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What changed in AGNC Investment Corp.'s 10-K — 2022 vs 2023

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Paragraph-level year-over-year comparison of AGNC Investment Corp.'s 2022 and 2023 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 2023 report.

+244 added−253 removedSource: 10-K (2024-02-22) vs 10-K (2023-02-27)

Top changes in AGNC Investment Corp.'s 2023 10-K

244 paragraphs added · 253 removed · 186 edited across 6 sections

Item 1. Business

Business — how the company describes what it does

23 edited+4 added−6 removed63 unchanged
Biggest changeTargeted Investments Agency Securities • Agency Residential Mortgage-Backed Securities. Our primary investments consist of Agency pass-through certificates representing interests in "pools" of mortgage loans secured by residential real property.
Biggest changeOur 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.
Security holders 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.
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.
There is no direct authority with respect to the qualification of income or gains from TBAs for the 75% gross income test; however, we treat these as qualifying income for this purpose based on an opinion of legal counsel. The treatment of interest income from other real estate 4 securities depends on their specific tax structure.
There is no direct authority with respect to the qualification of income or gains from TBAs for the 75% gross income test; however, we treat these as qualifying income for this purpose based on an opinion of legal counsel. The treatment of interest income from other real estate securities depends on their specific tax structure.
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 5 are an important component of our employee engagement that provide a means of assessing job satisfaction, engagement, and specific concerns of our employees.
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.
In addition to standard medical coverage, we offer employees dental and vision coverage, health savings and flexible spending accounts, paid time off, parental leave and adoption assistance, voluntary short-term and long-term disability insurance, term life insurance, employee assistance 6 programs, and other benefits.
In addition to standard medical coverage, we offer employees dental and vision coverage, health savings and flexible spending accounts, paid time off, parental leave and adoption assistance, voluntary short-term and long-term disability insurance, term life insurance, employee assistance programs, and other benefits.
CRT securities are risk sharing instruments that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third- 2 parties to private investors.
CRT securities are risk sharing instruments that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third- parties to private investors.
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.
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.
We believe that we have been organized and operate in such a manner as to qualify for taxation as a REIT. Income Tests: To continue to qualify as a REIT, we must satisfy two gross income requirements on an annual basis. 1.
We believe that we have been organized and operate in such a manner as to qualify for taxation as a REIT. Income Tests: To continue to qualify as a REIT, we must satisfy two gross income requirements on an annual basis. 4 1.
The prestigious certification was based entirely on feedback from employees through an extensive anonymous survey about their experiences working at AGNC, during which 98% 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.
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.
Regulatory Requirements of our Captive Broker-Dealer Subsidiary BES is subject to ongoing membership and regulatory requirements as a member of the FICC and FINRA and as a registered broker-dealer that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees.
Regulatory Requirements of our Captive Broker-Dealer Subsidiary BES is subject to ongoing membership and regulatory requirements as a member of the FICC and FINRA and as an SEC registered broker-dealer that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and 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, 2022, our workforce consisted of 51 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, 2023, our workforce consisted of 53 full-time employees.
Our borrowings through repurchase transactions are generally short-term and have maturities ranging from one day to one year but may have maturities up to five or more years. Our financing rates are primarily impacted by short-term benchmark rates and liquidity in the Agency repo and short-term funding markets.
Our borrowings through repurchase transactions are generally short-term, with maturities typically ranging from one day to one year, but may sometimes have maturities of up to five or more years. Our financing rates are primarily impacted by short-term benchmark rates and liquidity in the Agency repo and short-term funding markets.
We believe our 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 2022 50 -2 3 51 2021 50 -2 2 50 2020 51 -1 0 50 ________________________________ 1.
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.
As of December 31, 2022, 39% of our employees were women and 31% 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. Our pay-for-performance compensation philosophy is based on rewarding each employee’s individual contributions through a combination of fixed and variable pay elements.
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.
In 2022, we conducted mandatory compliance training on the Code of Conduct, insider trading, whistleblower protections and anti-harassment. Our executive officers and human resources department maintain "open door" policies, and any form of retaliation for bona fide reporting of Code of Conduct violations is expressly prohibited.
We also regularly conduct mandatory compliance training on the Code of Conduct, insider trading, whistleblower protections, anti-harassment and other legal and corporate policies. Our executive officers and human resources department maintain "open door" policies, and any form of retaliation for bona fide reporting of Code of Conduct violations is expressly prohibited.
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 2021, AGNC received the Great Place to Work™ certification in recognition of employee engagement efforts.
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.
It is our intention to distribute 100% of our taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. We are internally managed with the principal objective of providing our stockholders with favorable long-term returns on a risk-adjusted basis through attractive monthly dividends.
It is our intention to distribute 100% of our taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. We are internally managed with the principal objective of generating favorable long-term stockholder returns with a substantial yield component.
We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities. We fund our investments primarily through collateralized borrowings structured as repurchase agreements.
We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities. We fund our investments primarily through collateralized borrowings structured as repurchase agreements. Investment Management Strategy We employ an active management strategy that is dynamic and responsive to evolving market conditions.
Corporate Information Our executive offices are located at Two Bethesda Metro Center, 12 th Floor, Bethesda, MD 20814 and our telephone number is (301) 968-9315.
Corporate Information Our executive offices are located at 7373 Wisconsin Avenue, 22 nd Floor, Bethesda, MD 20814 and our telephone number is (301) 968-9315.
Our investment strategies are based on our assessment of these risks, our ability to hedge a portion of these risks and our intention to qualify as a REIT.
We are exposed to a variety of market risks, including interest rate, prepayment, extension, spread and credit risks. Our investment strategies are based on our assessment of these risks, our ability to hedge a portion of these risks and our intention to qualify as a REIT.
Consequently, 3 dollar roll transactions represent a form of off-balance sheet financing. In evaluating our overall leverage, we consider both our on-balance sheet and off-balance sheet financing. Risk Management Strategy We are exposed to a variety of market risks, including interest rate, prepayment, extension, spread and credit risks.
Consequently, dollar roll transactions represent a form of off-balance sheet financing. In evaluating our overall leverage, we consider both our on-balance sheet and off-balance sheet financing. Risk Management Strategy As a levered investor in fixed income securities, risk management is core to our business.
Government agency and other assets related to the housing, mortgage or real estate markets; • capitalize on discrepancies in the relative valuations in the Agency and non-Agency securities market; • manage financing, interest rate, prepayment, extension and credit risks; • continue to qualify as a REIT; and • remain exempt from the requirements of the Investment Company Act of 1940 (the "Investment Company Act").
Our portfolio management philosophy is based upon the following core objectives: • deliver attractive risk-adjusted returns for our stockholders primarily through monthly dividend distributions; • maintain an investment portfolio consisting predominantly of Agency RMBS; • capitalize on discrepancies in the relative valuations in the Agency and non-Agency securities market; • manage financing, interest rate, prepayment, extension and credit risks; • qualify as a REIT; and • remain exempt from the requirements of the Investment Company Act of 1940 (the "Investment Company Act").
Financing Strategy We finance our investment portfolio primarily through collateralized borrowings structured as repurchase agreements ("repo"). Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date.
Financing Strategy Our investments in Agency RMBS benefit from asset-driven, as well as AGNC-specific, funding advantages, that enable us to enhance returns using leverage via low-cost and highly liquid collateralized borrowings structured as repurchase agreements. Repurchase agreements ("repo") involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date.
Removed
Investment Strategy Our investment strategy is intended to: • generate attractive risk-adjusted returns for our stockholders through monthly dividend distributions; • manage an investment portfolio consisting primarily of Agency securities; • invest a subset of the portfolio in credit-oriented securities that are not guaranteed by a GSE or U.S.
Added
The composition of our portfolio and our investment, funding, and hedging strategies are tailored to reflect our analysis of market conditions and the relative values of available options.
Removed
Active Portfolio Management Strategy We employ an active management strategy designed to achieve our principal objectives of generating attractive risk-adjusted returns and managing our tangible net book value within reasonable bands. As part of our investment strategy, we use leverage on our investment portfolio to increase potential returns to our stockholders.
Added
Targeted Investments Asset selection is a central component of our overall investment approach. Our investments consist predominantly of Agency RMBS which, in addition to carrying a GSE or U.S. Government guarantee against loss of principal, are considered a cornerstone of the U.S. financial system.
Removed
We invest in securities based on our assessment of their relative risk-return profiles and our ability to effectively hedge a portion of the securities' exposure to market risks. The composition of our portfolio and the strategies we use will vary based on our view of prevailing market conditions and the availability of suitable investment, hedging and funding opportunities.
Added
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.
Removed
COVID-19; Workforce Safety; and Hybrid Work Model To protect the health and safety of our workforce, during the COVID-19 pandemic (the "Pandemic" or "COVID-19"), we shifted to a fully remote work-from-home environment prior to any jurisdiction’s mandate to do so.
Added
We employ a variety of investment and risk management strategies to reduce our exposure to market risks, and we continuously monitor and adjust our hedge portfolio, the net duration (or interest rate sensitivity) of our investment portfolio, and leverage in order to optimize returns over the longer term as market conditions warrant.
Removed
Based in part on employee survey results conducted after the onset of the Pandemic, in 2021, we commenced a gradual return to in-office work, with employees having the choice to work in the office subject to safety protocols or to continue working remotely.
Removed
In 2022, we implemented a hybrid model through which employees are able to split hours between the office and remote work. We hold regular town hall meetings (typically quarterly) to ensure sufficient company-wide communication with our workforce in light of our hybrid working model.

Item 1A. Risk Factors

Risk Factors — what could go wrong, per management

64 edited+24 added−30 removed166 unchanged
Biggest changeSpreads may widen due to numerous factors, including due to actual or expected monetary policy actions by U.S. and foreign central banks, increased market volatility, a decline in market liquidity and changes in investor return requirements and sentiment. The Fed’s participation in the Agency mortgage market could have an adverse effect on our Agency RMBS investments.
Biggest changeAlthough we use hedging instruments to attempt to protect against moves in interest rates, our hedges will typically not protect us against spread risk. 7 Spreads may widen due to numerous factors, including due to actual or expected monetary policy actions by U.S. and foreign central banks, increased market volatility, increased available supply of Agency RMBS, a decline in market liquidity and changes in investor return requirements and sentiment.
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.
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.
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 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 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.
Additionally, assets in certain regional areas may be more susceptible to certain hazards (such as earthquakes, widespread fires, rising sea levels, disease, floods, drought, hurricanes and certain climate risks) than properties in other areas; for example, assets located in coastal states may be more susceptible to hurricanes or sea level rise than properties in other parts of the country.
Additionally, assets in certain regional areas may be more susceptible to certain environmental hazards (such as earthquakes, widespread fires, rising sea levels, disease, floods, drought, hurricanes and certain climate risks) than properties in other areas; for example, assets located in coastal states may be more susceptible to hurricanes or sea level rise than properties in other parts of the country.
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. We may change our targeted investments, investment guidelines and other operational policies without stockholder consent.
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.
Revisions in Federal tax laws and interpretations thereof could affect or cause us to change our investments and affect the tax considerations of an investment in us. Actions of the U.S. Government, including the U.S. Congress, Fed, U.S. Treasury, Federal Housing Finance Administration ("FHFA") and other governmental and regulatory bodies may adversely affect our business. U.S.
Revisions in Federal tax laws and interpretations thereof could affect or cause us to change our investments and affect the tax considerations of an investment in us. 19 Actions of the U.S. Government, including the U.S. Congress, Fed, U.S. Treasury, Federal Housing Finance Administration ("FHFA") and other governmental and regulatory bodies may adversely affect our business. U.S.
For example, realized gains and losses on our hedging instruments, such as interest rate swaps, may be deferred for 16 income tax purposes and amortized into taxable income over the remaining contract term of the instrument even if we have exited the instrument and settled such gains or losses for cash.
For example, realized gains and losses on our hedging instruments, such as interest rate swaps, may be deferred for income tax purposes and amortized into taxable income over the remaining contract term of the instrument even if we have exited the instrument and settled such gains or losses for cash.
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.
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.
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.
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.
We incur this leverage by borrowing against a substantial portion of the market value of our assets. Leverage, which is fundamental to our investment strategy, creates significant risks and amplifies our risk exposure to higher borrowing costs, changes in underlying asset values and other market factors.
We incur this leverage by borrowing against a substantial portion of the market value of our assets. Leverage, which is fundamental to our investment strategy, creates significant risks and amplifies our risk exposure to higher borrowing costs, changes in underlying asset values, changes in mortgage spreads, and other market factors.
BES is subject to ongoing membership and regulatory requirements as a member of the FICC and FINRA and as a registered broker-dealer that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees.
BES is subject to ongoing membership and regulatory requirements as a member of the FICC and FINRA and as an SEC registered broker-dealer that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees.
Such ownership limit could also delay or prevent a transaction or a change in our control that might involve a premium price for our common stock or otherwise be in the best interest of our stockholders. Item 1B. Unresolved Staff Comments None. Item 2. Properties None.
Such ownership limit could also delay or prevent a transaction or a change in our control that might involve a premium price for our common stock or otherwise be in the best interest of our stockholders. Item 1B. Unresolved Staff Comments None.
Together or individually new regulatory requirements could materially affect our financial condition or results of operations in an adverse way. 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.
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.
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 Fannie Mae or Freddie Mac 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.
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.
The Fed's participation in the Agency RMBS market can have a material impact on the mortgage market, altering the available supply, price and returns on Agency RMBS. Its involvement in the mortgage market can result in increased market volatility and amplify the effects of market related risks on our financial condition.
The Federal Reserve's (the “Fed”) participation in the Agency RMBS market can have a material impact on the mortgage market, altering the available supply, price and returns on Agency RMBS. Its involvement in the mortgage market can result in increased market volatility and amplify the effects of market-related risks on our financial condition.
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.
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.
A variety of factors could prevent us from being able to achieve our intended borrowing and leverage objectives, including: • disruptions in the repo market generally or the infrastructure that supports it; • higher short-term interest rates; • a decline in the market value of our investments available to collateralize borrowings; • increases in the "haircut" lenders require on the value of our assets under repurchase agreements, resulting in higher collateral requirements; • regulatory capital requirements or other limitations imposed on our lenders that negatively impact their ability or willingness to lend to us; • an exit by lenders from the market; • circumstances that could result in our failure to satisfy covenants, leverage limits, or other requirements imposed by our lenders, in which case our lenders may terminate and cease entering into repurchase transactions with us; and • the inability of our wholly-owned captive broker-dealer to continually meet FINRA and FICC regulatory and membership requirements, which may change over time.
A variety of factors could prevent us from being able to achieve our intended borrowing and leverage objectives, including: • disruptions in the repo market generally or the infrastructure that supports it; • higher short-term interest rates; • a decline in the market value of our investments available to collateralize borrowings; • increases in the "haircut" lenders require on the value of our assets under repurchase agreements, resulting in higher collateral requirements; • increases in member specific margin requirements assessed by the FICC for tri-party repo accessed by our wholly-owned captive broker-dealer subsidiary, BES, through the FICC's GCF Repo service; • regulatory capital requirements or other limitations imposed on our lenders that negatively impact their ability or willingness to lend to us; • an exit by lenders from the market; • circumstances that could result in our failure to satisfy covenants, leverage limits, or other requirements imposed by our lenders, in which case our lenders may terminate and cease entering into repurchase transactions with us; and • the inability of BES to continually meet FINRA and FICC regulatory and membership requirements, which may change over time.
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.
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.
Assets sales, or a more rapid unwinding of its balance sheet than anticipated, could result in increased market volatility, reduced liquidity and an increase in Agency RMBS spreads to benchmark interest rates, causing a material decline in our tangible net book and negatively impacting our financial position.
If the Fed were to conduct assets sales or allow a more rapid unwinding of its balance sheet than anticipated, Agency RMBS markets could experience increased market volatility, reduced liquidity and an increase in Agency RMBS spreads to benchmark interest rates, causing a material decline in our tangible net book and negatively impacting our financial position.
Fed monetary policy and the unwinding of its balance sheet could also have a negative impact on asset values and market liquidity, especially if the unwinding occurs more rapidly than anticipated. Changes in prepayment rates may adversely affect the return on our investments.
Fed monetary policy and the pace of its balance sheet reduction could also negatively impact asset values and market liquidity, especially if this unwinding process occurs more rapidly than anticipated. Changes in prepayment rates may adversely affect the return on our investments.
A margin call means that the counterparty requires us to pledge additional collateral to re-establish the required collateral level to protect them from loss in 12 the event we default on our obligations. The requirement to meet margin calls can create liquidity risks.
A margin call means that the counterparty requires us to pledge additional collateral to re-establish the required collateral level to protect them from loss in the event we default on our obligations. The requirement to meet margin calls can create liquidity risks. In the event of a margin call, we must generally provide additional collateral on the same business day.
However, these measures may not sufficiently reduce our risk of loss. Central clearing exchanges typically attempt to reduce the risk of default by requiring initial and daily variation margin from their clearinghouse members and maintain guarantee funds and other resources that are available in the event of default.
Central clearing exchanges typically attempt to reduce the risk of default by requiring initial and daily variation margin from their clearinghouse members and maintain guarantee funds and other resources that are available in the event of default.
Generally, when the Fed conducts large-scale asset purchases, Agency RMBS values increase and mortgage spreads tighten, benefiting our tangible net book value, while the return potential on new asset purchases typically declines.
Generally, when the Fed conducts large-scale asset purchases, Agency RMBS values increase and mortgage spreads tighten. This scenario results in an increase in our tangible net book value, although the return potential on new asset purchases typically declines.
Conversely, actual or anticipated reductions of Fed asset purchases or its outright sale of assets, would generally be expected to result in a decline in asset values and wider mortgage spreads to benchmark interest rates, negatively impacting our tangible net book value, while the return potential on new asset purchases would typically increase.
Conversely, actual or anticipated reductions of Fed asset purchases or its outright sale of assets, would generally be expected to result in a decline in asset values and wider mortgage spreads to benchmark interest rates, reducing our tangible net book value, while increasing the return potential on new asset purchases. The Fed first used large-scale asset purchases of U.S.
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.
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.
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. 18 Legislative and Regulatory Risks Loss of our exemption from regulation pursuant to the Investment Company Act would adversely affect us.
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.
Additionally, new regulatory requirements, including the imposition of more stringent capital rules, 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, 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.
We are highly dependent on information systems and third-party service providers to conduct our operations, and system failures, cybersecurity incidents or failure of our providers to fulfill their obligations to us could significantly disrupt our ability to operate our business. Our business is highly dependent on communication and information systems.
We are highly dependent on information systems and third-party service providers to conduct our operations, and system failures, cybersecurity incidents or failure of our providers to fulfill their obligations to us could significantly disrupt our ability to operate our business. Our business heavily depends on information and communication systems, including services provided by third parties and cloud-based platforms.
An investor in CRT securities bears the risk that the borrowers in the reference pool of loans may default on their obligations to make full and timely payments of principal and interest. Residential mortgage loans underlying non-Agency RMBS are secured by residential property and are subject to risks of delinquency, foreclosure and loss.
An investor in CRT securities bears the risk that the borrowers in the reference pool of loans may default on their obligations to make full and timely payments of principal and interest. Non-Agency RMBS are backed by residential mortgage loans, which carry the risk of delinquency, foreclosure and loss based on the borrower's ability to repay.
In the event of a margin call, we must generally provide additional collateral on the same business day. 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 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.
However, the FHFA has taken steps to implement portions of the regulatory capital requirements, including by permitting the GSEs to charge fees that seek to offset related capital charges on certain Agency RMBS.
Although the FHFA has adopted amendments to GSE regulatory capital requirements, it has also taken steps to implement them, including by permitting the GSEs to charge fees that seek to offset related capital charges on certain Agency RMBS.
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.
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.
The Federal Reserve (the "Fed") first used large-scale asset purchases of U.S. Treasury securities and Agency RMBS, known as quantitative easing, or QE, during the 2008-2009 global financial crisis in an attempt to stabilize financial markets 7 and stimulate a sustained economic recovery.
Treasury securities and Agency RMBS, known as quantitative easing, or QE, during the 2008-2009 global financial crisis in an attempt to stabilize financial markets and stimulate a sustained economic recovery.
If the proceeds are reinvested at lower yields than our existing assets, our net interest margins would be negatively impacted. We also amortize or accrete into interest income any premiums and discounts we pay or receive at purchase relative to the stated principal of our assets over their projected lives using the effective interest method.
We also amortize or accrete into interest income any premiums and discounts we pay or receive at purchase relative to the stated principal of our assets over their projected lives using the effective interest method.
A decline in the fair value of our assets may adversely affect our financial condition and make it costlier to finance our assets. Our investment securities are reported at fair value on our consolidated balance sheet, with changes in fair value reported in net income or other comprehensive income.
Our investment securities are reported at fair value on our consolidated balance sheet, with changes in fair value reported in net income or other comprehensive income. Therefore, a decline in the fair value of our assets reduces our total comprehensive income and adversely affects our financial position.
Generally, prepayments increase during periods of falling mortgage interest rates and decrease during periods of rising mortgage interest rates, but other factors can also affect the rate of prepayments, including loan age and size, loan-to-value ratios, housing price trends, general economic conditions and GSE buyouts of delinquent loans. 8 If our assets prepay at a faster rate than anticipated, we may be unable to reinvest the repayments at acceptable yields.
Generally, prepayments increase during periods of falling mortgage interest rates and decrease during periods of rising mortgage interest rates, but other factors can also affect the rate of prepayments, including loan age and size, loan-to-value ratios, housing price trends, general economic conditions and GSE buyouts of delinquent loans.
We may also be incorrect in our assessment of market conditions and select an investment portfolio, leverage levels and terms, and hedge composition that generate lower returns than a more static management strategy. 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.
We may also be incorrect in our assessment of market conditions and select an investment portfolio, leverage levels and terms, and hedge composition that generate lower returns than a more static management strategy.
This situation may also cause the market value of our assets to decline, while most of our hedging instruments would not receive any incremental offsetting gains.
At the same time, the market value of our assets could decline, while most of our hedging instruments would not receive any incremental offsetting gains.
Although the Fed has stated its preference for a passive reduction of its balance sheet through mortgage prepayment activity, there is no guarantee that it will not conduct outright asset sales in the future.
Although the Fed currently favors a gradual reduction of its balance sheet through prepayment activity, subject to monthly caps, there is no guarantee that it will not conduct outright asset sales in the future or alter its monthly caps.
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.
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.
Similarly, if a derivative agreement counterparty fails to return collateral to us at the conclusion of the derivative transaction or fails to pledge collateral to us or to make other payments we are entitled to under the terms of our agreement as and when due, we could incur a loss equal to the value of our collateral and other amounts due to us. 13 We attempt to limit our counterparty exposure by diversifying our funding across multiple counterparties and limiting our counterparties to registered central clearing exchanges and major financial institutions with acceptable credit ratings.
Similarly, if a derivative agreement counterparty fails to return collateral to us at the conclusion of the derivative transaction or fails to pledge collateral to us or to make other payments we are entitled to under the terms of our agreement as and when due, we could incur a loss equal to the value of our collateral and other amounts due to us.
As a result, concentrations of investments tied to geographic regions increase the risk that adverse economic conditions or other developments affecting a region could increase the frequency and severity of losses on our investments.
Both borrower repayment and the market value of the assets underlying our investments are affected by national, local and regional economic conditions. As a result, concentrations of investments tied to geographic regions increase the risk that adverse conditions affecting a region could increase the frequency and severity of losses on our investments.
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. Asset values can decline for a variety of reasons. Since we primarily invest in long-term fixed rate securities, our investment portfolio is particularly sensitive to changes in longer-term interest rates.
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.
We refer to this as "spread risk". As a levered investor primarily in fixed-rate Agency RMBS, spread risk is an inherent component of our business. Although we use hedging instruments to attempt to protect against moves in interest rates, our hedges will typically not protect us against spread risk.
We refer to this as "spread risk". As a levered investor primarily in fixed-rate Agency RMBS, spread risk is an inherent component of our business.
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.
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.
We measure the fair value of our investments in accordance with guidance set forth in Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures .
The fair value of our investments may not be readily determinable or may be materially different from the value that we ultimately realize upon their disposal. We measure the fair value of our investments in accordance with guidance set forth in Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures .
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 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.
Consequently, our hedging strategies may fail to protect us from loss and could even result in greater losses than if we had not entered in the hedge transaction. The discontinuation of LIBOR could negatively impact the dividends we pay on our fixed-to-floating rate cumulative redeemable preferred stock and the value of our LIBOR-based financial instruments.
Consequently, our hedging strategies may fail to protect us from loss and could even result in greater losses than if we had not entered in the hedge transaction.
The REIT provisions of the Internal Revenue Code could substantially limit our ability to hedge our risks.
Complying with REIT requirements may limit our ability to hedge effectively and may cause us to incur tax liabilities. The REIT provisions of the Internal Revenue Code could substantially limit our ability to hedge our risks.
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. Compliance with these covenants depends on market factors and the strength of our business and operating results.
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.
The FICC continually assesses potential changes to rules governing the calculation of margin and minimum margin requirements. Increases in FICC margin requirements would have the effect of reducing our unencumbered assets and could potentially limit our ability to utilize tri-party repo funding accessed through the FICC's GCF Repo service, which represents a significant portion of our total borrowing capacity.
Increases in FICC margin requirements would have the effect of reducing our unencumbered assets and could potentially limit our ability to utilize tri-party repo funding through the FICC's GCF Repo service and engage in centrally-cleared TBA transactions through the FICC’s MBSD.
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. Various risks, uncertainties and events beyond our control, including significant fluctuations in interest rates, market volatility and changes in market conditions, could affect our ability to comply with these covenants.
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.
Net operating income of an income producing property can be affected by numerous factors, such as: occupancy rates, tenant mix, success of tenant businesses, property management decisions, property location and condition, changes in economic or operating conditions and other factors. Geographic concentration of our assets can expose us to greater risk of default and loss.
Factors affecting the property's net operating income, such as occupancy rates, tenant mix, the success of tenant businesses, property management, location, condition, and economic conditions, can influence the borrower's repayment capacity. Geographic concentration of our assets can heighten the risk of default and loss.
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. 17 Complying with REIT requirements may limit our ability to hedge effectively and may cause us to incur tax liabilities.
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.
Many factors could impair a borrower's ability to repay the loan, including loss of employment, divorce, illness, acts of God, acts of war or terrorism, adverse changes in economic and market conditions, changes in laws and regulations, changes in fiscal policies and zoning ordinances, costs of remediation and liabilities associated with environmental conditions such as mold, and the potential for uninsured or under-insured property losses.
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.
In its most recent QE round, resulting from the Covid-19 financial crisis, the Fed’s balance sheet more than doubled from $4.2 trillion in March 2020 to $8.9 trillion in May 2022, with its holdings of Agency RMBS increasing to nearly a third of all outstanding Agency RMBS, when it announced that it would begin to reduce its holdings over time by not reinvesting proceeds of principal repayments, subject to monthly caps.
In its most recent QE round, resulting from the Covid-19 financial crisis, the Fed’s balance sheet more than doubled from $4.2 trillion in March 2020 to $8.9 trillion in May 2022.
A decline in market liquidity can also have a significant impact on asset values and increase price volatility.
Additionally, market liquidity can significantly impact asset values, where a decrease in liquidity can lead to a decline in asset values and increased price volatility.
Numerous factors can reduce market liquidity, including macro-economic conditions, market uncertainty, changes in investor sentiment resulting in redemptions from fixed income funds, a decline in global money flows into U.S. fixed income markets, and regulatory capital requirements that limit banks' and other financial institutions' ability to act as market makers.
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.
For example, the actual or anticipated actions or inaction on U.S. fiscal policy matters, including the U.S. dept ceiling, could result in a wide range of negative economic effects, including increased financial market and interest rate volatility and wider market spreads 19 between mortgage assets and benchmark interest rates.
Treasury debt required to fund the government, could result in a wide range of negative economic effects, including increased financial market and interest rate volatility and wider market spreads between mortgage assets and benchmark interest rates. Additionally, new regulatory requirements, including the imposition of more stringent bank capital rules and changes to the manner and timing of clearing U.S.
Our repurchase agreements and agreements governing certain derivative instruments may contain financial and nonfinancial covenants subjecting us to the risk of default. Our bilateral repurchase agreements and certain derivative agreements require that we comply with certain financial and non-financial covenants.
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.
Commercial mortgage loans underlying CMBS are generally secured by multifamily or other commercial properties and are subject to risks of delinquency and foreclosure and risks of loss that are greater than similar risks associated with loans made on the security of residential property.
CMBS are backed by commercial loans, secured by multifamily or other commercial properties. These loans typically face higher risks of delinquency and loss compared to residential loans. Repayment largely depends on the property's operational success.
Furthermore, our reliance on information systems, including remote access to such systems, exposes us to risks of a cybersecurity incident occurring, such as computer malware, virus, hacking, denial of service and phishing attacks, which have become more prevalent in our industry.
Additionally, our reliance on these systems exposes us to risks of disruption or damage from cybersecurity risks, such as malware, virus, hacking, denial of service, ransomware, physical or electronic break-ins, insider threats, and phishing attacks, all of which are increasingly sophisticated and prevalent. Our systems may be misconfigured or configured in a way that exacerbates our exposure to these risks.
The ability of a borrower to repay a loan secured by residential property is dependent upon the income or assets of the borrower.
The ability to repay is primarily influenced by the borrower's income and assets.
The cost associated with these risks are difficult to predict and quantify but could have a significant adverse effect on our operating results. 15 Risks Related to Our Taxation as a REIT Our failure to qualify as a REIT would have adverse tax consequences.
A cybersecurity incident, if one were to occur, could adversely affect our business, results of operations, or financial condition. Risks Related to Our Taxation as a REIT Our failure to qualify as a REIT would have adverse tax consequences.
Removed
Therefore, a decline in the fair value of our assets reduces our total comprehensive income and adversely affects our financial position.
Added
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.
Removed
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. 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.
Added
Such volatility amplifies market-based risks, affecting asset and liability values and potentially leading to less earnings stability. Volatility increases our exposure to margin calls, including higher risk-based margin requirements, typically requiring us to post additional collateral, which could reduce our unencumbered liquidity and limit resources available for operational needs and further margin requirements.
Removed
Models may also include LIBOR as an input.
Added
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.
Removed
Thus, the transition away from LIBOR may require changes to the models and/or impair the historical relationships patterned within these models as a result of less historical data than is currently available for LIBOR. 9 The fair value of our investments may not be readily determinable or may be materially different from the value that we ultimately realize upon their disposal.
Added
Volatility may also reduce the effectiveness and accuracy of the predictive models that we use to aid in our decision-making and risk management. In summary, 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.
Removed
The ability of a borrower to repay a loan secured by an income-producing property typically is dependent primarily upon the successful operation of such property rather than upon the existence of independent income or assets of the borrower. If the net operating income of the property is reduced, the borrower's ability to repay the loan may be impaired.
Added
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.
Removed
Repayments by borrowers and the market value of the related assets underlying our investments are affected by national as well as local and regional economic and other conditions.
Added
This included a significant increase in its Agency RMBS holdings, to nearly a third of all outstanding Agency RMBS by the time the Fed announced its intention to end QE and commence monetary tightening by, among other actions, gradually reducing its holdings of Agency RMBS over time by not reinvesting proceeds of principal repayments, subject to monthly caps.
Removed
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.
Added
Since the beginning of the Fed's current monetary tightening cycle in 2022, through fiscal year-end 2023, the Fed has reduced its Agency RMBS holdings by approximately $300 billion through mortgage prepayment activity.
Removed
The stated dividend rate of each series of our outstanding fixed-to-floating rate cumulative redeemable preferred stock is indexed to three-month USD LIBOR following the applicable fixed rate period (“LIBOR Based Preferred Stock”). In addition, we also have certain investments that reference USD LIBOR (“LIBOR Based Investments”).
Added
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.

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Item 3. Legal Proceedings

Legal Proceedings — active lawsuits and investigations

1 edited+0 added−0 removed1 unchanged
Biggest changeSuch proceedings are not expected to have a material adverse effect on the business, financial conditions, or results of our operations. Item 4. Mine Safety Disclosures Not applicable. 21 PART II.
Biggest changeSuch proceedings are not expected to have a material adverse effect on the business, financial conditions, or results of our operations. Item 4. Mine Safety Disclosures Not applicable. 22 PART II.

Item 5. Market for Registrant's Common Equity

Market for Common Equity — stock, dividends, buybacks

8 edited+0 added−3 removed5 unchanged
Biggest changeDecember 31, 2022 2021 2020 2019 2018 AGNC Investment Corp. $ 89.51 $ 114.36 $ 108.68 $ 110.48 $ 97.49 S&P 500 $ 156.88 $ 191.58 $ 148.85 $ 125.72 $ 95.62 Bloomberg Mortgage REITs $ 83.05 $ 109.82 $ 93.38 $ 120.03 $ 97.09 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, 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.
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, 2022. 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, 2023. 2.
Equity Compensation Plan Information The following table summarizes information, as of December 31, 2022, 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, 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.
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, 2022.
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.
The historical information set forth above is not necessarily indicative of future performance. Accordingly, we do not make or endorse any predictions as to future share performance. Item 6. [Reserved] 23
The historical information set forth above is not necessarily indicative of future performance. Accordingly, we do not make or endorse any predictions as to future share performance. Item 6. [Reserved] 24
Performance Graph The following graph and table compare a stockholder's cumulative total return, assuming $100 invested at December 31, 2017, 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.
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.
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 6,857,762 $ — 31,305,228 Equity compensation plans not approved by security holders — — — Total 6,857,762 $ — 31,305,228 ________________________________ 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 8,649,016 $ — 28,655,641 Equity compensation plans not approved by security holders — — — Total 8,649,016 $ — 28,655,641 ________________________________ 1.
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 February 9, 2023, 574,656,885 shares of common stock were issued and outstanding, which were held by 1,457 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, 2024, 695,015,141 shares of common stock were issued and outstanding, which were held by 1,464 stockholders of record.
Removed
We have discontinued the use of a supplemental peer index, that was composed of Annaly Capital Management, Inc., Armour Residential REIT, Inc, Two Harbors Investment Corp., Invesco Mortgage Capital, Inc and Dynex Capital, Inc (collectively, the "Agency REIT Peer Group").
Removed
These issuers are also included in the Bloomberg Mortgage REIT Index, our selected industry index, and the later provides a more comprehensive mortgage REIT performance metric.
Removed
Additionally, because of the small number of issuers in the Agency REIT Peer Group and because it was market cap weighted, the index was skewed to the performance of a single issuer. 22 ________________________________ * $100 invested on 12/31/17 in stock or index, including reinvestment of dividends. Fiscal year ending December 31.

Item 7. Management's Discussion & Analysis

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

76 edited+30 added−27 removed71 unchanged
Biggest changeDecember 31, 2021 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% $ 2,410 $ 2,445 $ 2,444 16% 1.82% 105.0% 1.18% 25 13% 3.0% - 4.0% 2,132 2,176 2,262 98% 3.42% 102.0% 2.66% 53 17% ≥ 4.5% 5 5 5 97% 4.61% 102.8% 2.67% 133 21% Total ≤ 15-year 4,547 4,626 4,711 55% 2.57% 102.5% 2.44% 49 16% 20-year: ≤ 2.5% 1,472 1,522 1,496 —% 2.15% 103.4% 1.44% 15 11% 3.0% - 4.0% 302 310 325 87% 3.61% 102.5% 2.88% 79 14% ≥ 4.5% 110 116 121 100% 4.51% 104.7% 3.13% 63 16% Total 20-year: 1,884 1,948 1,942 21% 2.52% 103.3% 1.77% 28 12% 30-year: ≤ 2.5% 43,195 44,005 43,762 15% 2.32% 102.1% 1.94% 7 7% 3.0% - 4.0% 22,258 23,270 23,930 73% 3.58% 104.7% 2.69% 72 13% ≥ 4.5% 4,606 4,881 5,084 97% 4.53% 106.0% 3.06% 53 16% Total 30-year 70,059 72,156 72,776 40% 2.87% 103.5% 2.36% 38 11% Total fixed rate $ 76,490 $ 78,730 $ 79,429 41% 2.84% 103.5% 2.34% 38 11% 29 ________________________________ 1.
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.
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 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 in this document under Item 1A. Risk Factors .
Quantitative and Qualitative Disclosures About Market Risk in this Form 10-K includes the estimated change in the weighted average projected CPR of our investments and in the corresponding weighted average yield on our investments should interest rates instantaneously go up or down by 25, 50, and 75 basis points.
Quantitative and Qualitative Disclosures About Market Risk in this Form 10-K includes the estimated weighted average projected CPR of our investments and the corresponding weighted average yield on our investments should interest rates instantaneously go up or down by 25, 50, and 75 basis points.
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.
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.
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 2022, 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 2023, haircuts on our repo funding arrangements remained stable.
Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2021. For additional details regarding our CRT and non-Agency securities, including credit ratings, as of December 31, 2022 and 2021, 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, 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.
Treasury repurchase agreements. 7. Tangible net book value "at risk" leverage as of period end is calculated by dividing the sum of mortgage borrowings outstanding and receivable/payable for unsettled investment securities as of period end by the sum of total stockholders' equity adjusted to exclude goodwill as of period end. Leverage excludes U.S. Treasury repurchase agreements. 8.
Treasury repurchase agreements. 8. Tangible net book value "at risk" leverage as of period end is calculated by dividing the sum of mortgage borrowings outstanding and receivable/payable for unsettled investment securities as of period end by the sum of total stockholders' equity adjusted to exclude goodwill as of period end. Leverage excludes U.S. Treasury repurchase agreements. 9.
Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. 2. Reported in interest income in our consolidated statements of comprehensive income.
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.
OFF-BALANCE SHEET ARRANGEMENTS As of December 31, 2022, 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, 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.
The following is a summary of our average interest rate swaps outstanding and the related average swap pay and receive rates for fiscal years 2022, 2021 and 2020 (dollars in millions). Amounts exclude forward starting swaps not yet in effect.
The following is a summary of our average interest rate swaps outstanding and the related average swap pay and receive rates for fiscal years 2023, 2022 and 2021 (dollars in millions). Amounts exclude forward starting swaps not yet in effect.
As of December 31, 2022, 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, 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.
Treasury rate as of period end 4 3.88 % 1.51 % 0.92 % ________________________________ 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 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.
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 • 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 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.
Additionally, as of December 31, 2022, 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, 2023, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.
Specifically, in the case "net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common stockholders" and components of such measure, "economic interest income" and "economic interest expense," we believe the inclusion of TBA dollar roll income is meaningful as TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements.
Specifically, in the case "net spread and dollar roll income available to common stockholders" and components of such measure, "economic interest income" and "economic interest expense," we believe the inclusion of TBA dollar roll income is meaningful as TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other 32 gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements.
Similarly, a TBA contract for the forward sale of Agency securities has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. (Refer to Liquidity and Capital Resources for further discussion of TBA securities and dollar roll transactions). Repurchase agreements used to fund short-term investments in U.S. Treasury securities ("U.S.
Similarly, a TBA contract for the forward sale of Agency securities has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. (Refer to Liquidity and Capital Resources in this Form 10-K for further discussion of TBA securities and dollar roll transactions). Repurchase agreements used to fund short-term investments in U.S.
As of December 31, 2022, approximately 31% 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 5%.
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%.
Our tangible net book value "at risk" leverage ratio was 7.4x and 7.7x as of December 31, 2022 and 2021, respectively. The following table includes a summary of our mortgage borrowings outstanding as of December 31, 2022 and 2021 (dollars in millions).
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).
The net carrying value represents the difference between the fair value of the underlying security in the TBA contract or forward purchase agreement and the price to be paid or received for the underlying security.
The net carrying value represents the difference between the fair value of the underlying security in the TBA contract and the price to be paid or received for the underlying security.
The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a "haircut," which reflects the underlying risk of the specific collateral and protects the counterparty against a change in its value.
The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an assessed discount, referred to as a "haircut," that reflects the underlying risk of the specific collateral and protects the counterparty against a change in its value.
Treasury repo") are excluded from our measure of leverage due to the temporary and highly liquid nature of these investments.
Treasury securities ("U.S. Treasury repo") are excluded from our measure of leverage due to the temporary and highly liquid nature of these investments.
We also diversify our funding across multiple counterparties and by region. 41 As of December 31, 2022, 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 approximately 4% 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. 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.
As defined "Net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common stockholders" includes (i) the components of "economic interest income" and "economic interest expense", plus (ii) other miscellaneous interest income/expense, and less (iii) total operating expenses and dividends on preferred stock (GAAP measures).
As defined "Net spread and dollar roll income available to common stockholders" includes (i) the components of "economic interest income" and "economic interest expense", plus (ii) other interest income/expense, and less (iii) total operating expenses and dividends on preferred stock (GAAP measures).
As of December 31, 2022, approximately 6% of our tangible stockholder's equity was at risk with the FICC. Excluding central clearing exchanges, as of December 31, 2022, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders' equity.
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, 2022, the weighted average haircut on our repurchase agreements was approximately 3.7% of the value of our collateral, compared to 3.8% as of December 31, 2021.
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.
Gain (Loss) on Investment Securities, Net The following table is a summary of our net gain (loss) on investment securities for fiscal years 2022, 2021 and 2020 (in millions): Fiscal Year Gain (Loss) on Investment Securities, Net 1 2022 2021 2020 Gain (loss) on sale of investment securities, net $ (2,916) $ (57) $ 1,126 Unrealized loss on investment securities measured at fair value through net income, net 2 (3,795) (1,502) 319 Unrealized loss on investment securities measured at fair value through other comprehensive income, net (973) (418) 622 Total loss on investment securities, net $ (7,684) $ (1,977) $ 2,067 ________________________________ 1.
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.
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). 37 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 2022, 2021 and 2020 (in millions): Fiscal Year 2022 2021 2020 TBA securities, dollar roll income $ 518 $ 656 $ 425 TBA securities, mark-to-market loss (3,378) (1,208) 1,072 Forward settling non-Agency securities, mark-to-market gain/(loss) — 5 — Interest rate swaps, periodic cost 598 (60) (48) Interest rate swaps, mark-to-market gain 3,802 1,177 (2,718) Credit default swaps - CDX IG - buy protection 21 — — Payer swaptions 857 23 (156) U.S.
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.
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, 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.
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," "net spread and dollar roll income" and "net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common 30 stockholders," "estimated taxable income (loss)" 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" 1 and the related per common share measures and certain financial metrics derived from such non-GAAP information.
Economic Interest Income and Asset Yields The following table summarizes our economic interest income (a non-GAAP measure) for fiscal years 2022, 2021 and 2020, 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 2022 2021 2020 Amount Yield Amount Yield Amount Yield Interest income: Cash/coupon interest income $ 1,603 3.36 % $ 1,730 3.26 % $ 2,601 3.71 % Net premium amortization benefit (cost) (13) (0.13) % (369) (0.78) % (1,082) (1.62) % Interest income (GAAP measure) 1,590 3.23 % 1,361 2.48 % 1,519 2.09 % Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast (238) (0.48) % (96) (0.17) % 457 0.63 % Interest income, excluding "catch-up" premium amortization 1,352 2.75 % 1,265 2.31 % 1,976 2.72 % TBA dollar roll income - implied interest income 1,2 746 3.60 % 528 1.77 % 365 1.73 % Economic interest income, excluding "catch-up" amortization (non-GAAP measure) 3 $ 2,098 3.00 % $ 1,793 2.12 % $ 2,341 2.50 % Weighted average actual portfolio CPR for investment securities held during the period 11.1 % 23.1 % 19.9 % Weighted average projected CPR for the remaining life of investment securities held as of period end 7.4 % 10.9 % 17.6 % 30-year fixed rate mortgage rate as of period end 4 6.66 % 3.27 % 2.87 % 10-year U.S.
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.
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Prices in the table above were obtained from Barclays.
Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Price information is sourced from Barclays.
Interest rates were obtained from Bloomberg. 26 The following table summarizes mortgage and credit spreads as of each date presented below: Mortgage Rate/Credit Spread Dec. 31, 2021 Mar. 31, 2022 June 30, 2022 Sept. 30, 2022 Dec. 31, 2022 Dec. 31, 2022 vs Dec. 31, 2021 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, 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.
As of December 31, 2022, our unencumbered assets totaled approximately $4.4 billion, or 60% of tangible equity, consisting of $4.3 billion of unencumbered cash and Agency RMBS and $0.1 billion of unencumbered credit assets.
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.
Management's Discussion and Analysis of Financial Condition and Results of Operations (in millions, except per share amounts): December 31, Balance Sheet Data 2022 2021 2020 Investment securities, at fair value of $40,904, $54,421, $66,414, respectively, and other mortgage credit investments $ 40,929 $ 54,421 $ 66,414 Total assets $ 51,748 $ 68,149 $ 81,817 Repurchase agreements and other debt $ 36,357 $ 47,507 $ 52,543 Total liabilities $ 43,878 $ 57,858 $ 70,738 Total stockholders' equity $ 7,870 $ 10,291 $ 11,079 Net book value per common share 1 $ 10.76 $ 16.76 $ 17.68 Tangible net book value per common share 2 $ 9.84 $ 15.75 $ 16.71 31 Fiscal Year Statement of Comprehensive Income Data 2022 2021 2020 Interest income $ 1,590 $ 1,361 $ 1,519 Interest expense 625 75 674 Net interest income 965 1,286 845 Other gain (loss), net (2,081) (449) (1,018) Operating expenses 74 88 93 Net income (loss) (1,190) 749 (266) Dividends on preferred stock 105 100 96 Net income (loss) available (attributable) to common stockholders $ (1,295) $ 649 $ (362) Net income (loss) $ (1,190) $ 749 $ (266) Other comprehensive income (loss), net (973) (418) 622 Comprehensive income (loss) (2,163) 331 356 Dividends on preferred stock 105 100 96 Comprehensive income (loss) available (attributable) to common stockholders $ (2,268) $ 231 $ 260 Weighted average number of common shares outstanding - basic 537.0 528.1 551.6 Weighted average number of common shares outstanding - diluted 537.0 530.0 551.6 Net income (loss) per common share - basic $ (2.41) $ 1.23 $ (0.66) Net income (loss) per common share - diluted $ (2.41) $ 1.22 $ (0.66) Comprehensive income (loss) per common share - basic $ (4.22) $ 0.44 $ 0.47 Comprehensive income (loss) per common share - diluted $ (4.22) $ 0.44 $ 0.47 Dividends declared per common share $ 1.44 $ 1.44 $ 1.56 Fiscal Year Other Data (Unaudited) * 2022 2021 2020 Average investment securities - at par $ 47,761 $ 53,057 $ 70,077 Average investment securities - at cost $ 49,195 $ 54,869 $ 72,543 Net TBA portfolio - at par (as of period end) 9 $ 19,050 $ 27,123 $ 30,364 Net TBA portfolio - at cost (as of period end) 9 $ 18,407 $ 27,622 $ 31,204 Net TBA portfolio - at market value (as of period end) 9 $ 18,574 $ 27,578 $ 31,479 Net TBA portfolio - at carrying value (as of period end) 3,9 $ 167 $ (44) $ 275 Average net TBA dollar roll position - at cost $ 20,631 $ 29,851 $ 21,224 Average total assets - at fair value $ 61,028 $ 72,908 $ 88,403 Average repurchase agreements and other debt outstanding 4 $ 41,363 $ 49,923 $ 69,370 Average stockholders' equity 5 $ 8,475 $ 10,885 $ 10,684 Average tangible net book value "at risk" leverage 6 7.8:1 7.7:1 8.9:1 Tangible net book value "at risk" leverage (as of period end) 7 7.4:1 7.7:1 8.5:1 Economic return on tangible common equity 8 (28.4) % 2.9 % 3.5 % Expenses % of average total assets 0.12 % 0.12 % 0.11 % Expenses % of average assets, including average net TBA position 0.09 % 0.09 % 0.08 % Expenses % of average stockholders' equity 0.87 % 0.81 % 0.87 % ________________________________ * 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 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.
Treasury securities - short position 1,482 444 (905) U.S. Treasury securities - long position (32) (25) 102 U.S.
Treasury securities - short position (54) 1,482 444 U.S. Treasury securities - long position (30) (32) (25) 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 repo, other debt and TBA balances outstanding during the period and their respective cost of funds. 5. Interest rate swap periodic income/cost is measured as a percent of average mortgage borrowings outstanding for the period.
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.
"Net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common stockholders" is measured as comprehensive income (loss) available (attributable) to common stockholders (GAAP measure) adjusted to: (i) exclude gains/losses on investment securities recognized through net income and other comprehensive income and gains/losses on derivative instruments and other securities (GAAP measures) and (ii) include interest rate swap periodic income/cost, TBA dollar roll income and other miscellaneous interest income/expense.
"Net spread and dollar roll income available to common stockholders" is measured as comprehensive income (loss) available (attributable) to common stockholders (GAAP measure) adjusted to: (i) exclude gains/losses on investment securities recognized through net income and other comprehensive income and gains/losses on derivative instruments and other securities (GAAP measures); (ii) exclude retrospective "catch-up" adjustments to premium amortization cost associated with changes in projected CPR estimates; and (iii) include interest rate swap periodic income/cost, TBA dollar roll income and other interest income/expense.
The following table includes a summary of the estimated impact of each of these elements on our economic interest income for fiscal years 2022 and 2021 compared to the prior year period (in millions): 33 Impact of Changes in the Principal Elements Impacting Economic Interest Income 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 Due to Change in Average Fiscal Year 2021 vs 2020 Total Increase / (Decrease) Portfolio Size Asset Yield Interest Income (GAAP measure) $ (158) $ (370) $ 212 Estimated "catch-up" premium amortization due to change in CPR forecast (553) — (553) Interest income, excluding "catch-up" premium amortization (711) (370) (341) TBA dollar roll income - implied interest income 163 148 15 Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ (548) $ (222) $ (326) Our average investment portfolio, inclusive of TBAs (at cost), decreased 18% and 10% for fiscal years 2022 and 2021, respectively, primarily due to declines in stockholders' equity.
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.
We also use TBA dollar roll transactions as a means of synthetically financing Agency RMBS. The terms and conditions of our repurchase agreements are determined on a transaction-by-transaction basis when each such borrowing is initiated or renewed and, in the case of GCF Repo, by the variable margin requirements calculated by the FICC, which acts as the central counterparty.
The terms and conditions of our repurchase agreements are determined on a transaction-by-transaction basis when each such borrowing is initiated or renewed and, in the case of GCF Repo, by the prevailing margin requirements calculated by the FICC, which acts as the central counterparty.
The carrying value of our net TBA position represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value on our accompanying consolidated balances sheets. 4. Amount excludes U.S. Treasury repurchase agreements and TBA contracts. Other debt includes debt of consolidated VIEs. 5.
The carrying value of our net TBA position represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value on our accompanying consolidated balances sheets. 5.
Net book value per common share is calculated as total stockholders' equity, less preferred stock liquidation preference, divided by number of common shares outstanding as of period end. 2. Tangible net book value per common share excludes goodwill. 3.
Net book value per common share is calculated as total stockholders' equity, less preferred stock liquidation preference, divided by number of common shares outstanding as of period end. 2. Tangible net book value per common share excludes goodwill. 3. Includes net TBA dollar roll position and, if applicable, forward settling securities. 4.
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 2022, 2021 and 2020: Fiscal Year Investment and TBA Securities - Net Interest Spread 2022 2021 2020 Average asset yield, excluding "catch-up" premium amortization 3.00 % 2.12 % 2.50 % Average aggregate cost of funds (0.40) % (0.01) % (0.72) % Average net interest spread, excluding "catch-up" premium amortization 2.60 % 2.11 % 1.78 % 36 Net Spread and Dollar Roll Income The following table presents a reconciliation of net spread and dollar roll income, excluding "catch-up" premium amortization, 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 2022, 2021 and 2020 (dollars in millions): Fiscal Year 2022 2021 2020 Comprehensive income (loss) available (attributable) to common stockholders $ (2,268) $ 231 $ 260 Adjustments to exclude realized and unrealized (gains) losses reported through net income: Realized (gain) loss on sale of investment securities, net 2,916 57 (1,126) Unrealized (gain) loss on investment securities measured at fair value through net income, net 3,795 1,502 (319) (Gain) loss on derivative instruments and other securities, net (4,630) (1,110) 2,463 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 973 418 (622) Other adjustments TBA dollar roll income, net 1 518 656 425 Interest rate swap periodic (cost) income, net 1 598 (60) (48) Other interest income, net 1 12 — — Net spread and dollar roll income available to common stockholders (non-GAAP measure) 1,914 1,694 1,036 Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 2 (238) (96) 457 Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders (non-GAAP measure) $ 1,676 $ 1,598 $ 1,493 Weighted average number of common shares outstanding - basic 537.0 528.1 551.6 Weighted average number of common shares outstanding - diluted 538.1 530.0 552.7 Net spread and dollar roll income per common share - basic $ 3.56 $ 3.21 $ 1.88 Net spread and dollar roll income per common share - diluted $ 3.56 $ 3.20 $ 1.87 Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic $ 3.12 $ 3.03 $ 2.71 Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - diluted $ 3.11 $ 3.02 $ 2.70 ________________________________ 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 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.
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 2022, 2021 and 2020 (dollars in millions), which includes the combination of interest expense on Agency repurchase agreements and other debt (GAAP measure), implied financing cost (benefit) of our TBA securities and interest rate swap periodic cost (benefit): Fiscal Year 2022 2021 2020 Economic Interest Expense and Aggregate Cost of Funds 1 Amount Cost of Funds Amount Cost of Funds Amount Cost of Funds Repurchase agreement and other debt - interest expense (GAAP measure) $ 625 1.49 % $ 75 0.15 % $ 674 0.96 % TBA dollar roll income - implied interest expense (benefit) 2,3 228 1.08 % (128) (0.42) % (60) (0.27) % Economic interest expense - before interest rate swap periodic cost (income), net 4 853 1.35 % (53) (0.06) % 614 0.67 % Interest rate swap periodic cost (income), net 2,5 (598) (0.95) % 60 0.07 % 48 0.05 % Total economic interest expense (non-GAAP measure) $ 255 0.40 % $ 7 0.01 % $ 662 0.72 % ________________________________ 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 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.
There can be no assurance that we will be able to raise additional equity capital at any particular time or on any particular 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.
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.
As of December 31, 2022 and 2021, our TBA position and forward settling securities had a net carrying value of $0.2 billion and $(44) million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.
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.
The following table presents a summary of our leverage ratios for the periods listed (dollars in millions): 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, 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 December 31, 2020 $ 53,645 $ 55,249 $ 52,543 $ 33,753 $ 31,204 8.4:1 8.5:1 September 30, 2020 $ 61,008 $ 69,628 $ 54,558 $ 27,785 $ 29,460 8.9:1 8.8:1 June 30, 2020 $ 69,552 $ 72,399 $ 69,370 $ 15,662 $ 20,413 8.8:1 9.2:1 March 31, 2020 $ 93,538 $ 104,773 $ 63,241 $ 7,487 $ 20,648 9.9:1 9.4:1 ________________________________ 34 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.
Fiscal Year Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding 2022 2021 2020 Average Agency repo and other debt outstanding $ 41,363 $ 49,923 $ 69,370 Average net TBA dollar roll position outstanding - at cost $ 20,631 $ 29,851 $ 21,224 Average mortgage borrowings outstanding $ 61,994 $ 79,774 $ 90,594 Average notional amount of interest rate swaps outstanding (excluding forward starting swaps) $ 49,334 $ 48,634 $ 49,978 Ratio of average interest rate swaps to mortgage borrowings outstanding 80 % 61 % 55 % Average interest rate swap pay-fixed rate (excluding forward starting swaps) 0.25 % 0.17 % 0.66 % Average interest rate swap receive-floating rate (1.46) % (0.05) % (0.56) % Average interest rate swap net pay/(receive) rate (1.21) % 0.12 % 0.10 % For fiscal years 2022, 2021 and 2020, we had an average forward starting swap balance of $48 million, $149 million and $784 million, respectively.
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.
We may also invest in other assets related to the housing, mortgage or real estate markets that are not guaranteed by a GSE or U.S. Government agency. We are internally managed with the principal objective of providing our stockholders with favorable long-term returns on a risk-adjusted basis through attractive monthly dividends.
We may also invest in other assets related to the housing, mortgage or real estate markets that are not guaranteed by a GSE or U.S. Government agency. We are internally managed with the principal objective of generating favorable long-term stockholder returns with a substantial yield component.
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. 9. Includes net TBA dollar roll position and, if applicable, forward settling securities.
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.
Treasury 1.90% 2.45% 3.19% 3.78% 3.97% +207 bps 30-Year Fixed Rate Agency Price: 2.0% $99.79 $92.84 $86.96 $80.91 $81.69 -$18.10 2.5% $102.12 $95.45 $90.09 $83.94 $84.96 -$17.16 3.0% $103.68 $97.86 $93.27 $86.97 $88.02 -$15.66 3.5% $105.32 $100.21 $96.29 $89.95 $91.10 -$14.22 4.0% $106.44 $102.10 $98.74 $92.73 $94.03 -$12.41 4.5% $107.19 $103.73 $100.51 $95.21 $96.59 -$10.60 5.0% $109.22 $105.13 $102.17 $97.39 $98.80 -$10.42 5.5% $111.77 $105.72 $103.87 $99.46 $100.47 -$11.30 6.0% $109.25 $106.56 $104.63 $101.61 $101.69 -$7.56 15-Year Fixed Rate Agency Price: 1.5% $100.33 $94.81 $91.16 $85.61 $86.84 -$13.49 2.0% $102.45 $97.11 $93.52 $88.06 $89.28 -$13.17 2.5% $103.45 $98.83 $95.70 $90.50 $91.80 -$11.65 3.0% $104.59 $100.70 $97.82 $92.89 $93.85 -$10.74 3.5% $105.52 $101.97 $99.52 $94.49 $95.93 -$9.59 4.0% $105.47 $102.50 $100.95 $96.43 $97.75 -$7.72 ________________________________ 1.
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.
The following table includes a summary of the estimated impact of these elements on our economic interest expense for fiscal years 2022 and 2021 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 2022 vs 2021 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Repurchase agreements 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 (658) 1 (659) Total change in economic interest benefit/expense $ 248 $ 28 $ 220 Due to Change in Average Fiscal Year 2021 vs 2020 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Repurchase agreements and other debt interest expense $ (599) $ (189) $ (410) TBA dollar roll income - implied interest benefit/expense (68) (24) (44) Interest rate swap periodic income/cost 12 (1) 13 Total change in economic interest benefit/expense $ (655) $ (214) $ (441) Our average mortgage borrowings, inclusive of TBAs, decreased 22% and 12% for fiscal years 2022 and 2021, 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 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.
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 Financial markets experienced broad-based weakness in 2022.
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.
December 31, 2022 December 31, 2021 Mortgage Borrowings Amount % Amount % Repurchase agreements 1,2 $ 35,907 66 % $ 46,911 63 % Debt of consolidated variable interest entities, at fair value 95 — % 126 — % Total debt 36,002 66 % 47,037 63 % TBA and forward settling non-Agency securities, at cost 18,407 34 % 27,622 37 % Total mortgage borrowings $ 54,409 100 % $ 74,659 100 % ________________________________ 1.
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.
For information regarding non-GAAP financial measures, including reconciliations to the most comparable GAAP measure please refer to Results of Operations included in this MD&A below. For information regarding the sensitivity of our tangible net book value per common share to changes in interest rates and mortgage spreads, please refer to Item 7A.
For information regarding the sensitivity of our tangible net book value per common share to changes in interest rates and mortgage spreads, please refer to Item 7A.
Treasury and Agency RMBS bond portfolio; • fluctuations in the yield curve; • fluctuations in mortgage prepayment rates on the loans underlying our Agency RMBS; • the availability and terms of financing; • changes in the market value of our assets, including from changes in net interest spreads, and changes in market liquidity or depth; • the effectiveness of our risk mitigation strategies; 42 • conditions in the market for Agency RMBS and other mortgage securities; • actions by the federal, state, or local governments to stabilize the economy, the housing sector or financial markets; • changes to laws, regulations, rules or policies that affect U.S. housing finance activity, the GSE's or the markets for Agency RMBS; • 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; and • other risks discussed under Item 1A.
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.
Selected Financial Data The following selected financial data is derived from our annual financial statements for the three years ended December 31, 2022. 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.
"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.
Quantitative and Qualitative Disclosures about Market Risk in this form 10-K. 25 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, 2021 Mar. 31, 2022 June 30, 2022 Sept. 30, 2022 Dec. 31, 2022 Dec. 31, 2022 vs Dec. 31, 2021 Target Federal Funds Rate: Target Federal Funds Rate - Upper Band 0.25% 0.50% 1.75% 3.25% 4.50% +425 bps SOFR: SOFR Rate 0.05% 0.29% 1.50% 2.98% 4.30% +425 bps SOFR Interest Rate Swap Rate: 2-Year Swap 0.74% 2.28% 2.99% 4.25% 4.45% +371 bps 5-Year Swap 1.12% 2.25% 2.79% 3.85% 3.75% +263 bps 10-Year Swap 1.32% 2.13% 2.81% 3.59% 3.56% +224 bps 30-Year Swap 1.46% 1.97% 2.66% 3.07% 3.21% +175 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, 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.
See Note 1 of preceding table for specified pool composition. As of December 31, 2021, lower balance specified pools had a weighted average original loan balance of $119,000 and $117,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 127% and 138% for 15-year and 30-year securities, respectively. 2.
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.
This compares to $6.5 billion of unencumbered assets, or 67% of tangible equity, as of December 31, 2021, consisting of $5.8 billion of unencumbered cash and Agency RMBS and $0.7 billion of unencumbered credit assets.
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.
Amount excludes TBA mark-to-market adjustments. 3. The combined asset yield is calculated on a weighted average basis based on our average investment and TBA balances outstanding during the period and their respective yields. 4. Source: Bloomberg The principal elements impacting our economic interest income are the average size of our investment portfolio and the average yield on our securities.
Amount excludes TBA mark-to-market adjustments. 3. The combined asset yield is calculated on a weighted average basis based on our average investment and TBA balances outstanding during the period and their respective yields. 4. 30-year fixed rate mortgage rates are sourced from Optimal Blue. 10-year U.S. Treasury rates are sourced from Bloomberg.
This spread widening was the primary driver of AGNC’s total comprehensive income (loss) per diluted common share of $(4.22) for fiscal year 2022, compared to $0.44 for fiscal year 2021, and economic return (loss) on tangible net book value per common share of (28.4)% for fiscal year 2022, compared to 2.9% for fiscal year 2021, comprised of dividends declared per common share and the decline in our tangible net book value per common share.
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.
CMBS spreads are the average of spreads sourced from JP Morgan and Wells Fargo. 27 FINANCIAL CONDITION As of December 31, 2022 and 2021, our investment portfolio totaled $59.5 billion and $82.0 billion, respectively, consisting of: $40.9 billion and $54.4 billion investment securities, at fair value, respectively; $18.6 billion and $27.1 billion net TBA securities, at fair value, respectively; and, as of December 31, 2021, $0.4 billion forward settling non-Agency securities, at fair value.
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.
Net spread and dollar roll income, excluding "catch-up" amortization, (a non-GAAP measure) per diluted common share was $3.11 for fiscal year 2022, compared to $3.02 for fiscal year 2021, as higher asset yields and our pay-fixed/receive-variable interest rate swap portfolio offset rising repo funding costs and moderating TBA dollar roll income during the year. 24 Given the challenging market conditions, we prioritized risk management throughout 2022, characterized by a large interest rate hedge position and lower leverage relative to historical levels.
Net spread and dollar roll income (a non-GAAP measure) per diluted common share totaled $2.61 for fiscal year 2023, compared to $3.11 for 2022, as higher asset yields and our pay-fixed / receive-variable interest rate swap portfolio largely offset rising repo funding costs and declining TBA dollar roll income during the year.
The following table is a summary of our investment securities as of December 31, 2022 and 2021 (dollars in millions): December 31, 2022 December 31, 2021 Investment Securities (Includes TBAs) 2 Amortized Cost Fair Value Average Coupon % Amortized Cost Fair Value Average Coupon % Fixed rate Agency RMBS and TBA securities: ≤ 15-year: ≤ 15-year RMBS $ 1,718 $ 1,597 3.25 % 3 % $ 2,570 $ 2,652 3.27 % 3 % 15-year TBA securities, net 1 — — — % — % 2,056 2,059 1.71 % 3 % Total ≤ 15-year 1,718 1,597 3.25 % 3 % 4,626 4,711 2.57 % 6 % 20-year RMBS 1,601 1,365 2.51 % 2 % 1,948 1,942 2.52 % 2 % 30-year: 30-year RMBS 39,727 36,207 3.89 % 61 % 47,028 47,695 3.04 % 58 % 30-year TBA securities, net 1 18,407 18,574 4.84 % 31 % 25,128 25,081 2.54 % 31 % Total 30-year 58,134 54,781 4.20 % 92 % 72,156 72,776 2.87 % 89 % Total fixed rate Agency RMBS and TBA securities 61,453 57,743 4.13 % 97 % 78,730 79,429 2.84 % 97 % Adjustable rate Agency RMBS 126 122 3.72 % — % 45 47 2.23 % — % CMO Agency RMBS: CMO 136 129 3.20 % — % 182 188 3.12 % — % Interest-only strips 46 41 2.15 % — % 31 37 5.60 % — % Principal-only strips 31 29 — % — % 39 43 — % — % Total CMO Agency RMBS 213 199 2.25 % — % 252 268 4.08 % 1 % Total Agency RMBS and TBA securities 61,792 58,064 4.12 % 98 % 79,027 79,744 2.85 % 98 % Non-Agency RMBS 3 111 90 4.52 % — % 763 767 2.85 % 1 % CMBS 605 567 6.06 % 1 % 505 514 3.60 % 1 % CRT 779 757 8.48 % 1 % 955 974 3.74 % 1 % Total investment securities $ 63,287 $ 59,478 4.18 % 100 % $ 81,250 $ 81,999 2.85 % 100 % ________________________________ 1.
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.
As of December 31, 2022 and 2021, 48% and 42%, respectively, of our repurchase agreements were funded through the Fixed Income Clearing Corporation's GCF Repo service. 2. Amounts exclude U.S. Treasury repurchase agreements. Our primary financing sources are collateralized borrowings structured as repurchase agreements. We enter into repurchase agreements, or "repo," through bi-lateral arrangements with financial institutions and independent dealers.
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.
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, 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 average interest rate on our mortgage borrowings increased 141 basis points 35 and decreased 73 basis points during fiscal years 2022 and 2021, respectively, primarily as a function of changes in short-term interest rates. The decrease in our interest rate swap periodic cost for fiscal year 2022 was primarily due to higher receive rates on our pay-fixed swaps.
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.
We also enter into third-party repurchase agreements through our wholly-owned registered broker-dealer subsidiary, Bethesda Securities, LLC, such as tri-party repo offered through the FICC's GCF Repo service. We manage our repurchase agreement funding position through a variety of methods, including diversification of counterparties, maintaining a staggered maturity profile and utilization of interest rate hedging strategies.
We enter into repurchase agreements, or "repo," through bi-lateral arrangements with financial institutions and independent dealers. We also enter into third-party repurchase agreements through our wholly-owned registered broker-dealer subsidiary, Bethesda Securities, LLC, such as tri-party repo offered through the FICC's GCF Repo service.
December 31, 2021 balance includes $0.4 billion of forward settling non-Agency securities reported in derivative assets/(liabilities) on the accompanying consolidated balance sheets. TBA and forward settling 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.
For further details of our TBA securities refer to Note 5 of our Consolidated Financial Statements in this Form 10-K 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.
The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 88 basis points for fiscal year 2022.
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.
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. 2. Table excludes other mortgage credit investments of $25 million as of December 31, 2022 accounted for under the equity method of accounting. 3.
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.
As of December 31, 2022 and 2021, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 3.37% and 2.43%, respectively. 28 The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of December 31, 2022 and 2021 (dollars in millions): 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: ≤ 2.5% 307 322 281 100% 2.42% 105.2% 1.30% 36 8% 3.0% - 4.0% 1,363 1,393 1,313 98% 3.43% 102.2% 2.75% 59 11% ≥ 4.5% 3 3 3 97% 4.55% 102.4% 2.65% 144 17% Total ≤ 15-year 1,673 1,718 1,597 98% 3.25% 102.7% 2.47% 55 11% 20-year: ≤ 2.5% 1,213 1,257 1,044 —% 2.15% 103.6% 1.60% 28 5% 3.0% - 4.0% 246 252 235 86% 3.60% 102.7% 2.91% 90 10% ≥ 4.5% 87 92 86 99% 4.50% 105.1% 3.18% 74 12% Total 20-year: 1,546 1,601 1,365 21% 2.51% 103.6% 1.89% 40 6% 30-year: ≤ 2.5% 7,017 7,032 5,883 33% 2.25% 102.0% 1.98% 20 6% 3.0% - 4.0% 18,775 19,371 17,605 78% 3.66% 104.6% 2.95% 70 7% ≥ 4.5% 31,649 31,731 31,293 30% 4.96% 102.9% 4.31% 20 8% 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.
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.
Treasury futures contracts - short position 811 42 (106) Other (49) 56 (129) Total gain (loss) on derivative instruments and other securities, net $ 4,630 $ 1,110 $ (2,463) 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.
Treasury futures contracts - short position (42) 811 42 SOFR futures contracts - long position (10) — — Other interest income (expense), net 1 (146) (77) — Other gain (loss), net (17) (49) 56 Total gain (loss) on derivative instruments and other securities, net $ 386 $ 4,630 $ 1,110 ________________________________ 1.
Treasury Spread 81 103 134 159 138 +57 30-Year Agency Current Coupon Yield 2.07% 3.49% 4.38% 5.68% 5.39% +332 bps 30-Year Mortgage Rate 3.27% 4.90% 5.83% 7.06% 6.66% +339 bps Credit Spread (in bps): 2 CRT M2 175 385 544 633 514 +339 CMBS AAA 74 101 131 145 127 +53 CDX IG 49 67 101 108 82 +33 ________________________________ 1. 30-Year Current Coupon Yield represents yield on new production Agency RMBS. 30-Year Current Coupon Yield and 30-Year Mortgage Rate are sourced from Bloomberg. 2.
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 Security Rate: 2-Year U.S. Treasury 0.73% 2.34% 2.96% 4.28% 4.43% +370 bps 5-Year U.S. Treasury 1.26% 2.46% 3.04% 4.09% 4.01% +275 bps 10-Year U.S. Treasury 1.51% 2.34% 3.02% 3.83% 3.88% +237 bps 30-Year U.S.
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.
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. Furthermore, estimated taxable income can include certain information that is subject to potential adjustments up to the time of filing our income tax returns, which occurs after the end of our fiscal year.
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".
Removed
The size and composition of our investment portfolio depends on the investment strategies we implement, availability of attractively priced investments, suitable financing to appropriately leverage our investment portfolio and overall market conditions.
Added
We employ an active management strategy that is dynamic and responsive to evolving market conditions. The composition of our portfolio and our investment, funding, and hedging strategies are tailored to reflect our analysis of market conditions and the relative values of available options.
Removed
Persistently high inflation, coupled with macroeconomic and monetary policy uncertainty, led to a sharp decline in investor sentiment and a significant repricing in the fixed income markets. Interest rates across the yield curve moved materially higher, as the Federal Reserve (the "Fed") raised the Federal Funds rate 425 basis points, and the yield on the 10-year U.S.
Added
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.

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Item 7A. Quantitative and Qualitative Disclosures About Market Risk

Market Risk — interest-rate, FX, commodity exposure

14 edited+0 added−1 removed35 unchanged
Biggest changeThe base interest rate scenario assumes interest rates and prepayment projections as of December 31, 2022 and 2021. 43 To the extent that these estimates or other assumptions do not hold true, which may be more likely during periods of elevated market volatility, actual results could differ materially from our projections.
Biggest changeTo the extent that these estimates or other assumptions do not hold true, which may be more likely during periods of elevated market volatility, actual results could differ materially from our projections. Moreover, if different models were employed in the analysis, materially different projections could result.
Future borrowings are dependent upon the willingness of lenders to finance our investments, lender collateral 45 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 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.
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, 2022 and 2021 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 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 assets, net of hedges, and our tangible net book value per common share as of December 31, 2022 and 2021 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, 2023 and 2022 should spreads widen or tighten by 10, 25 and 50 basis points.
As of December 31, 2022, 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, 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).
The table below assumes a spread duration of 5.8 and 5.4 years as of December 31, 2022 and 2021, 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 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.
Interest Rate Sensitivity 1,2 December 31, 2022 December 31, 2021 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% +1.4% -0.6% -6.4% -50 Basis Points +0.1% +1.5% -0.2% -2.3% -25 Basis Points 0.1% +1.0% 0.0% -0.3% +25 Basis Points -0.1% -1.4% -0.1% -1.3% +50 Basis Points -0.3% -3.3% -0.4% -3.8% +75 Basis Points -0.5% -5.4% -0.7% -7.4% ________________________________ 1.
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.
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 0.4 years as of December 31, 2022, compared to 0.1 years as of December 31, 2021.
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.
Spread Sensitivity 1,2 December 31, 2022 December 31, 2021 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 +2.9% +30.6% +2.7% +27.1% -25 Basis Points +1.5% +15.3% +1.4% +13.6% -10 Basis Points +0.6% +6.1% +0.5% +5.4% +10 Basis Points -0.6% -6.1% -0.5% -5.4% +25 Basis Points -1.5% -15.3% -1.4% -13.6% +50 Basis Points -2.9% -30.6% -2.7% -27.1% ________________________________ 1.
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.
Estimated yields exclude the impact of retroactive "catch-up" premium amortization adjustments for prior periods due to changes in the projected CPR assumption. 44 Interest Rate Sensitivity 1 December 31, 2022 December 31, 2021 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 8.3% 3.33% 17.0% 2.21% -50 Basis Points 7.9% 3.34% 14.1% 2.30% -25 Basis Points 7.6% 3.36% 12.2% 2.37% Actual as of Period End 7.4% 3.37% 10.9% 2.43% +25 Basis Points 7.2% 3.38% 9.9% 2.47% +50 Basis Points 7.0% 3.39% 9.1% 2.51% +75 Basis Points 6.9% 3.40% 8.4% 2.54% ________________________________ 1.
Estimated 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.
As of December 31, 2022 and 2021, our investment securities (excluding TBAs) had a weighted average projected CPR of 7.4% and 10.9%, respectively, and a weighted average yield of 3.37% and 2.43%, respectively.
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.
Moreover, if different models were employed in the analysis, materially different projections could result. Lastly, while the table below reflects the estimated impact of interest rate changes on a static portfolio, we actively manage our portfolio, and we continuously adjust the size and composition of our asset and hedge portfolio.
Lastly, while the table below reflects the estimated impact of interest rate changes on a static portfolio, we actively manage our portfolio, and we continuously adjust the size and composition of our asset and hedge portfolio.
All values in the table below are measured as percentage changes from the base interest rate scenario.
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.
Excluding central clearing exchanges, as of December 31, 2022, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was approximately 4% and less than 1%, respectively, of tangible stockholders' equity. 46
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
Removed
There is no guarantee that our efforts to manage credit risk will be successful and we could suffer losses if credit performance is worse than our expectations or our counterparties default on their obligations.

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