AGNC Book Value Per Share Falls 16.9% in Third Quarter
Key Facts
AGNC Investment reported a 16.9% decline in tangible net book value per share during the third quarter of 2026, in results showing a decline in tangible capital and return on equity. Tangible net book value stood at $7.13 per share at the end of the period ended September 30, according to the company's financial results statement. Economic return on tangible common equity was negative 12.7% during the quarter, accompanying the decline in book value. That followed a positive economic return of 6.7% in the second quarter, according to the company's statement for the previous period. On a reported accounting basis, the company posted a net loss of $1.17 per common share for the third quarter.
In its income breakdown, net spread and dollar roll income totaled $0.37 per share during the third quarter, according to the non-GAAP measure disclosed in the company's results. That income had stood at $0.40 per share in the second quarter of 2026, according to the results statement for that period, marking a decline between the quarters. The company declared total cash dividends of $0.36 per common share for the third quarter while reporting a net accounting loss. Unrealized losses on investments measured at fair value through net income totaled $5,015 million during the period, according to the financial statement. Those investment losses came in the same quarter in which the company generated positive net spread and dollar roll income and declared shareholder dividends.
The company's results showed its adjusted annualized net interest spread narrowed to 1.86% in the third quarter, among the income and funding metrics included in its statement. The reported spread includes to-be-announced mortgage securities transactions and interest rate swaps, according to the company's definition of the measure in its results. It also excludes premium amortization adjustments, the basis on which the company presented its adjusted annualized spread for the period. By comparison, the annualized net interest spread had stood at 2.00% in the second quarter of 2026, according to that quarter's results statement. Average aggregate funding costs totaled 3.09% during the third quarter, including the impact of interest rate swaps in the cost reported by the company.
On the balance sheet, the company's investment portfolio totaled $94.4 billion at the end of September 2026, according to figures in its third-quarter results statement. At-risk leverage reached 7.9 times at the end of the period, compared with its reported level at the close of the previous quarter. That leverage stood at 7.4 times at the end of June 2026, according to second-quarter results, marking an increase between the two period ends. Cash and unencumbered agency mortgage securities totaled $6.3 billion at the end of the third quarter, according to the company, alongside its reported investment portfolio. During the quarter, the company raised net proceeds of $992 million from share issuance through its at-the-market program, benefiting from liquidity associated with index rebalancing.
The chief executive attributed the weak performance of mortgage securities during the period to disruption in the Treasury market, according to comments accompanying the company's financial results statement. He also cited higher interest rates and volatility as factors weighing on those securities during the third quarter. Describing interest rate movements, he said "interest rates rose sharply," linking mortgage securities' weakness to conditions in the Treasury market. In assessing the effects of higher interest rates, management said "prepayment risks declined," a point it included in its outlook for mortgage securities. Management believes lower prepayment risks support the outlook for those securities when volatility subsides, linking an improvement in prospects to easing market volatility.
The company will hold a shareholder call and audio webcast on October 20, 2026, according to the schedule it announced for the call accompanying its financial results. The call is scheduled to begin at 8:30 a.m. Eastern time, according to the company's announcement to shareholders. At a later date in its cash dividend schedule, the company set its October dividend at $0.12 per common share, according to its monthly dividend announcement. The dividend is payable to common shareholders of record on October 30, 2026, the record date it set for entitlement to the payment. The company set November 10, 2026, as the payment date for eligible shareholders, according to the terms of its October dividend announcement.