管理層發言
Good morning and welcome to the AGNC Investment Corp. Second Quarter 2026 Shareholder Call. Please note this event is being recorded. I would now like to turn the conference over to Katie Turlington in Investor Relations. Please go ahead.
Thank you all for joining AGNC Investment Corp.'s Second Quarter 2026 Earnings Call. Before we begin, I'd like to review the safe harbor statement. This conference call and corresponding slide presentation contains statements that, to the extent they are not recitations of historical facts, constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. All such forward-looking statements are intended to be subject to the safe harbor protection provided by the reform act. Actual outcomes and results could differ materially from those forecast due to the impact of many factors beyond the control of AGNC. All forward-looking statements included in this presentation are made only as of the date of this presentation and are subject to change without notice. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in AGNC's periodic reports filed with the Securities and Exchange Commission. Copies are available on the SEC's website at sec.gov. We disclaim any obligation to update our forward-looking statements unless required by law. Participants on the call include Peter Federico, President, Chief Executive Officer and Chief Investment Officer; Bernice Bell, Executive Vice President and Chief Financial Officer; and Sean Reid, Executive Vice President, Strategy and Corporate Development. With that, I'll turn the call over to Peter Federico.
Good morning, and thank you all for joining our second quarter earnings conference call. The investment environment in the second quarter continued to be challenging as escalating rhetoric and hostilities between the United States and Iran largely dictated financial market performance. With ship traffic through the Strait of Hormuz severely constrained, elevated energy prices and supply chain disruptions were the dominant macroeconomic concerns for the quarter. These concerns caused treasury yields to increase, the yield curve to flatten and the market's outlook for monetary policy to pivot from rate cuts to rate hikes by year-end. Despite the elevated geopolitical and macroeconomic uncertainty, and the bearish shift in fixed income sentiment during the quarter, AGNC generated a strong economic return of 6.7%, comprised of our attractive monthly dividend and improvement in our tangible book value per common share. Also notable, the monthly common stock dividend that we paid at the beginning of this month marked the 75th consecutive monthly dividend payment of $0.12 per share, a track record of performance that we believe illustrates the value of AGNC's disciplined approach to risk management and portfolio construction over a wide range of investment environments. The improvement in our tangible book value was driven by the solid performance of Agency MBS, which generated a positive excess return to U.S. treasuries for the fifth consecutive quarter. This five-quarter track record of outperformance is unusual and particularly noteworthy given the similar credit quality of these two asset classes. The catalyst for the favorable performance of Agency MBS was improving technical factors. With the primary mortgage rate continuing to be above 6.5%, the net new supply of Agency MBS this year will likely drop to about $150 billion, materially lower than the supply estimates at the beginning of the year. Elevated mortgage rates have also caused prepayment speeds to slow. As a result, MBS runoff from the Fed's portfolio will be lower than expected this year. Against the backdrop of falling supply, the demand for agency mortgage-backed securities has remained strong. Through the first six months of the year, bond fund inflows have totaled more than $400 billion and are running about double the pace of last year. A significant portion of these inflows get invested in agency mortgage-backed securities and are an important source of demand. Banks, foreign investors and REITs should also all continue to be net purchasers of Agency MBS over the remainder of the year. Lastly, with the outlook for private credit deteriorating and equity valuations stretched by many measures, the demand for high-quality fixed income assets should remain strong or perhaps even increase over the near term. We expect these favorable supply and demand dynamics to become more apparent over time and to benefit Agency MBS performance in the second half of the year. Another important consideration that shapes the outlook for Agency MBS is the compelling value that this asset class offers relative to corporate bonds. In the second quarter, corporate bonds were the best-performing fixed income sector by a wide margin, significantly outperforming both U.S. treasuries and Agency MBS. The Bloomberg Investment Grade Corporate Index and the Bloomberg U.S. High Yield Index ended the second quarter as spreads to U.S. treasuries of 75 and 290 basis points, respectively, levels that were among the lowest on record. Surprisingly, these historically tight spread levels come at a time when corporate issuance this year is expected to exceed $1.1 trillion, making 2026 the largest corporate debt issuance year ever. In light of the improved technical backdrop and despite elevated geopolitical risk, our outlook for Agency MBS remains encouraging. Agency MBS spreads have moved little this year and continue to be wide by historical standards, despite supply being lower than expected and demand being greater than expected. Corporate spreads, on the other hand, have narrowed through the first half of the year and are tight by historical standards, despite record issuance and rising credit concerns. Once the current elevated level of geopolitical and monetary policy uncertainty subsides, we believe these constructive dynamics will become more apparent and over time, drive favorable Agency MBS performance. Moreover, we believe AGNC is well positioned to continue to deliver strong risk-adjusted returns for our shareholders in this environment. With that, I will now turn the call over to Bernice Bell, our Chief Financial Officer, to discuss our financial results in greater detail.
Thank you, Peter. For the second quarter, AGNC reported comprehensive income of $0.52 per common share. Our economic return on tangible common equity was 6.7% for the quarter, consisting of $0.36 of dividends declared per common share and a $0.20 increase in tangible net book value per share due to mortgage outperformance relative to our interest rate hedges. Our total stock return for the quarter was even more favorable at 12.3% with dividends reinvested, which brings our 1-year total stock return to 36.1%. As of late last week, our tangible net book value per common share was down about 1% or a little less than 2% net of our monthly dividend accrual for July. Both ending and average leverage were unchanged at 7.4x tangible equity for the quarter, and we ended the period with $7.5 billion of unencumbered cash and Agency MBS, representing 62% of tangible equity. Net spread and dollar roll income totaled $0.40 per common share for the quarter, down $0.02 from the first quarter. The decrease primarily reflects a 6 basis point decline in our net interest spread driven by lower asset yields from portfolio repositioning, partly offset by modestly lower funding costs. The average projected life CPR of our portfolio decreased by 170 basis points to 8.6% at quarter end due to coupon and TBA versus specified pool repositioning. Actual CPRs were largely unchanged at 13% for the quarter. Lastly, during the second quarter, we continued to actively manage our capital for the benefit of existing stockholders, issuing $167 million of common equity through our at-the-market offering program at a significant premium to tangible net book value per share, while maintaining a disciplined and opportunistic approach to capital issuance. And with that, I will now turn the call back over to Peter to discuss our portfolio in greater detail.
Thank you, Bernie. In aggregate, Agency MBS in the second quarter outperformed both treasury and swap-based hedges, but the magnitude of the outperformance did vary considerably by coupon. Higher coupon and production coupon MBS experienced the greatest outperformance as the increase in interest rates curtailed both supply and prepayment concerns. The outperformance of higher coupons relative to lower coupons was also a reversal of the coupon performance in the first quarter. With swap spreads widening in the second quarter, MBS hedged with swaps also performed better than MBS hedged with treasury securities. At quarter end, the spread differential between a current coupon mortgage-backed security and a blend of hedges across the swap curve was about 145 basis points. At this spread level, Agency MBS are trading near the middle of our expected range of 120 to 160 basis points. At quarter end, the market value of our asset portfolio totaled $97 billion. During the quarter, we purchased $2.2 billion of primarily intermediate coupon specified pools. Early in the quarter, we also sold some lower coupon MBS and bought higher coupon MBS to lock in gains from the strong performance of low coupons in the first quarter and to capture the yield benefit associated with higher coupon given the expectations for a more benign prepayment environment. As a result, the weighted average coupon on our portfolio increased to 5.04%. The percentage of assets with favorable prepayment characteristics also increased slightly to 79%. The notional balance of our hedge portfolio totaled $66 billion at quarter end, up slightly from the prior quarter due to the addition of intermediate and longer-term treasury-based hedges. With the maturity of $3 billion of swap hedges and the additional treasury-based hedges, our overall portfolio allocation to swap-based hedges declined to 66% at quarter end. Lastly, we ended the quarter with a duration gap of 0.7 years, unchanged from the prior quarter. We continue to favor operating with a positive duration gap, given the current level of interest rates, the convexity profile of our portfolio and the expected correlation between mortgage spreads and interest rates. With that, we'll now open the call up to your questions.
分析師問答
The first question comes from Doug Harter with BTIG.
I was hoping you could talk about where you're seeing returns today on incremental investments at current spread levels and how the ability to raise capital at your current valuation impacts how you think about returns?
Sure. Doug, welcome back. Yes. First off, in terms of marginal returns on new investment opportunities, as I mentioned, we ended the quarter with spreads. I like to look at them relative to the blend of the swap curve. I think that's an important comparison over time. I mentioned at 145 basis points, they're actually probably closer to 150 basis points this morning to Treasuries. They're probably in the 120 basis point range. So the returns will obviously depend on what combination of hedges we use in the current environment given the fact that our swap-based hedges are now a little bit lower back towards 65%. Marginal investments going forward will likely be hedged more with swaps. So from that perspective, if you look at returns in the, say, 130 to 150 basis point range you're getting ROEs when you leverage them the way we leverage them at 7 or 7.5x probably in the 15% to 17% range. So that aligns really well with the economics of our dividend. And from a capital perspective, you'll notice that our capital activity was a little lighter in the second quarter relative to some previous quarters. And as I mentioned before, that's not unexpected. We take a very disciplined, opportunistic approach to capital raising. It is not on any preset course, and we'll let the economics of the market and the environment drive our decision. In the second quarter, we felt like our stock was trading a little bit heavy. And obviously, shareholder experience matters a lot to us. We don't want our ATM activity to interfere with the way our stock trades. And in fact, Bernie mentioned in the second quarter, our total stock return at a little over 12% is evidence that a lighter touch in the second quarter was appropriate. And going forward, we'll just take that same opportunistic approach. Returns are good in the market. We do have some volatility that we still have to contend with, which is always a negative. But the underlying fundamentals look good from our perspective. And certainly, if we can continue to raise capital in a way that is beneficial to our existing shareholders, we will do that. But at the same time, we already have great size and scale and liquidity. And so we're very happy with where we are, and we're happy to be in a position where we continue to use capital activities as a way to generate incremental value for our shareholders.
The next question comes from Crispin Love with Piper Sandler.
In your remarks, you discussed how the investment environment has been challenging. There's plenty of macro uncertainty, but results have been solid. The technicals for Agency MBS are good. With that in mind, can you speak to today's outlook given the landscape because a few things we could see are elevated rate volatility with Warsh as Fed Chair, another added layer of uncertainty, the curve is flattened, and we could see some rate hikes. So curious what you think about how those factors could impact the outlook in the second half.
Yes. There's no doubt that — and in fact, if you go back to some of the comments I made at the beginning of the year, there's reasons to be optimistic and there's challenges in the market. And the two challenges actually, in my opinion, deteriorated in the second quarter. The two challenges are that we do have elevated geopolitical risk, which is causing volatility in the market, all financial markets. That's always a negative from a mortgage market perspective. The second, which I also believe deteriorated, is the outlook for monetary policy; it deteriorated in the second quarter because we clearly have more inflation concerns to price in given energy prices related to the war and how that may feed into the Fed's monetary policy. But we also now know that we have a new Fed Chairman who's taken a different approach and certainly communicated a much more hawkish message initially than I think the market had anticipated. So putting all that together, we had monetary policy moving from two eases to two tightenings; it's a 100 basis point move in monetary policy expectations, pretty dramatic in one quarter. Those are the negatives and those negatives are still with us for some period of time. But as I mentioned in my prepared remarks, I think when you look beyond those negatives, and I think the market is doing a really good job of looking beyond those, particularly as it relates to inflation and the war, you can see that because rates are higher, but not materially higher, and equity prices are still very elevated. All those things are positive. The market is looking beyond it. The underlying fundamentals for the mortgage market have actually continued to improve sequentially through the first two quarters. And it's more pronounced today than it has been, particularly because the supply outlook, as I talked about, is materially lower. We're talking about maybe $100 billion to $150 billion less supply of mortgages this year. And I don't see any reason to think that demand is going to tail off in the second half of the year. I think demand will actually remain high. And now when you look at Agency MBS relative to corporates, it's a pretty compelling backdrop. It just takes time to work through those. In addition, the second quarter tends to be, sort of, the worst seasonal for mortgage activity. It's the highest mortgage activity quarter. So the seasonal should improve later in the year. Hopefully, those two negatives that I mentioned that you point out will ultimately quiet down. Once that happens, I think people will realize that the underlying fundamentals for mortgages are really attractive, and I think that will ultimately lead to tighter mortgage spreads.
Great. I appreciate that. And then I just wanted to dig a little bit more into the stock issuance activity you covered in the prior question. In your words, you had a little bit of a lighter touch in the quarter. Was that based more on not seeing the right investment opportunities or not wanting to disrupt the stock? And does that change the strategy at all in capital raising over the intermediate term because this prior quarter had the least amount of issuance versus the last few years on any quarterly level, and the reaction was pretty good. So just curious if that changes anything going forward?
Well, it wasn't a change in our behavior. We always look at those factors, and we always look at how our stock is trading. We want our ATM activity or our capital raising activities to be complementary to what's happening with the stock. So if we see a lot of reverse inquiry for our stock, if we see volumes trading really high and strong, and at the same time, mortgage investments are attractive, then that's the perfect environment to be able to issue without disrupting the way your stock is trading, to get capital and deploy it quickly at attractive levels. Those are the kinds of things that we always look at, and we will continue to look at. We just didn't feel like in the second quarter they lined up as well as we wanted.
The next question comes from Marissa Lobo with UBS.
Just looking at TBA income came in better than expected. Can you speak to how that's changing the hurdle rate for owning specified pools in this rate environment?
Yes, I talked about that last quarter, and it continues to be the case. TBA specialness has definitively improved this year relative to the last couple of years. The TBA specialness over the last couple of years at times has been a negative, and it's been more favorable to own pools on balance sheet than in TBA. We have continued to see specialness particularly related to Ginnie pools, and I think that will continue, and that's a good opportunity for us in the TBA market. This last quarter, our overall dollar roll income was on a percentage basis a little less than the previous quarter because of some long and short positions we had in the first quarter. But I do expect—generally speaking—going forward, I do expect TBA specialness to remain attractive relative to repo funding, perhaps more in line with the long-term averages of maybe 10 to 20 basis points of specialness generally for TBA. So it's an opportunity for us going forward for sure.
Okay. And just going back to the outlook for agency spreads. You talked about supply and demand driving a lot of that outlook. How much of that depends on GSE purchases? Could spreads tighten if GSE activity remains below market expectations?
Yes, that's a really good question. And that's important because if you look at what happened to mortgage spreads, obviously, mortgage spreads did tighten in the second quarter. In particular, the greatest tightening and greatest outperformance—which made it a little more challenging to evaluate mortgage performance—the higher coupons, I'll call them the 5% and 6% coupons, really performed very well. If you look at them relative to excess return on the Bloomberg index, it was somewhere close to 70 or 80 basis points, whereas the lowest coupons, the 2% to 4% coupons, they only had 10 to 20 basis points of outperformance. So overall, that will continue to be the biggest driver. To be candid, the GSE purchases in the first two months of the quarter were actually only very slightly positive based on what we know for that period. In the second quarter, mortgage spreads overall tightened even though GSE purchase activity was relatively low. That's important because I think that tells you that GSEs are responding to markets in a measured way, which is what the market would generally want. When markets get disrupted and spreads widen, they step in and buy at a more aggressive pace. When markets are calmer, they take a lighter touch. Going forward, what we know is the GSEs still have about $120 billion of purchase activity capacity. So I think they have dry powder going forward which, coupled with the underlying technicals, sets up a constructive backdrop for mortgages.
The next question comes from Jason Weaver with Jones Trading.
Peter, on that same point regarding the GSEs effectively using the purchase program to cap spreads, does that change you or some peers' process in assessing the appropriate amount of leverage? If there's limited risk to downside of prices, can you effectively support higher leverage for some short period?
Yes. That's a great question. When you're thinking about leverage, the key driver of your leverage profile has to be your assessment of where mortgage spreads are and the range of mortgage spreads. We talk about that all the time. To the extent that there are forces in the market—whether government-related, GSE activity, or actions from the Treasury—that reduce spread volatility and limit the upside on spreads, all other things equal, that should bring more capital into the market and allow people to operate with greater leverage. So lower spread volatility for whatever reason is a positive, which would allow us and the market to operate with greater leverage, all other things equal. The challenge is that there are also macro uncertainties that can increase volatility. But you're right, all else equal, lower spread volatility would allow us to operate with greater leverage and would attract more private capital to the mortgage market.
All right. And on that same theme, on the regulatory front, any insight on SLR reform or the Basel Endgame that unlocks more demand? Or is that still further over the horizon in your view?
No. From what we understand, on the SLR, I don't think there's any material changes beyond what has already been proposed. I think that issue is largely closed. With respect to the Basel and the new capital regulations that have come out for proposal, from what we're hearing, the final rule will likely look very much like the proposed rule, which is positive for mortgages. The proposed rule should allow banks to hold more mortgage credit at a lower capital requirement, which would be positive. It could take various forms—whole loan form or private-label securities. Either would be beneficial to the agency mortgage market because higher quality mortgage credit can be held by banks in those forms at a lower capital requirement than previous capital rules. Net-net, that's positive for the mortgage market.
The next question comes from Bose George with KBW.
Just one more on the GSEs. I think the market expectation earlier was that they would hit those caps by year-end. Given the slower pace, what's your latest thought on when they get there?
Bose, it's going to be driven by mortgage spreads and mortgage spread volatility. If we have a backup in mortgage spreads—say they're at 150 and move to 160 or 170 basis points versus the swap curve or comparable spread relative to treasuries—then I think you'll see the GSEs step in and buy at a faster pace. If they don't, you'll see them maintain discipline and keep their powder dry. That's positive for the market because you want their activity to be complementary, not to squeeze out private buyers. It helps attract a more diversified bid to the mortgage market. From the administration's perspective, that's the objective. Also, it's not clear that TBAs count toward their portfolio limits, so they may have greater flexibility than the market understands based on whether they hold mortgages in loan form or TBA form. Those are all positives.
The next question comes from Trevor Cranston with Citizens JMP.
Question on the hedge book given the flattening of the yield curve and the prospects for potential Fed hikes later this year. It looks like net duration exposure was pretty constant quarter-over-quarter. Have you made any changes to your exposure to curves steepening or flattening? How are you approaching that given potential Fed hikes?
Yes. We really haven't changed our positioning in response to the flattening. The flattening was substantial in the second quarter—2s to 10s flattened about 25 basis points. We hedge across the yield curve with a mix of instruments, so we don't have a lot of standalone curve exposure. Sometimes we position hedges more toward longer-dated hedges and less toward shorter-dated hedges when we expect the curve to steepen, and we've continued to manage that way. We also look at the likelihood of the Fed raising rates. From our perspective, it will be difficult for the Fed to raise rates in the near term, particularly given that the Chairman has announced several task forces whose work likely won't be complete until the end of the year. Recent inflation readings also give the Fed room to hold steady for some period. Our view is that once the war and inflation/energy price outlooks stabilize, the steepening or flattening that occurred in the second quarter will likely not continue and will revert to a steeper yield curve.
The next question comes from Rick Shane with JPMorgan.
This is Hong Zhang on for Rick. With the housing bill now passed and all the macro challenges you cited, do you see an environment where housing demand could pick up by the end of the year? If so, how do you think that could happen?
That's a hard question. From our perspective, it does not feel like housing demand will pick up in the second half of the year. When we look at the economy and mortgage rates, which are around 6% to 6.5% or a little higher, it doesn't feel likely that demand will increase later this year. From a seasonal perspective, we would expect a downtick in demand through the remainder of the year. So that is our core view right now.
The next question comes from Harsh Hemnani with Green Street.
You mentioned the task forces that the Fed has now put in place. One of them is on the balance sheet makeup of the Fed. What changes, if any, are you expecting to see out of that task force in terms of the Fed's MBS holdings and how would that impact the mortgage market?
Thank you for that question, Harsh. The task force on the Fed's balance sheet is one of the most interesting aspects currently. The Fed's balance sheet peaked at $8.4 trillion and is now a little under $6.4 trillion. The Fed is growing its balance sheet again modestly. There are two reasons why the Fed grows its balance sheet: one is to respond to market instability, and the other is reserve management. Today they're growing the balance sheet to maintain the right amount of reserves in the system—about $10 billion a month in Treasury bills—to ensure funding market stability. Bank reserves are around $3 trillion while the balance sheet is about $6.4 trillion. They want to maintain ample reserves so that repo markets for U.S. treasuries and Agency MBS function with rates essentially within the Fed funds target. For example, mortgage repo rates should be right around the Fed funds level. To reduce their balance sheet further, they would likely need to reduce the amount of bank reserves required in the system. They could also expand and use repo facilities instead of permanently injecting liquidity through asset purchases. That approach would allow them to provide funding in an alternative form while keeping a lower balance sheet. Another part of the balance sheet question is the long-term composition of Fed assets. The market currently expects the Fed to allow its MBS holdings to decline organically, which is priced in and not an issue. But the Fed could decide to own some portion of mortgages indefinitely to keep markets functioning smoothly, which would have implications for funding and market liquidity. The key outcome we'd like to see is changes that allow the Fed to operate with a lower balance sheet without negatively impacting financial market funding for both Agency MBS and U.S. treasuries. That would be a very positive outcome.
We have now completed the question-and-answer session. I'd like to turn the call back over to Peter Federico for concluding remarks.
Again, thank you, everybody, for participating on our second quarter earnings call. We're really happy with the quarter, and we look forward to speaking to you again at the end of the third quarter.
Thank you for joining the call. You may now disconnect.