | – |
| Interest expense, third quarter 2026GAAP | $794M | – | – |
| Net interest income, third quarter 2026GAAP | $402M | – | – |
| Total other loss, net, third quarter 2026GAAP | −$1.73B | – | – |
| Total operating expense, third quarter 2026GAAP | $28M | – | – |
| Net income (loss), third quarter 2026GAAP | −$1.36B | – | – |
| Net income (loss) attributable to common stockholders, third quarter 2026GAAP | −$1.40B | – | – |
| Comprehensive income (loss), third quarter 2026GAAP | −$1.50B | – | – |
| Comprehensive income (loss) attributable to common stockholders, third quarter 2026GAAP | −$1.54B | – | – |
| Net income (loss) per common share, diluted, third quarter 2026GAAP | $(1.17) | – | – |
| Comprehensive income (loss) per common share, diluted, third quarter 2026GAAP | $(1.28) | – | – |
| Net spread and dollar roll income available to common stockholders, third quarter 2026non-GAAP | $444M | – | – |
| Net spread and dollar roll income per common share, diluted, third quarter 2026non-GAAP | $0.37 | – | – |
| Economic interest income, third quarter 2026non-GAAP | $1.22B | – | – |
| Economic interest expense, third quarter 2026non-GAAP | −$704M | – | – |
| Adjusted net interest and dollar roll income, third quarter 2026non-GAAP | $517M | – | – |
| Average net interest spread, third quarter 2026non-GAAP | 1.86% | – | – |
| Average asset yield, third quarter 2026non-GAAP | 4.95% | – | – |
| Average total cost of funds, third quarter 2026non-GAAP | 3.09% | – | – |
| Tangible net book value per common share, September 30, 2026other | $7.13 | Decreased $1.45 per common share, or 16.9%, from $8.58 per common share as of June 30, 2026 | – |
| Economic return (loss) on tangible common equity, third quarter 2026non-GAAP | (12.7)% | – | – |
| Investment portfolio, September 30, 2026other | $94.4B | – | – |
| Total investment securities, at fair value, September 30, 2026other | $91.93B | – | – |
| Net TBA portfolio, at fair value, September 30, 2026other | $2.37B | – | – |
| Tangible net book value “at risk” leverage, September 30, 2026other | 7.9:1 | – | – |
| Average tangible net book value “at risk” leverage, third quarter 2026other | 7.6:1 | – | – |
| Average actual CPR for securities held during the period, third quarter 2026other | 8.2% | – | – |
| Average forecasted CPR, September 30, 2026other | 6.7% | decreased to 6.7% from 8.6% as of June 30, 2026 | – |
| Total premium amortization benefit (cost), third quarter 2026other | $34M | – | – |
| Other comprehensive income (loss), third quarter 2026GAAP | −$140M | – | – |
| Total assets, September 30, 2026GAAP | $133.4B | – | – |
| Repurchase agreements, September 30, 2026GAAP | $96.72B | – | – |
| Total stockholders’ equity, September 30, 2026GAAP | $11.56B | – | – |
Capital returns
- $0.12 per share dividends declared to common stockholders of record as of July 31, August 31, and September 30, 2026, totaling $0.36 per share for the quarter.
- Issued 97.6 million shares of common equity through At-the-Market Offerings for net proceeds of $992 million.
- 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.
What drove it
- Fixed income investor sentiment turned decidedly bearish, interest rates increased sharply, and interest rate volatility spiked during the quarter.
- The Company recorded $(5,015) million of net unrealized losses on investment securities measured at fair value through net income, partly offset by $2,052 million of net gains on interest rate swaps and $1,228 million of net gains on U.S. Treasury positions.
- Actual portfolio CPR declined to 8.2% from 13.0% in the prior quarter, and projected CPR declined to 6.7% from 8.6%.
- The portfolio generated a $34 million net premium amortization benefit, including a $66 million catch-up premium amortization benefit due to changes in CPR projections.
- Fixed-rate Agency MBS and TBA securities represented 94% of the investment portfolio as of September 30, 2026, unchanged from June 30, 2026.
Concerns
- Tangible net book value per common share declined 16.9% during the quarter to $7.13.
- Other gain (loss), net moved to a $(1,731) million loss from a $379 million gain in the prior quarter.
- Average net interest spread declined to 1.86% from 2.00% in the prior quarter as average total cost of funds rose to 3.09% from 2.89%.
- Tangible net book value at risk leverage increased to 7.9:1 as of September 30, 2026 from 7.4:1 as of June 30, 2026.
- Other comprehensive loss was $(140) million, compared with $(7) million in the prior quarter.
What to watch
- Agency MBS performance and Treasury-market volatility, which management identified as central to the third-quarter decline in economic return.
- The trajectory of mortgage spreads to benchmark rates, interest rates, and prepayment rates.
- Net interest spread following the increase in average total cost of funds to 3.09%.
- The impact of the 7.9:1 tangible net book value at risk leverage and the expanded hedge position, which covered 90% of funding liabilities as of September 30, 2026.
- The use of ATM equity issuance following $992 million of net proceeds raised during the quarter.
Balance sheet and cash flow
- Cash and cash equivalents were $468 million as of September 30, 2026.
- Restricted cash was $1,765 million as of September 30, 2026.
- Unencumbered cash and Agency MBS totaled $6.3 billion as of September 30, 2026, representing 57% of the Company’s tangible equity.
- Repurchase agreements were $96,719 million 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 investment portfolio.
- Investment Securities Repo had a weighted average interest rate of 3.95% and a weighted average remaining maturity of 10 days as of September 30, 2026.
Analysis
AGNC’s third-quarter result was dominated by mark-to-market losses during a period of sharp fixed-income weakness. The Company reported a $(1,357) million GAAP net loss and a $(1,497) million comprehensive loss. Comprehensive loss attributable to common stockholders was $(1,542) million, or $(1.28) per diluted common share. Tangible net book value per common share declined to $7.13 from $8.58 at June 30, 2026, and economic return on tangible common equity was -12.7%.
The principal pressure was a $(5,015) million net unrealized loss on investment securities measured at fair value through net income. Interest-rate hedges and Treasury positions provided meaningful offsets, including $2,052 million of net gains on interest rate swaps and $1,228 million of net gains on U.S. Treasury positions, but total other gain (loss), net was still a $(1,731) million loss. Agency securities recognized through OCI also produced a $(140) million other comprehensive loss.
Underlying portfolio income remained positive but moderated sequentially. Net spread and dollar roll income was $444 million, or $0.37 per diluted common share, compared with $462 million, or $0.40 per diluted common share, in the prior quarter. Average net interest spread narrowed to 1.86% from 2.00%, as average total cost of funds increased to 3.09% from 2.89%. The portfolio received a $34 million net premium amortization benefit, including a $66 million catch-up benefit tied to changes in projected CPR estimates. Actual CPR fell to 8.2% from 13.0% in the prior quarter.
The portfolio remained concentrated in Agency exposure. The $94.4 billion investment portfolio included $93.8 billion of Agency MBS and TBA securities, and 30-year fixed-rate Agency MBS and TBA securities represented 94% of the portfolio. The net TBA portfolio at fair value declined to $2,368 million from $9,728 million at June 30, 2026. Leverage increased, with tangible net book value at risk leverage ending the quarter at 7.9:1 versus 7.4:1 in the prior quarter.
Capital activity expanded common equity during the quarter. AGNC issued 97.6 million shares through its ATM program for $992 million of net proceeds and declared $0.36 per common share of dividends. Liquidity was $6.3 billion of unencumbered cash and Agency MBS, or 57% of tangible equity. Management’s outlook emphasizes more attractive Agency MBS valuations, lower prepayment risk, low mortgage originations, and resilient demand once Treasury-market volatility subsides.
Management, verbatim
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.
Peter Federico, President, Chief Executive Officer and Chief Investment Officer
Together, these factors support a constructive outlook for Agency MBS performance.
Peter Federico, President, Chief Executive Officer and Chief Investment 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.
Bernice Bell, Executive Vice President and Chief Financial Officer
Not in the filing
stated, not guessed- Forward financial guidance was not provided.
- Prior-period outlook was not provided.
- Revenue, gross margin, segment revenue, operating cash flow, free cash flow, share repurchases, and a tax rate were not reported.
- Traditional operating segments were not reported.
AlphAI analysis generated from the company’s SEC earnings filing (Form 8-K Item 2.02, or Form 6-K for a foreign private issuer). Every figure was cross-checked against the filing text; consensus estimates, price targets and share-price reactions are not shown because they are not in the filing. AI-generated research, not investment advice.