Financial Data and Key Metrics Changes - AGNC reported comprehensive income of $0.78 per common share for Q3 2025, with an economic return on tangible common equity of 10.6%, consisting of $0.36 in dividends and a $0.47 increase in tangible net book value per share [13] - The company ended the quarter with leverage of 7.6 times tangible equity, unchanged from the prior quarter, and maintained a strong liquidity position with $7.2 billion in cash and unencumbered agency MBS, representing 66% of tangible equity [14] Business Line Data and Key Metrics Changes - Net spread and dollar roll income declined to $0.35 per common share, driven by lower swap income due to the maturity of $4 billion of legacy swaps and a timing mismatch in capital deployment [14] - The average projected life CPR of the portfolio increased to 8.6% from 7.8% in the prior quarter, while actual CPRs averaged 8.3% compared to 8.7% previously [15] Market Data and Key Metrics Changes - The demand for agency mortgage-backed securities (MBS) increased significantly, with bond fund inflows reaching $180 billion in Q3, slightly ahead of last year's pace [9] - The supply of agency MBS is expected to be about $200 billion this year, at the lower end of initial expectations, while demand outlook has improved, particularly from the money manager community [8] Company Strategy and Development Direction - AGNC is positioned to generate attractive risk-adjusted returns as the largest pure play levered agency investment vehicle, focusing on optimizing asset composition and maintaining a favorable hedge ratio [12] - The company is actively rotating into pools with favorable prepayment characteristics and has added $7 billion of receiver swaptions for down rate protection [19] Management's Comments on Operating Environment and Future Outlook - Management expressed a constructive outlook for agency MBS, citing improved spread environments, balanced supply and demand dynamics, and favorable financing markets [6][10] - The company anticipates that lower funding costs from recent rate cuts and a shift in hedge mix will provide a moderate tailwind to net spread and dollar roll income [15] Other Important Information - The Treasury Department is focusing on mortgage spreads to improve housing affordability, which is seen as beneficial for agency MBS and AGNC's business [7] - The company issued $345 million of fixed-rate preferred equity, the largest mortgage REIT preferred stock offering since 2021, and $39 million of common equity at a significant premium to tangible net book value [15] Q&A Session Summary Question: Discussion on expected ROEs and dividend sustainability - Management indicated that current coupon mortgages are expected to yield ROEs between 16-18%, aligning with total cost of capital, and that dividend sustainability remains strong despite recent spread tightening [21][23] Question: Insights on hedge ratio changes - The hedge ratio decreased due to a higher proportion of short-term debt, but management expects benefits from anticipated Fed rate cuts, which will lower funding costs over time [26][29] Question: Demand for MBS from money managers - Management noted robust bond fund inflows and anticipated continued strong demand for agency MBS, particularly as banks may increase their mortgage holdings following regulatory reforms [38][39] Question: Impact of Fed easing on net spread - Management expects a near-term tailwind to net spread income due to the deployment of capital and the anticipated easing of short-term rates [42][45] Question: Risks to the constructive view on spreads - The primary risks identified include macroeconomic factors that could lead to inflationary pressures, which may affect the Fed's monetary policy and, consequently, the agency MBS market [85][86]

Financial Data and Key Metrics Changes - AGNC reported a comprehensive loss of $0.13 per common share for Q2 2025, with an economic return on tangible common equity of negative 1% [14] - The tangible net book value per share declined by $0.44, while dividends declared per common share were $0.36 [14] - As of the end of July, the tangible net book value per common share increased by about 1% after accounting for monthly dividend accrual [14] - Quarter-end leverage increased slightly to 7.6x tangible equity from 7.5x at the end of Q1, with average leverage rising to 7.5x from 7.3x in the prior quarter [14][15] Business Line Data and Key Metrics Changes - The asset portfolio totaled $82 billion at quarter-end, up approximately $3.5 billion from the prior quarter, with a focus on higher coupon specified pools [19] - The weighted average coupon of the asset portfolio increased to 5.13% during the quarter [19] - The net spread and dollar roll income declined to $0.38 per common share, primarily due to the timing of capital deployment and higher swap costs [17] Market Data and Key Metrics Changes - Agency mortgage-backed securities (MBS) underperformed relative to benchmark interest rates, with spreads to treasury and swap rates widening [5][7] - The current coupon spread to a blend of treasury and swap benchmarks ended the quarter wider by 7 and 14 basis points, respectively [7] - The expected net supply of new MBS for the year is about $200 billion, at the low end of most forecasts [9] Company Strategy and Development Direction - AGNC's strategy focuses on maintaining sufficient liquidity to navigate financial market volatility and taking advantage of wider MBS spreads [6][9] - The company aims to deploy capital opportunistically in attractively priced assets while managing leverage [26][27] - The favorable outlook for agency MBS is supported by anticipated regulatory changes and a commitment from key policymakers to maintain implicit guarantees for agency MBS [9][12] Management's Comments on Operating Environment and Future Outlook - Management noted that the financial market stress in April led to a reassessment of macroeconomic and monetary policy outlooks, but most markets recovered by the end of the quarter [4][6] - The company expects bank and foreign demand for agency MBS to grow, with improved seasonal supply patterns for MBS issuance anticipated in Q3 [8][9] - Management expressed confidence in the stability of the mortgage market and the potential for tighter mortgage spreads over time due to supportive government policies [12][21] Other Important Information - The liquidity position totaled $6.4 billion in cash and unencumbered agency MBS, representing 65% of tangible equity, an increase from 63% in the prior quarter [15] - The average projected life CPR of the portfolio declined to 7.8% from 8.3% in Q1, while actual CPRs averaged 8.7% for the quarter, up from 7% in the prior quarter [17] Q&A Session Summary Question: Insights on the attractive environment and capital raising - Management indicated a favorable outlook for agency MBS and the potential for raising additional capital or increasing leverage as opportunities arise [23][26][27] Question: Core earnings trajectory and dividend levels - Management discussed the alignment of net spread and dollar roll income with portfolio economics, suggesting a return on equity in the high teens range [32][36] Question: Capital deployment status and opportunities - Management confirmed that approximately $1 billion worth of mortgages were purchased recently, with a focus on higher coupon specified pools [43][44] Question: Optimal size of the company and capital issuance - Management emphasized growth driven by accretive capital raising, highlighting the benefits of scale and liquidity for shareholders [50][53] Question: Balance between swap hedges and treasury futures - Management noted a preference for a balanced mix of swaps and treasuries, with a current overweight in swaps due to market conditions [58][60] Question: Impact of government budget deficit on the repo market - Management expressed confidence that treasury issuance would not materially impact the repo market, citing ample liquidity [90][92] Question: Changes in credit scoring and prepayment environment - Management acknowledged potential impacts from changes in credit scoring but deemed them not significantly impactful from an investor perspective [100][104] Question: Risks associated with prepayment protection - Management recognized the risk of increased prepayment speeds due to market efficiency but noted that significant rate drops would be necessary for widespread refinancing [106][112]