AGNC

MKT CAP $12.6BP/E 5.5DIV YIELD 13.52%FCF YIELD —REV TTM —NET INCOME $2.3B +499.5%NET CASH —52W 9.69 – 12.17NEXT EARNINGS Oct 19 EST.SEC XBRL · TTM TO Invalid Date

How AGNC rewrote its risk factors

10-K ITEM 1A · FY2024 → FY2025

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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 7.2x as of December 31, 2025 and 2024.
The following table includes a summary of our mortgage borrowings outstanding as of December 31, 2025 and 2024 (dollars in millions).
December 31, 2025 December 31, 2024 Mortgage Borrowings Amount % Amount % Investment securities repurchase agreements 1,2 $ 72,946 85 % $ 59,362 90 % Debt of consolidated variable interest entities, at fair value 56 — % 64 — % Total debt 73,002 85 % 59,426 90 % TBA and forward settling non-Agency securities, at cost 12,917 15 % 6,887 10 % Total mortgage borrowings $ 85,919 100 % $ 66,313 100 % ________________________________ 1.
Treasury repurchase agreements totaling $12.3 billion and $1.4 billion as of December 31, 2025 and 2024, respectively. 2.
As of December 31, 2025 and 2024, 44% and 47%, respectively, of our total repurchase agreements, including 51% and 49% 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.
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 December 31, 2025, approximately 14% 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 12%.
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.

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Risk Factors for additional information regarding potential changes to the Federal conservatorships of Fannie Mae and Freddie Mac, laws or regulations affecting the relationship between the GSEs and the U.S.
Government or other housing finance reform initiatives.
Financial Highlights AGNC earned total comprehensive income of $0.84 per diluted common share for fiscal year 2024, an increase from $0.30 per share in 2023.
Net spread and dollar roll income per diluted common share decreased to $1.88 in 2024 from $2.61 in 2023, primarily due to a narrowing of our net interest rate spread, which averaged 242 basis points in 2024, down from 306 basis points in 2023.
The reduction in our net interest spread was largely driven by higher swap costs following the expiration of lower-cost pay-fixed interest rate swaps during the year and a strategic shift toward a greater proportion of Treasury-based hedges, which are not included in our reported net interest spread or net spread income.
Additionally, we expanded our use of longer-term hedges in response to changes in monetary policy and expectations of further yield curve steepening.
As of December 31, 2024, our interest rate hedge position covered 91% of the outstanding balance of our repurchase agreements used to fund our investment portfolio ("Investment Securities Repo"), TBA position, and other debt, compared to 112% at the end of 2023.
Our duration gap, which measures the estimated difference between the interest rate sensitivity of our assets and our liabilities, inclusive of interest rate hedges, extended to 0.3 years as of December 31, 2024, from -0.5 years as of December 31, 2023, consistent with higher long-term rates and shifts in portfolio and hedge composition.
The weighted average coupon on our fixed-rate Agency RMBS and TBA securities increased to 5.02% at the end of 2024, up from 4.83% at the end of 2023.
The average projected life Constant Prepayment Rate (CPR) for the portfolio decreased to 7.7% at year-end, from 11.4% at the end of 2023.
Actual CPRs for 2024 averaged 7.5%, slightly up from 6.3% in 2023.
AGNC's average and ending "at risk" leverage for 2024 was 7.2x tangible stockholders’ equity, compared to 7.4x and 7.0x, respectively, for 2023.
We concluded 2024 with $6.1 billion in cash and unencumbered Agency RMBS, representing 66% of tangible stockholders’ equity, compared to $5.1 billion and 66% of tangible equity as of December 31, 2023.
During 2024, we raised $2.0 billion of common stock through our at-the-market offering program at a considerable premium to tangible net book value, generating meaningful book value accretion for our common stockholders.
For information regarding non-GAAP financial measures, including reconciliations to the most comparable GAAP measure please refer to Results of Operations included in this MD&A below.
For information regarding the sensitivity of our tangible net book value per common share to changes in interest rates and mortgage spreads, please refer to Item 7A.
Quantitative and Qualitative Disclosures about Market Risk in this form 10-K .
Market Information The following table summarizes benchmark interest rates and prices of generic fixed rate Agency RMBS as of each date presented below: Interest Rate/Security Price 1 Dec. 31, 2023 Mar. 31, 2024 June 30, 2024 Sept. 30, 2024 Dec. 31, 2024 Dec. 31, 2024 vs Dec. 31, 2023 Target Federal Funds Rate: Target Federal Funds Rate - Upper Band 5.50% 5.50% 5.50% 5.00% 4.50% -100 bps SOFR: SOFR Rate 5.38% 5.34% 5.33% 4.96% 4.49% -89 bps SOFR Interest Rate Swap Rate: 2-Year Swap 4.07% 4.55% 4.61% 3.44% 4.08% +1 bps 5-Year Swap 3.53% 3.98% 4.10% 3.25% 4.04% +51 bps 10-Year Swap 3.47% 3.84% 3.98% 3.32% 4.07% +60 bps 30-Year Swap 3.32% 3.62% 3.76% 3.30% 3.93% +61 bps U.S.
Treasury 4.25% 4.62% 4.76% 3.64% 4.24% -1 bps 5-Year U.S.
Treasury 3.85% 4.21% 4.38% 3.56% 4.38% +53 bps 10-Year U.S.
Treasury 3.88% 4.20% 4.40% 3.78% 4.57% +69 bps 30-Year U.S.
Treasury 4.03% 4.34% 4.56% 4.12% 4.78% +75 bps 30-Year Fixed Rate Agency Price: 2.5% $85.24 $82.77 $81.87 $86.22 $81.38 -$3.86 3.0% $88.58 $86.16 $85.26 $89.68 $84.88 -$3.70 3.5% $91.86 $89.61 $88.67 $93.09 $88.38 -$3.48 4.0% $94.69 $92.74 $91.68 $95.98 $91.32 -$3.37 4.5% $97.04 $95.34 $94.45 $98.27 $93.98 -$3.06 5.0% $99.04 $97.70 $96.81 $99.90 $96.44 -$2.60 5.5% $100.56 $99.58 $98.76 $101.15 $98.61 -$1.95 6.0% $101.63 $100.98 $100.39 $102.19 $100.45 -$1.18 6.5% $102.51 $102.21 $101.88 $103.10 $102.10 -$0.41 15-Year Fixed Rate Agency Price: 1.5% $86.86 $86.69 $85.61 $89.16 $85.80 -$1.06 2.0% $89.47 $88.71 $88.00 $91.41 $88.34 -$1.13 2.5% $92.14 $91.07 $90.44 $93.68 $90.83 -$1.31 3.0% $94.30 $93.17 $92.61 $95.82 $93.12 -$1.18 3.5% $96.39 $95.13 $94.61 $97.88 $94.56 -$1.83 4.0% $98.10 $96.95 $96.24 $99.28 $96.01 -$2.09 ________________________________ 1.
Price information is for generic instruments only and is not reflective of our specific portfolio holdings.
(EST) on such date and can vary by source.
Price information is sourced from Barclays.
Interest rate information is sourced from Bloomberg.
The following table summarizes mortgage and credit spreads as of each date presented below: Mortgage Rate/Credit Spread Dec. 31, 2023 Mar. 31, 2024 June 30, 2024 Sept. 30, 2024 Dec. 31, 2024 Dec. 31, 2024 vs Dec. 31, 2023 Mortgage Rate: 1 30-Year Agency Current Coupon Yield to 5-Year U.S.
Treasury Spread 140 139 149 140 145 +5 30-Year Agency Current Coupon Yield to 10-Year U.S.
Treasury Spread 137 140 147 118 126 -11 30-Year Agency Current Coupon Yield to 5/10-Year U.S.
Treasury Spread 139 139 149 129 135 -4 30-Year Agency Current Coupon Yield 5.25% 5.60% 5.87% 4.96% 5.83% +58 bps 30-Year Mortgage Rate 6.56% 6.74% 6.94% 6.14% 6.86% +30 bps Credit Spread (in bps): 2 CRT M2 206 182 166 159 137 -69 CMBS AAA 118 88 100 91 72 -46 CDX IG 56 51 54 53 50 -6 ________________________________ 1. 30-Year Current Coupon Yield represents yield on new production Agency RMBS. 30-Year Current Coupon Yields are sourced from Bloomberg and 30-Year Mortgage Rates are sourced from Clear Blue. 2.
CRT and CDX spreads sourced from JP Morgan.
CMBS spreads are the average of spreads sourced from Bank of America, JP Morgan and Wells Fargo.
FINANCIAL CONDITION As of December 31, 2024 and 2023, our investment portfolio totaled $73.3 billion and $60.2 billion, respectively, consisting of: $65.5 billion and $53.8 billion Agency RMBS, at fair value, respectively; $6.9 billion and $5.4 billion net TBA securities, at fair value, respectively; $0.9 billion and $1.0 billion CRT, non-Agency RMBS and CMBS, at fair value, respectively; and other mortgage credit investments of $64 million and $44 million, respectively, which we account for under the equity method of accounting.
The following table is a summary of our investment securities (including TBA securities) as of December 31, 2024 and 2023 (dollars in millions): December 31, 2024 December 31, 2023 Investment Securities (Includes TBAs) 1 Amortized Cost Fair Value Average Coupon % Amortized Cost Fair Value Average Coupon % Fixed rate Agency RMBS and TBA securities: ≤ 15-year: ≤ 15-year RMBS $ 97 $ 90 2.68 % — % $ 759 $ 718 3.25 % 1 % 15-year TBA securities — — — % — % 89 91 5.00 % — % Total ≤ 15-year 97 90 2.68 % — % 848 809 3.44 % 1 % 20-year RMBS 578 506 3.12 % 1 % 872 768 2.82 % 1 % 30-year: 30-year RMBS 66,464 63,453 5.01 % 87 % 53,658 51,675 4.82 % 86 % 30-year TBA securities, net 2 6,887 6,861 5.37 % 9 % 5,199 5,263 5.50 % 9 % Total 30-year 73,351 70,314 5.04 % 96 % 58,857 56,938 4.88 % 95 % Total fixed rate Agency RMBS and TBA securities 74,026 70,910 5.02 % 97 % 60,577 58,515 4.83 % 97 % Adjustable rate Agency RMBS 796 790 4.85 % 1 % 293 290 4.67 % — % Multifamily 485 476 4.62 % 1 % 161 162 4.47 % — % CMO Agency RMBS: CMO 102 96 3.34 % — % 127 120 3.28 % — % Interest-only strips 35 30 2.08 % — % 40 35 1.77 % — % Principal-only strips 25 23 — % — % 27 26 — % — % Total CMO Agency RMBS 3 162 149 3.34 % — % 194 181 3.28 % 1 % Total Agency RMBS and TBA securities 3 75,469 72,325 5.02 % 99 % 61,225 59,148 4.83 % 98 % Non-Agency RMBS 1,3 17 15 5.29 % — % 43 34 4.61 % — % CMBS 3 264 236 6.59 % — % 303 273 7.27 % — % CRT 583 633 10.44 % 1 % 682 723 10.45 % 1 % Total investment securities 3 $ 76,333 $ 73,209 5.06 % 100 % $ 62,253 $ 60,178 4.90 % 100 % ________________________________ 1.
Table excludes other mortgage credit investments of $64 million and $44 million as of December 31, 2024 and 2023, respectively. 2.
TBA securities are presented net of long and short positions.
For further details of our TBA securities refer to Note 5 of our Consolidated Financial Statements in this Form 10-K 3.
Average coupon excludes interest-only and principal-only securities.
TBA securities are recorded as derivative instruments in our accompanying consolidated financial statements, and our TBA dollar roll transactions represent a form of off-balance sheet financing.
As of December 31, 2024 and 2023, our TBA securities had a net carrying value of $(26) million and $66 million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.

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