10-Q – 2026-07-31 – agnc-20260630.htm

Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding 2026 2025 2026 2025
Average investment securities repo and other debt outstanding $ 75,070  $ 59,469  $ 76,089  $ 60,582 
Average net TBA dollar roll position outstanding - at cost $ 12,729  $ 11,996  $ 11,543  $ 9,725 
Average mortgage borrowings outstanding
$ 87,799  $ 71,465  $ 87,632  $ 70,307 
Average notional amount of interest rate swaps outstanding (excluding forward starting swaps), net $ 75,216  $ 45,849  $ 73,421  $ 45,019 
Ratio of average interest rate swaps to mortgage borrowings outstanding
86  % 64  % 84  % 64  %

Average interest rate swap pay-fixed rate (excluding forward starting swaps) 2.71  % 1.94  % 2.68  % 1.84  %
Average interest rate swap receive-floating rate
(3.65) % (4.38) % (3.66) % (4.38) %
Average interest rate swap net pay/(receive) rate
(0.94) % (2.44) % (0.98) % (2.54) %

For the three and six months ended June 30, 2026, we had an average forward starting net pay-fixed rate swap balance of $43 million and $1.1 billion, respectively. For the three and six months ended June 30, 2025, we had an average forward starting net pay-fixed rate swap balance of $63 million and $173 million, respectively. Forward starting interest rate swaps do not impact our economic interest expense and aggregate cost of funds until they commence accruing net interest settlements on their forward start dates.

Net Interest Spread
The following table presents a summary of our net interest spread (including the impact of TBA dollar roll income, interest rate swaps and excluding “catch-up” premium amortization) for the three and six months ended June 30, 2026 and 2025:

Three Months Ended June 30,
Six Months Ended
June 30,

Investment and TBA Securities - Net Interest Spread 2026 2025 2026 2025
Average asset yield 4.89  % 4.87  % 4.93  % 4.87  %
Average aggregate cost of funds (2.89) % (2.86) % (2.90) % (2.80) %
Average net interest spread 2.00  % 2.01  % 2.03  % 2.07  %

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Net Spread and Dollar Roll Income
The following table presents a reconciliation of net spread and dollar roll income available to common stockholders (non-GAAP measure) from comprehensive income (loss) available (attributable) to common stockholders (the most comparable GAAP financial measure) for the three and six months ended June 30, 2026 and 2025 (dollars in millions):

Three Months Ended June 30,
Six Months Ended
June 30,

2026 2025 2026 2025
Comprehensive income (loss) available (attributable) to common stockholders
$ 603  $ (130) $ 403  $ (22)
Adjustments to exclude realized and unrealized (gains) losses reported through net income:
Realized (gain) loss on sale of investment securities, net
16  177  (58) 422 
Unrealized (gain) loss on investment securities measured at fair value through net income, net
90  (270) 979  (1,453)
(Gain) loss on derivative instruments and other securities, net
(485) 367  (867) 1,386 

Adjustment to exclude unrealized (gain) loss reported through other comprehensive income:

Unrealized (gain) loss on available-for-sale securities measure at fair value through other comprehensive income, net
7  (48) 15  (141)
Other adjustments:
Estimated “catch-up” premium amortization cost (benefit) due to change in CPR forecast 1
5  (11) —  (9)
TBA dollar roll income, net 2
44  24  95  47 
Interest rate swap periodic income (cost), net 2
179  282  361  575 
Other interest income (expense), net 2,3
3  (3) 9  (14)
Net spread and dollar roll income available to common stockholders (non-GAAP measure) 462  388  937  791 

Weighted average number of common shares outstanding - basic 1,157.6  1,017.3  1,140.2  968.0 
Weighted average number of common shares outstanding - diluted 1,162.0  1,019.6  1,144.7  971.0 
Net spread and dollar roll income per common share - basic $ 0.40  $ 0.38  $ 0.82  $ 0.82 
Net spread and dollar roll income per common share - diluted $ 0.40  $ 0.38  $ 0.82  $ 0.81 

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1. Reported in interest income in our consolidated statements of comprehensive income.
2. Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
3. Other interest income (expense), net includes interest income on cash and cash equivalents; price alignment interest income (expense) (“PAI”) on interest rate swap margin deposits posted by or (to) the Company; and other miscellaneous interest income (expense).

Gain (Loss) on Investment Securities, Net
The following table is a summary of our net gain (loss) on investment securities for the three and six months ended June 30, 2026 and 2025 (in millions):  

Three Months Ended June 30,
Six Months Ended
June 30,

Gain (Loss) on Investment Securities, Net 1
2026 2025 2026 2025
Gain (loss) on sale of investment securities, net $ (16) $ (177) $ 58  $ (422)
Unrealized (loss) gain on investment securities measured at fair value through net income, net 2
(90) 270  (979) 1,453 
Unrealized (loss) gain on investment securities measured at fair value through other comprehensive income, net
(7) 48  (15) 141 
Total (loss) gain on investment securities, net
$ (113) $ 141  $ (936) $ 1,172 

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1. Amounts exclude gain (loss) on TBA securities, which is reported in gain (loss) on derivative instruments and other securities, net in our Consolidated Statements of Comprehensive Income.
2. Investment securities acquired after fiscal year 2016 are measured at fair value through net income (see Note 2 of our Consolidated Financial Statements in this Form 10-Q).
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Gain (Loss) on Derivative Instruments and Other Securities, Net
The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three and six months ended June 30, 2026 and 2025 (in millions):

Three Months Ended June 30,
Six Months Ended
June 30,

  2026 2025 2026 2025
TBA securities, dollar roll income $ 44  $ 24  $ 95  $ 47 
TBA securities, mark-to-market gain (loss) (80) (13) (185) 41 

Interest rate swaps, periodic income 179  282  361  575 
Interest rate swaps, mark-to-market gain (loss) 461  (518) 734  (1,380)

Payer swaptions —  (9) —  (28)
Receiver swaptions (15) —  (21) — 
U.S. Treasury securities 14  (139) 125  (539)
U.S. Treasury futures contracts (116) 4  (240) (96)
SOFR futures contracts - long position (4) 3  (4) 13 
Other interest income (expense)
3  (3) 9  (14)
Other gain (loss) (1) 2  (7) (5)
Total gain (loss) on derivative instruments and other securities, net $ 485  $ (367) $ 867  $ (1,386)

For further details regarding our use of derivative instruments and related activity refer to Notes 2 and 5 of our Consolidated Financial Statements in this Form 10-Q.
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LIQUIDITY AND CAPITAL RESOURCES
Our business is dependent on our ability to maintain adequate levels of liquidity and capital resources to fund day-to-day operations, fulfill collateral requirements under our funding and derivative agreements, and to satisfy our dividend distribution requirement of at least 90% of our taxable income to maintain our qualification as a REIT. Our primary sources of liquidity are unencumbered cash and securities, borrowings available under repurchase agreements, TBA dollar roll financing and monthly receipts of principal and interest payments. We may also conduct asset sales, change our asset or funding mix, issue equity or undertake other capital enhancing actions to maintain adequate levels of liquidity and capital resources. There are various risks and uncertainties that can impact our liquidity, such as those described in Item 1A. Risk Factors of our most recent Annual Report on Form 10-K and Item 3. Quantitative and Qualitative Disclosures of Market Risks in this Form 10-Q. In assessing our liquidity, we consider a number of factors, including our current leverage, collateral levels, access to capital markets, overall market conditions, and the sensitivity of our tangible net book value over a range of scenarios. We believe that we have sufficient liquidity and capital resources available to meet our obligations and execute our business strategy.
Leverage and Financing Sources
Our leverage will vary depending on market conditions and our assessment of relative risks and returns, but we generally expect our leverage to be between six and ten times the amount of our tangible stockholders’ equity, measured as the sum of our total mortgage borrowings and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders’ equity adjusted to exclude goodwill. Our tangible net book value “at risk” leverage ratio was 7.4x and 7.2x as of June 30, 2026 and December 31, 2025, respectively. The following table includes a summary of our mortgage borrowings outstanding as of June 30, 2026 and December 31, 2025 (dollars in millions). For additional details of our mortgage borrowings refer to Notes 2, 4 and 5 to our Consolidated Financial Statements in this Form 10-Q.

June 30, 2026 December 31, 2025
Mortgage Borrowings Amount % Amount %
Investment securities repurchase agreements 1,2
$ 79,512  89  % $ 72,946  85  %
Debt of consolidated variable interest entities, at fair value —  —  % 56  —  %
Total debt 79,512  89  % 73,002  85  %
TBA and forward settling non-Agency securities, at cost 9,676  11  % 12,917  15  %
Total mortgage borrowings $ 89,188  100  % $ 85,919  100  %

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1. Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. E xcludes U.S. Treasury repurchase agreements totaling $10.3 billion and $12.3 billion as of June 30, 2026 and December 31, 2025, respectively.
2. As of June 30, 2026 and December 31, 2025, 44% and 44%, respectively, of our total repurchase agreements, including 49% and 51% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation’s GCF Repo service.
We primarily finance our assets through collateralized borrowings structured as repurchase agreements (“repo”). We enter into these agreements on a bilateral basis with financial institutions and independent dealers, as well as through tri-party and centrally cleared repo platforms—such as the FICC’s GCF Repo service—accessed through our wholly owned, registered broker-dealer subsidiary, Bethesda Securities, LLC. We manage our repo funding through counterparty diversification, maintaining a suitable maturity profile, interest rate hedging, and other strategies. In addition to repo, we also utilize TBA dollar roll transactions to synthetically finance Agency RMBS.
The terms of bilateral repurchase agreements are established on a transaction-by-transaction basis at the time each borrowing is initiated or renewed and are governed by the provisions of a Master Repurchase Agreement. For GCF Repo transactions, the terms and conditions are set by the FICC’s clearing rules and applicable operating procedures. Each of our repurchase agreements requires that borrowed amounts be subject to collateralization requirements, and interest rates are generally fixed and reflect prevailing market rates for the specified borrowing term and collateral type. Our repurchase agreement counterparties are not obligated to renew or enter into new borrowings upon the maturity of existing agreements.
TBA dollar roll transactions enhance our funding diversification, expand our available pool of assets, and improve our liquidity position by typically requiring less collateral than Agency RMBS financed with repo. These transactions may also benefit from lower implied costs, or “specialness.” However, if rolling TBA contracts into future months becomes uneconomical, we may need to take physical delivery of the underlying securities and fund those securities with other sources, potentially reducing our liquidity position.
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Collateral Requirements and Unencumbered Assets
Borrowing capacity under our repurchase agreements is influenced by counterparty margin requirements, collateral values, interest rates, risk limits, and counterparties’ willingness and ability to lend. These factors may change over time in response to interest rate movements, overall market liquidity, shifts in credit quality and changes in bank regulatory requirements. Centrally cleared repo capacity also depends on Bethesda Securities continued compliance with regulatory and FICC membership requirements and maintaining its risk exposure within limits established by the FICC.
Haircuts for bilateral repurchase agreements are determined on a transaction-specific basis. A haircut is a discount applied to the market value of pledged collateral to protect the counterparty against potential declines in its value and potential costs of selling collateral after a default. When collateral values decline, counterparties typically issue a margin call requiring us to post additional collateral to restore the required collateralization level. Conversely, if the value of pledged securities rises, we may request the return of excess collateral. Collateral values are determined by our counterparties, who are required to act in good faith.
For centrally cleared GCF repo transactions, margin requirements are set by the FICC. These include an initial margin requirement, calculated daily using a Value-at-Risk (“VaR”) model, which evaluates Bethesda Securities’ net exposure to the FICC, taking into account the offsetting risk sensitivities of positions such as repos and reverse repos. Initial margin is designed to protect the FICC against potential future exposure from a member default and may also be used to cover losses arising from the default of other clearing members, subject to assessments from the loss mutualization waterfall and applicable caps and withdrawal provisions set pursuant to FICC rules. The FICC also imposes daily variation margin, based on amounts borrowed plus accrued interest, adjusted for fluctuations in collateral value, and is intended to cover the current exposure associated with the repo transaction.
Margin thresholds may increase during periods of elevated market volatility, which could adversely affect our liquidity position. In addition, repo counterparties typically reduce the collateral values assigned to Agency RMBS each month to reflect principal repayments. Bilateral repo counterparties make this adjustment upon the publication of the pay-down factor by Fannie Mae, Freddie Mac or Ginnie Mae on the fifth business day following month-end, even though principal payments are generally not received until the 25 th calendar day following month-end. The FICC assesses margin on the last business day of each month—prior to the factor release—using internally projected pay-down rates and subsequently adjusts collateral requirements to reflect the actual factor data when released.
The timing difference between margin calls related to principal pay-downs and our receipt of the corresponding cash flows temporarily reduces our available liquidity each month. We manage this liquidity risk by monitoring factors that influence prepayment activity and through disciplined asset selection. As of June 30, 2026, approximately 10% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs. The remainder of our portfolio, primarily consisting of Agency RMBS, had an average one-year CPR forecast of 8%.
Collateral requirements under our derivative agreements are typically subject to initial and variation margin requirements, similar to those for centrally cleared repo transactions, and may be adjusted based on changes in the value of the derivative agreements, collateral values, market volatility, and other factors. Collateral requirements for our TBA contracts are governed by the Mortgage-Backed Securities Division (“MBSD”) of the FICC. Collateral levels for interest rate swap agreements are established by the central clearing exchange and the associated futures commission merchants (“FCMs”), which may impose margin requirements in excess of those required by the clearing exchange. Collateral requirements for non-centrally cleared derivatives are set by the counterparty financial institution.
Haircut levels and initial or additional minimum margin requirements reduce the amount of our unencumbered assets and limit our borrowing capacity. Margin calls for repo and TBA transactions are typically due on the same business day, while margin calls for interest rate swaps and other derivative transactions are typically due on the next business day, subject to notice provisions. During the three and six months ended June 30, 2026, haircuts and initial margin requirements on our repo funding arrangements remained stable. As of June 30, 2026, the weighted average haircut and initial margin on our repurchase agreements were approximately 3.3% of the value of our collateral, compared to 3.1% as of December 31, 2025. We were in compliance with all margin requirements as of June 30, 2026.
To mitigate the risk of margin calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or be sold for cash. As of June 30, 2026, our unencumbered assets totaled approximately $7.5 billion, or 63% of tangible equity, consisting of $7.5 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets. This compares to approximately $7.7 billion of unencumbered assets, or 65% of tangible equity, as of December 31, 2025, consisting of $7.6 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.
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For additional details regarding assets pledged under our repo and derivative agreements refer to Note 6 to our Consolidated Financial Statements in this Form 10-Q.
Counterparty Risk
Collateral requirements imposed by counterparties subject us to the risk that pledged assets may not be returned to us as and when required. We attempt to manage this risk by actively monitoring our collateral positions and limiting our counterparties to registered clearinghouses and regulated financial institutions, including banks and broker-dealers (both bank affiliated and independent) with acceptable credit ratings. We also diversify our funding sources across multiple counterparties and geographic region.
As of June 30, 2026, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was 1% of our tangible stockholders’ equity, with our top five repo counterparties, excluding the FICC, representing less than 5% of our tangible stockholders’ equity. As of June 30, 2026, less than 11% of our tangible stockholders’ equity was at risk with the FICC. Excluding central clearing exchanges, as of June 30, 2026, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders’ equity.
Asset Sales
Agency RMBS securities are among the most liquid fixed income securities, and the TBA market is the second most liquid market (after the U.S. Treasury market). Although market conditions fluctuate, the vitality of these markets enables us to sell assets under most conditions to generate liquidity through direct sales or delivery into TBA contracts, subject to “good delivery” provisions promulgated by the Securities Industry and Financial Markets Association (“SIFMA”). Under certain market conditions, however, we may be unable to realize the full carrying value of our securities. We attempt to manage this risk by maintaining at least a minimum level of securities that trade at or near TBA values that in our estimation enhances our portfolio liquidity across a wide range of market conditions. Please refer to Trends and Recent Market Impacts of this Management Discussion and Analysis for further information regarding Agency RMBS and TBA market conditions.
Capital Markets
Equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs. The availability of equity capital is dependent on market conditions and investor demand for our common and preferred stock. We will typically not issue common stock at times when we believe the capital raised will not be accretive to our tangible net book value or earnings, and we will typically not issue preferred equity when its cost exceeds acceptable hurdle rates of return on our equity. We may also be unable to raise additional equity capital at suitable times or on favorable terms. As of June 30, 2026, we were authorized by our Board of Directors to enter into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time under two separate at-the-market programs, up to a maximum aggregate offering price under each program. As of June 30, 2026, shares of our common stock with an aggregate offering price of $0.1 billion remained authorized for issuance through December 31, 2026 under one program and $2.0 billion remained authorized for issuance through December 31, 2027 under a second program.
Separately, when the trading price of our common stock is less than our then-current estimate of our tangible net book value per common share, among other conditions, we may repurchase shares of our common stock pursuant to the stock repurchase plan authorized by our Board. As of June 30, 2026, $1.0 billion remained authorized to repurchase shares of our common stock through December 31, 2026.
Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-Q for further details regarding our recent equity capital transactions.
OFF-BALANCE SHEET ARRANGEMENTS
As of June 30, 2026, we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes. Additionally, as of June 30, 2026, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.

FORWARD-LOOKING STATEMENTS
The statements contained in this Quarterly Report that are not historical facts, including estimates, projections, beliefs, expectations concerning conditions, events, or the outlook for our business, strategy, performance, operations or the markets or industries in which we operate, are forward-looking statements within the meaning of the Private Securities Litigation Reform
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Act. Forward-looking statements are typically identified by words such as “believe,” “plan,” “expect,” “anticipate,” “see,” “intend,” “outlook,” “potential,” “forecast,” “estimate,” “will,” “could,” “should” “likely” and other similar, correlative or comparable words and expressions.
Forward-looking statements are based on management’s assumptions, projections and beliefs as of the date of this Quarterly Report, but they involve a number of risks and uncertainties. Actual results may differ materially from those anticipated in forward-looking statements, as well as from historical performance. Factors that could cause actual results to vary from our forward-looking statements include, but are not limited to, the following:
• the level, degree and extent of volatility in interest rates or the yield on our assets relative to interest rate benchmarks;
• fluctuations in mortgage prepayment rates on the loans underlying our Agency RMBS;
• the availability and terms of our financing and hedge positions;
• changes in the market value of our assets, including from changes in net interest spreads, market liquidity or depth, and changes in our “at risk” leverage or hedge positions;
• fluctuations in the yield curve;
• the effectiveness of our risk mitigation strategies;
• conditions in the market for Agency RMBS and other mortgage securities, including changes in the available supply of such securities or investor appetite therefor;
• changes in U.S. monetary policy or interest rates, including actions taken by the Federal Reserve to adjust the size or composition of its U.S. Treasury and Agency RMBS bond portfolio or to influence funding markets;
• changes in U.S. government entity purchases or dispositions of Agency RMBS or other actions that directly or indirectly increase demand or supply of Agency RMBS or affect prepayment speeds;
• the direct or indirect effects of actions by the federal, state, or local governments that affect the economy, the housing sector or financial markets, including actions relating to fiscal policy;
• the direct or indirect effects of geopolitical events, including war, terrorism, civil discord, embargos, trade or other disputes, or natural disasters, on conditions in the markets for Agency RMBS or other mortgage securities, the terms or availability of funding for our business, or our ongoing business operations;
• the availability of personnel, operational resources, information technology and other systems to conduct our operations;
• changes to laws, regulations, rules or policies that affect the GSE’s, the primary or secondary mortgage markets in which we participate or U.S. housing finance activity, including actions that would end or alter the conservatorships of Fannie Mae or Freddie Mac or their quasi-governmental status; and
• legislative or regulatory actions that affect our status as a REIT or our exemption from the Investment Company Act of 1940.
Forward-looking statements speak only as of the date made, and we do not assume any duty and do not undertake to update forward-looking statements. A further discussion of risks and uncertainties that could cause actual results to differ from any of our forward-looking statements is included under Item 1A. Risk Factors in Part I of our most recent Annual Report on Form 10-K and Part II of this Form 10-Q. We caution readers not to place undue reliance on our forward-looking statements.

WEBSITE AND SOCIAL MEDIA DISCLOSURE
We use our website (www.AGNC.com) and AGNC’s LinkedIn (www.linkedin.com/company/agnc-investment-corp/) and X (www.x.com/AGNCInvestment) accounts to distribute information about the Company. Investors should monitor these channels in addition to our press releases, filings with the U.S. Securities and Exchange Commission (“SEC”), public conference calls and webcasts, as information posted through them may be deemed material. Our website, alerts and social media channels are not incorporated by reference into, and are not a part of, this or any other report filed with or furnished to the SEC. Investors and others may automatically receive emails and information about AGNC when they sign up for investor alerts on the “Investor Resources” tab of the Investor Relations section of our website.

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Item 3. Quantitative and Qualitative Disclosures about Market Risk
Market risk is the exposure to loss resulting from changes in market factors such as interest rates, foreign currency exchange rates, commodity prices and equity prices. The primary market risks that we are exposed to are interest rate, prepayment, spread, liquidity, extension and credit risks.
Interest Rate Risk
We are subject to interest rate risk in connection with the fixed income nature of our assets and the short-term, variable rate nature of our financing obligations. Our operating results depend in large part on differences between the income earned on our assets and our cost of borrowing and hedging activities. The costs associated with our borrowings are generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase while the yields earned on our existing portfolio of leveraged fixed-rate assets will largely remain static. This can result in a decline in our net interest spread. Changes in the level of interest rates can also affect the rate of mortgage prepayments and the value of our assets.
Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political considerations, as well as other factors beyond our control. Subject to maintaining our qualification as a REIT, we engage in a variety of interest rate management techniques to mitigate the influence of interest rate changes on our net interest income and fluctuations of our tangible net book value. The principal instruments that we use to hedge our interest rate risk are interest rate swaps, swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. Our hedging techniques are highly complex and are partly based on assumed levels of prepayments of our assets. If prepayments are slower or faster than assumed, the maturity of our investments will also differ from our expectations, which could reduce the effectiveness of our hedging strategies and may cause losses on such transactions and adversely affect our cash flow.
The severity of potential declines in our tangible net book value due to fluctuations in interest rates would depend on our asset, liability, and hedge composition at the time, as well as the magnitude and duration of the interest rate change. Primary measures of an instrument’s price sensitivity to interest rate fluctuations are its duration and convexity. Duration measures the estimated percentage change in market value of an instrument that would be caused by a parallel change in short and long-term interest rates. The duration of our assets will vary with changes in interest rates and tends to increase when interest rates rise and decrease when interest rates fall. This “negative convexity” generally increases the interest rate exposure of our investment portfolio in excess of what is measured by duration alone.
We estimate the duration and convexity of our assets using a third-party risk management system and market data. We review the estimates for reasonableness, giving consideration to any unique characteristics of our securities, market conditions and other factors likely to impact these estimates, and based on our judgment we may make adjustments to the third-party estimates. Our estimated duration gap, which is a measure of the difference between the interest rate sensitivity of our assets and our liabilities, inclusive of interest rate hedges, was 0.7 years as of June 30, 2026, compared to 0.4 years as of December 31, 2025.
The table below quantifies the estimated changes in the fair value of our investment portfolio (including derivatives and other securities used for hedging purposes) and in our tangible net book value per common share as of June 30, 2026 and December 31, 2025 should interest rates go up or down by 25, 50 and 75 basis points, assuming instantaneous parallel shifts in the yield curve and including the impact of both duration and convexity. All values in the table below are measured as percentage changes from the base interest rate scenario. The base interest rate scenario assumes interest rates and prepayment projections as of June 30, 2026 and December 31, 2025.
To the extent that these estimates or other assumptions do not hold true, which may be more likely during periods of elevated market volatility, actual results could differ materially from our projections. Moreover, if different models were employed in the analysis, materially different projections could result. Lastly, while the table below reflects the estimated impact of interest rate changes on a static portfolio, we actively manage our portfolio, and we continuously adjust the size and composition of our asset and hedge portfolio.  
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Interest Rate Sensitivity 1,2

June 30, 2026 December 31, 2025
Change in Interest Rate Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share

-75 Basis Points 0.0% +0.4% -0.2% -2.4%
-50 Basis Points +0.2% +1.5% 0.0% -0.3%
-25 Basis Points +0.1% +1.3% +0.1% +0.5%
+25 Basis Points -0.2% -2.3% -0.2% -1.6%
+50 Basis Points -0.5% -5.3% -0.4% -4.3%
+75 Basis Points -0.9% -8.8% -0.8% -7.7%

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1. Derived from models that are dependent on inputs and assumptions, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.
2. Includes the effect of derivatives and other securities used for hedging purposes. Interest rates are assumed to be floored at 0% in down rate scenarios.
Prepayment Risk and Extension Risk
Prepayment risk is the risk that our assets will be repaid at a faster rate than anticipated. Interest rates and numerous other factors affect the rate of prepayments, such as housing prices, general economic conditions, loan age, size and loan-to-value ratios, and GSE buyouts of delinquent loans underlying our securities. Generally, declining mortgage rates increase the rate of prepayments, while rising rates have the opposite effect.
If our assets prepay at a faster rate than anticipated, we may be unable to reinvest the repayments at acceptable yields. If the proceeds are reinvested at lower yields than our existing assets, our net interest income would be negatively impacted. We also amortize or accrete premiums and discounts we pay or receive at purchase relative to the stated principal of our assets into interest income over their projected lives using the effective interest method. If the actual and estimated future prepayment experience differs from our prior estimates, we are required to record a current period adjustment to interest income for the impact of the cumulative difference in the effective yield.
Extension risk is the risk that our assets will be repaid at a slower rate than anticipated and generally increases when interest rates rise. In a rising or higher interest rate environment, we may be required to finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities as a result of borrowers prepaying their mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.
As of June 30, 2026 and December 31, 2025, our investment securities (excluding TBAs) had a weighted average projected CPR of 8.6% and 9.6%, respectively, and a weighted average yield of 4.91% and 4.93%, respectively. The table below presents estimated weighted average projected CPRs and yields for our investment securities should interest rates go up or down instantaneously by 25, 50 and 75 basis points. Estimated yields exclude the impact of retroactive “catch-up” premium amortization adjustments for prior periods due to changes in the projected CPR assumption.

Interest Rate Sensitivity 1

June 30, 2026 December 31, 2025
Change in Interest Rate Weighted Average Projected CPR Weighted Average Asset Yield 2
Weighted Average Projected CPR Weighted Average Asset Yield 2

-75 Basis Points 14.1% 4.84% 16.6% 4.79%
-50 Basis Points 11.6% 4.87% 13.6% 4.84%
-25 Basis Points 9.8% 4.89% 11.3% 4.89%
  Actual as of Period End 8.6% 4.91% 9.6% 4.93%
+25 Basis Points 7.8% 4.93% 8.3% 4.96%
+50 Basis Points 7.4% 4.94% 7.5% 4.98%
+75 Basis Points 7.1% 4.95% 7.0% 5.00%

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1. Derived from models that are dependent on inputs and assumptions and assumes a static portfolio. Actual results could differ materially from these estimates. Table excludes TBA securities.
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2. Asset yield based on historical cost basis and does not include the impact of retroactive “catch-up” premium amortization adjustments due to changes in projected CPR.
Spread Risk
Spread risk is the risk that the market spread between the yield on our assets and the yield on benchmark interest rates linked to our interest rate hedges, such as U.S. Treasury rates and interest rate swap rates, may vary. As a levered investor in mortgage-backed securities, spread risk is an inherent component of our investment strategy. Therefore, although we use hedging instruments to attempt to protect against moves in interest rates, our hedges are generally not designed to protect against spread risk, and our tangible net book value could decline if spreads widen.
Fluctuations in mortgage spreads can occur due to a variety of factors, including changes in interest rates, prepayment expectations, actual or anticipated monetary policy actions by the U.S. and foreign central banks, liquidity conditions, required rates of returns on different assets and other market supply and demand factors. The table below quantifies the estimated changes in the fair value of our assets, net of hedges, and our tangible net book value per common share as of June 30, 2026 and December 31, 2025 should spreads widen or tighten by 10, 25 and 50 basis points. The estimated impact of changes in spreads is in addition to our interest rate shock sensitivity included in the interest rate shock table above. The table below assumes a spread duration of 5.0 and 5.0 as of June 30, 2026 and December 31, 2025, respectively, based on interest rates and prices as of such dates; however, our portfolio’s sensitivity to mortgage spread changes will vary with changes in interest rates and in the size and composition of our portfolio. Therefore, actual results could differ materially from our estimates.

Spread Sensitivity 1,2

June 30, 2026 December 31, 2025
Change in MBS Spread Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share
-50 Basis Points +2.5% +24.3% +2.5% +24.0%
-25 Basis Points +1.3% +12.2% +1.2% +12.0%
-10 Basis Points +0.5% +4.9% +0.5% +4.8%
+10 Basis Points -0.5% -4.9% -0.5% -4.8%
+25 Basis Points -1.3% -12.2% -1.2% -12.0%
+50 Basis Points -2.5% -24.3% -2.5% -24.0%

________________________________
1. Spread sensitivity is derived from models that are dependent on inputs and assumptions, assumes there are no changes in interest rates and assumes a static portfolio. Actual results could differ materially from these estimates.
2. Includes the effect of derivatives and other securities used for hedging purposes.
Liquidity Risk
Our liquidity risk principally arises from financing long-term fixed rate assets with shorter-term variable rate borrowings. Future borrowings are dependent upon the willingness of lenders to finance our investments, lender collateral requirements and the lenders’ determination of the fair value of the securities pledged as collateral. These factors can change over time in response to interest rate movements, overall market liquidity, shifts in credit quality and changes in bank regulatory requirements. Borrowings under centrally cleared repo also depend on Bethesda Securities’ remaining compliant with regulatory and FICC membership requirements and maintaining its risk exposure within limits established by the FICC.
As of June 30, 2026, we believe that we have sufficient liquidity and capital resources available to execute our business strategy (see Liquidity and Capital Resources in this Form 10-Q for additional details). However, should the value of our collateral or the value of our derivative instruments suddenly decrease, or margin requirements increase, we may be required to post additional collateral for these arrangements, causing an adverse change in our liquidity position. Furthermore, there is no assurance that we will always be able to renew (or roll) our short-term funding liabilities. In addition, our bilateral counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, and our central clearing counterparties may adjust their risk models impacting the amount of initial margin we are required to post, thereby reducing the amount that can be borrowed against our assets even if they agree to renew or roll our
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funding liabilities. Significantly higher haircuts or initial margin requirements can reduce our ability to leverage our portfolio or may even force us to sell assets, especially if correlated with asset price declines or faster prepayment rates on our assets.
Credit Risk
Our credit sensitive investments, such as CRT and non-Agency securities, expose us to the risk of nonpayment of principal, interest or other remuneration we are contractually entitled to. We are also exposed to credit risk in the event our repurchase agreement counterparties default on their obligations to resell the underlying collateral back to us at the end of the repo term or in the event our derivative counterparties do not perform under the terms of our derivative agreements.
We accept credit exposure related to our credit sensitive assets at levels we deem prudent within the context of our overall investment strategy. We attempt to manage this risk through careful asset selection, pre-acquisition due diligence, post-acquisition performance monitoring, and the sale of assets where we identify negative credit trends. We may also manage credit risk with credit default swaps or other financial derivatives that we believe are appropriate. Additionally, we may vary the mix of our interest rate and credit sensitive assets or our duration gap to adjust our credit exposure and/or improve the return profile of our assets, such as when we believe credit performance is inversely correlated with changes in interest rates. Our credit risk related to derivative and repurchase agreement transactions is largely mitigated by limiting our counterparties to regulated financial institutions with acceptable credit ratings or to registered central clearinghouses and monitoring concentration levels with any one counterparty. We also continuously monitor and adjust the amount of collateral pledged based on changes in market value. However, our efforts to manage credit risk may be unsuccessful and we could suffer losses as a result. Excluding central clearing exchanges, as of June 30, 2026, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was 1% and less than 1%, respectively, of tangible stockholders’ equity.

Item 4. Controls and Procedures
We maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in our Exchange Act reports is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure based on the definition of “disclosure controls and procedures” as promulgated under the Exchange Act and the rules and regulations thereunder. In designing and evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures.
We, including our Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures as of June 30, 2026. Based on the foregoing, our Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective.
Changes in Internal Control over Financial Reporting
There have been no changes in our “internal control over financial reporting” (as defined in Rule 13a-15(f) of the Exchange Act) that occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings
Neither we, nor any of our consolidated subsidiaries, are currently subject to any material litigation nor, to our knowledge, is any material litigation threatened against us or any consolidated subsidiary, other than routine litigation and administrative proceedings arising in the ordinary course of business. Such proceedings are not expected to have a material adverse effect on the business, financial conditions, or results of our operations.

Item 1A. Risk Factors
There have been no material changes to the risk factors previously disclosed in our Annual Report on Form 10-K for the year ended December 31, 2025.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
None.
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Item 3. Defaults upon Senior Securities
None.

Item 4. Mine Safety Disclosures
Not applicable.

Item 5. Other Information
Rule 10b5-1 Trading Arrangements
During the fiscal quarter ended June 30, 2026, none of our directors or officers (as defined in Rule 16a-1(f) under the Exchange Act) informed us of the adoption or termination of a “Rule 10b5-1 trading arrangement” or “non-Rule 10b5-1 trading arrangement” (as each term is defined in Regulation S-K, Item 408), except as follows.
On June 1, 2026 , Peter Federico , our President, Chief Executive Officer, Chief Investment Officer, and a Director , adopted a Rule 10b5-1 trading arrangement intended to satisfy the affirmative defense of Rule 10b5-1(c) providing for the sale of up to 203,382 shares of our common stock. The trading arrangement will expire on December 31, 2026 or earlier if all transactions under the trading arrangement are completed.

Item 6.     Exhibits and Financial Statement Schedules
(a) Exhibit Index
Exhibit No.      Description
*3.1      AGNC Investment Corp. Amended and Restated Certificate of Incorporation, as amended, incorporated herein by reference to Exhibit 3.1 of Form 10-Q for the quarter ended March 31, 2025 (File No. 001-34057), filed May 2, 2025.
*3.2      AGNC Investment Corp. Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No. 001-34057), filed July 21, 2023.
*3.3      Certificate of Designations of 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.5 of Form 8-A (File No. 001-34057), filed August 18, 2017.
*3.4      Certificate of Elimination of 8.000% Series A Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No 001-34057), filed October 26, 2017.
*3.5      Certificate of Designations of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.5 of Form 8-A (File No 001-34057), filed March 6, 2019.
*3.6      Certificate of Designations of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.6 of Form 8-A (File No 001-34057), filed October 3, 2019.
*3.7      Certificate of Elimination of 7.750% Series B Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No 001-34057), filed December 13, 2019.
*3.8      Certificate of Designations of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.6 of Form 8-A (File No 001-34057), filed February 11, 2020.
*3.9      Certificate of Designations of 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.7 of Form 8-A (File No 001-34057), filed September 14, 2022.
*3.10      Certificate of Designations of 8.75% Series H Fixed-Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.8 of Form 8-A (File No 001-34057), filed September 10, 2025.
*4.1      Instruments defining the rights of holders of securities: See Article IV of our Amended and Restated Certificate of Incorporation, as amended, incorporated herein by reference to Exhibit 3.1 of Form 10-Q for the quarter ended March 31, 2025 (File No. 001-34057), filed May 2, 2025.
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*4.2      Instruments defining the rights of holders of securities: See Article VI of our Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 3.1 of Form 8-K, filed July 21, 2023.
*4.3      Form of Certificate for Common Stock, incorporated herein by reference to Exhibit 4.3 of Form 10-Q for the quarter ended September 30, 2022 (File No. 001-34057), filed November 7, 2022.
*4.4      Specimen 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed August 18, 2017.
*4.5      Specimen 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed March 6, 2019.
*4.6      Specimen 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed October 3, 2019.
*4.7      Specimen 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No 001-34057), filed February 11, 2020.
*4.8      Specimen 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No 001-34057), filed September 14, 2022.
*4.9      Specimen 8.75% Series H Fixed-Rate Cumulative Redeemable Preferred Stock Certificate. incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No 001-34057), filed September 10, 2025.
*4. 10     Deposit Agreement relating to 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated August 22, 2017, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed August 22, 2017.
*4.1 1     Form of Depositary Receipt representing 1/1,000th of a share of 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.10), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed August 22, 2017.
*4.1 2     Deposit Agreement relating to 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated March 6, 2019, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed March 6, 2019.
*4.1 3     Form of Depositary Receipt representing 1/1,000th of a share of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.12), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed March 6, 2019 .
*4.1 4     Deposit Agreement relating to 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated October 3, 2019, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed October 3, 2019.
*4.1 5     Form of Depositary Receipt representing 1/1,000th of a share of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.14), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed October 3, 2019 .
*4.1 6     Deposit Agreement relating to 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated February 11, 2020, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.1 of Form 8-K (File No. 001-34057) filed February 11, 2020.
*4.1 7     Form of Depositary Receipt representing 1/1,000th of a share of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.16), incorporated herein by reference to Exhibit A of Exhibit 4.1 of Form 8-K (File No. 001-34057) filed February 11, 2020.
*4.1 8     Deposit Agreement relating to 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock, dated September 14, 2022, among AGNC Investment Corp., Computershare Inc. and Computershare Trust
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Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed September 14, 2022.
*4.1 9     Form of Depositary Receipt representing 1/1,000th of a share of 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.18), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed September 14, 2022.
*4.20      Deposit Agreement relating to 8.75% Series H Fixed-Rate Cumulative Redeemable Preferred Stock, dated September 10, 2025, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed September 10, 2025.
*4.21      Form of Depositary Receipt representing 1/1,000th of a share of 8.75% Series H Fixed-Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.20), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed September 10, 2025.
14      AGNC Investment Corp. Code of Ethics and Conduct, adopted July 1 6 , 202 6 , filed herewith .
31.1      Certification of CEO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.
31.2      Certification of CFO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.
32      Certification of CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS**    The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document
101.SCH**    XBRL Taxonomy Extension Schema Document
101.CAL**    XBRL Taxonomy Extension Calculation Linkbase Document
101.LAB**    XBRL Taxonomy Extension Labels Linkbase Document
101.PRE**    XBRL Taxonomy Extension Presentation Linkbase Document
101.DEF**    XBRL Taxonomy Extension Definition Linkbase Document
________________________________
*    Previously filed
**    This exhibit is being furnished rather than filed, and shall not be deemed incorporated by reference into any filing, in accordance with Item 601 of Regulation S-K
†    Management contract or compensatory plan or arrangement
(b)    Exhibits
        See the exhibits filed herewith.
(c)    Additional financial statement schedules
     None.
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SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Company has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 

AGNC I NVESTMENT C ORP .

By: /s/    P ETER J. F EDERICO

  Peter J. Federico
President, Chief Executive Officer and
Chief Investment Officer, (Principal Executive Officer)
Date: July 31, 2026

By: /s/    B ERNICE E. B ELL

Bernice E. Bell
Executive Vice President and
Chief Financial Officer (Principal Financial Officer and Principal Accounting Officer)
Date: July 31, 2026

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