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What changed in AGNC Investment Corp.'s 10-K — 2023 vs 2024

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Paragraph-level year-over-year comparison of AGNC Investment Corp.'s 2023 and 2024 10-K annual filings, covering the Business, Risk Factors, Legal Proceedings, Cybersecurity, MD&A and Market Risk sections. Every new, removed and edited paragraph is highlighted side-by-side so you can see exactly what management changed in the 2024 report.

+249 added−250 removedSource: 10-K (2025-02-21) vs 10-K (2024-02-22)

Top changes in AGNC Investment Corp.'s 2024 10-K

249 paragraphs added · 250 removed · 209 edited across 6 sections

Item 1. Business

Business — how the company describes what it does

16 edited+1 added−3 removed71 unchanged
Biggest changeAlthough we have a relatively small workforce and low turnover rate, our recruitment and hiring practices attempt to ensure the diversity of applicant pools for posted job openings. We also seek to engage our employees and provide them opportunities on a non-discriminatory and inclusive basis.
Biggest changeWe have long maintained policies against discrimination and harassment in our workplace, and we periodically conduct workplace trainings and workshops attended by all employees related to these topics. Although we have a relatively small workforce and low turnover rate, our recruitment and hiring practices attempt to ensure the diversity of applicant pools for posted job openings.
Security holders also receive guarantor advances of principal and interest for delinquent loans in the mortgage pools. We may also 2 invest in Agency collateralized mortgage obligations ("CMOs"), which are structured instruments backed by a pool of Agency mortgage-backed securities. • To-Be-Announced Forward Contracts ("TBAs"). TBAs are forward contracts to purchase or sell Agency RMBS in the TBA market.
Security holders 2 also receive guarantor advances of principal and interest for delinquent loans in the mortgage pools. We may also invest in Agency collateralized mortgage obligations ("CMOs"), which are structured instruments backed by a pool of Agency mortgage-backed securities. • To-Be-Announced Forward Contracts ("TBAs"). TBAs are forward contracts to purchase or sell Agency RMBS in the TBA market.
In addition, some of our hedges are intended to provide protection against larger rate moves and as a result may be relatively ineffective for smaller interest rate changes. For additional explanation of our market risks please refer to Item 7A. Quantitative and Qualitative Disclosures about Market Risk and Item 1A. Risk Factors within this Form 10-K.
In addition, some of our hedges are intended to provide protection against larger rate moves and as a result may be relatively ineffective for smaller interest rate changes. For additional explanation of our market risks please refer to Item 1A. Risk Factors and Item 7A. Quantitative and Qualitative Disclosures about Market Risk within this Form 10-K.
Similarly, within the incentive-based elements, the proportion of long-term incentive-based elements generally corresponds to the individual’s role and level of responsibility in the organization. As the success of our business is fundamentally connected to the well-being of our people, we offer benefits that support their physical, financial and emotional well-being.
Similarly, within the incentive-based elements, the proportion of long-term incentive-based elements generally corresponds to the individual’s role and level of responsibility in the organization. 6 As the success of our business is fundamentally connected to the well-being of our people, we offer benefits that support their physical, financial and emotional well-being.
The $9 trillion Agency market plays a vital role in providing liquidity to homeowners and prospective homeowners to purchase or refinance homes. Our team of investment professionals has decades of experience investing in Agency RMBS. Our asset selection process involves assessing relative risk-return profiles against the backdrop of broader market conditions.
The $8 trillion Agency market plays a vital role in providing liquidity to homeowners and prospective homeowners to purchase or refinance homes. Our team of investment professionals has decades of experience investing in Agency RMBS. Our asset selection process involves assessing relative risk-return profiles against the backdrop of broader market conditions.
Human Capital Management We believe our success as a company ultimately depends on the strength, wellness, and dedication of our workforce. We pride ourselves on robust practices in the area of human capital management that are constantly evolving to meet the needs of our people. As of December 31, 2023, our workforce consisted of 53 full-time employees.
Human Capital Management We believe our success as a company ultimately depends on the strength, wellness, and dedication of our workforce. We pride ourselves on robust practices in the area of human capital management that are constantly evolving to meet the needs of our people. As of December 31, 2024, our workforce consisted of 53 full-time employees.
Diversity and Inclusion Central to our core values is that every individual deserves respect and equal treatment, regardless of gender, race, ethnicity, age, disability, sexual orientation, gender identity, cultural background or religious belief. We strive to have a diverse workforce and an inclusive and welcoming work environment that is free from wrongful discrimination.
Inclusion Central to our core values is that every individual deserves respect and equal treatment, regardless of gender, race, ethnicity, age, disability, sexual orientation, gender identity, cultural background or religious belief. We strive to have an inclusive and welcoming work environment that is free from wrongful discrimination.
Our team of investment professionals seeks to select assets with favorable underlying loan characteristics utilizing sophisticated modeling techniques to analyze each asset’s risk profile and optimize returns over the life of the investment. Agency Securities • Agency Residential Mortgage-Backed Securities. Agency RMBS consist of pass-through certificates representing interests in "pools" of mortgage loans secured by residential real property.
Utilizing sophisticated modeling techniques, we identify assets with favorable underlying loan characteristics with the objective of optimizing returns over the life of the investment. Agency Securities • Agency Residential Mortgage-Backed Securities. Agency RMBS consist of pass-through certificates representing interests in "pools" of mortgage loans secured by residential real property.
Each employee receives a total compensation package that includes base salary, short-term incentives in the form of an annual cash bonus and long-term equity incentives in the form of time-vesting and/or performance-vesting restricted stock units.
Our pay-for-performance compensation philosophy is based on rewarding each employee’s individual contributions through a combination of fixed and variable pay elements. Each employee receives a total compensation package that includes base salary, short-term incentives in the form of an annual cash bonus and long-term equity incentives in the form of time-vesting and/or performance-vesting restricted stock units.
We regularly engage with our employees in a variety of ways through ongoing direct engagement with each member of our staff, anonymous annual employee surveys and regular town hall meetings. Our anonymous employee surveys are an important component of our employee engagement that provide a means of assessing job satisfaction, engagement, and specific concerns of our employees.
To foster this, we regularly engage with our employees in a variety of ways through direct interaction with each member of our staff, periodic anonymous employee surveys and regular town hall meetings. Our anonymous employee surveys provide important information about their job satisfaction, engagement, and specific concerns.
Employee Development We have a number of policies and programs to further the professional development of our employees. These include our professional certification and continuing education policy, reimbursement for any supervisor-approved courses for our employees, and memberships to organizations, such as the Mortgage Bankers Association, which includes free access to educational webinars.
Employee Development We have a number of policies and programs to further the professional development of our employees. These include our professional certification and continuing education policy, reimbursement for any supervisor-approved courses, one-on-one coaching to enhance skills in a number of areas of personal and professional development, and memberships to organizations that provide employees with access to educational webinars.
Prior to the forward settlement date, we may choose to roll the position to a later date by entering into an offsetting TBA 3 position, net settling the paired off positions for cash, and simultaneously entering into a similar TBA contract for a new forward settlement date.
The discount, or "price drop", is the economic equivalent of interest income on the underlying Agency RMBS, less an implied financing cost, between the current month and forward month settlement dates. 3 Prior to the forward settlement date, we may choose to roll the position to a later date by entering into an offsetting TBA position, net settling the paired off positions for cash, and simultaneously entering into a similar TBA contract for a new forward settlement date.
As of December 31, 2023, 40% of our employees were women and 32% were ethnically diverse. 6 Compensation and Benefits We seek to attract and retain the most talented employees in our industry by offering competitive compensation and benefits. Our pay-for-performance compensation philosophy is based on rewarding each employee’s individual contributions through a combination of fixed and variable pay elements.
We also seek to engage our employees and provide them opportunities on a non-discriminatory and inclusive basis. As of December 31, 2024, 40% of our employees were women and 32% were ethnically diverse. Compensation and Benefits We seek to attract and retain the most talented employees in our industry by offering competitive compensation and benefits.
To enhance the candor and comfort of our employees, we use outside vendors that provide verbatim comments and analysis of engagement levels on an anonymous basis. In 2023, AGNC was recertified as a Great Place to Work™ in recognition of employee engagement efforts.
Results consistently reflect high levels of employee satisfaction, including in areas of leadership, benefits, engagement, training, and development. To encourage candid feedback, we partner with outside vendors who analyze survey results and provide verbatim comments on an anonymous basis. In recognition of these efforts, AGNC was recertified as a Great Place to Work™ in 2023 based entirely on employee feedback.
The TBA contract purchased for the forward settlement date is typically priced at a discount to the TBA contract sold for the current month. The discount, or "price drop", is the economic equivalent of interest income on the underlying Agency RMBS, less an implied financing cost, between the current month and forward month settlement dates.
The TBA contract purchased for the forward settlement date is typically priced at a discount to the TBA contract sold for the current month.
We believe our 5 low voluntary employee turnover and favorable employee survey results are a testament to the success of our human capital management initiatives. Employee Turnover Metrics Year January 1 Terminations 1 New Hires December 31 2023 51 – 2 53 2022 50 -2 3 51 2021 50 -2 2 50 ________________________________ 1.
We believe our low voluntary employee turnover, which averaged less than 1 employee per year the past three years, and favorable employee survey results are a testament to the success of our human capital management initiatives. 5 Employee Communications and Engagement We recognize the importance of ongoing open communication and engagement with our employees and we greatly value their input.
Removed
Employee t erminations include voluntary and involuntary terminations. Employee Communications and Engagement We recognize the importance of ongoing open communication and engagement with our employees, and we greatly value their input.
Added
In 2024, Fortune named AGNC one of the Best Small Workplaces TM , recognizing our commitment to creating a best-in-class employee experience. Our Board of Directors (our "Board") and management use survey results and regular direct feedback from employees in making adjustments to our work environment and benefits package.
Removed
The prestigious certification was based entirely on feedback from employees through an extensive anonymous survey about their experiences working at AGNC, during which 96% of our employees said AGNC is a great place to work. Our Board and management use the results of our surveys and ongoing feedback to implement various ideas and recommendations received from employees.
Removed
We have long maintained policies against discrimination and harassment in our workplace, and we periodically conduct workplace trainings and workshops attended by all employees related to these topics, including unconscious bias and anti-harassment training.

Item 1A. Risk Factors

Risk Factors — what could go wrong, per management

96 edited+14 added−14 removed144 unchanged
Biggest changeAlso, unless the IRS granted us relief under certain statutory provisions, we would remain disqualified as a REIT for four years following the year we first fail to qualify. If we fail to qualify as a REIT, we may have to pay significant income taxes and would, therefore, have less money available for investments or for distributions to our stockholders.
Biggest changeThis could result in substantial tax liabilities and reduce funds available for investments and distributions, likely adversely impacting our stock value. Additionally, we would no longer be required to make stockholder distributions. Unless the IRS granted us relief under certain statutory provisions, we would remain disqualified as a REIT for four years following the year we first fail to qualify.
We utilize TBA dollar roll transactions as an alternate means of investing in and financing Agency RMBS, which represent a form of off-balance sheet financing and increase our "at risk" leverage.
We utilize TBA dollar roll transactions, which represent a form of off-balance sheet financing and increase our "at risk" leverage, as an alternate means of investing in and financing Agency RMBS.
TBA contracts also subject us to margin requirements as described further below. Our inability to roll forward our TBA positions or failure to obtain adequate financing to settle our obligations or to meet margin calls under our TBA contracts could force us to sell assets under adverse market conditions causing us to incur significant losses.
TBA contracts also subject us to margin requirements as described further below. Our inability to roll forward our TBA positions, failure to obtain adequate financing to settle our obligations, or failure to meet margin calls under our TBA contracts could force us to sell assets under adverse market conditions causing us to incur significant losses.
Variations may also occur due to a variety of factors unrelated to our financial performance, such as: • general market and economic conditions, including actual and anticipated changes in interest rates and mortgage spreads; • changes in government policy, rules and regulations applicable to mortgage REITs, including tax laws, financial accounting and reporting standards, and exemptions from the Investment Company Act of 1940, as amended; • actual or anticipated variations in our quarterly operating results as well as relative to levels expected by securities analysts; • issuance of shares of common stock or securities convertible into common stock, which may be issued at a price below tangible net book value per share of common stock; • changes in market valuations of similar companies; • adverse market reaction to any increased indebtedness we incur in the future or issuance of preferred stock senior in priority to our common stock; • actions by stockholders, individually or collectively; • additions or departures of key management personnel; • speculation in the press or investment community; • actual or anticipated changes in our dividend policy; and • changes to our targeted investments or investment guidelines.
Variations may also occur due to a variety of factors unrelated to our financial performance, such as: • general market and economic conditions, including actual and anticipated changes in interest rates and mortgage spreads; • changes in government policy, rules and regulations applicable to mortgage REITs, including tax laws, financial accounting and reporting standards, and exemptions from the Investment Company Act of 1940, as amended; • actual or anticipated variations in our quarterly operating results as well as relative to levels expected by securities analysts; • issuance of shares of common stock or securities convertible into common stock, which may be issued at a price below tangible net book value per share of common stock; • changes in market valuations of similar companies; • adverse market reaction to any increased indebtedness we incur in the future or issuance of preferred stock senior in priority to our common stock; • actions by stockholders, individually or collectively; • additions or departures of key management personnel; 20 • speculation in the press or investment community; • actual or anticipated changes in our dividend policy; and • changes to our targeted investments or investment guidelines.
Analytical models and third-party data used to analyze credit sensitive assets also expose us to the risk that the (i) collateral cash flows and/or liability structures may be incorrectly modeled, or may be modeled based on simplifying assumptions that lead to errors; (ii) information about collateral may be incorrect, incomplete or misleading; (iii) collateral or bond historical performance (such as historical prepayments, defaults, cash flows, etc.) may be incorrectly reported, or subject to interpretation (e.g., different issuers may report delinquency statistics based on different definitions of what constitutes a delinquent loan); or (iv) collateral or bond information may be outdated, in which case the models may contain incorrect assumptions as to what has occurred since the date information was last updated.
Analytical models and third-party data used to analyze credit sensitive assets also expose us to the risk that the (i) collateral cash flows and/or liability structures may be incorrectly modeled, or may be modeled based on simplifying assumptions that lead to errors; (ii) information about collateral may be incorrect, incomplete or misleading; (iii) collateral or 9 bond historical performance (such as historical prepayments, defaults, cash flows, etc.) may be incorrectly reported, or subject to interpretation (e.g., different issuers may report delinquency statistics based on different definitions of what constitutes a delinquent loan); or (iv) collateral or bond information may be outdated, in which case the models may contain incorrect assumptions as to what has occurred since the date information was last updated.
However, we treat our TBAs as qualifying assets for purposes of the REIT 75% asset test, and we treat income and gains from our TBAs as qualifying income for purposes of the 75% gross income test, based on a legal opinion of Skadden, Arps, Slate, Meagher & Flom LLP (“Skadden”) substantially to the effect that (i) for purposes of the REIT asset tests, our ownership of a TBA should be treated as ownership of the underlying Agency RMBS, and (ii) for purposes of the 75% REIT gross income test, any gain recognized by us in connection with the settlement of our TBAs should be treated as gain from the sale or disposition of the underlying Agency RMBS.
However, we treat our TBAs as qualifying assets for purposes of the REIT 75% asset test, and we treat income and gains from our TBAs as qualifying income for purposes of the 75% gross income test, based on a legal opinion of Skadden, Arps, Slate, Meagher & Flom LLP (“Skadden”) substantially to the effect that (i) for purposes of the REIT asset tests, our ownership of a TBA should be treated as ownership of the underlying Agency RMBS, and (ii) for purposes of the 75% REIT gross income test, any gain recognized by us in 17 connection with the settlement of our TBAs should be treated as gain from the sale or disposition of the underlying Agency RMBS.
If (i) we generate "excess inclusion income" as a result of all or a portion of our 18 assets being subject to rules relating to "taxable mortgage pools" or as a result of holding residual interests in a REMIC or (ii) we become a "pension held REIT," then a portion of the distributions to tax exempt investors may be subject to U.S. federal income tax as unrelated business taxable income under the Internal Revenue Code.
If (i) we generate "excess inclusion income" as a result of all or a portion of our assets being subject to rules relating to "taxable mortgage pools" or as a result of holding residual interests in a REMIC or (ii) we become a "pension held REIT," then a portion of the distributions to tax exempt investors may be subject to U.S. federal income tax as unrelated business taxable income under the Internal Revenue Code.
For the purpose of complying with REIT ownership limitations under the Internal Revenue Code, our amended and restated certificate of incorporation generally prohibits beneficial or constructive ownership by any person of more than 9.8% of our common or capital stock (by value or by number of shares, whichever is more restrictive), unless exempted by our Board of Directors.
For the purpose of complying with REIT ownership limitations under the Internal Revenue Code, our amended and restated certificate of incorporation generally prohibits beneficial or constructive ownership by any person of more than 9.8% of our common or capital stock (by value or by number of shares, whichever is more restrictive), unless exempted by our Board.
Furthermore, whether a single or series of cyber events is material is often a matter of judgment rather than quantitative measures and might only be determinable well after the fact. Despite our efforts to enhance our cybersecurity defenses, we cannot assure complete 15 protection against all cybersecurity threats.
Furthermore, whether a single or series of cyber events is material is often a matter of judgment rather than quantitative measures and might only be determinable well after the fact. Despite our efforts to enhance our cybersecurity defenses, we cannot assure complete protection against all cybersecurity threats.
Furthermore, with respect to certain non-U.S. stockholders, we may be required to withhold U.S. tax with respect to such dividends, including in respect of all or a portion of such dividend that is payable in stock. Even if we remain qualified as a REIT, we may face other tax liabilities that reduce our cash flow.
Furthermore, with respect to certain non-U.S. stockholders, we may be required to withhold U.S. tax with respect to such dividends, including in respect of all or a portion of such dividend that is payable in stock. 16 Even if we remain qualified as a REIT, we may face other tax liabilities that reduce our cash flow.
Thus, the potential returns on our investment portfolio may be lower than if we were not subject to such requirements. Additionally, if we 17 must liquidate our investments to repay our lenders or to satisfy other obligations, we may be unable to comply with these requirements, potentially jeopardizing our qualification as a REIT.
Thus, the potential returns on our investment portfolio may be lower than if we were not subject to such requirements. Additionally, if we must liquidate our investments to repay our lenders or to satisfy other obligations, we may be unable to comply with these requirements, potentially jeopardizing our qualification as a REIT.
Any attempt to own or transfer shares of our common or preferred stock more than the ownership limit without the consent of the Board of Directors will result in the shares being automatically transferred to a charitable trust or, if the transfer to a charitable trust would not be effective, such transfer being treated as invalid from the outset.
Any attempt to own or transfer shares of our common or preferred stock more than the ownership limit without the consent of the Board will result in the shares being automatically transferred to a charitable trust or, if the transfer to a charitable trust would not be effective, such transfer being treated as invalid from the outset.
Factors such as loss of employment, divorce, illness, acts of God, acts of war or terrorism, adverse changes in economic and 10 market conditions, declining home values, changes in laws and regulations, changes in fiscal policies and zoning ordinances, environmental hazards such as mold, and property losses (insured or not) can impede repayment.
Factors such as loss of employment, divorce, illness, acts of God, acts of war or terrorism, adverse changes in economic and market conditions, declining home values, changes in laws and regulations, changes in fiscal policies and zoning ordinances, environmental hazards such as mold, and property losses (insured or not) can impede repayment.
If BES were to fail to continually meet FICC margin requirements and default on its obligations to the FICC it could have a material financial impact on our financial position. 13 Our repurchase agreements and agreements governing certain derivative instruments may contain financial and nonfinancial covenants subjecting us to the risk of default.
If BES were to fail to continually meet FICC margin requirements and default on its obligations to the FICC it could have a material financial impact on our financial position. Our repurchase agreements and agreements governing certain derivative instruments may contain financial and nonfinancial covenants subjecting us to the risk of default.
These types of occurrences may increase over time or become more severe due to changes in weather patterns and other climate changes. Private mortgage insurance may not cover losses on loans referenced by our CRT securities and underlying our non-Agency RMBS.
These types of occurrences may increase over time or become more severe due to changes in weather patterns and other climate changes. 10 Private mortgage insurance may not cover losses on loans referenced by our CRT securities and underlying our non-Agency RMBS.
Additionally, our preferred stock has a preference on dividend payments and liquidating distributions that could limit our ability to pay dividends to the holders of our common stock. Therefore, we may not be able to make distributions in the future or our Board of Directors may change our dividend policy.
Additionally, our preferred stock has a preference on dividend payments and liquidating distributions that could limit our ability to pay dividends to the holders of our common stock. Therefore, we may not be able to make distributions in the future or our Board may change our dividend policy.
Furthermore, fluctuations in the trading price of our common stock may adversely affect the liquidity of our common stock and our ability to 20 raise additional equity capital. Price fluctuations may result in our stock trading below our reported net tangible book value per share for extended periods of time.
Furthermore, fluctuations in the trading price of our common stock may adversely affect the liquidity of our common stock and our ability to raise additional equity capital. Price fluctuations may result in our stock trading below our reported net tangible book value per share for extended periods of time.
If we fail to meet the margin call, we would be in default, and our counterparty could terminate outstanding transactions, require us to settle our entire obligation under the agreement and enforce their interests against existing collateral.
If we fail to meet the margin call, we would be 12 in default, and our counterparty could terminate outstanding transactions, require us to settle our entire obligation under the agreement and enforce their interests against existing collateral.
To the extent that actual rates of prepayment differ from our expectations, our operating results could be adversely affected, and we could be forced to sell assets to maintain adequate liquidity, which could cause us to incur realized losses.
To the extent that actual prepayment rates differ from our expectations, our operating results could be adversely affected, and we could be forced to sell assets to maintain adequate liquidity, which could cause us to incur realized losses.
All distributions will be made at the discretion of our Board of Directors and will depend on our earnings and financial condition, the requirements for REIT qualification and such other factors as our Board of Directors deems relevant from time to time.
All distributions will be made at the discretion of our Board and will depend on our earnings and financial condition, the requirements for REIT qualification and such other factors as our Board deems relevant from time to time.
Treasury and Agency RMBS transactions, could adversely affect the availability or terms of financing from our lending counterparties, reduce market liquidity, restrict the origination of residential mortgage loans and the formation of new issuances of mortgage-backed securities and limit the trading activities of certain banking entities and other systemically significant organizations that are important to our business.
Treasury and Agency RMBS transactions, could adversely affect the availability or terms of financing from our lending counterparties, reduce market liquidity or demand for Agency RMBS, restrict the origination of residential mortgage loans and the formation of new issuances of mortgage-backed securities, or limit the trading activities of certain banking entities and other systemically significant organizations that are important to our business.
We may also compete for these assets with a variety of other investors, including other REITs, specialty finance companies, public and private funds, government entities, banks, insurance companies and other financial institutions, who may have competitive advantages over us, such as a lower cost of funds and access to funding sources not available to us.
We may also compete for these assets with a variety of other investors, including other REITs, specialty finance companies, public and private funds, government entities, banks, insurance companies and other financial institutions, which may have competitive advantages over us, such as a lower cost of funds and access to funding sources not available to us.
We could fail to properly assess a risk or fail to recognize a risk entirely, leaving us exposed to losses without the benefit of any offsetting hedges. Furthermore, the techniques and derivative instruments we select may not have the effect of reducing our risk. Poorly designed hedging strategies or improperly executed transactions could increase our risk of loss.
We could inaccurately assess a risk or fail to recognize a risk entirely, leaving us exposed to losses without the benefit of any offsetting hedges. Furthermore, the techniques and derivative instruments we select may not have the effect of reducing our risk. Poorly designed hedging strategies or improperly executed transactions could increase our risk of loss.
The consequences of a cyber-attack may include operational disruption, unauthorized access to sensitive data, regulatory fines, reputational damage, liability to third parties, and financial losses. The impact of cybersecurity incidents is difficult to predict, and the evolving legal and regulatory environment around data privacy and security could lead to increased costs and stricter compliance requirements.
The consequences of a cyber-attack may include operational disruption, unauthorized access to sensitive data, regulatory fines, reputational damage, liability to third parties, and financial losses. The impact of cybersecurity incidents is difficult to predict, and legal and regulatory requirements around data privacy and security could lead to increased costs and stricter compliance requirements.
Over time, efforts to end the conservatorships and the guarantee-payment structure of Fannie Mae and Freddie Mac have garnered attention from the U.S. Government. During the final year of the Trump Administration, FHFA established new regulatory capital requirements necessary for Fannie Mae and Freddie Mac to exit conservatorship, and the U.S.
Over time, efforts to end the conservatorships and the guarantee-payment structure of Fannie Mae and Freddie Mac have garnered attention from U.S. Government policymakers. During the final year of the first Trump Administration, FHFA established new regulatory capital requirements necessary for Fannie Mae and Freddie Mac to exit conservatorship, and the U.S.
In September 2008, Fannie Mae and Freddie Mac were placed into the conservatorship of the FHFA, their federal regulator. In addition to the conservatorships, the U.S. Department of the Treasury has provided a liquidity backstop to Fannie Mae and Freddie Mac to ensure their financial stability.
In September 2008, Fannie Mae and Freddie Mac were placed into the conservatorship of the FHFA. In addition to the conservatorships, the U.S. Department of the Treasury has provided a liquidity backstop to Fannie Mae and Freddie Mac to ensure their financial stability.
In addition, some collateral may be less liquid than other instruments, which could cause it to be more susceptible to margin calls in a volatile market environment. Additionally, faster rates of prepayment increase the magnitude of potential margin calls as there is a time lag between the effective date of the prepayment and when we receive the principal payment.
In addition, some collateral may be less liquid than other instruments, which could cause it to be more susceptible to margin calls in a volatile market environment. Furthermore, faster rates of prepayment increase the magnitude of potential margin calls as there is a time lag between the effective date of the prepayment and the date we receive the principal payment.
The mortgage loans referenced by our CRT securities or that underlie our non-Agency securities may be or could become subject to delinquency or foreclosure, which could result in significant losses to us. Investments in credit-oriented securities, such as CRT securities and non-Agency MBS, where repayment of principal and interest is not guaranteed by a GSE or U.S.
The mortgage loans referenced by our CRT securities or that underlie our non-Agency securities may be or could become subject to delinquency or foreclosure, which could result in investment losses. Investments in credit-oriented securities, such as CRT securities and non-Agency MBS, where repayment of principal and interest is not guaranteed by a GSE or U.S.
Risks Related to Our Common Stock The market price and trading volume of our common stock may be volatile. The market price and trading volume of our common stock may be highly volatile and subject to wide fluctuations. If the market price of our common stock declines significantly, stockholders may be unable to resell shares at a gain.
The market price and trading volume of our common stock may be highly volatile and subject to wide fluctuations. If the market price of our common stock declines significantly, stockholders may be unable to resell shares at a gain.
Our investment portfolio includes securities backed by pools of mortgage loans, which receive payments related to the underlying mortgage loans. When borrowers prepay their mortgage loans at rates faster or slower than anticipated, it exposes us to prepayment or extension risk.
Our investment portfolio largely consists of securities backed by pools of mortgage loans, which receive payments related to the underlying mortgage loans. When borrowers prepay their mortgage loans at rates faster or slower than anticipated, it exposes us to prepayment or extension risk.
In addition, should significant prepayments occur, there is no certainty that we will be able to identify acceptable new investments, which could reduce our invested capital or result in us investing in less favorable securities.
In addition, should significant prepayments occur, there is no certainty that we will be able to identify acceptable new investments, which could reduce our invested capital or result in us making less favorable investments.
We are at greater risk of this occurring during periods of high volatility or unanticipated and/or unprecedented financial or economic events, including any actual or anticipated shifts in Fed policy resulting from these events. Consequently, actual results could differ materially from our projections. Moreover, use of different models could result in materially different projections.
We are at greater risk of this occurring during periods of high volatility or unanticipated and/or unprecedented financial or economic events, including any actual or anticipated shifts in monetary or fiscal policy resulting from these events. Consequently, actual results could differ materially from our projections. Moreover, the use of different models could result in materially different projections.
We may seek assets with specific attributes that affect their propensity for prepayment under certain market conditions or enable us to satisfy asset test requirements to maintain our REIT qualification status or exemption from regulation under the Investment Company Act (such as "whole pool" Agency RMBS).
We may seek assets with specific attributes that influence their prepayment behavior under certain market conditions or that enable us to satisfy asset test requirements to maintain our REIT qualification status or exemption from regulation under the Investment Company Act (such as "whole pool" Agency RMBS).
Leverage also exposes us to the risk of margin calls and defaults under our funding agreements, which may result in forced sales of assets in adverse market conditions. The risks associated with leverage are more acute during volatile market environments and periods of reduced market liquidity. Because of our leverage, we may incur substantial losses.
Leverage also exposes us to the risk of margin calls and defaults under our funding agreements, which may result in forced sales of assets in adverse market conditions. The risks associated with leverage are more acute during volatile market environments and periods of reduced market liquidity.
Our bilateral repurchase agreements and certain derivative agreements require that we comply with certain financial and non-financial covenants. Our more restrictive financial covenants typically limit declines in our stockholders’ equity for any given quarter, calendar year, or 12-month period and limit our leverage to a maximum amount.
A number of our bilateral repurchase agreements and derivative agreements require that we comply with certain financial and non-financial covenants. These financial covenants typically limit declines in our stockholders’ equity for any given quarter, calendar year, or 12-month period and limit our leverage to a maximum amount.
During an investigation of a cybersecurity incident, or a series of events, it is possible we may not necessarily know the extent of the harm or how to remediate it, which could further adversely impact us, and new regulations may also compel us to disclose information about a material cybersecurity incident before it has been mitigated or resolved, or even fully investigated.
During an investigation of a cybersecurity incident, or a series of events, it is possible we may not necessarily know the extent of the harm or how to remediate it, which could further adversely impact us, and we may be compelled to disclose information about a material cybersecurity incident before it has been mitigated or resolved, or even fully investigated.
If we are unable to acquire a sufficient supply of our target assets, we may be unable to achieve our investment objectives or to maintain our REIT qualification status or exemption from regulation under the Investment Company Act. 11 We may change our targeted investments, investment guidelines and other operational policies without stockholder consent.
If we are unable to acquire enough target assets, we may be unable to achieve our investment objectives or maintain our REIT qualification status or exemption from regulation under the Investment Company Act. We may change our targeted investments, investment guidelines and other operational policies without stockholder consent.
Government legislative and administrative actions may have an adverse impact on the financial markets. To the extent the markets do not respond favorably to any such actions or such actions do not function as intended, they could have broad adverse market implications and could negatively impact our financial condition and results of operations.
To the extent the markets do not respond favorably to any such actions or such actions do not function as intended, they could have broad adverse market implications and could negatively impact our financial condition and results of operations.
Compliance with these covenants depends on market factors and the strength of our business and operating results. In addition, our agreements typically require, among other things, that we maintain our status as a publicly listed REIT and to be exempted from the provisions of the 1940 Act.
Compliance with these covenants depends on market factors and the strength of our business and operating results. In addition, a number of these agreements require, among other things, that we maintain our status as a publicly listed REIT and remain exempt from the provisions of the 1940 Act.
We use our investments as collateral for our financing arrangements and certain hedge transactions; consequently, a decline in fair value, or perceived market uncertainty about the value of our assets, could reduce the amount of our unencumbered assets, subject us to margin calls and could make it more difficult for us to maintain our compliance with the terms of our financing agreements, and it could reduce our ability to purchase additional investments or to renew or replace our existing borrowings as they mature.
We use our investments as collateral for our financing arrangements and certain hedge transactions; consequently, a decline in fair value, or perceived market uncertainty about the value of our assets, could reduce the amount of our unencumbered assets, subject us to margin calls or make it more difficult for us to maintain our compliance with the terms of our financing agreements.
Furthermore, if we should fail to distribute during each calendar year at least the sum of (a) 85% of our REIT ordinary income for such year, (b) 95% of our REIT capital gain net income for such year, and (c) any undistributed taxable income from prior periods, we would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (x) the amounts actually distributed, (y) the amounts of income we retained and on which we have paid corporate income tax and (z) any excess distributions from prior periods. 16 Our taxable income will typically differ from income prepared in accordance with GAAP due to temporary and permanent differences.
Furthermore, if we should fail to distribute during each calendar year at least the sum of (a) 85% of our REIT ordinary income for such year, (b) 95% of our REIT capital gain net income for such year, and (c) any undistributed taxable income from prior periods, we would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (x) the amounts actually distributed, (y) the amounts of income we retained and on which we have paid corporate income tax and (z) any excess distributions from prior periods.
Further, the specific securities that we receive may include few, if any, “whole pool” securities, which could inhibit our ability to remain exempt from and regulation as an investment company under the Investment Company Act (see “Loss of our exemption from regulation pursuant to the Investment Company Act would adversely affect us” below).
Further, the specific securities that we receive may include few, if any, "whole pool" securities, which could inhibit our ability to remain exempt from regulation as an investment company under the Investment Company Act (see " Loss of our exemption from regulation pursuant to the Investment Company Act would adversely affect us " below).
A significant component of the fair value of CRT and non-Agency securities and other credit risk-oriented investments is attributable to the credit spread, or the difference between the value of the credit instrument and the value of a financial instrument with similar interest rate exposure, but with no credit risk, such as a U.S. Treasury note.
A significant portion of the fair value of CRT and non-Agency securities, as well as other credit risk-oriented investments, is typically driven by the credit spread—the difference between the value of a credit instrument and a comparable financial instrument with similar interest rate exposure but no credit risk, such as a U.S. Treasury note.
If BES were to lose its memberships in FICC and FINRA or its status as a self-clearing registered broker-dealer, we may be unable to find alternative sources of financing on favorable terms and we may experience business interruptions as we attempt to transfer custody and clearing activities to alternative providers that would be harmful to our business.
If BES were to lose its memberships in FICC and FINRA or its status as a self-clearing registered broker-dealer, we may be unable to find alternative sources of financing on favorable terms and we may experience business interruptions as we attempt to transfer custody and clearing activities to alternative providers that would be harmful to our business. 19 Loss of our exemption from regulation pursuant to the Investment Company Act would adversely affect us.
We may be unable to procure or renew funding on favorable terms, or at all. We rely primarily on short-term borrowings to finance our mortgage investments.
Because of our leverage, we may incur substantial losses. 11 We may be unable to procure or renew funding on favorable terms, or at all. We rely primarily on short-term borrowings to finance our mortgage investments.
Treasury and U.S. Treasury repo transactions that will require significant changes to trading operations and has the potential to adversely impact liquidity, funding and efficiency of these markets, which could adversely impact the cost and other terms or availability of financing and hedging arrangements for our business.
Treasury Repo") transactions will necessitate significant changes to trading operations and have the potential to adversely impact liquidity, funding and efficiency of these markets. Such changes could adversely affect the cost and other terms or availability of financing and hedging arrangements for our business.
We continuously monitor these conditions and adjust our strategies accordingly, but there is no guarantee that these measures will be sufficient to mitigate the adverse effects of volatility on our operations and financial results. The Fed’s participation in the Agency mortgage market could have an adverse effect on our Agency RMBS investments.
While we actively monitor market conditions and adjust our strategies in response, there is no assurance that these measures will be sufficient to offset the negative effects of volatility on our business, operations, and financial results. The Fed’s participation in the Agency mortgage market could have an adverse effect on our Agency RMBS investments.
Numerous other factors can impact the effectiveness of our hedging strategies, including the following: • the cost of interest rate hedges; • the degree to which the interest rate hedge benchmark rate correlates to the interest rate risk being hedged; • the degree to which the duration of the hedge matches that of the related asset or liability, particularly as interest rates change; • the amount of income that a REIT may earn from hedging transactions that do not satisfy certain requirements of the Internal Revenue Code or that are not done through a TRS; and • the degree to which the value of our interest rate hedges changes relative to our assets as a result of fluctuations in interest rates, passage of time, or other factors.
Numerous other factors can impact the effectiveness of our hedging strategies, including the following: • the cost of interest rate hedges; • the degree to which the interest rate hedge benchmark rate correlates to the interest rate risk being hedged; • the degree to which the duration of the hedge matches that of the related asset or liability, particularly as interest rates change; • the amount of income that a REIT may earn from hedging transactions that do not satisfy certain requirements of the Internal Revenue Code or that are not done through a TRS; and • the degree to which the value of our interest rate hedges changes relative to our assets as a result of fluctuations in interest rates, passage of time, or other factors. 14 Additionally, regulations adopted by the CFTC and regulators of other countries could adversely affect our ability to engage in derivative transactions or impose increased margin requirements and require additional operational and compliance costs.
Consequently, a sufficient supply of our target assets may not be available or available at attractive prices.
As a result, our target assets may not be available in sufficient supply or at attractive prices.
Factors that can reduce market liquidity include shifts in macro-economic conditions, market uncertainties, changes in investor sentiment, a decline in or negative global money flows to the U.S. fixed income markets, and regulatory capital requirements that constrain the market-making or funding capabilities of banks and financial institutions.
Several factors can negatively impact market liquidity, including shifts in macro-economic conditions, market uncertainties, changes in investor sentiment, reduced or negative global money flows into U.S. fixed income markets, and regulatory capital requirements that constrain the market-making or funding capacity of banks and financial institutions.
Failure to satisfy regulatory requirements of our captive broker-dealer subsidiary could result in our inability to access tri-party repo funding through the FICC’s GCF Repo service and could be harmful to our business operations.
Together or individually new regulatory requirements could materially affect our financial condition or results of operations in adverse ways. Failure to satisfy regulatory requirements of our captive broker-dealer subsidiary could result in our inability to access tri-party repo funding through the FICC’s GCF Repo service and could be harmful to our business operations.
Interest rate and spread volatility represent significant risks to our business, potentially affecting our liquidity, increasing our costs, and impacting our ability to manage risks effectively. Interest rate and spread volatility can have profound impacts on our business, financial condition, and operating results in several ways.
Interest rate and spread volatility represent significant risks to our business, potentially affecting our liquidity, increasing our costs, and impacting our ability to manage risks effectively. Interest rate and spread volatility can materially and adversely impact our business, financial condition, and operating results.
Furthermore, because of our active strategy, investors may be unable to assess changes in our financial position solely by observing changes in the mortgage market. 8 A decline in the fair value of our assets may adversely affect our financial condition and make it costlier to finance our assets.
Additionally, due to our active approach, investors may not be able to assess changes in our financial position solely by tracking changes in the mortgage market. A decline in the fair value of our assets may adversely affect our financial condition and make it costlier to finance our assets.
Credit spreads can be highly volatile and may fluctuate due to changes in economic conditions, liquidity, investor demand and other factors. Credits spreads typically widen in times of increased market uncertainty or when economic conditions have or are expected to deteriorate. Credit spreads may also widen due to actual or anticipated rating downgrades on the securities or similar securities.
Credit spreads fluctuate due to changes in economic conditions, liquidity, investor demand and other factors and can be highly volatile. Credit spreads typically widen during periods of market uncertainty or actual or anticipated economic deterioration. They may also widen due to actual or anticipated rating downgrades of the securities or similar instruments.
Such actions may create market uncertainty, may have the effect of reducing the actual or perceived credit quality of securities issued or guaranteed by them or may otherwise impact the size and scope of the Agency RMBS markets.
Such actions may create market uncertainty, may have the effect of reducing the actual or perceived credit quality of securities issued or guaranteed by the GSEs, may impact the ability of banks, foreign investors, mutual funds or others to own Agency RMBS, or may otherwise impact the liquidity, size and scope of the Agency RMBS markets.
Our active portfolio management strategy may expose us to greater losses and lower returns than compared to passive strategies. We employ an active management strategy; therefore, the composition of our investment portfolio, leverage ratio and hedge composition will vary as we believe changes to market conditions warrant.
Our active portfolio management strategy may expose us to greater losses and lower returns than compared to passive strategies. We employ an active management strategy, meaning our investment portfolio composition, leverage ratio, and hedge positions will fluctuate based on our assessment of market conditions.
Legislative and Regulatory Risks Loss of our exemption from regulation pursuant to the Investment Company Act would adversely affect us. We conduct our business so as not to become regulated as an investment company under the Investment Company Act in reliance on the exemption provided by Section 3(c)(5)(C) of the Investment Company Act.
We conduct our business so as not to become regulated as an investment company under the Investment Company Act in reliance on the exemption provided by Section 3(c)(5)(C) of the Investment Company Act.
Bankruptcy Code, the effect of which, among other things, would be to allow the counterparty under the applicable agreement to avoid the automatic stay provisions of the U.S. Bankruptcy Code and to foreclose on the collateral without delay.
In the event of our bankruptcy or insolvency, our repurchase agreements and hedging arrangements may qualify for special treatment under the U.S. Bankruptcy Code, the effect of which, among other things, would be to allow the counterparty under the applicable agreement to avoid the automatic stay provisions of the U.S. Bankruptcy Code and to foreclose on the collateral without delay.
Together or individually new regulatory requirements could materially affect our financial condition or results of operations in adverse ways. Federal housing finance reform and potential changes to the Federal conservatorship of Fannie Mae and Freddie Mac or to laws or regulations affecting the relationship between the GSEs and the U.S. Government may adversely affect our business.
Legislative and Regulatory Risks Federal housing finance reform and potential changes to the Federal conservatorship of Fannie Mae and Freddie Mac or to laws or regulations affecting the relationship between the GSEs and the U.S. Government may adversely affect our business.
Additionally, if we take delivery of the underlying securities, we can expect to receive the "cheapest to deliver" securities with the least favorable prepayment attributes that satisfy the terms of the TBA contract.
We may not have sufficient funds or alternative financing sources available to settle such obligations. Additionally, if we take delivery of the underlying securities, we can expect to receive the "cheapest to deliver" securities with the least favorable prepayment attributes that satisfy the terms of the TBA contract.
An inability or unwillingness to continue to roll forward our position has effects similar to a termination of financing. In that circumstance, we would be required to settle the obligations for cash and would then take physical delivery of the underlying Agency RMBS. We may not have sufficient funds or alternative financing sources available to settle such obligations.
TBA dollar roll transactions include a deferred purchase price obligation on our part. An inability or unwillingness to continue rolling forward our position has effects similar to a termination of financing. In that circumstance, we would be required to settle the obligations for cash and would then take physical delivery of the underlying Agency RMBS.
Risks Related to Our Investment and Portfolio Management Activities Spread risk is inherent to our business as a levered investor in Agency RMBS. When the market spread between the yield on our assets and the yield on benchmark interest rates linked to our interest rate hedges widens, our tangible net book value will typically decline.
When the differential between the market yield on our assets and our interest rate hedges widens, our tangible net book value will typically decline, a dynamic we refer to as "spread risk." As a levered investor primarily in fixed-rate Agency RMBS, spread risk is an inherent component of our business.
Any waiver or forbearance, if granted, could carry additional conditions that may be unfavorable to us. Additionally, certain of our agreements contain cross-default, cross-acceleration or similar provisions, such that if we were to violate a covenant under one agreement, that violation could lead to defaults, accelerations, or other adverse events under other agreements, as well.
Additionally, certain of our agreements contain cross-default, cross-acceleration or similar provisions, such that if we were to violate a covenant under one agreement, that violation could lead to defaults, accelerations, or other adverse events under other agreements, as well. 13 Our rights under repurchase and derivative agreements in the event bankruptcy or insolvency may be limited.
Other factors beyond interest rates also impact the rate of prepayments and may be difficult to predict, such as housing turnover, lending conditions and the availability of credit to homeowners, and GSE buyouts of delinquent loans from the underlying mortgage pool. 9 The analytical models and third-party data that we rely on to manage our portfolio and conduct our business objectives may be incorrect, misleading or incomplete.
Other factors beyond interest rates also impact the rate of prepayments and may be difficult to predict, such as housing turnover, lending conditions and the availability of credit to homeowners, and GSE buyouts of delinquent loans from the underlying mortgage pool.
The penalty tax for failure to satisfy one or both gross income tests would be an amount equal to 100% of the net profit on the gross income that resulted in the failure calculated in accordance with the Internal Revenue Code. REIT distribution requirements could adversely affect our ability to execute our business plan.
For failing one or both gross income tests, the penalty equals 100% of the net profit from non-qualifying income that resulted in the failure, as determined under the Internal Revenue Code. REIT distribution requirements could adversely affect our ability to execute our business plan.
Consequently, our hedging activities are generally designed to limit interest rate exposure, but not to eliminate it, and they are generally not designed to hedge against spread risk and other risks inherent to our business model. 14 Our hedging strategies may vary in scope based on our portfolio composition, liabilities and our assessment of the level and volatility of interest rates, expected prepayments, credit and other market conditions, and are expected to change over time.
Our hedging strategies may vary in scope based on our portfolio composition, liabilities and our assessment of the level and volatility of interest rates, expected prepayments, credit and other market conditions, and are expected to change over time.
We believe that we operate in a manner that allows us to qualify as a REIT for U.S. federal income tax purposes under Sections 856 through 860 of the Internal Revenue Code of 1986, as amended, and Treasury Regulations promulgated thereunder. We plan to continue to meet the requirements for taxation as a REIT.
We believe we qualify as a REIT for U.S. federal income tax purposes under Sections 856–860 of the Internal Revenue Code of 1986, as amended, and related Treasury Regulations, and we intend to maintain our REIT status.
It may become uneconomical for us to roll forward our TBA positions prior to their settlement dates due to market conditions, which can be impacted by a variety of 12 factors including the Fed’s purchases and sales of Agency RMBS in the TBA market. TBA dollar roll transactions include a deferred purchase price obligation on our part.
It may become uneconomical for us to roll forward our TBA positions prior to their settlement dates due to market conditions, which can be impacted by a variety of factors, such as changes in the pace or manner of the Fed’s runoff of its portfolio of Agency RMBS or, if they occur, the Fed’s purchases or sales of Agency RMBS in the TBA market.
We use analytical models, data and other information to value our assets and assess potential investment opportunities in connection with our risk management and hedging activities. We may source our models and data from third-parties or develop them internally. Models are dependent on multiple assumptions and inputs. Models typically also assume a static portfolio.
We may source our models and data from third-parties or develop them internally. Models are dependent on multiple assumptions and inputs. Models typically also assume a static portfolio.
Hedging fair value changes associated with credit spreads can be inefficient and our hedging strategies are generally not designed to mitigate credit spread risk. Consequently, changes in credit spreads could adversely affect our profitability and financial condition.
Hedging fair value changes related to credit spreads is often inefficient, and our hedging strategies are generally not designed to mitigate credit spread risk. As a result, fluctuations in credit spreads could negatively impact our profitability and financial condition.
The complexity and cost of hedging against interest rate fluctuations also rises with volatility, potentially impacting our profitability. Volatility can also reduce liquidity in the mortgage market as mortgage investors reduce their exposure to this risk, making it more challenging to buy or sell assets without affecting their market price.
Volatility further increases the complexity and cost of hedging against interest rate fluctuations, which can adversely affect our profitability. In addition, heightened volatility may reduce liquidity in the mortgage market as investors scale back exposure to mitigate risk, making it more difficult to buy or sell assets without significantly impacting market prices.
The supply of our target assets may be impacted by policies and procedures adopted by the GSEs, such as pooling practices, or their regulator, the FHFA, or actions by other governmental agencies. Housing finance reform measures may also impact the supply and availability of our target assets.
The supply of our target assets may be impacted by policies and procedures adopted by the GSEs, their regulator—the Federal Housing Finance Administration ("FHFA")—or other governmental agencies, such as policies impacting origination and pooling practices, as well as by legislative, regulatory or other administrative actions related to the GSEs’ government-like status or changes to their Federal conservatorships.
Furthermore, the proper classification of an instrument as debt or equity for federal income tax purposes may be uncertain in some circumstances, which could affect the application of the REIT asset requirements.
Additionally, the classification of certain instruments as debt or equity for tax purposes may be uncertain, which could impact the application of the REIT asset requirements.
If we fail to qualify as a REIT in any tax year, we would be subject to U.S. federal and state corporate income tax on our taxable income at regular corporate rates, and dividends paid to our stockholders would not be deductible by us in computing our taxable income.
We would lose the ability to deduct dividends paid to stockholders when computing our taxable income and would be subject to U.S. federal and state corporate income tax as a regular C corporation for any taxable year for which we did not qualify.
As a result, we could be required to sell assets at adverse prices and our ability to maintain or grow our total comprehensive income could be reduced. The value of our assets is influenced by multiple factors. The value of our long-term fixed rate securities is particularly impacted by fluctuations in longer-term interest rates.
It could also reduce our ability to purchase additional investments or to renew or replace our existing borrowings as they mature. As a result, we could be required to sell assets at adverse prices and our ability to maintain or grow our total comprehensive income could be reduced. The value of our assets is influenced by multiple factors.
To the extent such actions would terminate the conservatorships without also providing for a sufficiently robust U.S. government guaranty, they could re-define what constitutes an Agency security and subject Agency RMBS to greater credit risk, make them more difficult to finance, and cause their values to decline, all of which could have broad adverse implications for the mortgage markets and our business.
This could subject Agency RMBS to greater credit risk, make them more difficult to finance or less liquid, and cause their values to decline, all of which could have broad adverse implications for primary and secondary mortgage markets and our business. Actions of the U.S. Government, including the U.S. Congress, Fed, U.S.
The penalty tax for failure to satisfy an asset test would be the greater of $50,000 per failure or an amount equal to the net income generated by the assets that resulted in the failure multiplied by the highest U.S. federal corporate tax rate in effect at the time of the failure.
Even if we were to qualify for relief, we may still incur penalty taxes. The penalty for failing an asset test is the greater of $50,000 per failure or the net income from non-qualifying assets that resulted in the failure multiplied by the highest U.S. federal corporate tax rate.
In certain instances, mortgage loans referenced by our CRT securities or underlying our non-Agency RMBS may have private mortgage insurance. However, this insurance may not cover some or all of our potential loss if a loan defaults.
Certain mortgage loans referenced by our CRT securities or underlying our non-Agency RMBS may have private mortgage insurance; however, coverage is not guaranteed.
These or future administrative actions may significantly impact the source, pricing, volume and nature of Agency RMBS and other mortgage securities that Fannie Mae and Freddie Mac issue. Further administrative and/or legislative actions may be taken that affect structural GSE and federal housing finance reform, alter the amount or nature of the credit support provided by the U.S.
These or other administrative and/or legislative actions may be taken that affect the GSEs or the housing finance system, alter the amount or nature of the credit support provided by the U.S.
The determination that we are a REIT requires an analysis of various factual matters and circumstances that may not be totally within our control, and our compliance with the annual REIT income and quarterly asset requirements depends upon our ability to successfully manage the composition of our income and assets on an ongoing basis.
The determination that we are a REIT requires an analysis of various factual matters and circumstances that may not be entirely within our control.

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Item 1C. Cybersecurity

Cybersecurity — threats and controls disclosure

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Biggest changeLed by our Senior Vice President and Chief Technology Officer with over 20 years of cyber and risk management experience, the Company actively implements and enforces cybersecurity policies, procedures, and strategies, including employee training programs, security assessments, and updates to ensure alignment with our evolving threat landscape. Item 2. Properties None.
Biggest changeThe Company, led by our Senior Vice President and Chief Technology Officer—who holds the Certified Information Systems Security Professional (CISSP) designation and has over 20 years of cyber and risk management experience—actively implements and enforces cybersecurity policies, procedures, and strategies, including employee training programs, security assessments, and updates to ensure alignment with our evolving threat landscape. Item 2. Properties None.
As a component of these processes, our management 21 team, including our Senior Vice President and Chief Technology Officer, identifies and assesses the likelihood and magnitude of risks, on both inherent and residual basis. These evaluations inform our overall cybersecurity strategy. Our business operations depend significantly on third party service providers.
As a component of these processes, our management team, including our Senior Vice President and Chief Technology Officer, identifies and assesses the likelihood and magnitude of risks, on both inherent and residual basis. These evaluations inform our overall cybersecurity strategy. Our business operations depend significantly on third party service providers.
The Audit Committee periodically reviews with management the Company’s policies, controls, and procedures used to identify, mitigate, and manage cybersecurity risks. To accomplish this objective, we have established processes for reporting cybersecurity risks to the Audit Committee of the Board of Directors on a quarterly basis.
The Audit Committee periodically reviews with management the Company’s policies, controls, and procedures used to identify, mitigate, and manage cybersecurity risks. To accomplish this objective, we have established processes for reporting cybersecurity risks to the Audit Committee of the Board on a quarterly basis.
In addition, on an annual basis the Company’s Senior Vice President and Chief Technology Officer presents to the Audit Committee on cybersecurity matters, including material changes to the Company’s information systems, policies and controls, the results of penetration and other testing and findings from any third-party reviews.
In addition, on at least an annual basis the Company’s Senior Vice President and Chief Technology Officer presents to the Audit Committee on cybersecurity matters, including material changes to the Company’s information systems, policies and controls, the results of penetration and other testing and findings from any third-party reviews.
Our Audit Committee is committed to maintaining a well-informed and cybersecurity-aware posture, regularly engaging by receiving scheduled and requested updates on our strategy to address risks from cybersecurity threats and the evolving threat landscape. The Board of Directors also is appraised of cybersecurity risks as part of its review of management’s annual enterprise risk management assessment.
Our Audit Committee is committed to maintaining a well-informed and cybersecurity-aware posture, regularly engaging by receiving scheduled and requested updates on our strategy to address risks from cybersecurity threats and the evolving threat landscape. The Board also is apprised of cybersecurity risks as part of its review of management’s annual enterprise risk management assessment.
We have processes in place to evaluate the operational and cybersecurity risks posed to us by third parties on whom we are reliant for these services at the inception of our engagement, and we annually review third-party firms that pose the greatest risks to our business and operations from cybersecurity threats.
We have processes in place to evaluate the operational and cybersecurity risks posed to us by third parties on whom we are reliant for these services at the inception of our engagement, and we continuously monitor third-party firms that pose the greatest risks to our business and operations from cybersecurity threats.
Nor do we receive personal information on individual mortgage borrowers as part of our regular operations. However, our business is highly dependent on the availability of information systems, and a cybersecurity incident, if one were to occur, could have the potential to disrupt our operations. Please refer to Risks Related to Our Business Operations in Item 1A.
Nor do we receive personal information on individual mortgage borrowers as part of our regular operations. However, our business is highly dependent on the availability of information systems, and a cybersecurity incident, if one were to occur, could have the potential to disrupt our operations.
Management plays a pivotal role in identifying, assessing, and managing material risks from cybersecurity threats. This involves continuous monitoring, analyzing emerging threats, and the development and implementation of risk mitigation strategies.
Management plays a pivotal role in identifying, assessing, and managing material risks from cybersecurity threats. This involves continuous monitoring, analyzing emerging threats, and developing and implementing risk mitigation strategies.
Removed
Risk Factors of this Form 10-K for a further discussion of the risks posed by cybersecurity threats. Governance and Oversight The Audit Committee of the Board of Directors has responsibility to oversee management’s strategy to address risks from cybersecurity threats.
Added
To date, the Company has not identified any cybersecurity incidents which have materially affected, or are reasonably likely to materially affect, our operations, business strategy, or financial condition. As discussed more fully under Risks Related to Our Business Operations in Item 1A.
Added
Risk Factors of this Form 10-K, given the evolving nature and increasing sophistication of cyber threats, there is no guarantee that future incidents will not have a material impact.
Added
While we continuously assess, identify, 21 and mitigate cybersecurity risks through policies, procedures, and industry-standard security measures, cyber threats remain dynamic and could potentially disrupt our operations, expose us to legal or regulatory liabilities, or cause reputational harm. Governance and Oversight The Audit Committee of the Board has responsibility to oversee management’s strategy to address risks from cybersecurity threats.

Item 5. Market for Registrant's Common Equity

Market for Common Equity — stock, dividends, buybacks

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Biggest changeDecember 31, 2023 2022 2021 2020 2019 AGNC Investment Corp. $ 101.00 $ 91.81 $ 117.30 $ 111.47 $ 113.32 S&P 500 $ 207.04 $ 163.98 $ 200.29 $ 155.65 $ 131.47 Bloomberg Mortgage REITs $ 97.93 $ 85.54 $ 113.11 $ 96.18 $ 123.63 The information in the share performance graph and table has been obtained from sources believed to be reliable, but neither its accuracy nor its completeness can be guaranteed.
Biggest changeDecember 31, 2024 2023 2022 2021 2020 AGNC Investment Corp. $ 97.05 $ 89.13 $ 81.01 $ 103.51 $ 98.36 S&P 500 $ 196.85 $ 157.48 $ 124.73 $ 152.34 $ 118.39 FTSE NAREIT Mortgage REITs $ 79.80 $ 79.52 $ 68.94 $ 93.93 $ 81.23 The information in the share performance graph and table has been obtained from sources believed to be reliable, but neither its accuracy nor its completeness can be guaranteed.
All distributions to stockholders will be made at the discretion of our Board of Directors and will depend on our earnings, financial condition, maintenance of our REIT status and other factors as our Board of Directors may deem relevant from time to time.
All distributions to stockholders will be made at the discretion of our Board and will depend on our earnings, financial condition, maintenance of our REIT status and other factors as our Board may deem relevant from time to time.
Includes (i) unvested time and performance-based RSU awards (unvested performance-based awards assume the maximum payout under the terms of the award); (ii) outstanding previously vested awards, if distribution of such awards has been deferred beyond the vesting date; and (iii) accrued dividend equivalent units on items (i) and (ii) through December 31, 2023. 2.
Includes (i) unvested time and performance-based RSU awards (unvested performance-based awards assume the maximum payout under the terms of the award); (ii) outstanding previously vested awards, if distribution of such awards has been deferred beyond the vesting date; and (iii) accrued dividend equivalent units on items (i) and (ii) through December 31, 2024. 2.
Equity Compensation Plan Information The following table summarizes information, as of December 31, 2023, concerning shares of our common stock authorized for issuance under our equity compensation plans, pursuant to which grants of equity-based awards, namely restricted stock units ("RSUs"), may be granted from time to time.
Equity Compensation Plan Information The following table summarizes information, as of December 31, 2024, concerning shares of our common stock authorized for issuance under our equity compensation plans, pursuant to which grants of equity-based awards, namely restricted stock units ("RSUs"), may be granted from time to time.
See Note 9 to our Consolidated Financial Statements in this Form 10-K for a description of our preferred stock and for common and preferred stock dividends paid for the three years ended December 31, 2023.
See Note 9 to our Consolidated Financial Statements in this Form 10-K for a description of our preferred stock and for common and preferred stock dividends paid for the three years ended December 31, 2024.
Performance Graph The following graph and table compare a stockholder's cumulative total return, assuming $100 invested at December 31, 2018, with the reinvestment of all dividends, as if such amounts had been invested in: (i) our common stock; (ii) the stocks included in the Standard & Poor's 500 Stock Index ("S&P 500"); and (iii) the stocks included in the Bloomberg Mortgage REIT Index. 23 ________________________________ * $100 invested on 12/31/18 in stock or index, including reinvestment of dividends.
Performance Graph The following graph and table compare a stockholder's cumulative total return, assuming $100 invested at December 31, 2019, with the reinvestment of all dividends, as if such amounts had been invested in: (i) our common stock; (ii) the stocks included in the Standard & Poor's 500 Stock Index ("S&P 500"); and (iii) the stocks included in the FTSE NAREIT Mortgage REIT Index.
Item 5. Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities Our common stock is listed on the Nasdaq Global Select Market under the symbol "AGNC." As of January 31, 2024, 695,015,141 shares of common stock were issued and outstanding, which were held by 1,464 stockholders of record.
Item 5. Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities Our common stock is listed on the Nasdaq Global Select Market under the symbol "AGNC." As of January 31, 2025, 900,421,216 shares of common stock were issued and outstanding, which were held by 1,491 stockholders of record.
Plan Category Number of securities to be issued upon exercise of outstanding options, warrants and rights 1 Weighted average exercise price of outstanding options, warrants and rights Number of securities remaining available for future issuance under equity compensation plans (excluding securities reflected in the first column of this table) 2 Equity compensation plans approved by security holders 8,649,016 $ — 28,655,641 Equity compensation plans not approved by security holders — — — Total 8,649,016 $ — 28,655,641 ________________________________ 1.
Plan Category Number of securities to be issued upon exercise of outstanding options, warrants and rights 1 Weighted average exercise price of outstanding options, warrants and rights Number of securities remaining available for future issuance under equity compensation plans (excluding securities reflected in the first column of this table) 2 Equity compensation plans approved by security holders 10,312,795 $ — 25,983,630 Equity compensation plans not approved by security holders — — — Total 10,312,795 $ — 25,983,630 ________________________________ 1.
Added
In prior years, we compared the cumulative total return on our common stock with that of the S&P 500 and the Bloomberg Mortgage REIT Index; however, the Bloomberg Mortgage REIT Index was discontinued in February 2024 and consequently we are not able to include it in the graph. 23 ________________________________ * $100 invested on 12/31/19 in stock or index, including reinvestment of dividends.

Item 7. Management's Discussion & Analysis

Management's Discussion & Analysis (MD&A) — revenue / margin commentary

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Biggest changePortfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2023. 30 December 31, 2022 Includes Net TBA Position Excludes Net TBA Position Fixed Rate Agency RMBS and TBA Securities Par Value Amortized Cost Fair Value Specified Pool % 1 Weighted Average Coupon Amortized Cost Basis Weighted Average Projected CPR 2 Yield 2 Age (Months) Fixed rate ≤ 15-year: ≤ 2.0% $ 46 $ 47 $ 41 100% 2.00% 103.1% 1.35% 25 7% 2.5% 261 275 240 100% 2.50% 105.6% 1.29% 37 8% 3.0% 531 540 504 99% 3.00% 101.6% 2.54% 60 10% 3.5% 490 501 473 100% 3.50% 102.2% 2.83% 57 12% 4.0% 342 352 336 93% 4.00% 103.2% 2.96% 60 13% ≥ 4.5% 3 3 3 97% 4.55% 102.8% 2.65% 144 17% Total ≤ 15-year 1,673 1,718 1,597 98% 3.25% 102.7% 2.47% 55 11% 20-year: ≤ 2.0% 846 872 721 —% 2.00% 103.1% 1.54% 27 5% 2.5% 367 385 322 —% 2.50% 105.0% 1.73% 30 5% 3.0% 30 31 28 97% 3.00% 103.8% 2.28% 41 8% 3.5% 137 139 131 81% 3.50% 101.9% 2.96% 113 10% ≥ 4.0% 166 174 163 96% 4.27% 104.5% 3.12% 72 11% Total 20-year: 1,546 1,601 1,365 21% 2.51% 103.6% 1.89% 40 6% 30-year: ≤ 3.0% 9,536 9,463 8,112 35% 2.45% 101.9% 2.16% 21 6% 3.5% 7,669 7,927 7,133 82% 3.50% 104.0% 2.84% 83 7% 4.0% 8,587 9,012 8,243 83% 4.00% 105.8% 3.08% 68 8% 4.5% 11,663 11,850 11,364 52% 4.50% 103.5% 3.94% 28 7% 5.0% 11,762 11,674 11,641 19% 5.00% 101.7% 4.71% 8 7% 5.5% 7,589 7,558 7,635 12% 5.50% 102.0% 5.15% 6 9% 6.0% 532 543 547 50% 6.00% 103.8% 5.22% 6 12% ≥ 6.5% 103 107 106 21% 6.50% 104.3% 5.32% 9 18% Total 30-year 57,441 58,134 54,781 46% 4.20% 103.5% 3.33% 42 7% Total fixed rate $ 60,660 $ 61,453 $ 57,743 46% 4.13% 103.5% 3.25% 43 7% ________________________________ 1.
Biggest changeAs of December 31, 2024 and 2023, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.77% and 4.41%, respectively. 29 The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of December 31, 2024 and 2023 (dollars in millions): December 31, 2024 Includes Net TBA Position Excludes Net TBA Position Fixed Rate Agency RMBS and TBA Securities Par Value Amortized Cost Fair Value Specified Pool % 1 Weighted Average Coupon Amortized Cost Basis Weighted Average Projected CPR 2 Yield 2 Age (Months) Fixed rate ≤ 15-year: 2.0% 34 35 30 100% 2.00% 102.6% 1.34% 48 8% 2.5% 12 12 12 100% 2.50% 99.4% 2.80% 142 15% 3.0% 34 35 33 100% 3.00% 100.9% 2.38% 136 15% 3.5% 9 9 9 100% 3.50% 101.2% 2.61% 137 15% 4.0% 5 5 5 9% 4.00% 101.2% 1.96% 164 34% ≥ 4.5% 1 1 1 100% 4.50% 101.0% 2.71% 165 28% Total ≤ 15-year 95 97 90 95% 2.68% 101.4% 2.05% 107 14% 20-year: 2.5% 307 321 267 —% 2.50% 104.5% 1.74% 54 5% 3.0% 23 24 21 97% 3.00% 103.5% 2.29% 65 7% 3.5% 98 99 93 78% 3.50% 101.7% 2.97% 136 9% 4.0% 58 60 56 92% 4.00% 103.7% 3.09% 93 9% ≥ 4.5% 71 74 69 97% 4.64% 104.8% 3.42% 87 10% Total 20-year: 557 578 506 42% 3.12% 103.9% 2.33% 77 7% 30-year: ≤ 3.0% 3,734 3,726 3,052 66% 2.41% 97.9% 2.73% 43 6% 3.5% 4,910 5,114 4,439 86% 3.50% 104.1% 2.84% 109 6% 4.0% 5,980 6,302 5,567 90% 4.00% 105.7% 3.10% 92 7% 4.5% 8,206 8,273 7,786 45% 4.50% 103.4% 3.92% 55 8% 5.0% 12,013 11,898 11,663 32% 5.00% 99.6% 5.03% 20 7% 5.5% 19,627 19,758 19,502 31% 5.50% 100.4% 5.44% 15 7% 6.0% 13,334 13,517 13,512 38% 6.00% 101.6% 5.72% 16 9% ≥ 6.5% 4,641 4,763 4,793 37% 6.51% 102.7% 5.97% 15 11% Total 30-year 72,445 73,351 70,314 44% 5.04% 101.5% 4.74% 36 8% Total fixed rate $ 73,097 $ 74,026 $ 70,910 44% 5.02% 101.5% 4.71% 36 8% ________________________________ 1.
RESULTS OF OPERATIONS Non-GAAP Financial Measures In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "economic interest income," "economic interest expense," and "net spread and dollar roll income available to common stockholders" 1 and the related per common share measures and certain financial metrics derived from such non-GAAP information.
RESULTS OF OPERATIONS Non-GAAP Financial Measures In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "economic interest income," "economic interest expense," and "net spread and dollar roll income available to common stockholders" and the related per common share measures and certain financial metrics derived from such non-GAAP information.
Amount represents the daily weighted average repurchase agreements outstanding for the period used to fund our investment securities and other debt. Amount excludes U.S. Treasury repurchase agreements and TBA contracts. Other debt includes debt of consolidated VIEs. 34 6. Average stockholders' equity calculated as average month-ended stockholders' equity during the period. 7.
Amount represents the daily weighted average repurchase agreements outstanding for the period used to fund our investment securities and other debt. Amount excludes U.S. Treasury repurchase agreements and TBA contracts. Other debt includes debt of consolidated VIEs. 6. Average stockholders' equity calculated as average month-ended stockholders' equity during the period. 7.
However, if it were to become uneconomical to roll our TBA contracts into future months it may be necessary to take physical delivery of the underlying securities and fund those assets with cash or other financing sources, which could reduce our liquidity position. 41 Collateral Requirements and Unencumbered Assets Amounts available to be borrowed under our repurchase agreements are dependent upon prevailing interest rates, the lender’s "haircut" requirements and collateral value.
However, if it were to become uneconomical to roll our TBA contracts into future months it may be necessary to take physical delivery of the underlying securities and fund those assets with cash or other financing sources, which could reduce our liquidity position. 40 Collateral Requirements and Unencumbered Assets Amounts available to be borrowed under our repurchase agreements are dependent upon prevailing interest rates, the lender’s "haircut" requirements and collateral value.
Collateral levels for interest rate derivative agreements not subject to central clearing are established by the counterparty financial institution. Haircut levels and minimum margin requirements imposed by our counterparties reduce the amount of our unencumbered assets and limit the amount we can borrow against our investment securities. During the fiscal year 2023, haircuts on our repo funding arrangements remained stable.
Collateral levels for interest rate derivative agreements not subject to central clearing are established by the counterparty financial institution. Haircut levels and minimum margin requirements imposed by our counterparties reduce the amount of our unencumbered assets and limit the amount we can borrow against our investment securities. During the fiscal year 2024, haircuts on our repo funding arrangements remained stable.
Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2022. For additional details regarding our CRT and non-Agency securities, including credit ratings, as of December 31, 2023 and 2022, please refer to Note 3 of our Consolidated Financial Statements included under Item 8 of this Form 10-K.
Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2023. For additional details regarding our CRT and non-Agency securities, including credit ratings, as of December 31, 2024 and 2023, please refer to Note 3 of our Consolidated Financial Statements included under Item 8 of this Form 10-K.
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 in this document under Item 1A. Risk Factors .
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 this document.
Interest rate information is sourced from Bloomberg. 27 The following table summarizes mortgage and credit spreads as of each date presented below: Mortgage Rate/Credit Spread Dec. 31, 2022 Mar. 31, 2023 June 30, 2023 Sept. 30, 2023 Dec. 31, 2023 Dec. 31, 2023 vs Dec. 31, 2022 Mortgage Rate: 1 30-Year Agency Current Coupon Yield to 5-Year U.S.
Interest rate information is sourced from Bloomberg. 27 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.
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.
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. 38 3.
OFF-BALANCE SHEET ARRANGEMENTS As of December 31, 2023, 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.
OFF-BALANCE SHEET ARRANGEMENTS As of December 31, 2024, 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.
As of December 31, 2023, we had met all our margin requirements. The value of Agency RMBS collateral is impacted by market factors and is reduced by monthly principal pay-downs on the underlying mortgage pools.
As of December 31, 2024, we had met all our margin requirements. The value of Agency RMBS collateral is impacted by market factors and is reduced by monthly principal pay-downs on the underlying mortgage pools.
Treasury rate as of period end 4 3.88 % 3.88 % 1.51 % ________________________________ 1. Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations. 2.
Treasury rate as of period end 4 4.57 % 3.88 % 3.88 % ________________________________ 1. Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations. 2.
Our MD&A is presented in the following sections: • Executive Overview • Financial Condition • Summary of Critical Accounting Estimates • Results of Operations • Liquidity and Capital Resources • Off-Balance Sheet Arrangements • Forward-Looking Statements EXECUTIVE OVERVIEW We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S.
Our MD&A is presented in the following sections: • Executive Overview • Financial Condition • Summary of Critical Accounting Estimates • Results of Operations • Liquidity and Capital Resources • Off-Balance Sheet Arrangements • Forward-Looking Statements • Website and Social Media Disclosure EXECUTIVE OVERVIEW We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S.
The combined cost of funds for total mortgage borrowings outstanding, before interest rate swap costs, is calculated on a weighted average basis based on average investment securities repurchase agreements, other debt and TBA securities outstanding during the period and their respective cost of funds. 5.
The combined cost of funds for total mortgage borrowings outstanding, before interest rate swap periodic income, is calculated on a weighted average basis based on average investment securities repurchase agreements, other debt and TBA securities outstanding during the period and their respective cost of funds. 5.
Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-K for further details regarding our recent equity capital transactions, if any.
Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-K for further details regarding our recent equity capital transactions.
As of December 31, 2023, approximately 9% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs. The remainder of our portfolio primarily consisted of Agency RMBS, which had an average one-year CPR forecast of 9%.
As of December 31, 2024, approximately 9% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs. The remainder of our portfolio primarily consisted of Agency RMBS, which had an average one-year CPR forecast of 7% as of December 31, 2024.
Additionally, as of December 31, 2023, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.
Additionally, as of December 31, 2024, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.
The weighted average cost basis of our securities as of December 31, 2023 was 102.2% of par value; therefore, changes in our actual or projected prepayments can significantly alter the effective yield on our assets. 31 Future prepayment rates are difficult to predict, and we rely on a third-party service provider and our experience and analysis of historical and current market data to arrive at what we believe to be reasonable estimates.
The weighted average cost basis of our securities as of December 31, 2024 was 101.5% of par value; therefore, changes in our actual or projected prepayments can significantly alter the effective yield on our assets. 31 Future prepayment rates are difficult to predict, and we rely on a third-party service provider and our experience and analysis of historical and current market data to arrive at what we believe to be reasonable estimates.
Treasury and Agency RMBS bond portfolio; • fluctuations in the yield curve; • 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 financing and our 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; • the effectiveness of our risk mitigation strategies; 43 • conditions in the market for Agency RMBS and other mortgage securities, including changes in the available supply of such securities or investor appetite therefor; • actions by the federal, state, or local governments that affect the economy, the housing sector or financial markets; • 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 U.S. housing finance activity, the GSE's or the markets for Agency RMBS; and • legislative or regulatory changes that affect our status as a REIT, our exemption from the Investment Company Act of 1940 or the mortgage markets in which we participate.
Treasury and Agency RMBS bond portfolio; • fluctuations in the yield curve; • 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 financing and our 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; • the effectiveness of our risk mitigation strategies; 42 • conditions in the market for Agency RMBS and other mortgage securities, including changes in the available supply of such securities or investor appetite therefor; • actions by the federal, state, or local governments that affect the economy, the housing sector or financial markets; • 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.
Our tangible net book value "at risk" leverage ratio was 7.0x and 7.4x as of December 31, 2023 and 2022, respectively. The following table includes a summary of our mortgage borrowings outstanding as of December 31, 2023 and 2022 (dollars in millions).
Our tangible net book value "at risk" leverage ratio was 7.2x and 7.0x as of December 31, 2024 and 2023, respectively. The following table includes a summary of our mortgage borrowings outstanding as of December 31, 2024 and 2023 (dollars in millions).
As of December 31, 2023 and 2022, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.41% and 3.37%, respectively. 29 The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of December 31, 2023 and 2022 (dollars in millions): December 31, 2023 Includes Net TBA Position Excludes Net TBA Position Fixed Rate Agency RMBS and TBA Securities Par Value Amortized Cost Fair Value Specified Pool % 1 Weighted Average Coupon Amortized Cost Basis Weighted Average Projected CPR 2 Yield 2 Age (Months) Fixed rate ≤ 15-year: ≤ 2.5% 58 59 54 100% 2.16% 101.7% 1.77% 65 10% 3.0% 442 450 423 99% 3.00% 101.5% 2.54% 71 10% 3.5% 14 14 13 100% 3.50% 101.5% 2.60% 126 14% 4.0% 229 235 227 95% 4.00% 102.8% 2.98% 70 13% 4.5% 1 1 1 99% 4.50% 101.7% 2.70% 154 21% 5.0% 90 89 91 —% 5.00% 100.9% 2.54% 168 41% Total ≤ 15-year 834 848 809 87% 3.44% 101.9% 2.62% 71 11% 20-year: ≤ 2.0% 219 225 188 —% 2.00% 102.6% 1.58% 37 5% 2.5% 337 352 301 —% 2.50% 104.7% 1.72% 42 6% 3.0% 27 28 25 97% 3.00% 103.6% 2.28% 53 8% 3.5% 117 119 113 79% 3.50% 101.7% 2.96% 125 10% ≥ 4.0% 142 148 141 96% 4.26% 104.3% 3.14% 83 11% Total 20-year: 842 872 768 32% 2.82% 103.6% 2.11% 59 7% 30-year: ≤ 3.0% 3,816 3,861 3,263 55% 2.43% 101.0% 2.28% 34 6% 3.5% 5,580 5,811 5,230 86% 3.50% 104.1% 2.84% 97 7% 4.0% 6,586 6,960 6,358 92% 4.00% 105.7% 3.08% 80 8% 4.5% 6,542 6,763 6,426 64% 4.50% 103.9% 3.83% 46 8% 5.0% 9,696 9,719 9,657 39% 5.00% 100.5% 4.91% 14 9% 5.5% 12,352 12,391 12,486 25% 5.50% 100.6% 5.39% 10 12% 6.0% 9,305 9,384 9,507 22% 6.00% 101.0% 5.71% 7 19% ≥ 6.5% 3,889 3,968 4,011 29% 6.50% 102.3% 5.78% 6 21% Total 30-year 57,766 58,857 56,938 46% 4.88% 102.2% 4.41% 35 11% Total fixed rate $ 59,442 $ 60,577 $ 58,515 47% 4.83% 102.2% 4.34% 35 11% ________________________________ 1.
Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2024. 30 December 31, 2023 Includes Net TBA Position Excludes Net TBA Position Fixed Rate Agency RMBS and TBA Securities Par Value Amortized Cost Fair Value Specified Pool % 1 Weighted Average Coupon Amortized Cost Basis Weighted Average Projected CPR 2 Yield 2 Age (Months) Fixed rate ≤ 15-year: ≤ 2.5% 58 59 54 100% 2.16% 101.7% 1.77% 65 10% 3.0% 442 450 423 99% 3.00% 101.5% 2.54% 71 10% 3.5% 14 14 13 100% 3.50% 101.5% 2.60% 126 14% 4.0% 229 235 227 95% 4.00% 102.8% 2.98% 70 13% 4.5% 1 1 1 99% 4.50% 101.7% 2.70% 154 21% ≥ 5.0% 90 89 91 —% 5.00% 100.9% 2.54% 168 41% Total ≤ 15-year 834 848 809 87% 3.44% 101.9% 2.62% 71 11% 20-year: ≤ 2.0% 219 225 188 —% 2.00% 102.6% 1.58% 37 5% 2.5% 337 352 301 —% 2.50% 104.7% 1.72% 42 6% 3.0% 27 28 25 97% 3.00% 103.6% 2.28% 53 8% 3.5% 117 119 113 79% 3.50% 101.7% 2.96% 125 10% ≥ 4.0% 142 148 141 96% 4.26% 104.3% 3.14% 83 11% Total 20-year: 842 872 768 32% 2.82% 103.6% 2.11% 59 7% 30-year: ≤ 3.0% 3,816 3,861 3,263 55% 2.43% 101.0% 2.28% 34 6% 3.5% 5,580 5,811 5,230 86% 3.50% 104.1% 2.84% 97 7% 4.0% 6,586 6,960 6,358 92% 4.00% 105.7% 3.08% 80 8% 4.5% 6,542 6,763 6,426 64% 4.50% 103.9% 3.83% 46 8% 5.0% 9,696 9,719 9,657 39% 5.00% 100.5% 4.91% 14 9% 5.5% 12,352 12,391 12,486 25% 5.50% 100.6% 5.39% 10 12% 6.0% 9,305 9,384 9,507 22% 6.00% 101.0% 5.71% 7 19% ≥ 6.5% 3,889 3,968 4,011 29% 6.50% 102.3% 5.78% 6 21% Total 30-year 57,766 58,857 56,938 46% 4.88% 102.2% 4.41% 35 11% Total fixed rate $ 59,442 $ 60,577 $ 58,515 47% 4.83% 102.2% 4.34% 35 11% ________________________________ 1.
As of December 31, 2023 and 2022, 43% and 48%, respectively, of our total repurchase agreements, including 45% and 48% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service. Our primary financing sources are collateralized borrowings structured as repurchase agreements.
As of December 31, 2024 and 2023, 47% and 43%, respectively, of our total repurchase agreements, including 49% and 45% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service. Our primary financing sources are collateralized borrowings structured as repurchase agreements.
As of December 31, 2023, less than 7% of our tangible stockholder's equity was at risk with the FICC. Excluding central clearing exchanges, as of December 31, 2023, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders' equity.
As of December 31, 2024, 9% of our tangible stockholder's equity was at risk with the FICC. Excluding central clearing exchanges, as of December 31, 2024, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders' equity.
As of December 31, 2023, our unencumbered assets totaled approximately $5.2 billion, or 67% of tangible equity, consisting of $5.1 billion of unencumbered cash and Agency RMBS and $0.1 billion of unencumbered credit assets.
As of December 31, 2024, our unencumbered assets totaled approximately $6.2 billion, or 67% of tangible equity, consisting of $6.1 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.
As of December 31, 2023, the weighted average haircut on our repurchase agreements was approximately 3.1% of the value of our collateral, compared to 3.7% as of December 31, 2022.
As of December 31, 2024, the weighted average haircut on our repurchase agreements was approximately 3.2% of the value of our collateral, compared to 3.1% as of December 31, 2023.
We also diversify our funding across multiple counterparties and by region. 42 As of December 31, 2023, 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 less than 3% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing approximately 7% of our tangible stockholders' equity.
We also diversify our funding across multiple counterparties and by region. 41 As of December 31, 2024, 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 less than 2% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing less than 5% of our tangible stockholders' equity.
Gain (Loss) on Investment Securities, Net The following table is a summary of our net gain (loss) on investment securities for fiscal years 2023, 2022 and 2021 (in millions): Fiscal Year Gain (Loss) on Investment Securities, Net 1 2023 2022 2021 Loss on sale of investment securities, net $ (1,567) $ (2,916) $ (57) Unrealized (loss) gain on investment securities measured at fair value through net income, net 2 1,678 (3,795) (1,502) Unrealized (loss) gain on investment securities measured at fair value through other comprehensive income, net 155 (973) (418) Total loss on investment securities, net $ 266 $ (7,684) $ (1,977) ________________________________ 1.
Gain (Loss) on Investment Securities, Net The following table is a summary of our net gain (loss) on investment securities for fiscal years 2024, 2023 and 2022 (in millions): Fiscal Year Gain (Loss) on Investment Securities, Net 1 2024 2023 2022 Loss on sale of investment securities, net $ (188) $ (1,567) $ (2,916) Unrealized (loss) gain on investment securities measured at fair value through net income, net 2 (885) 1,678 (3,795) Unrealized (loss) gain on investment securities measured at fair value through other comprehensive income, net (74) 155 (973) Total (loss) gain on investment securities, net $ (1,147) $ 266 $ (7,684) ________________________________ 1.
As of December 31, 2023, lower balance specified pools had a weighted average original loan balance of $132,000 and $153,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively. 2.
As of December 31, 2024, lower balance specified pools had a weighted average original loan balance of $188,000 and $148,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively. 2.
See Note 1 of preceding table for specified pool composition. As of December 31, 2022, lower balance specified pools had a weighted average original loan balance of $123,000 and $140,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 138% for 15-year and 30-year securities, respectively. 2.
See Note 1 of preceding table for specified pool composition. As of December 31, 2023, lower balance specified pools had a weighted average original loan balance of $132,000 and $153,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively. 2.
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). 4. In 2023, we began reporting PAI in other interest income (expense), net.
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).
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 fiscal years 2023, 2022 and 2021: Fiscal Year Investment and TBA Securities - Net Interest Spread 2023 2022 2021 Average asset yield 4.11 % 3.00 % 2.12 % Average aggregate cost of funds (1.05) % (0.27) % (0.01) % Average net interest spread 3.06 % 2.73 % 2.11 % 38 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 fiscal years 2023, 2022 and 2021 (dollars in millions): Fiscal Year 2023 2022 2021 Comprehensive income (loss) available (attributable) to common stockholders $ 187 $ (2,268) $ 231 Adjustments to exclude realized and unrealized (gains) losses reported through net income: Realized loss on sale of investment securities, net 1,567 2,916 57 Unrealized (gain) loss on investment securities measured at fair value through net income, net (1,678) 3,795 1,502 Gain on derivative instruments and other securities, net (386) (4,630) (1,110) 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 (155) 973 418 Other adjustments: Estimated "catch-up" premium amortization benefit due to change in CPR forecast 1 (5) (238) (96) TBA dollar roll income, net 2 31 518 656 Interest rate swap periodic income (cost), net 2,4 2,202 675 (60) Other interest income (expense), net 2,3,4 (146) (65) — Net spread and dollar roll income available to common stockholders (non-GAAP measure) 5 1,617 1,676 1,598 Weighted average number of common shares outstanding - basic 618.4 537.0 528.1 Weighted average number of common shares outstanding - diluted 619.6 538.1 530.0 Net spread and dollar roll income per common share - basic $ 2.61 $ 3.12 $ 3.03 Net spread and dollar roll income per common share - diluted $ 2.61 $ 3.11 $ 3.02 ________________________________ 1.
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 fiscal years 2024, 2023 and 2022: Fiscal Year Investment and TBA Securities - Net Interest Spread 2024 2023 2022 Average asset yield 4.70 % 4.11 % 3.00 % Average aggregate cost of funds (2.28) % (1.05) % (0.27) % Average net interest spread 2.42 % 3.06 % 2.73 % 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 fiscal years 2024, 2023 and 2022 (dollars in millions): Fiscal Year 2024 2023 2022 Comprehensive income (loss) available (attributable) to common stockholders $ 657 $ 187 $ (2,268) Adjustments to exclude realized and unrealized (gains) losses reported through net income: Realized loss on sale of investment securities, net 188 1,567 2,916 Unrealized (gain) loss on investment securities measured at fair value through net income, net 885 (1,678) 3,795 Gain on derivative instruments and other securities, net (2,028) (386) (4,630) 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 74 (155) 973 Other adjustments: Estimated "catch-up" premium amortization benefit due to change in CPR forecast 1 (51) (5) (238) TBA dollar roll income, net 2 21 31 518 Interest rate swap periodic income, net 2 1,815 2,202 675 Other interest income (expense), net 2,3 (87) (146) (65) Net spread and dollar roll income available to common stockholders (non-GAAP measure) 1,474 1,617 1,676 Weighted average number of common shares outstanding - basic 783.4 618.4 537.0 Weighted average number of common shares outstanding - diluted 786.0 619.6 538.1 Net spread and dollar roll income per common share - basic $ 1.88 $ 2.61 $ 3.12 Net spread and dollar roll income per common share - diluted $ 1.88 $ 2.61 $ 3.11 ________________________________ 1.
The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 111 and 88 basis points for fiscal years 2023 and 2022, respectively, largely as a result of shifting our asset portfolio away from TBA and lower coupon holdings toward a greater share of higher coupon, high-quality specified pools to capitalize on higher asset yields and wider spreads.
The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 59 and 111 basis points for fiscal years 2024 and 2023, respectively, largely as a result of shifting our asset portfolio from lower coupon holdings toward a greater share of higher coupon, specified pools.
Economic Interest Expense and Aggregate Cost of Funds The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for fiscal years 2023, 2022 and 2021 (dollars in millions), which includes the combination of interest expense on repurchase agreements and other debt used to fund acquisitions of investment securities (GAAP measure), implied financing cost (benefit) of our TBA securities and interest rate swap periodic cost (benefit): Fiscal Year 2023 2022 2021 Economic Interest Expense and Aggregate Cost of Funds 1 Amount Cost of Funds Amount Cost of Funds Amount Cost of Funds Investment securities repurchase agreement and other debt - interest expense (GAAP measure) $ 2,287 5.12 % $ 625 1.49 % $ 75 0.15 % TBA dollar roll income - implied interest expense (benefit) 2,3 493 4.86 % 228 1.08 % (128) (0.42) % Economic interest expense - before interest rate swap periodic cost (income), net 4 2,780 5.07 % 853 1.35 % (53) (0.06) % Interest rate swap periodic cost (benefit), net 2,5,6 (2,202) (4.02) % (675) (1.08) % 60 0.07 % Total economic interest expense (non-GAAP measure) $ 578 1.05 % $ 178 0.27 % $ 7 0.01 % ________________________________ 1.
Economic Interest Expense and Aggregate Cost of Funds The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for fiscal years 2024, 2023 and 2022 (dollars in millions), which includes the combination of interest expense on repurchase agreements and other debt used to fund acquisitions of investment securities (GAAP measure), implied financing cost of our TBA securities and interest rate swap periodic income: 36 Fiscal Year 2024 2023 2022 Economic Interest Expense and Aggregate Cost of Funds 1 Amount Cost of Funds Amount Cost of Funds Amount Cost of Funds Investment securities repurchase agreement and other debt - interest expense (GAAP measure) $ 2,931 5.27 % $ 2,287 5.12 % $ 625 1.49 % TBA dollar roll income - implied interest expense 2,3 279 5.07 % 493 4.86 % 228 1.08 % Economic interest expense - before interest rate swap periodic income, net 4 3,210 5.25 % 2,780 5.07 % 853 1.35 % Interest rate swap periodic income, net 2,5 (1,815) (2.97) % (2,202) (4.02) % (675) (1.08) % Total economic interest expense (non-GAAP measure) $ 1,395 2.28 % $ 578 1.05 % $ 178 0.27 % ________________________________ 1.
The average interest rate on our mortgage borrowings, excluding the impact interest rate swap period income/cost, increased 372 and 141 basis points for fiscal years 2023 and 2022, respectively, due to higher short-term interest rates.
The average interest rate on our mortgage borrowings, excluding the impact of interest rate swap periodic income, increased 18 and 372 basis points for fiscal years 2024 and 2023, respectively, due to higher short-term interest rates.
CMBS spreads are the average of spreads sourced from Bank of America, JP Morgan and Wells Fargo. 28 FINANCIAL CONDITION As of December 31, 2023 and 2022, our investment portfolio totaled $60.2 billion and $59.5 billion, respectively, consisting of: $54.8 billion and $40.9 billion investment securities, at fair value, respectively; $5.4 billion and $18.6 billion net TBA securities, at fair value, respectively; and other mortgage credit investments of $44 million and $25 million, respectively, which we account for under the equity method of accounting.
CMBS spreads are the average of spreads sourced from Bank of America, JP Morgan and Wells Fargo. 28 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.
Management's Discussion and Analysis of Financial Condition and Results of Operations (in millions, except per share amounts): December 31, Balance Sheet Data 2023 2022 2021 Investment securities, at fair value of $54,824, $40,904 and $54,421, respectively, and other mortgage credit investments $ 54,868 $ 40,929 $ 54,421 Total assets $ 71,596 $ 51,748 $ 68,149 Repurchase agreements and other debt $ 50,506 $ 36,357 $ 47,507 Total liabilities $ 63,339 $ 43,878 $ 57,858 Total stockholders' equity $ 8,257 $ 7,870 $ 10,291 Net book value per common share 1 $ 9.46 $ 10.76 $ 16.76 Tangible net book value per common share 2 $ 8.70 $ 9.84 $ 15.75 33 Fiscal Year Statement of Comprehensive Income Data 2023 2022 2021 Interest income $ 2,041 $ 1,590 $ 1,361 Interest expense 2,287 625 75 Net interest income (246) 965 1,286 Other gain (loss), net 497 (2,081) (449) Operating expenses 96 74 88 Net income (loss) 155 (1,190) 749 Dividends on preferred stock 123 105 100 Net income (loss) available (attributable) to common stockholders $ 32 $ (1,295) $ 649 Net income (loss) $ 155 $ (1,190) $ 749 Other comprehensive income (loss), net 155 (973) (418) Comprehensive income (loss) 310 (2,163) 331 Dividends on preferred stock 123 105 100 Comprehensive income (loss) available (attributable) to common stockholders $ 187 $ (2,268) $ 231 Weighted average number of common shares outstanding - basic 618.4 537.0 528.1 Weighted average number of common shares outstanding - diluted 619.6 537.0 530.0 Net income (loss) per common share - basic $ 0.05 $ (2.41) $ 1.23 Net income (loss) per common share - diluted $ 0.05 $ (2.41) $ 1.22 Comprehensive income (loss) per common share - basic $ 0.30 $ (4.22) $ 0.44 Comprehensive income (loss) per common share - diluted $ 0.30 $ (4.22) $ 0.44 Dividends declared per common share $ 1.44 $ 1.44 $ 1.44 Fiscal Year Other Data (Unaudited) * 2023 2022 2021 Average investment securities - at par $ 50,878 $ 47,761 $ 53,057 Average investment securities - at cost $ 52,262 $ 49,195 $ 54,869 Net TBA portfolio - at par (as of period end) 3 $ 5,331 $ 19,050 $ 27,123 Net TBA portfolio - at cost (as of period end) 3 $ 5,288 $ 18,407 $ 27,622 Net TBA portfolio - at market value (as of period end) 3 $ 5,354 $ 18,574 $ 27,578 Net TBA portfolio - at carrying value (as of period end) 3,4 $ 66 $ 167 $ (44) Average net TBA dollar roll position - at cost $ 10,000 $ 20,631 $ 29,851 Average total assets - at fair value $ 63,409 $ 61,028 $ 72,908 Average repurchase agreements and other debt outstanding 5 $ 44,027 $ 41,363 $ 49,923 Average stockholders' equity 6 $ 7,817 $ 8,475 $ 10,885 Average tangible net book value "at risk" leverage 7 7.4:1 7.8:1 7.7:1 Tangible net book value "at risk" leverage (as of period end) 8 7.0:1 7.4:1 7.7:1 Economic return on tangible common equity 9 3.0 % (28.4) % 2.9 % Expenses % of average total assets 0.15 % 0.12 % 0.12 % Expenses % of average assets, including average net TBA position 0.13 % 0.09 % 0.09 % Expenses % of average stockholders' equity 1.23 % 0.87 % 0.81 % ________________________________ * Except as noted below, average numbers for each period are weighted based on days on our books and records. 1.
Management's Discussion and Analysis of Financial Condition and Results of Operations (in millions, except per share amounts): December 31, Balance Sheet Data 2024 2023 2022 Investment securities, at fair value of $66,348, $54,824 and $40,904, respectively, and other mortgage credit investments $ 66,412 $ 54,868 $ 40,929 Total assets $ 88,015 $ 71,596 $ 51,748 Repurchase agreements and other debt $ 60,862 $ 50,506 $ 36,357 Total liabilities $ 78,253 $ 63,339 $ 43,878 Total stockholders' equity $ 9,762 $ 8,257 $ 7,870 Net book value per common share 1 $ 9.00 $ 9.46 $ 10.76 Tangible net book value per common share 2 $ 8.41 $ 8.70 $ 9.84 Fiscal Year Statement of Comprehensive Income Data 2024 2023 2022 Interest income $ 2,949 $ 2,041 $ 1,590 Interest expense 2,931 2,287 625 Net interest income (expense) 18 (246) 965 Other gain (loss), net 955 497 (2,081) Operating expenses 110 96 74 Net income (loss) 863 155 (1,190) Dividends on preferred stock 132 123 105 Net income (loss) available (attributable) to common stockholders $ 731 $ 32 $ (1,295) Net income (loss) $ 863 $ 155 $ (1,190) Other comprehensive income (loss), net (74) 155 (973) Comprehensive income (loss) 789 310 (2,163) Dividends on preferred stock 132 123 105 Comprehensive income (loss) available (attributable) to common stockholders $ 657 $ 187 $ (2,268) Weighted average number of common shares outstanding - basic 783.4 618.4 537.0 Weighted average number of common shares outstanding - diluted 786.0 619.6 537.0 Net income (loss) per common share - basic $ 0.93 $ 0.05 $ (2.41) Net income (loss) per common share - diluted $ 0.93 $ 0.05 $ (2.41) Comprehensive income (loss) per common share - basic $ 0.84 $ 0.30 $ (4.22) Comprehensive income (loss) per common share - diluted $ 0.84 $ 0.30 $ (4.22) Dividends declared per common share $ 1.44 $ 1.44 $ 1.44 33 Fiscal Year Other Data (Unaudited) * 2024 2023 2022 Average investment securities - at par $ 61,613 $ 50,878 $ 47,761 Average investment securities - at cost $ 62,698 $ 52,262 $ 49,195 Net TBA portfolio - at par (as of period end) 3 $ 6,955 $ 5,331 $ 19,050 Net TBA portfolio - at cost (as of period end) 3 $ 6,887 $ 5,288 $ 18,407 Net TBA portfolio - at market value (as of period end) 3 $ 6,861 $ 5,354 $ 18,574 Net TBA portfolio - at carrying value (as of period end) 3,4 $ (26) $ 66 $ 167 Average net TBA dollar roll position - at cost $ 5,389 $ 10,000 $ 20,631 Average total assets - at fair value $ 79,058 $ 63,409 $ 61,028 Average repurchase agreements and other debt outstanding 5 $ 54,658 $ 44,027 $ 41,363 Average stockholders' equity 6 $ 8,885 $ 7,817 $ 8,475 Average tangible net book value "at risk" leverage 7 7.2:1 7.4:1 7.8:1 Tangible net book value "at risk" leverage (as of period end) 8 7.2:1 7.0:1 7.4:1 Economic return on tangible common equity 9 13.2 % 3.0 % (28.4) % Expenses % of average total assets 0.14 % 0.15 % 0.12 % Expenses % of average assets, including average net TBA position 0.13 % 0.13 % 0.09 % Expenses % of average stockholders' equity 1.24 % 1.23 % 0.87 % ________________________________ * Except as noted below, average numbers for each period are weighted based on days on our books and records. 1.
Treasury securities - short position (54) 1,482 444 U.S. Treasury securities - long position (30) (32) (25) U.S.
Treasury securities - short position 844 (54) 1,482 U.S. Treasury securities - long position (85) (30) (32) U.S.
Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. E xcludes U.S. Treasury repurchase agreements totaling $1,547 million and $355 million as of December 31, 2023 and 2022, respectively. 2.
Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. E xcludes U.S. Treasury repurchase agreements totaling $1.4 billion and $1.5 billion as of December 31, 2024 and 2023, respectively. 2.
This compares to $4.4 billion of unencumbered assets, or 60% of tangible equity, as of December 31, 2022, consisting of $4.3 billion of unencumbered cash and Agency RMBS and $0.1 billion of unencumbered credit assets.
This compares to $5.2 billion of unencumbered assets, or 67% of tangible equity, as of December 31, 2023, consisting of $5.1 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.
Economic Interest Income and Asset Yields The following table summarizes our economic interest income (a non-GAAP measure) for fiscal years 2023, 2022 and 2021, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" premium amortization adjustments for the cumulative effect from prior reporting periods due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions): Fiscal Year 2023 2022 2021 Amount Yield Amount Yield Amount Yield Interest income: Cash/coupon interest income $ 2,242 4.41 % $ 1,603 3.36 % $ 1,730 3.26 % Net premium amortization benefit (cost) (201) (0.50) % (13) (0.13) % (369) (0.78) % Interest income (GAAP measure) 2,041 3.91 % 1,590 3.23 % 1,361 2.48 % Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast (5) (0.01) % (238) (0.48) % (96) (0.17) % Interest income, excluding "catch-up" premium amortization 2,036 3.90 % 1,352 2.75 % 1,265 2.31 % TBA dollar roll income - implied interest income 1,2 524 5.24 % 746 3.60 % 528 1.77 % Economic interest income, excluding "catch-up" amortization (non-GAAP measure) 3 $ 2,560 4.11 % $ 2,098 3.00 % $ 1,793 2.12 % Weighted average actual portfolio CPR for investment securities held during the period 6.3 % 11.1 % 23.1 % Weighted average projected CPR for the remaining life of investment securities held as of period end 11.4 % 7.4 % 10.9 % 30-year fixed rate mortgage rate as of period end 4 6.56 % 6.52 % 3.27 % 10-year U.S.
Economic return on tangible common equity represents the sum of the change in tangible net book value per common share and dividends declared per share of common stock during the period over beginning tangible net book value per common share. 34 Economic Interest Income and Asset Yields The following table summarizes our economic interest income (a non-GAAP measure) for fiscal years 2024, 2023 and 2022, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" premium amortization adjustments for the cumulative effect from prior reporting periods due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions): Fiscal Year 2024 2023 2022 Amount Yield Amount Yield Amount Yield Interest income: Cash/coupon interest income $ 3,072 4.99 % $ 2,242 4.41 % $ 1,603 3.36 % Net premium amortization benefit (cost) (123) (0.29) % (201) (0.50) % (13) (0.13) % Interest income (GAAP measure) 2,949 4.70 % 2,041 3.91 % 1,590 3.23 % Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast (51) (0.08) % (5) (0.01) % (238) (0.48) % Interest income, excluding "catch-up" premium amortization 2,898 4.62 % 2,036 3.90 % 1,352 2.75 % TBA dollar roll income - implied interest income 1,2 300 5.55 % 524 5.24 % 746 3.60 % Economic interest income (non-GAAP measure) 3 $ 3,198 4.70 % $ 2,560 4.11 % $ 2,098 3.00 % Weighted average actual portfolio CPR for investment securities held during the period 7.5 % 6.3 % 11.1 % Weighted average projected CPR for the remaining life of investment securities held as of period end 7.7 % 11.4 % 7.4 % 30-year fixed rate mortgage rate as of period end 4 6.86 % 6.56 % 6.52 % 10-year U.S.
Fiscal Year Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding 2023 2022 2021 Average investment securities repo and other debt outstanding $ 44,027 $ 41,363 $ 49,923 Average net TBA dollar roll position outstanding - at cost $ 10,000 $ 20,631 $ 29,851 Average mortgage borrowings outstanding $ 54,027 $ 61,994 $ 79,774 Average notional amount of interest rate swaps outstanding (excluding forward starting swaps), net $ 47,012 $ 49,334 $ 48,634 Ratio of average interest rate swaps to mortgage borrowings outstanding 87 % 80 % 61 % Average interest rate swap pay-fixed rate (excluding forward starting swaps) 0.55 % 0.25 % 0.17 % Average interest rate swap receive-floating rate (5.17) % (1.60) % (0.05) % Average interest rate swap net pay/(receive) rate (4.62) % (1.35) % 0.12 % For fiscal years 2023, 2022 and 2021, we had an average forward starting net pay and (receive) fixed rate swap balance of $(0.5) billion, $48 million and $149 million, respectively.
Amounts exclude forward starting swaps not yet in effect. 37 Fiscal Year Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding 2024 2023 2022 Average investment securities repo and other debt outstanding $ 54,658 $ 44,027 $ 41,363 Average net TBA dollar roll position outstanding - at cost $ 5,389 $ 10,000 $ 20,631 Average mortgage borrowings outstanding $ 60,047 $ 54,027 $ 61,994 Average notional amount of interest rate swaps outstanding (excluding forward starting swaps), net $ 43,351 $ 47,012 $ 49,334 Ratio of average interest rate swaps to mortgage borrowings outstanding 72 % 87 % 80 % Average interest rate swap pay-fixed rate (excluding forward starting swaps) 1.16 % 0.55 % 0.25 % Average interest rate swap receive-floating rate (5.25) % (5.17) % (1.60) % Average interest rate swap net pay/(receive) rate (4.09) % (4.62) % (1.35) % For fiscal years 2024, 2023 and 2022, we had an average forward starting net pay-fixed rate swap balance of $672 million, $43 million and $48 million, respectively.
The following table includes a summary of the estimated impact of these elements on our economic interest expense for fiscal years 2023 and 2022 compared to the prior year period (in millions): 37 Impact of Changes in the Principal Elements of Economic Interest Expense Due to Change in Average Fiscal Year 2023 vs 2022 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Investment securities repurchase agreement and other debt interest expense $ 1,662 $ 40 $ 1,622 TBA dollar roll income - implied interest benefit/expense 265 (117) 382 Interest rate swap periodic income/cost (1,527) 32 (1,559) Total change in economic interest benefit/expense $ 400 $ (45) $ 445 Due to Change in Average Fiscal Year 2022 vs 2021 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Investment securities repurchase agreement and other debt interest expense $ 550 $ (13) $ 563 TBA dollar roll income - implied interest benefit/expense 356 40 316 Interest rate swap periodic income/cost (735) 1 (736) Total change in economic interest benefit/expense $ 171 $ 28 $ 143 Our average mortgage borrowings, inclusive of TBAs, decreased 13% and 22% for fiscal years 2023 and 2022, respectively, due to a decline in our asset base.
The following table includes a summary of the estimated impact of these elements on our economic interest expense for fiscal years 2024 and 2023 compared to the prior year period (in millions): Impact of Changes in the Principal Elements of Economic Interest Expense Due to Change in Average Fiscal Year 2024 vs 2023 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Investment securities repurchase agreement and other debt interest expense $ 644 $ 552 $ 92 TBA dollar roll income - implied interest expense (214) (227) 13 Interest rate swap periodic income/cost 387 171 216 Total change in economic interest expense $ 817 $ 496 $ 321 Due to Change in Average Fiscal Year 2023 vs 2022 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Investment securities repurchase agreement and other debt interest expense $ 1,662 $ 40 $ 1,622 TBA dollar roll income - implied interest benefit/expense 265 (117) 382 Interest rate swap periodic income/cost (1,527) 32 (1,559) Total change in economic interest benefit/expense $ 400 $ (45) $ 445 Our average mortgage borrowings, inclusive of TBAs, increased 11% and decreased 13% for fiscal years 2024 and 2023, respectively, consistent with changes to our average investment portfolio.
Treasury 3.97% 3.65% 3.86% 4.70% 4.03% +6 bps 30-Year Fixed Rate Agency Price: 2.5% $84.96 $86.16 $84.77 $79.39 $85.24 +$0.28 3.0% $88.02 $89.63 $88.01 $82.75 $88.58 +$0.56 3.5% $91.10 $92.82 $91.11 $86.02 $91.86 +$0.76 4.0% $94.03 $95.59 $93.84 $89.09 $94.69 +$0.66 4.5% $96.59 $97.92 $96.14 $91.85 $97.04 +$0.45 5.0% $98.80 $99.69 $98.00 $94.39 $99.04 +$0.24 5.5% $100.47 $101.00 $99.55 $96.68 $100.56 +$0.09 6.0% $101.69 $102.08 $100.88 $98.74 $101.63 -$0.06 6.5% $102.57 $103.23 $102.12 $100.52 $102.51 -$0.06 15-Year Fixed Rate Agency Price: 1.5% $86.84 $87.95 $86.30 $83.27 $86.86 +$0.02 2.0% $89.28 $90.36 $88.61 $85.81 $89.47 +$0.19 2.5% $91.80 $92.83 $90.98 $88.21 $92.14 +$0.34 3.0% $93.85 $94.83 $93.32 $90.54 $94.30 +$0.45 3.5% $95.93 $96.68 $95.14 $92.52 $96.39 +$0.46 4.0% $97.75 $98.41 $96.59 $94.42 $98.10 +$0.35 ________________________________ 1.
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.
The following table presents a summary of our leverage ratios for the periods listed (dollars in millions): Investment Securities Repurchase Agreements and Other Debt 1 Net TBA Position Long/(Short) 2 Average Tangible Net Book Value "At Risk" Leverage during the Period 3 Tangible Net Book Value "At Risk" Leverage as of Period End 4 Quarter Ended Average Daily Amount Maximum Daily Amount Ending Amount Average Daily Amount Ending Amount December 31, 2023 $ 47,548 $ 52,643 $ 48,959 $ 4,993 $ 5,288 7.4:1 7.0:1 September 30, 2023 $ 47,073 $ 52,888 $ 51,931 $ 7,340 $ 2,407 7.5:1 7.9:1 June 30, 2023 $ 41,546 $ 42,408 $ 40,962 $ 9,985 $ 10,320 7.2:1 7.2:1 March 31, 2023 $ 39,824 $ 42,919 $ 42,022 $ 17,851 $ 10,385 7.7:1 7.2:1 December 31, 2022 $ 35,486 $ 39,399 $ 36,002 $ 18,988 $ 18,407 7.8:1 7.4:1 September 30, 2022 $ 40,530 $ 41,834 $ 39,169 $ 20,331 $ 19,116 8.1:1 8.7:1 June 30, 2022 $ 42,997 $ 44,243 $ 41,406 $ 19,653 $ 16,001 7.8:1 7.4:1 March 31, 2022 $ 46,570 $ 47,940 $ 44,150 $ 23,605 $ 20,152 7.8:1 7.5:1 December 31, 2021 $ 46,999 $ 48,524 $ 47,037 $ 29,014 $ 27,622 7.6:1 7.7:1 September 30, 2021 $ 45,847 $ 49,021 $ 45,723 $ 30,312 $ 28,912 7.5:1 7.5:1 June 30, 2021 $ 52,374 $ 60,186 $ 48,488 $ 28,082 $ 27,611 7.6:1 7.9:1 March 31, 2021 $ 54,602 $ 57,153 $ 55,221 $ 32,022 $ 25,355 8.0:1 7.7:1 ________________________________ 36 1.
The following table presents a summary of our leverage ratios for the periods listed (dollars in millions): Investment Securities Repurchase Agreements and Other Debt 1 Net TBA Position Long/(Short) 2 Average Tangible Net Book Value "At Risk" Leverage during the Period 3 Tangible Net Book Value "At Risk" Leverage as of Period End 4 Quarter Ended Average Daily Amount Maximum Daily Amount Ending Amount Average Daily Amount Ending Amount December 31, 2024 $ 59,690 $ 63,759 $ 59,426 $ 5,936 $ 6,887 7.2:1 7.2:1 September 30, 2024 $ 59,322 $ 64,585 $ 63,468 $ 2,650 $ 4,067 7.2:1 7.2:1 June 30, 2024 $ 50,784 $ 55,507 $ 54,682 $ 6,805 $ 5,318 7.2:1 7.4:1 March 31, 2024 $ 48,730 $ 49,894 $ 48,216 $ 6,190 $ 8,405 7.0:1 7.1:1 December 31, 2023 $ 47,548 $ 52,643 $ 48,959 $ 4,993 $ 5,288 7.4:1 7.0:1 September 30, 2023 $ 47,073 $ 52,888 $ 51,931 $ 7,340 $ 2,407 7.5:1 7.9:1 June 30, 2023 $ 41,546 $ 42,408 $ 40,962 $ 9,985 $ 10,320 7.2:1 7.2:1 March 31, 2023 $ 39,824 $ 42,919 $ 42,022 $ 17,851 $ 10,385 7.7:1 7.2:1 December 31, 2022 $ 35,486 $ 39,399 $ 36,002 $ 18,988 $ 18,407 7.8:1 7.4:1 September 30, 2022 $ 40,530 $ 41,834 $ 39,169 $ 20,331 $ 19,116 8.1:1 8.7:1 June 30, 2022 $ 42,997 $ 44,243 $ 41,406 $ 19,653 $ 16,001 7.8:1 7.4:1 March 31, 2022 $ 46,570 $ 47,940 $ 44,150 $ 23,605 $ 20,152 7.8:1 7.5:1 ________________________________ 1.
The following table includes a summary of the estimated impact of each of these elements on our economic interest income for fiscal years 2023 and 2022 compared to the prior year period (in millions): 35 Impact of Changes in the Principal Elements Impacting Economic Interest Income Due to Change in Average Fiscal Year 2023 vs 2022 Total Increase / (Decrease) Portfolio Size Asset Yield Interest Income (GAAP measure) $ 451 $ 99 $ 352 Estimated "catch-up" premium amortization due to change in CPR forecast 233 — 233 Interest income, excluding "catch-up" premium amortization 684 99 585 TBA dollar roll income - implied interest income (222) (384) 162 Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 462 $ (285) $ 747 Due to Change in Average Fiscal Year 2022 vs 2021 Total Increase / (Decrease) Portfolio Size Asset Yield Interest Income (GAAP measure) $ 229 $ (141) $ 370 Estimated "catch-up" premium amortization due to change in CPR forecast (142) — (142) Interest income, excluding "catch-up" premium amortization 87 (141) 228 TBA dollar roll income - implied interest income 218 (163) 381 Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 305 $ (304) $ 609 Our average investment portfolio, inclusive of TBAs (at cost), decreased 11% and 18% for fiscal years 2023 and 2022, respectively, primarily due to a decline in our average stockholders' equity and lower "at risk" leverage.
The following table includes a summary of the estimated impact of each of these elements on our economic interest income for fiscal years 2024 and 2023 compared to the prior year period (in millions): Impact of Changes in the Principal Elements Impacting Economic Interest Income Due to Change in Average Fiscal Year 2024 vs 2023 Total Increase / (Decrease) Portfolio Size Asset Yield Interest Income (GAAP measure) $ 908 $ 408 $ 500 Estimated "catch-up" premium amortization due to change in CPR forecast (46) — (46) Interest income, excluding "catch-up" premium amortization 862 408 454 TBA dollar roll income - implied interest income (224) (242) 18 Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 638 $ 166 $ 472 Due to Change in Average Fiscal Year 2023 vs 2022 Total Increase / (Decrease) Portfolio Size Asset Yield Interest Income (GAAP measure) $ 451 $ 99 $ 352 Estimated "catch-up" premium amortization due to change in CPR forecast 233 — 233 Interest income, excluding "catch-up" premium amortization 684 99 585 TBA dollar roll income - implied interest income (222) (384) 162 Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 462 $ (285) $ 747 35 Our average investment portfolio (at cost), inclusive of TBAs, increased 9% and decreased 11% for fiscal years 2024 and 2023, respectively, primarily due to changes in our capital base.
December 31, 2023 December 31, 2022 Mortgage Borrowings Amount % Amount % Investment securities repurchase agreements 1,2 $ 48,879 90 % $ 35,907 66 % Debt of consolidated variable interest entities, at fair value 80 — % 95 — % Total debt 48,959 90 % 36,002 66 % TBA and forward settling non-Agency securities, at cost 5,288 10 % 18,407 34 % Total mortgage borrowings $ 54,247 100 % $ 54,409 100 % ________________________________ 1.
December 31, 2024 December 31, 2023 Mortgage Borrowings Amount % Amount % Investment securities repurchase agreements 1,2 $ 59,362 90 % $ 48,879 90 % Debt of consolidated variable interest entities, at fair value 64 — % 80 — % Total debt 59,426 90 % 48,959 90 % TBA and forward settling non-Agency securities, at cost 6,887 10 % 5,288 10 % Total mortgage borrowings $ 66,313 100 % $ 54,247 100 % ________________________________ 1.
Market conditions are influenced by a variety of factors, including interest rates, prepayment expectations, liquidity, housing prices, unemployment rates, general economic conditions, government participation in the mortgage market, regulations and relative returns on other assets. Trends and Recent Market Impacts The Federal Reserve continued its unprecedented dual-track approach to monetary policy tightening in 2023.
Market conditions are influenced by a variety of factors, including interest rates, prepayment expectations, liquidity, housing prices, unemployment rates, general economic conditions, government participation in the mortgage market, regulations and relative returns on other assets.
Quantitative and Qualitative Disclosures about Market Risk in this form 10-K. 26 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, 2022 Mar. 31, 2023 June 30, 2023 Sept. 30, 2023 Dec. 31, 2023 Dec. 31, 2023 vs Dec. 31, 2022 Target Federal Funds Rate: Target Federal Funds Rate - Upper Band 4.50% 5.00% 5.25% 5.50% 5.50% +100 bps SOFR: SOFR Rate 4.30% 4.87% 5.09% 5.31% 5.38% +108 bps SOFR Interest Rate Swap Rate: 2-Year Swap 4.45% 4.06% 4.82% 4.97% 4.07% -38 bps 5-Year Swap 3.75% 3.34% 3.94% 4.38% 3.53% -22 bps 10-Year Swap 3.56% 3.17% 3.58% 4.27% 3.47% -9 bps 30-Year Swap 3.21% 2.93% 3.20% 4.01% 3.32% +11 bps U.S.
Quantitative and Qualitative Disclosures about Market Risk in this form 10-K. 26 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.
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-K. 40 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.
Treasury futures contracts - short position 409 (42) 811 SOFR futures contracts - long position 13 (10) — Other interest income (expense) (87) (146) (77) Other gain (loss) 2 (17) (49) Total gain (loss) on derivative instruments and other securities, net $ 2,028 $ 386 $ 4,630 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-K. 39 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.
As of December 31, 2023 and 2022, our TBA securities had a net carrying value of $66 million and $167 million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.
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.
The following table is a summary of our investment securities as of December 31, 2023 and 2022 (dollars in millions): December 31, 2023 December 31, 2022 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 $ 759 $ 718 3.25 % 1 % $ 1,718 $ 1,597 3.25 % 3 % 15-year TBA securities 89 91 5.00 % — % — — — % — % Total ≤ 15-year 848 809 3.44 % 1 % 1,718 1,597 3.25 % 3 % 20-year RMBS 872 768 2.82 % 1 % 1,601 1,365 2.51 % 2 % 30-year: 30-year RMBS 53,658 51,675 4.82 % 86 % 39,727 36,207 3.89 % 61 % 30-year TBA securities, net 2 5,199 5,263 5.50 % 9 % 18,407 18,574 4.84 % 31 % Total 30-year 58,857 56,938 4.88 % 95 % 58,134 54,781 4.20 % 92 % Total fixed rate Agency RMBS and TBA securities 60,577 58,515 4.83 % 97 % 61,453 57,743 4.13 % 97 % Adjustable rate Agency RMBS 293 290 4.67 % — % 126 122 3.72 % — % Multifamily 161 162 4.47 % — % — — — % — % CMO Agency RMBS: CMO 127 120 3.28 % — % 136 129 3.20 % — % Interest-only strips 40 35 1.77 % — % 46 41 2.15 % — % Principal-only strips 27 26 — % — % 31 29 — % — % Total CMO Agency RMBS 194 181 2.03 % — % 213 199 2.25 % 1 % Total Agency RMBS and TBA securities 61,225 59,148 4.80 % 98 % 61,792 58,064 4.12 % 98 % Non-Agency RMBS 1 43 34 5.10 % — % 111 90 4.52 % — % CMBS 303 273 7.27 % — % 605 567 6.06 % 1 % CRT 682 723 10.45 % 1 % 779 757 8.48 % 1 % Total investment securities $ 62,253 $ 60,178 4.88 % 100 % $ 63,287 $ 59,478 4.18 % 100 % ________________________________ 1.
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.
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-K). 39 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 fiscal years 2023, 2022 and 2021 (in millions): Fiscal Year 2023 2022 2021 TBA securities, dollar roll income $ 31 $ 518 $ 656 TBA securities, mark-to-market loss 18 (3,378) (1,208) Forward settling non-Agency securities, mark-to-market gain/(loss) — — 5 Interest rate swaps, periodic income (cost) 1 2,202 675 (60) Interest rate swaps, mark-to-market gain (loss) (1,532) 3,802 1,177 Credit default swaps - buy protection (13) 21 — Payer swaptions (21) 857 23 U.S.
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 fiscal years 2024, 2023 and 2022 (in millions): Fiscal Year 2024 2023 2022 TBA securities, dollar roll income $ 21 $ 31 $ 518 TBA securities, mark-to-market gain (loss) (144) 18 (3,378) Interest rate swaps, periodic income 1,815 2,202 675 Interest rate swaps, mark-to-market gain (loss) (804) (1,532) 3,802 Credit default swaps - buy protection (7) (13) 21 Payer swaptions 54 (21) 857 Recceiver swaptions (3) — — U.S.
We may also be unable to raise additional equity capital at suitable times or on favorable terms. Furthermore, when the trading price of our common stock is less than our estimate of our current tangible net book value per common share, among other conditions, we may repurchase shares of our common stock.
Furthermore, 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.
Amounts exclude gain (loss) on TBA securities, which are reported in gain (loss) on derivative instruments and other securities, net in our Consolidated Statements of Comprehensive Income. 2.
Amounts exclude gain (loss) on TBA securities, which are 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-K).
Treasury Spread 138 147 147 175 140 +2 30-Year Agency Current Coupon Yield to 10-Year U.S. Treasury Spread 151 158 179 179 137 -14 30-Year Agency Current Coupon Yield to 5/10-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.
As a result, the weighted average coupon on our fixed-rate Agency RMBS and TBA securities increased to 4.83% as of December 31, 2023 from 4.13% as of the previous year-end.
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.
Treasury Spread 145 152 163 177 139 -6 30-Year Agency Current Coupon Yield 5.39% 5.05% 5.63% 6.36% 5.25% -14 bps 30-Year Mortgage Rate 6.52% 6.40% 6.78% 7.41% 6.56% +4 bps Credit Spread (in bps): 2 CRT M2 514 423 360 252 206 -308 CMBS AAA 125 171 151 137 118 -7 CDX IG 82 76 66 74 56 -26 ________________________________ 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.
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.
Table excludes other mortgage credit investments of $44 million and $25 million as of December 31, 2023 and 2022, respectively. 2. TBA securities are presented net of long and short positions.
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.
Interest rate swap periodic income increased for fiscal years 2023 and 2022 primarily due to higher receive rates on our pay-fixed swaps, as the average pay rate on our swaps increased marginally and the average notional balance remained largely unchanged despite the decline in our average mortgage borrowings.
Interest rate swap periodic income declined for fiscal years 2024 and 2023 primarily due to higher pay rates on our pay-fixed swaps largely driven by the maturity of low cost interest rate swaps. The following is a summary of our interest rate swaps outstanding during fiscal years 2024, 2023 and 2022 (dollars in millions).
Interest rate swap periodic cost (benefit) is measured as a percent of average mortgage borrowings outstanding for the period. 6. In 2023, we began reporting price alignment interest income (expense) ("PAI") on interest swap margin deposits posted by or (to) us in other interest income (expense), net. PAI was previously reported in interest rate swap periodic cost (benefit).
Interest rate swap periodic income is measured as a percent of average mortgage borrowings outstanding for the period.
Treasury Security Rate: 2-Year U.S. Treasury 4.43% 4.03% 4.90% 5.05% 4.25% -18 bps 5-Year U.S. Treasury 4.01% 3.58% 4.16% 4.61% 3.85% -16 bps 10-Year U.S. Treasury 3.88% 3.47% 3.84% 4.57% 3.88% — bps 30-Year U.S.
Treasury Security Rate: 2-Year 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.
Our total economic return on tangible common equity was 3.0% for 2023, comprised of $1.44 dividends declared per common share and a $1.14 decline in tangible net book value per common share, compared to a loss of 28.4% for 2022.
These dynamics provided an improved investment backdrop that enabled AGNC to generate a positive economic return of 13.2% in 2024, comprised of our monthly dividends totaling $1.44 per common share for the year and a modest decline of our tangible net book value of $0.29 per common share.
In addition, because not all companies use identical calculations, our presentation of such non-GAAP measures may not be comparable to other similarly titled measures of other companies. ________________________________ 1. "Net spread and dollar roll income available to common stockholders" was previously referred to as "net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common stockholders".
In addition, because not all companies use identical calculations, our presentation of such non-GAAP measures may not be comparable to other similarly titled measures of other companies. Selected Financial Data The following selected financial data is derived from our annual financial statements for the three years ended December 31, 2024.
"Net spread and dollar roll income available to common stockholders" continues to exclude "catch-up" premium amortization. Selected Financial Data The following selected financial data is derived from our annual financial statements for the three years ended December 31, 2023. The selected financial data should be read in conjunction with the more detailed information contained in Item 8.
The selected financial data should be read in conjunction with the more detailed information contained in Item 8. Financial Statements and in this Item 7.
These developments collectively position Agency RMBS as an attractive investment option, both on an absolute and relative basis, in our view, and form the basis for our positive investment outlook. 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.
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.
In addition, our liquidity as a percentage of our stockholders' equity remained within normal operating levels despite the difficult environment, with unencumbered cash and Agency RMBS growing to $5.1 billion, or 66% of our tangible stockholders' equity, as of the end of 2023, up from $4.3 billion, or 59% of tangible stockholders’ 25 equity, the previous year-end.
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.
Removed
Since the beginning of this cycle in 2022, the Federal Reserve has raised the Federal Funds rate by 525 basis points and reduced its balance sheet by $1.3 trillion.
Added
Trends and Recent Market Impacts In 2024, an increasingly favorable market environment for Agency RMBS investors emerged as the Fed pivoted from its restrictive monetary policy and began lowering short-term rates toward a neutral level. Declining inflationary pressures and the Fed’s more accommodative monetary policy helped reduce interest rate volatility and steepen the yield curve.
Removed
This aggressive Federal Reserve campaign and a number of other macroeconomic and geopolitical factors, including persistent inflation, regional bank failures and fears of broader financial contagion, political uncertainty regarding the U.S. debt ceiling and gross supply of U.S. Treasury securities, and significant global geopolitical events, led to sharply higher interest rate and Agency RMBS spread volatility throughout the year.
Added
The U.S. presidential election and its implications for deficit spending, fiscal policy and future Treasury issuance tempered the positive investment sentiment that existed during the first three quarters of the year.
Removed
While a number of the risks related to these factors remain and will continue to influence Agency RMBS performance going forward, market uncertainty about many of them has declined considerably from peak levels experienced during the year. The 10-year U.S.
Added
In addition, strong economic data late in the fourth quarter extended the Fed’s anticipated easing timeline as evidenced by its December Summary of Economic Projections, which indicated fewer expected rate cuts in 2025 and 2026 than previously projected. Looking forward, our outlook for Agency mortgage-backed securities in 2025 remains very favorable.
Removed
Treasury increased 170 basis points from the April 2023 low of 3.3% to nearly 5.0% in mid-October before declining 110 basis points to 3.9% at year end, ending the year unchanged.
Added
We anticipate that Agency RMBS spreads relative to benchmark rates will remain wide compared to historical averages and continue to trade within the well-defined range that has been established over the past several quarters. Agency RMBS spreads to benchmark rates in the current range offer investors attractive return opportunities.
Removed
The current coupon Agency RMBS spread to a blend of 5- and 10-year Treasuries began the year at 145 basis points and reached 190 basis points in May and again in October, approximating levels that Agency RMBS spreads had previously reached since 2000 only during extreme financial market dislocations - the Great Financial Crisis and the peak of the Covid pandemic - before declining to 139 basis points at year end.
Added
Further, longer-term interest rates have risen meaningfully, and as of year-end, the 30-year primary mortgage rate was once again near 7%. At current rate levels, we expect the supply of Agency RMBS in 2025 to be similar to that of 2024 and reasonably well-aligned with investor demand.
Removed
Challenging fixed income environments underscore the importance of active portfolio management and prioritization of risk management. To that end, AGNC maintained a large interest rate hedge position, averaging over 115% of our repo funding and TBA position for 2023 and 2022, and a reduced leverage profile, averaging 7.4x and 7.8x of our tangible stockholders' equity for 2023 and 2022, respectively.
Added
Potential increases in bank demand as regulatory constraints ease could also provide incremental additional support for Agency RMBS valuations.
Removed
To capitalize on higher asset yields and wider spreads, in 2023, we continued to shift our asset portfolio away from TBA and lower coupon holdings toward a greater share of higher coupon, high-quality specified pools.
Added
Together, these positive dynamics create a constructive investment backdrop for AGNC in 2025. 25 Notwithstanding our favorable outlook for Agency RMBS as we begin 2025, financial market and macroeconomic uncertainty remains elevated as the new administration implements sweeping changes to tariff, immigration, fiscal, and regulatory policy.

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Item 7A. Quantitative and Qualitative Disclosures About Market Risk

Market Risk — interest-rate, FX, commodity exposure

15 edited+0 added−0 removed34 unchanged
Biggest changeEstimated yields exclude the impact of retroactive "catch-up" premium amortization adjustments for prior periods due to changes in the projected CPR assumption. 45 Interest Rate Sensitivity 1 December 31, 2023 December 31, 2022 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 17.8% 4.33% 8.3% 3.33% -50 Basis Points 15.4% 4.36% 7.9% 3.34% -25 Basis Points 13.2% 4.39% 7.6% 3.36% Actual as of Period End 11.4% 4.41% 7.4% 3.37% +25 Basis Points 9.7% 4.44% 7.2% 3.38% +50 Basis Points 8.5% 4.46% 7.0% 3.39% +75 Basis Points 7.7% 4.47% 6.9% 3.40% ________________________________ 1.
Biggest changeInterest Rate Sensitivity 1 December 31, 2024 December 31, 2023 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 11.7% 4.70% 17.8% 4.33% -50 Basis Points 9.8% 4.73% 15.4% 4.36% -25 Basis Points 8.5% 4.76% 13.2% 4.39% Actual as of Period End 7.7% 4.77% 11.4% 4.41% +25 Basis Points 7.3% 4.78% 9.7% 4.44% +50 Basis Points 6.9% 4.79% 8.5% 4.46% +75 Basis Points 6.7% 4.80% 7.7% 4.47% ________________________________ 1.
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.
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 44 mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.
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.
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 43 and decrease when interest rates fall.
Future borrowings are dependent upon the willingness of lenders to finance our investments, lender collateral 46 requirements and the lenders’ determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates and liquidity conditions within the commercial banking and mortgage finance industries.
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, which fluctuates with changes in interest rates and liquidity conditions within the commercial banking and mortgage finance industries.
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 December 31, 2023 and 2022 should interest rates go up or down by 25, 50 and 75 basis points, assuming instantaneous parallel shifts in the yield curve 44 and including the impact of both duration and convexity.
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 December 31, 2024 and 2023 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.
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 December 31, 2023 and 2022 should spreads widen or tighten by 10, 25 and 50 basis points.
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 December 31, 2024 and 2023 should spreads widen or tighten by 10, 25 and 50 basis points.
As of December 31, 2023, 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-K for additional details).
As of December 31, 2024, 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-K for additional details).
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 December 31, 2023 and 2022.
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 December 31, 2024 and 2023.
Interest Rate Sensitivity 1,2 December 31, 2023 December 31, 2022 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 -0.7% -7.0% +0.1% +1.4% -50 Basis Points -0.4% -3.8% +0.1% +1.5% -25 Basis Points -0.1% -1.5% +0.1% +1.0% +25 Basis Points 0.1% +0.7% -0.1% -1.4% +50 Basis Points 0.1% +0.7% -0.3% -3.3% +75 Basis Points 0.0% 0.0% -0.5% -5.4% ________________________________ 1.
Interest Rate Sensitivity 1,2 December 31, 2024 December 31, 2023 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 -0.1% -0.9% -0.7% -7.0% -50 Basis Points 0.0% +0.2% -0.4% -3.8% -25 Basis Points +0.1% +0.5% -0.1% -1.5% +25 Basis Points -0.1% -1.1% +0.1% +0.7% +50 Basis Points -0.3% -2.8% +0.1% +0.7% +75 Basis Points -0.5% -4.8% 0.0% 0.0% ________________________________ 1.
The table below assumes a spread duration of 4.7 and 5.8 years as of December 31, 2023 and 2022, 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.
The table below assumes a spread duration of 5.1 and 4.7 years as of December 31, 2024 and 2023, 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.
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 -0.5 years as of December 31, 2023, compared to 0.4 years as of 2022.
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 0.3 years as of December 31, 2024, compared to -0.5 years as of 2023.
However, our efforts to manage credit risk may be unsuccessful and we could suffer losses as a result. Excluding central clearing exchanges, as of December 31, 2023, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was less than 3% and 1%, respectively, of tangible stockholders' equity. 47
However, our efforts to manage credit risk may be unsuccessful and we could suffer losses as a result. Excluding central clearing exchanges, as of December 31, 2024, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was less than 2% and less than 1%, respectively, of tangible stockholders' equity. 46
Spread Sensitivity 1,2 December 31, 2023 December 31, 2022 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 +2.3% +23.1% +2.9% +30.6% -25 Basis Points +1.2% +11.6% +1.5% +15.3% -10 Basis Points +0.5% +4.6% +0.6% +6.1% +10 Basis Points -0.5% -4.6% -0.6% -6.1% +25 Basis Points -1.2% -11.6% -1.5% -15.3% +50 Basis Points -2.3% -23.1% -2.9% -30.6% ________________________________ 1.
Spread Sensitivity 1,2 December 31, 2024 December 31, 2023 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% +24.5% +2.3% +23.1% -25 Basis Points +1.3% +12.3% +1.2% +11.6% -10 Basis Points +0.5% +4.9% +0.5% +4.6% +10 Basis Points -0.5% -4.9% -0.5% -4.6% +25 Basis Points -1.3% -12.3% -1.2% -11.6% +50 Basis Points -2.5% -24.5% -2.3% -23.1% 45 ________________________________ 1.
As of December 31, 2023 and 2022, our investment securities (excluding TBAs) had a weighted average projected CPR of 11.4% and 7.4%, respectively, and a weighted average yield of 4.41% and 3.37%, respectively.
As of December 31, 2024 and 2023, our investment securities (excluding TBAs) had a weighted average projected CPR of 7.7% and 11.4%, respectively, and a weighted average yield of 4.77% and 4.41%, 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.
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.

Other AGNC 10-K year-over-year comparisons