AGNC Investment Corp.: JPM 2Q26 Earnings Scorecard – Preview

Research evidence excerpt

AGNC Investment Corp.: JPM 2Q26 Earnings Scorecard – Preview

Richard Shane AC North America Equity Research

(1-415) 315-6701 20 July 2026 J P M O R G A N

richard.b.shane@jpmorgan.com

backdrop to weigh modestly on carry, though this is largely an earnings dynamic rather

than a book value one.

• Leverage: We expect AGNC to maintain conservative leverage levels given elevated

macro uncertainty.

• Administrative Actions: Mgmt. believes additional housing-affordability measures are

more likely with mortgage rates in the low- to mid-6% range and wider MBS spreads.

Mgmt. noted that the GSEs have been opportunistic buyers of Agency MBS, stepping up

purchases when spreads widen, and highlighted potential incremental levers that could

benefit MBS performance, including more aggressive GSE purchases, increases in GSE

portfolio size limits, and Fed actions to improve the standing repo program, which could

reduce spread volatility and broaden the investor base.

Intra-Quarter Commentary:

• As of approximately mid-April, AGNC’s tangible net book value per share was up ~6%

for the month of April, or 5% of net monthly dividend accrual.

Items Affecting Comparisons:

• 2Q26: None.

• 1Q26: None.

• 2Q25: None.

Prior-Quarter Takeaways (April 21, 2026):

• Current coupon MBS spreads widened Q/Q but mgmt. views current levels as attractive,

with implied portfolio returns of ~15%-17% well above AGNC's ~13.5% dividend

yield. Spreads on current coupon Agency MBS to a blend of swaps widened from

~135bps in January to a range of 150-175bps over the past 2 months, driven by heightened

geopolitical and macroeconomic risks. Spreads are currently ~151bps to the swap curve

and ~120bps to the treasury curve, implying an average spread of 140-150bps depending

on the hedge mix.