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What changed in AGNC Investment Corp.'s 10-K — 2024 vs 2025

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Paragraph-level year-over-year comparison of AGNC Investment Corp.'s 2024 and 2025 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 2025 report.

+332 added−307 removedSource: 10-K (2026-02-23) vs 10-K (2025-02-21)

Top changes in AGNC Investment Corp.'s 2025 10-K

332 paragraphs added · 307 removed · 264 edited across 7 sections

Item 1. Business

Business — how the company describes what it does

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Biggest changeThe $8 trillion Agency market plays a vital role in providing liquidity to homeowners and prospective homeowners to purchase or refinance homes. Our team of investment professionals has decades of experience investing in Agency RMBS. Our asset selection process involves assessing relative risk-return profiles against the backdrop of broader market conditions.
Biggest changeOur team of investment professionals has decades of experience investing in Agency RMBS and our other targeted investments. Our asset selection process involves assessing relative risk-return profiles against the backdrop of broader market conditions. Utilizing sophisticated modeling techniques, we identify assets with favorable underlying loan characteristics with the objective of optimizing returns over the life of the investment.
The REIT asset and income tests are significant to our operations as they restrict the extent to which we can invest in certain types of securities and conduct certain hedging activities within the REIT. Consequently, we may be required to limit these activities or conduct them through a taxable REIT subsidiary ("TRS").
The REIT asset and income tests are significant to our operations as they restrict the extent to which we can invest in certain types of securities 4 and conduct certain hedging activities within the REIT. Consequently, we may be required to limit these activities or conduct them through a taxable REIT subsidiary ("TRS").
Similarly, within the incentive-based elements, the proportion of long-term incentive-based elements generally corresponds to the individual’s role and level of responsibility in the organization. 6 As the success of our business is fundamentally connected to the well-being of our people, we offer benefits that support their physical, financial and emotional well-being.
Similarly, within the incentive-based elements, the proportion of long-term incentive-based elements generally corresponds to the individual's role and level of responsibility in the organization. As the success of our business is fundamentally connected to the well-being of our people, we offer benefits that support their physical, financial and emotional well-being.
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.
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.
As an eligible institution, BES also raises repo funding through the General Collateral Finance ("GCF") Repo service offered by the FICC, with the FICC acting as the central counterparty.
As an eligible institution, BES also raises repo funding through the General Collateral Finance ("GCF") Repo service offered by the FICC, with the FICC acting as the central 3 counterparty.
We generally expect our leverage to be within six to twelve times the amount of our tangible stockholders' equity, but under certain conditions we may operate at leverage levels outside of this range. We diversify our funding exposure by entering into repurchase agreements with multiple counterparties.
We generally expect our leverage to be within six to ten times the amount of our tangible stockholders' equity, but under certain conditions we may operate at leverage levels outside of this range. We diversify our funding exposure by entering into repurchase agreements with multiple counterparties.
Additionally, as a self-clearing, registered broker-dealer, BES is subject to minimum net capital requirements. Thus, our ability to access tri-party repo funding through the FICC's GCF Repo service, which represents a significant portion of our total borrowing capacity, is reliant on BES' ability to continually meet FINRA and FICC regulatory and membership requirements.
Additionally, as a self-clearing, registered broker-dealer, BES is subject to minimum net capital requirements. Thus, our ability to access tri-party repo funding through the 5 FICC's GCF Repo service, which represents a significant portion of our total borrowing capacity, is reliant on BES's ability to continually meet FINRA and FICC regulatory and membership requirements.
The value of any one issuer's securities that we own may not exceed 5% of the value of our total assets. 3. We may not own more than 10% of any one issuer's outstanding securities, as measured by either voting power or value.
The value of any one issuer's securities that we own may not exceed 5% of the value of our total assets. b. We may not own more than 10% of any one issuer's outstanding securities, as measured by either voting power or value.
The aggregate value of all securities of all TRSs that we hold may not exceed 20% of the value of our total assets. 5. No more than 25% of the total value of our assets may be represented by certain non-mortgage debt instruments issued by publicly offered REITs (even though such debt instruments qualify under the 75% asset test).
The aggregate value of all securities of all TRSs that we hold may not exceed 25% of the value of our total assets. d. No more than 25% of the total value of our assets may be represented by certain non-mortgage debt instruments issued by publicly offered REITs (even though such debt instruments qualify under the 75% asset test).
The 5% and 10% asset tests do not apply to securities of TRSs and qualified REIT subsidiaries and the 10% asset test does not apply to "straight debt" having specified characteristics and to certain other securities. 4.
The 5% and 10% asset tests do not apply to securities of TRSs and qualified REIT subsidiaries and the 10% asset test does not apply to "straight debt" having specified characteristics and to certain other securities. c.
Human Capital Management We believe our success as a company ultimately depends on the strength, wellness, and dedication of our workforce. We pride ourselves on robust practices in the area of human capital management that are constantly evolving to meet the needs of our people. As of December 31, 2024, our workforce consisted of 53 full-time employees.
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, 2025, our workforce consisted of 54 full-time employees.
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.
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 long-term risk-adjusted returns as market conditions warrant.
Income and gains from instruments that we use to hedge the interest rate risk associated with our borrowings incurred, or to be incurred, to acquire real estate assets will generally be excluded from both gross income tests, provided that specified requirements are met.
Income and gains from instruments used to hedge the interest rate risk associated with our borrowings incurred, or to be incurred, to acquire real estate assets generally will be excluded from both gross income tests, provided that specified requirements are satisfied.
Asset Tests: At the close of each calendar quarter, we must satisfy five tests relating to the nature of our assets. 1. At least 75% of the value of our total assets must be represented by some combination of "real estate assets," cash, cash items, U.S.
Asset Tests: At the close of each calendar quarter, we must satisfy two sets of tests relating to the nature of our assets. 1. Asset qualification test: At least 75% of the value of our total assets must be represented by some combination of "real estate assets," cash, cash items, U.S.
We also seek to engage our employees and provide them opportunities on a non-discriminatory and inclusive basis. As of December 31, 2024, 40% of our employees were women and 32% were ethnically diverse. Compensation and Benefits We seek to attract and retain the most talented employees in our industry by offering competitive compensation and benefits.
We also seek to engage our employees and provide them opportunities on a non-discriminatory and inclusive basis. As of December 31, 2025, 39% of our employees were women and 31% 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 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").
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; • 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").
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.
There is no direct authority regarding the qualification of income or gains from TBAs for purposes of the 75% gross income test; however, we treat such income and gains 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 also conduct periodic "Lunch and Learn" seminars and offer a formal mentoring program for employees to receive direct one-on-one career guidance and cross-functional experience across various operations.
We offer a formal mentoring program for employees to receive direct one-on-one career guidance and cross-functional experience across various operations.
TBA contracts specify the coupon rate, issuer, term and face value of the bonds to be delivered, with the actual bonds to be delivered only identified shortly before the TBA settlement date. Non-Agency Securities • Credit Risk Transfer ("CRT") Securities.
TBA contracts specify the coupon rate, issuer, term and face value of the bonds to be delivered, with the actual bonds to be delivered only identified shortly before the TBA settlement date. • Agency Multifamily Mortgage-Backed Securities.
We believe our low voluntary employee turnover, which averaged less than 1 employee per year the past three years, and favorable employee survey results are a testament to the success of our human capital management initiatives. 5 Employee Communications and Engagement We recognize the importance of ongoing open communication and engagement with our employees and we greatly value their input.
We believe our zero employee turnover during the past three years and favorable employee survey results are a testament to the success of our human capital management initiatives. Employee Communications and Engagement We recognize the importance of ongoing open communication and engagement with our employees and we greatly value their input.
We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code").
Government agency, such as the Government National Mortgage Association ("Ginnie Mae"). We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code").
Security holders 2 also receive guarantor advances of principal and interest for delinquent loans in the mortgage pools. We may also invest in Agency collateralized mortgage obligations ("CMOs"), which are structured instruments backed by a pool of Agency mortgage-backed securities. • To-Be-Announced Forward Contracts ("TBAs"). TBAs are forward contracts to purchase or sell Agency RMBS in the TBA market.
We may also invest in Agency collateralized mortgage obligations ("CMOs"), which are structured instruments backed by a pool of Agency RMBS. • To-Be-Announced Forward Contracts ("TBAs"). TBAs are forward contracts to purchase or sell Agency RMBS in the TBA market.
Government agency, such as the Government National Mortgage Association ("Ginnie Mae"). 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 may also invest in Agency multifamily mortgage-backed securities ("Agency multifamily MBS") that are similarly guaranteed by a GSE and in other assets related to the housing, mortgage, or real estate markets that are not guaranteed by a GSE or a U.S. Government agency (collectively referred to as "non-Agency MBS").
Government securities, and, under some circumstances, temporary investments in stock or debt instruments purchased with new capital. For this purpose, mortgage-backed securities and mortgage loans are generally treated as "real estate assets." Assets that do not qualify for purposes of the 75% asset test are subject to the additional asset tests described below. 2.
Government securities and all other mortgage-backed securities and mortgage loans are generally treated as "real estate assets." Assets that do not qualify for purposes of the 75% asset test are subject to the additional asset diversification tests described below. 2. Assets diversification tests: a.
Monthly payments of principal and interest made by the individual borrowers on the mortgage loans underlying the pools are in effect "passed through" to the security holders, after deducting guarantee and servicer fees. In general, mortgage pass-through certificates distribute cash flows from the underlying collateral on a pro rata basis among the security holders.
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. Monthly payments of principal and interest made by the individual borrowers on the mortgage loans underlying the pools are in effect "passed through" to the security holders, after deducting guarantee and servicer fees.
The discount, or "price drop", is the economic equivalent of interest income on the underlying Agency RMBS, less an implied financing cost, between the current month and forward month settlement dates. 3 Prior to the forward settlement date, we may choose to roll the position to a later date by entering into an offsetting TBA position, net settling the paired off positions for cash, and simultaneously entering into a similar TBA contract for a new forward settlement date.
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.
The TBA contract purchased for the forward settlement date is typically priced at a discount to the TBA contract sold for the current month.
The TBA contract purchased for the forward settlement date is typically priced at a discount to the TBA contract sold for the current month. The discount, or "price drop", is the economic equivalent of interest income on the underlying Agency RMBS, less an implied financing cost, between the current month and forward month settlement dates.
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Utilizing sophisticated modeling techniques, we identify assets with favorable underlying loan characteristics with the objective of optimizing returns over the life of the investment. Agency Securities • Agency Residential Mortgage-Backed Securities. Agency RMBS consist of pass-through certificates representing interests in "pools" of mortgage loans secured by residential real property.
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The $9 trillion Agency market plays a vital role in providing liquidity to homeowners and prospective homeowners to purchase or refinance homes.
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In general, mortgage pass-through certificates 2 distribute cash flows from the underlying collateral on a pro rata basis among the security holders. Security holders also receive guarantor advances of principal and interest for delinquent loans in the mortgage pools.
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Agency multifamily MBS consist of securities backed by one or more mortgage loans secured by one or more multifamily properties that benefit from a GSE guarantee of timely payment of principal and interest.
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Our investments in Agency multifamily securities primarily consist of securities issued under Fannie Mae's Delegated Underwriting and Servicing ("DUS") program, which are generally backed by a single mortgage loan secured by a single property and include lender risk-sharing. Non-Agency Securities • Credit Risk Transfer ("CRT") Securities.
Added
Government securities, and, under some circumstances, temporary investments in stock or debt instruments purchased with new capital. For this purpose, Agency mortgage-backed securities are treated as U.S.

Item 1A. Risk Factors

Risk Factors — what could go wrong, per management

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Biggest changeAny of these or other taxes we may incur would decrease cash available for distribution to our stockholders. • Regular U.S. federal and state corporate income taxes on any undistributed taxable income, including undistributed net capital gains. • A non-deductible 4% excise tax if the actual amount distributed to our stockholders in a calendar year is less than a minimum amount specified under Federal tax laws. • Corporate income taxes on the earnings of subsidiaries, to the extent that such subsidiaries are subchapter C corporations and are not qualified REIT subsidiaries or other disregarded entities for federal income tax purposes. • A 100% tax on certain transactions between us and our TRSs that do not reflect arm's-length terms. • If we acquire appreciated assets from a corporation that is not a REIT (i.e., a corporation taxable under subchapter C of the Internal Revenue Code) in a transaction in which the adjusted tax basis of the assets in our hands is determined by reference to the adjusted tax basis of the assets in the hands of the subchapter C corporation, we may be subject to tax on such appreciation at the highest corporate income tax rate then applicable if we subsequently recognize a gain on a disposition of any such assets during the five-year period following their acquisition from the subchapter C corporation. • A 100% tax on net income and gains from "prohibited transactions." • Penalty taxes and other fines for failure to satisfy one or more requirements for REIT qualification.
Biggest changeAny of these or other taxes we may incur would decrease cash available for distribution to our stockholders. • Regular U.S. federal and state corporate income taxes on any undistributed taxable income, including undistributed net capital gains. • A non-deductible 4% excise tax if the amount distributed to our stockholders in a calendar year is less than the required amount specified under federal tax law. • Corporate income taxes on the earnings of subsidiaries, to the extent that such subsidiaries are subchapter C corporations and are not qualified REIT subsidiaries or other disregarded entities for federal income tax purposes. • A 100% tax on certain transactions between us and our TRSs that do not reflect arm's-length terms. • If we acquire appreciated assets from a corporation that is not a REIT (i.e., a corporation taxable under subchapter C of the Internal Revenue Code) in a nontaxable transaction, we may be subject to tax on such appreciation at the highest applicable corporate income tax rate if we were to dispose of the assets in a taxable transaction during the five-year period following the acquisition. • A 100% tax on net income and gains from "prohibited transactions." • Penalty taxes and other fines for failure to satisfy one or more requirements for REIT qualification.
Moreover, we depend on third-party vendors to implement security programs commensurate with their own risk. They may not be successful at defending against or detecting cybersecurity threats, and they may not be obligated to inform us of such incidents.
Moreover, we depend on third-party vendors to implement security programs commensurate with their own risk. Such vendors may not be successful at defending against or detecting cybersecurity threats, and they may not be obligated to inform us of such incidents.
Distributions of our taxable income must generally occur in the taxable year to which they relate, or in the following taxable year if declared before we timely file our tax return for the year and if paid with or before the first regular dividend payment after such declaration.
Distributions of our taxable income must generally occur in the taxable year to which they relate, or in the following taxable year if declared before we timely file our tax return for the year and -paid with or before the first regular dividend payment after such declaration.
Any income from a properly designated hedging transaction to manage risk of interest rate changes with respect to borrowings made or to be made, or ordinary obligations incurred or to be incurred, to acquire or carry real estate assets generally does not constitute "gross income" for purposes of the 75% or 95% gross income tests ("qualified hedges").
Any income from a properly designated hedging transaction to manage the risk of interest rate changes with respect to borrowings made or to be made, or ordinary obligations incurred or to be incurred, to acquire or carry real estate assets generally does not constitute "gross income" for purposes of the 75% or 95% gross income tests ("qualified hedges").
Analytical models and third-party data used to analyze credit sensitive assets also expose us to the risk that the (i) collateral cash flows and/or liability structures may be incorrectly modeled, or may be modeled based on simplifying assumptions that lead to errors; (ii) information about collateral may be incorrect, incomplete or misleading; (iii) collateral or 9 bond historical performance (such as historical prepayments, defaults, cash flows, etc.) may be incorrectly reported, or subject to interpretation (e.g., different issuers may report delinquency statistics based on different definitions of what constitutes a delinquent loan); or (iv) collateral or bond information may be outdated, in which case the models may contain incorrect assumptions as to what has occurred since the date information was last updated.
Analytical models and third-party data used to analyze credit sensitive assets also expose us to the risk that the (i) collateral cash flows and/or liability structures may be incorrectly modeled, or may be modeled based on simplifying assumptions that lead to errors; (ii) information about collateral may be incorrect, incomplete or misleading; (iii) collateral or bond historical performance (such as historical prepayments, defaults, cash flows, etc.) may be incorrectly reported, or subject to interpretation (e.g., different issuers may report delinquency statistics based on different definitions of what constitutes a delinquent loan); or (iv) collateral or bond information may be outdated, in which case the models may contain incorrect assumptions as to what has occurred since the date information was last updated.
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: 21 • 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.
Spreads may widen due to numerous factors, including actual or expected monetary policy actions by U.S. and foreign central banks; legislative, regulatory or other administrative actions affecting the Agency RMBS market; changes in fiscal policy and rising federal budget deficits; increased market volatility; reduced market liquidity; higher Agency RMBS supply; and shifts in investor return requirements and sentiment.
Spreads may widen due to 7 numerous factors, including actual or expected monetary policy actions by U.S. and foreign central banks; legislative, regulatory or other administrative actions affecting the Agency RMBS market; changes in fiscal policy and rising federal budget deficits; increased market volatility; reduced market liquidity; higher Agency RMBS supply; and shifts in investor return requirements and sentiment.
In addition, if the counterparty is a broker or dealer subject to the Securities Investor Protection Act of 1970, or an insured depository institution subject to the Federal Deposit Insurance Act, our ability to recover our assets under our agreements or to be compensated for any damages resulting from the counterparty's insolvency may be further limited by those statutes.
In addition, if the counterparty is a broker or dealer subject to the Securities Investor Protection Act of 1970, or an insured depository institution subject to the Federal Deposit Insurance Act, our ability to recover assets under our agreements or to be compensated for damages resulting from the counterparty's insolvency may be further limited by those statutes.
During an investigation of a cybersecurity incident, or a series of events, it is possible we may not necessarily know the extent of the harm or how to remediate it, which could further adversely impact us, and we may be compelled to disclose information about a material cybersecurity incident before it has been mitigated or resolved, or even fully investigated.
During an investigation of a cybersecurity incident, or a series of events, it is possible we may not know the extent of the harm or how to remediate it, which could further adversely impact us, and we may be compelled to disclose information about a material cybersecurity incident before it has been mitigated or resolved, or even fully investigated.
In addition, it must be emphasized that Skadden’s opinion is based on various assumptions relating to our TBAs and is conditioned upon fact-based representations and covenants made by our management regarding our TBAs. No assurance can be given that the IRS would not assert that such assets or income are not qualifying assets or income.
In addition, it must be emphasized that Skadden's opinion is based on various assumptions relating to our TBAs and is conditioned upon fact-based representations and covenants made by our management regarding our TBAs. Accordingly, no assurance can be given that the IRS would not assert that such assets or income are not qualifying assets or income.
For the purpose of complying with REIT ownership limitations under the Internal Revenue Code, our amended and restated certificate of incorporation generally prohibits beneficial or constructive ownership by any person of more than 9.8% of our common or capital stock (by value or by number of shares, whichever is more restrictive), unless exempted by our Board.
For the purpose of complying with REIT ownership limitations under the Internal Revenue Code, our amended and restated certificate of incorporation generally prohibits beneficial or constructive ownership by any person of more than 9.8% of our common or capital stock (by value or by number of shares, whichever is more restrictive), unless such person is exempted by our Board.
When the differential between the market yield on our assets and our interest rate hedges widens, our tangible net book value will typically decline, a dynamic we refer to as "spread risk." As a levered investor primarily in fixed-rate Agency RMBS, spread risk is an inherent component of our business.
When the differential (or "spread") between the market yield on our assets and our interest rate hedges widens, our tangible net book value will typically decline, a dynamic we refer to as "spread risk." As a levered investor primarily in fixed-rate Agency RMBS, spread risk is an inherent component of our business.
Furthermore, whether a single or series of cyber events is material is often a matter of judgment rather than quantitative measures and might only be determinable well after the fact. Despite our efforts to enhance our cybersecurity defenses, we cannot assure complete protection against all cybersecurity threats.
Furthermore, whether a single cyber event or series of events is material is often a matter of judgment rather than quantitative measures and might only be determinable well after the fact. Despite our efforts to enhance our cybersecurity defenses, we cannot assure complete protection against all cybersecurity threats.
We may also elect to retain, rather than distribute, our net long-term capital gains and pay tax on such gains if required, in which case, we could elect for our stockholders to include their proportionate share of such undistributed long-term capital gains in income, and to receive a corresponding credit for their share of the tax that we paid.
We may also elect to retain, rather than distribute, our net long-term capital gains and pay tax on such gains if required, in which case, we could designate for our stockholders to include their proportionate share of such undistributed long-term capital gains in income, and to receive a corresponding credit for their share of the tax that we paid.
At least 75% of our gross income must come from real estate sources, and 95% must come from real estate and certain other qualifying sources. Our ability to satisfy the asset tests depends on determining the characterization and fair market value of our assets, which may not be precisely measurable and lack independent appraisals.
At least 75% of our gross income must come from real estate sources, and 95% must come from real estate and certain other qualifying sources. Our ability to satisfy the asset tests depends on determining the characterization and fair market value of our assets, which may not be precisely measurable or may lack independent appraisals.
Together or individually new regulatory requirements could materially affect our financial condition or results of operations in adverse ways. Failure to satisfy regulatory requirements of our captive broker-dealer subsidiary could result in our inability to access tri-party repo funding through the FICC’s GCF Repo service and could be harmful to our business operations.
Together or individually new regulatory requirements could materially affect our financial condition or results of operations in adverse ways. 20 Failure to satisfy regulatory requirements of our captive broker-dealer subsidiary could result in our inability to access tri-party repo funding through the FICC's GCF Repo service and could be harmful to our business operations.
Our application of such provisions may be dependent on interpretations of the provisions by the staff of the Internal Revenue Service, which may change over time. Even a technical or inadvertent violation of the Internal Revenue Code provisions could jeopardize our REIT qualification. The tax on prohibited transactions could limit our ability to engage in certain transactions.
Our application of such provisions may be dependent on interpretations of the provisions by the Internal Revenue Service, which may change over time. Even a technical or inadvertent violation of the Internal Revenue Code provisions could jeopardize our REIT qualification. The tax on prohibited transactions could limit our ability to engage in certain transactions.
Any attempt to own or transfer shares of our common or preferred stock more than the ownership limit without the consent of the Board will result in the shares being automatically transferred to a charitable trust or, if the transfer to a charitable trust would not be effective, such transfer being treated as invalid from the outset.
Any attempt to own or transfer shares of our common or preferred stock more than the ownership limit without the consent of the Board will result in the shares being automatically transferred to a charitable trust or, if the transfer to a charitable trust would not be effective, the transfer will be treated as invalid from the outset.
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.
Our counterparties typically have the sole discretion to determine eligible collateral, the value of our collateral and, in the case of our derivative counterparties, the value of our derivative instruments. Additionally, for cleared swaps and futures, the futures commission merchant, or FCM, that we transact through typically has the right to require more collateral than the clearinghouse requires.
Our counterparties typically have the sole discretion to determine eligible collateral, the value of our collateral and, in the case of our derivative counterparties, the value of our derivative 13 instruments. Additionally, for cleared swaps and futures, the futures commission merchant, or FCM, that we transact through typically has the right to require more collateral than the clearinghouse requires.
Nonetheless, we could be exposed to a risk of loss if an exchange or one or more of its clearing members defaults on its obligations. Most of the swaps and futures transactions that we enter into must be cleared by a Derivatives Clearing Organization, or DCO.
Nonetheless, we could be exposed to the risk of loss if an exchange or one or more of its clearing members defaults on their obligations. Most of the swaps and futures transactions that we enter into must be cleared by a Derivatives Clearing Organization, or DCO.
Volatility may also diminish the effectiveness and accuracy of the predictive models we rely on for decision-making and risk management. Sustained interest rate and spread volatility has the potential to materially impact our liquidity, increase our costs, and impair our ability to manage risk effectively.
Volatility may also diminish the effectiveness and accuracy of the predictive models we rely on for decision-making and risk management. Sustained interest rate and spread volatility has the potential to materially impact our unencumbered liquidity, increase our costs, and impair our ability to manage risk effectively.
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.
Factors affecting a 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.
If we fail to meet the margin call, we would be 12 in default, and our counterparty could terminate outstanding transactions, require us to settle our entire obligation under the agreement and enforce their interests against existing collateral.
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 our assets prepay at a faster rate than anticipated, we may be unable to reinvest the repayments at acceptable yields. If the proceeds are reinvested at lower yields than our existing assets, our net interest margins would be negatively impacted.
If our assets prepay at a faster rate than anticipated, we may be unable to reinvest the resulting repayments at acceptable yields. If the proceeds are reinvested at lower yields than our existing assets, our net interest margins would be negatively impacted.
Our hedging strategies may vary in scope based on our portfolio composition, liabilities and our assessment of the level and volatility of interest rates, expected prepayments, credit and other market conditions, and are expected to change over time.
Our hedging strategies may vary in scope based on our portfolio composition, liabilities and our assessment of the level and volatility of interest rates, expected prepayments, credit and other market conditions, and they are expected to change over time.
To the extent that actual prepayment rates differ from our expectations, our operating results could be adversely affected, and we could be forced to sell assets to maintain adequate liquidity, which could cause us to incur realized losses.
To the extent actual prepayment rates differ from our expectations, our operating results could be adversely affected, and we could be forced to sell assets to maintain adequate liquidity, which could cause us to incur realized losses.
Consequently, our ability to achieve our investment objectives depends not only on our ability to borrow sufficient amounts and on favorable terms, but also our ability to renew or replace our maturing short-term borrowings on a continuous basis.
Consequently, our ability to achieve our investment objectives depends not only on our ability to borrow sufficient amounts on favorable terms, but also on our ability to renew or replace our maturing short-term borrowings on a continuous basis.
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.
Consequently, our hedging strategies may fail to protect us from loss and could even result in greater losses than if we had not entered into the hedge transaction.
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.
Additionally, our reliance on these systems exposes us to risks of disruption or damage from cybersecurity risks, such as malware, viruses, 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.
Additionally, the classification of certain instruments as debt or equity for tax purposes may be uncertain, which could impact the application of the REIT asset requirements.
Additionally, the classification of certain instruments as debt or equity for tax purposes may be uncertain, which could adversely impact the application of the REIT asset requirements.
This could subject Agency RMBS to greater credit risk, make them more difficult to finance or less liquid, and cause their values to decline, all of which could have broad adverse implications for primary and secondary mortgage markets and our business. Actions of the U.S. Government, including the U.S. Congress, Fed, U.S.
Such actions could subject Agency RMBS to greater credit risk, make them more difficult to finance or less liquid, and cause their values to decline, all of which could have broad adverse implications for primary and secondary mortgage markets and our business. Actions of the U.S. Government, including the U.S. Congress, Fed, U.S.
Fair value is only an estimate based on good faith judgment of the price at which an investment can be sold since market prices of investments can only be determined by negotiation between a willing buyer and seller. Our determination of the fair value of our investments includes inputs provided by pricing services and third-party dealers.
Fair value is only an estimate based on good faith judgment of the price at which an investment can be sold since market prices of investments can only be determined by negotiation between a willing buyer and seller. Our determination of the fair value of our investments includes inputs from pricing services and third-party dealers.
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.
A margin call means that the counterparty requires us to pledge additional collateral to re-establish the required collateral level to protect it 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.
Relief provisions may be available if we fail to meet the REIT requirements, provided the failure was due to reasonable cause, not willful neglect, and we satisfy other requirements, including completion of applicable IRS filings. It is not possible to predict if we would be entitled to benefit from such provisions.
Relief provisions may be available if we fail to meet the REIT requirements, provided the failure was due to reasonable cause, not willful neglect, and we satisfy other requirements, including the timely completion of applicable IRS filings. It is not possible to predict whether we would be entitled to benefit from such provisions.
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 failed 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.
Thus, the potential returns on our investment portfolio may be lower than if we were not subject to such requirements. Additionally, if we must liquidate our investments to repay our lenders or to satisfy other obligations, we may be unable to comply with these requirements, potentially jeopardizing our qualification as a REIT.
Thus, the potential returns on our investment portfolio may be lower than they would be if we were not subject to such requirements. Additionally, if we must liquidate our investments to repay our lenders or to satisfy other obligations, we may be unable to comply with these requirements, potentially jeopardizing our qualification as a REIT.
DCOs are subject to regulatory oversight, use extensive risk management processes, and might receive "too big to fail" support from the government in the case of insolvency. We access the DCO through several FCMs, which may establish their own collateral requirements beyond that of the DCO.
DCOs are subject to regulatory oversight, use extensive risk management processes, and might receive "too big to fail" support from the government in the case of insolvency. We access the DCO through several FCMs, which may establish their own collateral requirements beyond those of the DCO.
We expect our leverage to vary with market conditions and our assessment of the tradeoffs between risk and return on investments. We generally expect to maintain our leverage between six to twelve times the amount of our tangible stockholders' equity, but we may operate at levels outside of this range for extended periods.
We expect our leverage to vary with market conditions and our assessment of the tradeoffs between risk and return on investments. We generally expect to maintain our leverage between six to ten times the amount of our tangible stockholders' equity, but we may operate at levels outside of this range for extended periods.
If BES were to fail to continually meet FICC margin requirements and default on its obligations to the FICC it could have a material financial impact on our financial position. Our repurchase agreements and agreements governing certain derivative instruments may contain financial and nonfinancial covenants subjecting us to the risk of default.
If BES were to fail to continually meet FICC margin requirements and default on its obligations to the FICC it could have a material financial impact on our financial position. Our repurchase agreements and agreements governing certain derivative instruments may contain financial and non-financial covenants subjecting us to the risk of default.
Our ability to access tri-party repo funding through the FICC's GCF Repo service, which represents a significant portion of our total borrowing capacity, and our ability to conduct self-clearing of our investment and funding activity through BES are reliant on BES' ability to continually meet these regulatory and membership requirements.
Our ability to access tri-party repo funding through the FICC's GCF Repo service, which represents a significant portion of our total borrowing capacity, and our ability to conduct self-clearing of our investment and funding activity through BES are reliant on BES's ability to continually meet these regulatory and membership requirements.
The distribution requirement mandates that we distribute at least 90% of our REIT taxable income to stockholders annually, determined without regard to the dividends paid deduction and excluding net capital gains. 15 Failure to qualify as a REIT would have significant consequences.
The distribution requirement mandates that we distribute at least 90% of our REIT taxable income to stockholders annually, determined without regard to the dividends paid deduction and excluding net capital gains. 16 Failure to qualify as a REIT would have significant consequences.
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.
Similarly, if a derivative agreement counterparty fails to return collateral to us at the conclusion of the derivative transaction or fails to pledge 14 collateral to us or to make other payments we are entitled to under the terms of our agreement when due, we could incur a loss equal to the value of our collateral and other amounts due to us.
Furthermore, we may also be subject to certain cross-default and acceleration rights, such that if we were to fail to meet a margin call under one agreement that failure could lead to defaults, accelerations, or other adverse events under other agreements, as well.
Furthermore, we may also be subject to certain cross-default and acceleration rights, such that if we were to fail to meet a margin call under one agreement that failure could also lead to defaults, accelerations, or other adverse events under other agreements.
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.
This 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.
Despite having no significant breaches detected so far, we regularly are targeted by threat actors, and completely preventing or detecting such incidents promptly is increasingly challenging. The complex nature of cybersecurity threats means a breach could go undetected for a long time, if ever, and responding to such incidents may not always be immediate or sufficient.
Despite having no significant breaches detected to date, we regularly are targeted by threat actors, and completely preventing or detecting such incidents promptly is increasingly challenging. The complex nature of cybersecurity threats means a breach could go undetected for a long time, if ever, and responding to such incidents may not always be immediate or sufficient.
In the final month of the Biden Administration, the FHFA and Department of Treasury further amended the liquidity backstop to, among other things, require the written consent of the Department of Treasury after a period of public notice and opportunity to comment prior to 18 terminating the conservatorships (other than through receivership) and would further require that Fannie Mae and Freddie Mac achieve sufficient capital levels prior to being released from conservatorship.
In the final month of the Biden Administration, the FHFA and the Treasury Department further amended the liquidity backstop, among other things, to require the written consent of the Treasury Department after a period of public notice and opportunity to comment prior to terminating the conservatorships 19 (other than through receivership) and to require that Fannie Mae and Freddie Mac achieve sufficient capital levels prior to being released from conservatorship.
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 maintaining guarantee funds and other resources that are available in the event of default.
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.
A variety of factors could prevent us from achieving 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, as a result of which our lenders may terminate and cease entering into repurchase transactions with us; and 12 • the inability of BES to continually meet FINRA and FICC regulatory and membership requirements, which may change over time.
In addition, in general, no more than 5% of the value of our assets (other than government securities and qualified real estate assets) can consist of the securities of any one issuer, and no more than 20% of the value of our total assets can be represented by securities of one or more TRSs.
In addition, in general, no more than 5% of the value of our assets (other than government securities and qualified real estate assets) can consist of the securities of any one issuer, and no more than 25% of the value of our total assets can be represented by securities of one or more TRSs.
We may also compete for these assets with a variety of other investors, including other REITs, specialty finance companies, public and private funds, government entities, banks, insurance companies and other financial institutions, which may have competitive advantages over us, such as a lower cost of funds and access to funding sources not available to us.
We may also compete for these assets with a variety of other investors, including other REITs, specialty finance companies, public and private funds, government entities, banks, insurance companies and other financial institutions, which may have a lower cost of funds, access to funding sources not available to us, or other competitive advantages over us.
Furthermore, BES' inability to meet FICC margin requirements may result in the FICC declaring an event of default and ceasing to act for BES as a member along with a liquidation of any margin collateral as well as the portfolio of outstanding transactions for which the FICC serves as BES’ central counterparty, potentially in adverse market conditions.
Furthermore, BES's inability to meet FICC margin requirements may result in the FICC declaring an event of default and ceasing to act for BES as a member along with a liquidation of any margin collateral and the portfolio of outstanding transactions for which the FICC serves as BES's central counterparty, potentially in adverse market conditions.
The use of predictive models has inherent risks and may incorrectly forecast future behavior, leading to potential losses. Furthermore, since predictive models are usually constructed based on historical trends using data supplied by third parties, the success of relying on such models depends heavily on the accuracy and reliability of the supplied historical data.
The use of predictive models has inherent risks and may incorrectly forecast future behavior, leading to potential losses. Furthermore, since predictive models are typically constructed based on historical trends using data supplied by third parties, the success of relying on such models depends heavily on the accuracy and reliability of the underlying historical data.
In the final months of 2020 and early 2021, the Director of the FHFA was reported to have considered various actions to bring a prompt end to the conservatorships. The Biden Administration and the FHFA delayed implementation or reversed many of these initiatives and took steps intended to advance other housing finance policy objectives.
In late 2020 and early 2021, the Director of the FHFA was reported to have considered various actions to bring a prompt end to the conservatorships. The Biden Administration and the FHFA delayed implementation or reversed many of these initiatives and took steps intended to advance other housing finance policy objectives.
We must also satisfy tests concerning the sources of our income and the amounts that we distribute to our stockholders. Complying with these requirements may prevent us from acquiring certain attractive investments or we may be required to sell otherwise attractive investments.
We must also satisfy tests concerning the sources of our income and the amounts that we distribute to our stockholders. Complying with these requirements may prevent us from acquiring certain attractive investments or may require us to sell otherwise attractive investments.
Furthermore, with respect to certain non-U.S. stockholders, we may be required to withhold U.S. tax with respect to such dividends, including in respect of all or a portion of such dividend that is payable in stock. 16 Even if we remain qualified as a REIT, we may face other tax liabilities that reduce our cash flow.
Furthermore, with respect to certain non-U.S. stockholders, we may be required to withhold U.S. tax on such dividends, including on all or a portion of any dividend that is payable in stock. 17 Even if we remain qualified as a REIT, we may face other tax liabilities that reduce our cash flow.
However, we treat our TBAs as qualifying assets for purposes of the REIT 75% asset test, and we treat income and gains from our TBAs as qualifying income for purposes of the 75% gross income test, based on a legal opinion of Skadden, Arps, Slate, Meagher & Flom LLP (“Skadden”) substantially to the effect that (i) for purposes of the REIT asset tests, our ownership of a TBA should be treated as ownership of the underlying Agency RMBS, and (ii) for purposes of the 75% REIT gross income test, any gain recognized by us in 17 connection with the settlement of our TBAs should be treated as gain from the sale or disposition of the underlying Agency RMBS.
However, we treat our TBAs as qualifying assets for purposes of the REIT 75% asset test, and we treat income and gains from our TBAs as qualifying income for purposes of the 75% gross income test, based on a legal opinion of Skadden, Arps, Slate, Meagher & Flom LLP ("Skadden") substantially to the effect that (i) for purposes of the REIT asset tests, our ownership of a TBA should be treated as ownership 18 of the underlying Agency RMBS (i.e., real estate assets), and (ii) for purposes of the 75% REIT gross income test, any gain recognized by us in connection with the settlement of our TBAs should be treated as gain from the sale or disposition of the underlying Agency RMBS.
In particular, the value of our long-term fixed-rate securities is highly sensitive to fluctuations in longer-term interest rates. Additionally, market liquidity can significantly impact asset values, as reduced liquidity may lead to price declines and increased volatility.
In particular, the value of our long-term fixed-rate securities is highly sensitive to fluctuations in longer-term interest rates. Additionally, the amount of market liquidity can significantly impact asset values, as reduced liquidity may lead to wider mortgage spreads, price declines and increased volatility.
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, the availability of credit to homeowners, government or GSE policy actions, and GSE buyouts of delinquent loans from the underlying mortgage pool.
If the actual and estimated future prepayment experience differs from our prior estimates, we are required to record an adjustment to interest income for the impact of the cumulative difference in the effective yield, which could negatively affect our interest income.
If the actual and estimated future prepayment experience differs from our prior estimates, we are required to record a current period adjustment to interest income for the impact of the cumulative difference in the effective yield, which could negatively affect our interest income.
Additionally, multiple factors could disrupt the relationships between data and historical trends, reducing the ability of our models to predict future outcomes, or even render them invalid.
Additionally, multiple factors could disrupt the relationships between data and historical trends, reducing the ability of our models to predict future outcomes or rendering them invalid.
Treasury and Agency RMBS transactions, could adversely affect the availability or terms of financing from our lending counterparties, reduce market liquidity or demand for Agency RMBS, restrict the origination of residential mortgage loans and the formation of new issuances of mortgage-backed securities, or limit the trading activities of certain banking entities and other systemically significant organizations that are important to our business.
Treasury and Agency RMBS transactions or the imposition of greater regulatory constraints on banks, could adversely affect the availability or terms of financing from our lending counterparties, reduce market liquidity or demand for Agency RMBS, restrict the origination of residential mortgage loans and the formation of new issuances of mortgage-backed securities, or limit the trading activities of certain banking entities and other systemically significant organizations that are important to our business.
Recoveries on these claims could be subject to significant delay and, if received, could be substantially less than the damages incurred. Our funding and derivative agreement counterparties may not fulfill their obligations to us as and when due.
Any recoveries on such claims could be subject to significant delay and, if received, could be substantially less than the damages incurred. Our funding and derivative agreement counterparties may not fulfill their obligations to us when due.
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 under 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.
If we are unable to acquire enough target assets, we may be unable to achieve our investment objectives or maintain our REIT qualification status or exemption from regulation under the Investment Company Act. We may change our targeted investments, investment guidelines and other operational policies without stockholder consent.
If we are unable to acquire a sufficient amount of target assets, we may be unable to achieve our investment objectives or maintain our REIT qualification status or exemption from regulation under the Investment Company Act. We may change our targeted investments, investment guidelines and other operational policies without stockholder consent.
While we actively monitor market conditions and adjust our strategies in response, there is no assurance that these measures will be sufficient to offset the negative effects of volatility on our business, operations, and financial results. The Fed’s participation in the Agency mortgage market could have an adverse effect on our Agency RMBS investments.
While we actively monitor market conditions and adjust our strategies in response, there is no assurance that these measures will be sufficient to offset the negative effects of volatility on our business, operations, and financial results. The participation of the Fed and other government-related entities in the Agency mortgage market could have an adverse effect on our Agency RMBS investments.
Depending on the complexity and illiquidity of a security, valuations of the same security can vary substantially from one pricing source to another. Moreover, values can fluctuate significantly, even over short periods of time. For these reasons, the fair value at which our investments are recorded may not be an accurate indication of their realizable value.
Depending on the complexity and illiquidity of a security, valuations can vary substantially from one pricing source to another. Moreover, values can fluctuate significantly, even over short periods of time. As a result, the fair value at which our investments are recorded may not be an accurate indication of their realizable value.
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.
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 operational performance of the underlying properties.
The remainder of our investments in securities (other than government securities and qualified real estate assets) generally cannot include more than 10% of the outstanding voting securities of any one issuer or more than 10% of the total value of the outstanding securities of any one issuer.
The remainder of our investments in securities (other than government securities and qualified real estate assets) generally cannot include securities possessing more than 10% of the outstanding voting power of any one issuer or having a value of more than 10% of the total value of the outstanding securities of any one issuer.
Treasury, FHFA and other governmental and regulatory bodies may adversely affect our business. U.S. Government legislative and administrative actions may have an adverse impact on financial markets for fixed income securities, including Agency RMBS.
Treasury, FHFA and other governmental and regulatory bodies may adversely affect our business. U.S. Government legislative and administrative actions may have an adverse impact on financial markets for Agency RMBS.
In the event of an insolvency or bankruptcy of one of our repurchase agreement or derivative counterparties, the counterparty may be permitted, under applicable insolvency laws, to repudiate the contract, and our claim against the counterparty for damages may be treated simply as an unsecured creditor.
In the event of the insolvency or bankruptcy of one of our repurchase agreement or derivative counterparties, the counterparty may be permitted, under applicable insolvency laws, to repudiate the contract with us, and our claim against the counterparty for damages may be treated as unsecured.
However, unprecedented events, market dislocations, advances in origination channel technologies and other factors may impair the usefulness of these historical correlations or render them completely invalid, reducing our ability to accurately predict future prepayment activity.
However, unprecedented events, market dislocations, changes in housing or mortgage-related policies, advances in origination channel technologies, and other factors may impair the usefulness of these historical correlations or render them invalid, reducing our ability to accurately predict future prepayment activity.
Our derivative agreements also subject us to margin calls. Collateral requirements under our derivative agreements are typically dictated by contract or clearinghouse rules and regulations adopted by the U.S. Commodity Futures Trading Commission (“CFTC”) and regulators of other countries. Thus, changes in clearinghouse rules and other regulations can increase our margin requirements and the cost of our hedges.
Collateral requirements under our derivative agreements are typically dictated by contract or clearinghouse rules and regulations adopted by the U.S. Commodity Futures Trading Commission ("CFTC") and regulators of other countries. Thus, changes in clearinghouse rules and other regulations can increase our margin requirements and the cost of our hedges.
Actions that would terminate the conservatorships without also providing for sufficiently robust U.S. government backing to preserve their government-like status or otherwise retain the functionality, scale and efficiency of the primary and secondary mortgage markets as they exist today could re-define what constitutes an Agency security.
Actions that terminate the conservatorships without providing sufficiently robust U.S. government support to preserve their government-like status or otherwise retain the functionality, scale, or efficiency of the primary and secondary mortgage markets as they exist today could redefine what constitutes an Agency security.
Valuations of certain investments in which we invest may be difficult to obtain or unreliable. In general, pricing services and dealers heavily disclaim their valuations and we do not have recourse against them in the event of inaccurate price quotes or other inputs used to determine the fair value of our investments.
Valuations of certain investments may be difficult to obtain or unreliable. In general, pricing services and dealers disclaim responsibility for the accuracy, completeness or usefulness of their valuations and we do not have recourse against them in the event of inaccurate price quotes or other inputs used to determine the fair value of our investments.
We believe we qualify as a REIT for U.S. federal income tax purposes under Sections 856–860 of the Internal Revenue Code of 1986, as amended, and related Treasury Regulations, and we intend to maintain our REIT status.
Risks Related to Our Taxation as a REIT Our failure to qualify as a REIT would have adverse tax consequences. We believe we qualify as a REIT for U.S. federal income tax purposes under Sections 856–860 of the Internal Revenue Code of 1986, as amended, and related Treasury Regulations, and we intend to maintain our REIT status.
Our borrowing costs are particularly sensitive to changes in short-term interest rates, as well as overall funding availability and market liquidity, whereas the yield on our fixed rate assets is largely influenced by longer-term rates and conditions in the mortgage market.
Our borrowing costs may increase at a faster pace than the yield on our investments. Our borrowing costs are particularly sensitive to changes in short-term interest rates, as well as overall funding availability and market liquidity, whereas the yield on our fixed rate assets is largely influenced by longer-term rates and conditions in the mortgage market.
If a U.S. stockholder sells the stock that it receives as a dividend to pay this tax, the sales proceeds may be less than the amount included in income with respect to the dividend, depending on the market price of our stock at the time of the sale.
If a U.S. stockholder sells the stock received as a dividend to pay these taxes, the sales proceeds may be less than the amount included in income with respect to the dividend, depending on the market price of our stock at the time of sale.
If our assets prepay at a slower rate than anticipated, our assets could extend beyond their expected maturity, and we may have to finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities.
If our assets prepay at a slower rate than anticipated, they may extend beyond their expected maturity, and we may be required to finance our investments for longer periods at potentially higher costs, without the ability to reinvest principal into higher-yielding securities.
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.
Treasury debt required to fund the government and the U.S. debt ceiling, could result in a wide range of negative economic effects, including increased financial market and interest rate volatility and wider mortgage spreads. Additionally, new regulatory requirements, including changes to the manner and timing of clearing U.S.

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Item 1C. Cybersecurity

Cybersecurity — threats and controls disclosure

3 edited+0 added−0 removed13 unchanged
Biggest changeIn addition, on at least an annual basis the Company’s Senior Vice President and Chief Technology Officer presents to the Audit Committee on cybersecurity matters, including material changes to the Company’s information systems, policies and controls, the results of penetration and other testing and findings from any third-party reviews.
Biggest changeIn addition, on at least a bi-annual basis the Company's Senior Vice President and Chief Technology Officer presents to the Audit Committee on cybersecurity matters, including material changes to the Company's information systems, policies and controls, the results of penetration and other testing and findings from any third-party reviews.
While we continuously assess, identify, 21 and mitigate cybersecurity risks through policies, procedures, and industry-standard security measures, cyber threats remain dynamic and could potentially disrupt our operations, expose us to legal or regulatory liabilities, or cause reputational harm. Governance and Oversight The Audit Committee of the Board has responsibility to oversee management’s strategy to address risks from cybersecurity threats.
While we continuously assess, identify, and mitigate cybersecurity risks through policies, procedures, and industry-standard security measures, cyber threats remain dynamic and could potentially disrupt our operations, expose us to legal or regulatory liabilities, or cause reputational harm. Governance and Oversight The Audit Committee of the Board has responsibility to oversee management's strategy to address risks from cybersecurity threats.
As a component of these processes, our management team, including our Senior Vice President and Chief Technology Officer, identifies and assesses the likelihood and magnitude of risks, on both inherent and residual basis. These evaluations inform our overall cybersecurity strategy. Our business operations depend significantly on third party service providers.
As a component of these processes, our management team, including our Senior Vice President and Chief Technology Officer, identifies and assesses the likelihood and magnitude of risks, on both inherent and residual basis. These evaluations inform our overall cybersecurity strategy. 22 Our business operations depend significantly on third party service providers.

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. 22 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. 23 PART II.

Item 5. Market for Registrant's Common Equity

Market for Common Equity — stock, dividends, buybacks

9 edited+0 added−1 removed4 unchanged
Biggest changeDecember 31, 2024 2023 2022 2021 2020 AGNC Investment Corp. $ 97.05 $ 89.13 $ 81.01 $ 103.51 $ 98.36 S&P 500 $ 196.85 $ 157.48 $ 124.73 $ 152.34 $ 118.39 FTSE NAREIT Mortgage REITs $ 79.80 $ 79.52 $ 68.94 $ 93.93 $ 81.23 The information in the share performance graph and table has been obtained from sources believed to be reliable, but neither its accuracy nor its completeness can be guaranteed.
Biggest changeDecember 31, 2025 2024 2023 2022 2021 AGNC Investment Corp. $ 133.05 $ 98.66 $ 90.61 $ 82.36 $ 105.23 S&P 500 $ 195.98 $ 166.28 $ 133.03 $ 105.36 $ 128.68 FTSE NAREIT Mortgage REITs $ 113.98 $ 98.24 $ 97.89 $ 84.86 $ 115.64 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.
See Notes 2 and 10 to our Consolidated Financial Statements in this Form 10-K for a description of our equity compensation plans.
See Notes 2 and 11 to our Consolidated Financial Statements in this Form 10-K for a description of our equity compensation plans.
Includes (i) unvested time and performance-based RSU awards (unvested performance-based awards assume the maximum payout under the terms of the award); (ii) outstanding previously vested awards, if distribution of such awards has been deferred beyond the vesting date; and (iii) accrued dividend equivalent units on items (i) and (ii) through December 31, 2024. 2.
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, 2025. 2.
Equity Compensation Plan Information The following table summarizes information, as of December 31, 2024, concerning shares of our common stock authorized for issuance under our equity compensation plans, pursuant to which grants of equity-based awards, namely restricted stock units ("RSUs"), may be granted from time to time.
Equity Compensation Plan Information The following table summarizes information, as of December 31, 2025, 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, 2024.
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, 2025.
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
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] 25
Performance Graph The following graph and table compare a stockholder's cumulative total return, assuming $100 invested at December 31, 2019, with the reinvestment of all dividends, as if such amounts had been invested in: (i) our common stock; (ii) the stocks included in the Standard & Poor's 500 Stock Index ("S&P 500"); and (iii) the stocks included in the FTSE NAREIT Mortgage REIT Index.
Performance Graph The following graph and table compare a stockholder's cumulative total return, assuming $100 invested at December 31, 2020, with the reinvestment of all dividends, as if such amounts had been invested in: (i) our common stock; (ii) the stocks included in the Standard & Poor's 500 Stock Index ("S&P 500"); and (iii) the stocks included in the FTSE NAREIT Mortgage REIT Index. 24 ________________________________ * $100 invested on 12/31/20 in stock or index, including reinvestment of dividends.
Item 5. Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities Our common stock is listed on the Nasdaq Global Select Market under the symbol "AGNC." As of January 31, 2025, 900,421,216 shares of common stock were issued and outstanding, which were held by 1,491 stockholders of record.
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, 2026, 1,108,770,670 shares of common stock were issued and outstanding, which were held by 1,523 stockholders of record.
Plan Category Number of securities to be issued upon exercise of outstanding options, warrants and rights 1 Weighted average exercise price of outstanding options, warrants and rights Number of securities remaining available for future issuance under equity compensation plans (excluding securities reflected in the first column of this table) 2 Equity compensation plans approved by security holders 10,312,795 $ — 25,983,630 Equity compensation plans not approved by security holders — — — Total 10,312,795 $ — 25,983,630 ________________________________ 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 11,283,273 $ — 23,057,448 Equity compensation plans not approved by security holders — — — Total 11,283,273 $ — 23,057,448 ________________________________ 1.
Removed
In prior years, we compared the cumulative total return on our common stock with that of the S&P 500 and the Bloomberg Mortgage REIT Index; however, the Bloomberg Mortgage REIT Index was discontinued in February 2024 and consequently we are not able to include it in the graph. 23 ________________________________ * $100 invested on 12/31/19 in stock or index, including reinvestment of dividends.

Item 7. Management's Discussion & Analysis

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

74 edited+34 added−31 removed70 unchanged
Biggest changePortfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2024. 30 December 31, 2023 Includes Net TBA Position Excludes Net TBA Position Fixed Rate Agency RMBS and TBA Securities Par Value Amortized Cost Fair Value Specified Pool % 1 Weighted Average Coupon Amortized Cost Basis Weighted Average Projected CPR 2 Yield 2 Age (Months) Fixed rate ≤ 15-year: ≤ 2.5% 58 59 54 100% 2.16% 101.7% 1.77% 65 10% 3.0% 442 450 423 99% 3.00% 101.5% 2.54% 71 10% 3.5% 14 14 13 100% 3.50% 101.5% 2.60% 126 14% 4.0% 229 235 227 95% 4.00% 102.8% 2.98% 70 13% 4.5% 1 1 1 99% 4.50% 101.7% 2.70% 154 21% ≥ 5.0% 90 89 91 —% 5.00% 100.9% 2.54% 168 41% Total ≤ 15-year 834 848 809 87% 3.44% 101.9% 2.62% 71 11% 20-year: ≤ 2.0% 219 225 188 —% 2.00% 102.6% 1.58% 37 5% 2.5% 337 352 301 —% 2.50% 104.7% 1.72% 42 6% 3.0% 27 28 25 97% 3.00% 103.6% 2.28% 53 8% 3.5% 117 119 113 79% 3.50% 101.7% 2.96% 125 10% ≥ 4.0% 142 148 141 96% 4.26% 104.3% 3.14% 83 11% Total 20-year: 842 872 768 32% 2.82% 103.6% 2.11% 59 7% 30-year: ≤ 3.0% 3,816 3,861 3,263 55% 2.43% 101.0% 2.28% 34 6% 3.5% 5,580 5,811 5,230 86% 3.50% 104.1% 2.84% 97 7% 4.0% 6,586 6,960 6,358 92% 4.00% 105.7% 3.08% 80 8% 4.5% 6,542 6,763 6,426 64% 4.50% 103.9% 3.83% 46 8% 5.0% 9,696 9,719 9,657 39% 5.00% 100.5% 4.91% 14 9% 5.5% 12,352 12,391 12,486 25% 5.50% 100.6% 5.39% 10 12% 6.0% 9,305 9,384 9,507 22% 6.00% 101.0% 5.71% 7 19% ≥ 6.5% 3,889 3,968 4,011 29% 6.50% 102.3% 5.78% 6 21% Total 30-year 57,766 58,857 56,938 46% 4.88% 102.2% 4.41% 35 11% Total fixed rate $ 59,442 $ 60,577 $ 58,515 47% 4.83% 102.2% 4.34% 35 11% ________________________________ 1.
Biggest changeAs of December 31, 2025 and 2024, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.93% and 4.77%, respectively. 31 The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of December 31, 2025 and 2024 (dollars in millions): December 31, 2025 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% $ 29 $ 30 $ 27 100% 2.00% 102.3% 1.34% 60 10% 2.5% 7 7 7 100% 2.50% 99.6% 2.79% 154 20% 3.0% 20 20 20 100% 3.00% 100.7% 2.37% 148 18% 3.5% 5 5 5 100% 3.50% 100.9% 2.62% 148 19% 4.0% 1 1 1 23% 4.00% 100.5% 2.08% 170 68% ≥ 4.5% 333 339 339 8% 5.20% 101.5% 4.66% 2 16% Total ≤ 15-year 395 402 399 21% 4.78% 101.4% 3.98% 29 16% 20-year: 2.5% 23 24 21 —% 2.50% 104.0% 1.75% 69 6% 3.0% 21 22 20 97% 3.00% 103.3% 2.29% 77 8% 3.5% 78 79 77 77% 3.50% 101.5% 2.97% 147 10% 4.0% 49 51 49 92% 4.00% 103.4% 3.09% 103 9% ≥ 4.5% 59 62 60 96% 4.66% 104.5% 3.42% 97 11% Total 20-year: 230 238 227 80% 3.76% 103.1% 2.93% 110 9% 30-year: ≤ 3.0% 2,031 1,994 1,761 73% 2.57% 98.2% 2.80% 54 7% 3.5% 3,966 4,055 3,746 73% 3.50% 103.6% 2.89% 120 7% 4.0% 4,856 5,127 4,712 90% 4.00% 105.6% 3.06% 105 7% 4.5% 11,943 11,923 11,744 28% 4.50% 102.1% 4.11% 55 8% 5.0% 24,827 24,616 24,919 22% 5.00% 99.1% 5.13% 20 7% 5.5% 22,593 22,719 23,136 41% 5.50% 100.6% 5.40% 19 9% 6.0% 14,462 14,743 15,005 39% 6.00% 101.9% 5.59% 18 12% ≥ 6.5% 4,589 4,743 4,822 36% 6.51% 103.5% 5.43% 15 20% Total 30-year 89,267 89,920 89,845 38% 5.12% 101.2% 4.91% 33 10% Total fixed rate $ 89,892 $ 90,560 $ 90,471 38% 5.12% 101.2% 4.91% 34 10% ________________________________ 1.
Securities and Exchange Commission (“SEC”), public conference calls and webcasts, as information posted through them may be deemed material. Our website, alerts and social media channels are not incorporated by reference into, and are not a part of, this or any other report filed with or furnished to the SEC.
Securities and Exchange Commission ("SEC"), public conference calls and webcasts, as information posted through them may be deemed material. Our website, alerts and social media channels are not incorporated by reference into, and are not a part of, this or any other report filed with or furnished to the SEC.
Amounts exclude gain (loss) on TBA securities, which are reported in gain (loss) on derivative instruments and other securities, net in our Consolidated Statements of Comprehensive Income. 2. Investment securities acquired after fiscal year 2016 are measured at fair value through net income (see Note 2 of our Consolidated Financial Statements in this Form 10-K).
Amounts exclude gain (loss) on TBA securities, which is reported in gain (loss) on derivative instruments and other securities, net in our Consolidated Statements of Comprehensive Income. 2. Investment securities acquired after fiscal year 2016 are measured at fair value through net income (see Note 2 of our Consolidated Financial Statements in this Form 10-K).
Please refer to Trends and Recent Market Impacts of this Management Discussion and Analysis for further information regarding Agency RMBS and TBA market conditions. Capital Markets The equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs of our business.
Please refer to Trends and Recent Market Impacts of this Management Discussion and Analysis for further information regarding Agency RMBS and TBA market conditions. Capital Markets Equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs.
Treasury rate as of period end 4 4.57 % 3.88 % 3.88 % ________________________________ 1. Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations. 2.
Treasury rate as of period end 4 4.17 % 4.57 % 3.88 % ________________________________ 1. Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations. 2.
Leverage and Financing Sources Our leverage will vary depending on market conditions and our assessment of relative risks and returns, but we generally expect our leverage to be between six and twelve times the amount of our tangible stockholders' equity, measured as the sum of our total mortgage borrowings and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders' equity adjusted to exclude goodwill.
Leverage and Financing Sources Our leverage will vary depending on market conditions and our assessment of relative risks and returns, but we generally expect our leverage to be between six and ten times the amount of our tangible stockholders' equity, measured as the sum of our total mortgage borrowings and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders' equity adjusted to exclude goodwill.
Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2023. For additional details regarding our CRT and non-Agency securities, including credit ratings, as of December 31, 2024 and 2023, please refer to Note 3 of our Consolidated Financial Statements included under Item 8 of this Form 10-K.
Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2024. For additional details regarding our CRT and non-Agency securities, including credit ratings, as of December 31, 2025 and 2024, please refer to Note 3 of our Consolidated Financial Statements included under Item 8 of this Form 10-K.
In addition, because not all companies use identical calculations, our presentation of such non-GAAP measures may not be comparable to other similarly titled measures of other companies. Selected Financial Data The following selected financial data is derived from our annual financial statements for the three years ended December 31, 2024.
In addition, because not all companies use identical calculations, our presentation of such non-GAAP measures may not be comparable to other similarly titled measures of other companies. Selected Financial Data The following selected financial data is derived from our annual financial statements for the three years ended December 31, 2025.
OFF-BALANCE SHEET ARRANGEMENTS As of December 31, 2024, we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes.
OFF-BALANCE SHEET ARRANGEMENTS As of December 31, 2025, 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.
Actual results may differ materially from those anticipated in forward-looking statements, as well as from historical performance.
Actual results may differ materially from those anticipated in 44 forward-looking statements, as well as from historical performance.
To mitigate the risk of margins calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or sold for cash.
To mitigate the risk of margin calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or be sold for cash.
Additionally, we believe the exclusion of "catch-up" premium amortization adjustments is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such adjustments is more indicative of the current earnings potential of our investment portfolio.
Additionally, we believe the exclusion of "catch-up" premium amortization adjustments is meaningful because it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, is more indicative of the current earnings potential of our investment portfolio.
Table excludes other mortgage credit investments of $64 million and $44 million as of December 31, 2024 and 2023, respectively. 2. TBA securities are presented net of long and short positions. For further details of our TBA securities refer to Note 5 of our Consolidated Financial Statements in this Form 10-K 3. Average coupon excludes interest-only and principal-only securities.
Table excludes other mortgage credit investments of $70 million and $64 million as of December 31, 2025 and 2024, respectively. 2. TBA securities are presented net of long and short positions. For further details of our TBA securities refer to Note 5 of our Consolidated Financial Statements in this Form 10-K 3. Average coupon excludes interest-only and principal-only securities.
Additionally, as of December 31, 2024, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.
Additionally, as of December 31, 2025, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.
The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 59 and 111 basis points for fiscal years 2024 and 2023, respectively, largely as a result of shifting our asset portfolio from lower coupon holdings toward a greater share of higher coupon, specified pools.
The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 20 and 59 basis points for fiscal years 2025 and 2024, respectively, largely as a result of shifting our asset portfolio from lower coupon holdings toward a greater share of higher coupon, specified pools.
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.
We may also invest in Agency multifamily MBS that are similarly guaranteed by a GSE and 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.
Interest rate information is sourced from Bloomberg. 27 The following table summarizes mortgage and credit spreads as of each date presented below: Mortgage Rate/Credit Spread Dec. 31, 2023 Mar. 31, 2024 June 30, 2024 Sept. 30, 2024 Dec. 31, 2024 Dec. 31, 2024 vs Dec. 31, 2023 Mortgage Rate: 1 30-Year Agency Current Coupon Yield to 5-Year U.S.
Interest rate information is sourced from Bloomberg. 29 The following table summarizes mortgage and credit spreads as of each date presented below: Mortgage Rate/Credit Spread Dec. 31, 2024 Mar. 31, 2025 June 30, 2025 Sept. 30, 2025 Dec. 31, 2025 Dec. 31, 2025 vs Dec. 31, 2024 Mortgage Rate: 1 30-Year Agency Current Coupon Yield to 5-Year U.S.
TBA securities are recorded as derivative instruments in our accompanying consolidated financial statements, and our TBA dollar roll transactions represent a form of off-balance sheet financing. As of December 31, 2024 and 2023, our TBA securities had a net carrying value of $(26) million and $66 million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.
TBA securities are recorded as derivative instruments in our accompanying consolidated financial statements, and our TBA dollar roll transactions represent a form of off-balance sheet financing. As of December 31, 2025 and 2024, our TBA securities had a net carrying value of $71 million and $(26) million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.
Reported in interest income in our consolidated statements of comprehensive income. 2. Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. 38 3.
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. 40 3.
Our tangible net book value "at risk" leverage ratio was 7.2x and 7.0x as of December 31, 2024 and 2023, respectively. The following table includes a summary of our mortgage borrowings outstanding as of December 31, 2024 and 2023 (dollars in millions).
Our tangible net book value "at risk" leverage ratio was 7.2x as of December 31, 2025 and 2024. The following table includes a summary of our mortgage borrowings outstanding as of December 31, 2025 and 2024 (dollars in millions).
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.
Specifically, with respect to "net spread and dollar roll income available to common stockholders" and its components, "economic interest income" and "economic interest expense," we believe the inclusion of TBA dollar roll income is meaningful because TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain 34 (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements.
As of December 31, 2024 and 2023, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.77% and 4.41%, respectively. 29 The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of December 31, 2024 and 2023 (dollars in millions): December 31, 2024 Includes Net TBA Position Excludes Net TBA Position Fixed Rate Agency RMBS and TBA Securities Par Value Amortized Cost Fair Value Specified Pool % 1 Weighted Average Coupon Amortized Cost Basis Weighted Average Projected CPR 2 Yield 2 Age (Months) Fixed rate ≤ 15-year: 2.0% 34 35 30 100% 2.00% 102.6% 1.34% 48 8% 2.5% 12 12 12 100% 2.50% 99.4% 2.80% 142 15% 3.0% 34 35 33 100% 3.00% 100.9% 2.38% 136 15% 3.5% 9 9 9 100% 3.50% 101.2% 2.61% 137 15% 4.0% 5 5 5 9% 4.00% 101.2% 1.96% 164 34% ≥ 4.5% 1 1 1 100% 4.50% 101.0% 2.71% 165 28% Total ≤ 15-year 95 97 90 95% 2.68% 101.4% 2.05% 107 14% 20-year: 2.5% 307 321 267 —% 2.50% 104.5% 1.74% 54 5% 3.0% 23 24 21 97% 3.00% 103.5% 2.29% 65 7% 3.5% 98 99 93 78% 3.50% 101.7% 2.97% 136 9% 4.0% 58 60 56 92% 4.00% 103.7% 3.09% 93 9% ≥ 4.5% 71 74 69 97% 4.64% 104.8% 3.42% 87 10% Total 20-year: 557 578 506 42% 3.12% 103.9% 2.33% 77 7% 30-year: ≤ 3.0% 3,734 3,726 3,052 66% 2.41% 97.9% 2.73% 43 6% 3.5% 4,910 5,114 4,439 86% 3.50% 104.1% 2.84% 109 6% 4.0% 5,980 6,302 5,567 90% 4.00% 105.7% 3.10% 92 7% 4.5% 8,206 8,273 7,786 45% 4.50% 103.4% 3.92% 55 8% 5.0% 12,013 11,898 11,663 32% 5.00% 99.6% 5.03% 20 7% 5.5% 19,627 19,758 19,502 31% 5.50% 100.4% 5.44% 15 7% 6.0% 13,334 13,517 13,512 38% 6.00% 101.6% 5.72% 16 9% ≥ 6.5% 4,641 4,763 4,793 37% 6.51% 102.7% 5.97% 15 11% Total 30-year 72,445 73,351 70,314 44% 5.04% 101.5% 4.74% 36 8% Total fixed rate $ 73,097 $ 74,026 $ 70,910 44% 5.02% 101.5% 4.71% 36 8% ________________________________ 1.
Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2025. 32 December 31, 2024 Includes Net TBA Position Excludes Net TBA Position Fixed Rate Agency RMBS and TBA Securities Par Value Amortized Cost Fair Value Specified Pool % 1 Weighted Average Coupon Amortized Cost Basis Weighted Average Projected CPR 2 Yield 2 Age (Months) Fixed rate ≤ 15-year: ≤ 2.0% $ 34 $ 35 $ 30 100% 2.00% 102.6% 1.34% 48 8% ≤ 2.5% 12 12 12 100% 2.50% 99.4% 2.80% 142 15% 3.0% 34 35 33 100% 3.00% 100.9% 2.38% 136 15% 3.5% 9 9 9 100% 3.50% 101.2% 2.61% 137 15% 4.0% 5 5 5 9% 4.00% 101.2% 1.96% 164 34% 4.5% 1 1 1 100% 4.50% 101.0% 2.71% 165 28% Total ≤ 15-year 95 97 90 95% 2.68% 101.4% 2.05% 107 14% 20-year: 2.5% 307 321 267 —% 2.50% 104.5% 1.74% 54 5% 3.0% 23 24 21 97% 3.00% 103.5% 2.29% 65 7% 3.5% 98 99 93 78% 3.50% 101.7% 2.97% 136 9% 4.0% 58 60 56 92% 4.00% 103.7% 3.09% 93 9% ≥ 4.5% 71 74 69 97% 4.64% 104.8% 3.42% 87 10% Total 20-year: 557 578 506 42% 3.12% 103.9% 2.33% 77 7% 30-year: ≤ 3.0% 3,734 3,726 3,052 66% 2.41% 97.9% 2.73% 43 6% 3.5% 4,910 5,114 4,439 86% 3.50% 104.1% 2.84% 109 6% 4.0% 5,980 6,302 5,567 90% 4.00% 105.7% 3.10% 92 7% 4.5% 8,206 8,273 7,786 45% 4.50% 103.4% 3.92% 55 8% 5.0% 12,013 11,898 11,663 32% 5.00% 99.6% 5.03% 20 7% 5.5% 19,627 19,758 19,502 31% 5.50% 100.4% 5.44% 15 7% 6.0% 13,334 13,517 13,512 38% 6.00% 101.6% 5.72% 16 9% ≥ 6.5% 4,641 4,763 4,793 37% 6.51% 102.7% 5.97% 15 11% Total 30-year 72,445 73,351 70,314 44% 5.04% 101.5% 4.74% 36 8% Total fixed rate $ 73,097 $ 74,026 $ 70,910 44% 5.02% 101.5% 4.71% 36 8% ________________________________ 1.
If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield from inception through the reporting date. We commonly refer to this adjustment as "catch-up" premium amortization cost/benefit.
When the actual and estimated future prepayment experience differs from our prior estimates, we are required to record a current-period adjustment to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield from inception through the reporting date. We commonly refer to this adjustment as "catch-up" premium amortization cost/benefit.
Treasury futures contracts - short position 409 (42) 811 SOFR futures contracts - long position 13 (10) — Other interest income (expense) (87) (146) (77) Other gain (loss) 2 (17) (49) Total gain (loss) on derivative instruments and other securities, net $ 2,028 $ 386 $ 4,630 For further details regarding our use of derivative instruments and related activity refer to Notes 2 and 5 of our Consolidated Financial Statements in this Form 10-K. 39 LIQUIDITY AND CAPITAL RESOURCES Our business is dependent on our ability to maintain adequate levels of liquidity and capital resources to fund day-to-day operations, fulfill collateral requirements under our funding and derivative agreements, and to satisfy our dividend distribution requirement of at least 90% of our taxable income to maintain our qualification as a REIT.
Treasury futures contracts (120) 409 (42) SOFR futures contracts - long position 20 13 (10) Other interest income (expense) 2 (87) (146) Other gain (loss) (3) 2 (17) Total gain (loss) on derivative instruments and other securities, net $ (1,082) $ 2,028 $ 386 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. 41 LIQUIDITY AND CAPITAL RESOURCES Our business is dependent on our ability to maintain adequate levels of liquidity and capital resources to fund day-to-day operations, fulfill collateral requirements under our funding and derivative agreements, and to satisfy our dividend distribution requirement of at least 90% of our taxable income to maintain our qualification as a REIT.
Similarly, we believe that the inclusion of periodic interest rate swap settlements is meaningful as interest rate swaps are the primary instrument we use to economically hedge against fluctuations in our borrowing costs and it is more indicative of our total cost of funds than interest expense alone.
Similarly, we believe that the inclusion of periodic interest rate swap settlements is meaningful because interest rate swaps are the primary instruments we use to economically hedge against fluctuations in our borrowing costs, and their inclusion is more indicative of our total cost of funds than interest expense alone.
The weighted average cost basis of our securities as of December 31, 2024 was 101.5% of par value; therefore, changes in our actual or projected prepayments can significantly alter the effective yield on our assets. 31 Future prepayment rates are difficult to predict, and we rely on a third-party service provider and our experience and analysis of historical and current market data to arrive at what we believe to be reasonable estimates.
The weighted average cost basis of our securities as of December 31, 2025 was 101.2% of par value and may vary materially across different securities; therefore, changes in our actual or projected prepayments can significantly alter the effective yield on our assets. 33 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.
As of December 31, 2024, 9% of our tangible stockholder's equity was at risk with the FICC. Excluding central clearing exchanges, as of December 31, 2024, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders' equity.
As of December 31, 2025, less than 10% of our tangible stockholders' equity was at risk with the FICC. Excluding central clearing exchanges, as of December 31, 2025, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders' equity.
Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. E xcludes U.S. Treasury repurchase agreements totaling $1.4 billion and $1.5 billion as of December 31, 2024 and 2023, respectively. 2.
Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. E xcludes U.S. Treasury repurchase agreements totaling $12.3 billion and $1.4 billion as of December 31, 2025 and 2024, respectively. 2.
See Note 1 of preceding table for specified pool composition. As of December 31, 2023, lower balance specified pools had a weighted average original loan balance of $132,000 and $153,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively. 2.
See Note 1 of the preceding table for specified pool composition. As of December 31, 2024, lower balance specified pools had a weighted average original loan balance of $188,000 and $148,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively. 2.
CMBS spreads are the average of spreads sourced from Bank of America, JP Morgan and Wells Fargo. 28 FINANCIAL CONDITION As of December 31, 2024 and 2023, our investment portfolio totaled $73.3 billion and $60.2 billion, respectively, consisting of: $65.5 billion and $53.8 billion Agency RMBS, at fair value, respectively; $6.9 billion and $5.4 billion net TBA securities, at fair value, respectively; $0.9 billion and $1.0 billion CRT, non-Agency RMBS and CMBS, at fair value, respectively; and other mortgage credit investments of $64 million and $44 million, respectively, which we account for under the equity method of accounting.
CMBS spreads are the average of spreads sourced from Bank of America, JP Morgan and Wells Fargo. 30 FINANCIAL CONDITION As of December 31, 2025 and 2024, our investment portfolio totaled $94.8 billion and $73.3 billion, respectively, consisting of: $81.1 billion and $65.5 billion Agency RMBS, at fair value, respectively; $13.0 billion and $6.9 billion net TBA securities, at fair value, respectively; $0.6 billion and $0.9 billion CRT, non-Agency RMBS and CMBS, at fair value, respectively; and other mortgage credit investments of $70 million and $64 million, respectively, which we account for under the equity method of accounting.
Economic return on tangible common equity represents the sum of the change in tangible net book value per common share and dividends declared per share of common stock during the period over beginning tangible net book value per common share. 34 Economic Interest Income and Asset Yields The following table summarizes our economic interest income (a non-GAAP measure) for fiscal years 2024, 2023 and 2022, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" premium amortization adjustments for the cumulative effect from prior reporting periods due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions): Fiscal Year 2024 2023 2022 Amount Yield Amount Yield Amount Yield Interest income: Cash/coupon interest income $ 3,072 4.99 % $ 2,242 4.41 % $ 1,603 3.36 % Net premium amortization benefit (cost) (123) (0.29) % (201) (0.50) % (13) (0.13) % Interest income (GAAP measure) 2,949 4.70 % 2,041 3.91 % 1,590 3.23 % Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast (51) (0.08) % (5) (0.01) % (238) (0.48) % Interest income, excluding "catch-up" premium amortization 2,898 4.62 % 2,036 3.90 % 1,352 2.75 % TBA dollar roll income - implied interest income 1,2 300 5.55 % 524 5.24 % 746 3.60 % Economic interest income (non-GAAP measure) 3 $ 3,198 4.70 % $ 2,560 4.11 % $ 2,098 3.00 % Weighted average actual portfolio CPR for investment securities held during the period 7.5 % 6.3 % 11.1 % Weighted average projected CPR for the remaining life of investment securities held as of period end 7.7 % 11.4 % 7.4 % 30-year fixed rate mortgage rate as of period end 4 6.86 % 6.56 % 6.52 % 10-year U.S.
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. 36 Economic Interest Income and Asset Yields The following table summarizes our economic interest income (a non-GAAP measure) for fiscal years 2025, 2024 and 2023, 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 2025 2024 2023 Amount Yield Amount Yield Amount Yield Interest income: Cash/coupon interest income $ 3,700 5.15 % $ 3,072 4.99 % $ 2,242 4.41 % Net premium amortization benefit (cost) (177) (0.31) % (123) (0.29) % (201) (0.50) % Interest income (GAAP measure) 3,523 4.84 % 2,949 4.70 % 2,041 3.91 % Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 12 0.02 % (51) (0.08) % (5) (0.01) % Interest income, excluding "catch-up" premium amortization 3,535 4.86 % 2,898 4.62 % 2,036 3.90 % TBA dollar roll income - implied interest income 1,2 562 5.17 % 300 5.55 % 524 5.24 % Economic interest income (non-GAAP measure) 3 $ 4,097 4.90 % $ 3,198 4.70 % $ 2,560 4.11 % Weighted average actual portfolio CPR for investment securities held during the period 8.4 % 7.5 % 6.3 % Weighted average projected CPR for the remaining life of investment securities held as of period end 9.6 % 7.7 % 11.4 % 30-year fixed rate mortgage rate as of period end 4 6.16 % 6.86 % 6.56 % 10-year U.S.
Net Interest Spread The following table presents a summary of our net interest spread (including the impact of TBA dollar roll income, interest rate swaps and excluding "catch-up" premium amortization) for fiscal years 2024, 2023 and 2022: Fiscal Year Investment and TBA Securities - Net Interest Spread 2024 2023 2022 Average asset yield 4.70 % 4.11 % 3.00 % Average aggregate cost of funds (2.28) % (1.05) % (0.27) % Average net interest spread 2.42 % 3.06 % 2.73 % Net Spread and Dollar Roll Income The following table presents a reconciliation of net spread and dollar roll income available to common stockholders (non-GAAP measure) from comprehensive income (loss) available (attributable) to common stockholders (the most comparable GAAP financial measure) for fiscal years 2024, 2023 and 2022 (dollars in millions): Fiscal Year 2024 2023 2022 Comprehensive income (loss) available (attributable) to common stockholders $ 657 $ 187 $ (2,268) Adjustments to exclude realized and unrealized (gains) losses reported through net income: Realized loss on sale of investment securities, net 188 1,567 2,916 Unrealized (gain) loss on investment securities measured at fair value through net income, net 885 (1,678) 3,795 Gain on derivative instruments and other securities, net (2,028) (386) (4,630) Adjustment to exclude unrealized (gain) loss reported through other comprehensive income: Unrealized (gain) loss on available-for-sale securities measure at fair value through other comprehensive income, net 74 (155) 973 Other adjustments: Estimated "catch-up" premium amortization benefit due to change in CPR forecast 1 (51) (5) (238) TBA dollar roll income, net 2 21 31 518 Interest rate swap periodic income, net 2 1,815 2,202 675 Other interest income (expense), net 2,3 (87) (146) (65) Net spread and dollar roll income available to common stockholders (non-GAAP measure) 1,474 1,617 1,676 Weighted average number of common shares outstanding - basic 783.4 618.4 537.0 Weighted average number of common shares outstanding - diluted 786.0 619.6 538.1 Net spread and dollar roll income per common share - basic $ 1.88 $ 2.61 $ 3.12 Net spread and dollar roll income per common share - diluted $ 1.88 $ 2.61 $ 3.11 ________________________________ 1.
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 2025, 2024 and 2023: Fiscal Year Investment and TBA Securities - Net Interest Spread 2025 2024 2023 Average asset yield 4.90 % 4.70 % 4.11 % Average aggregate cost of funds (2.98) % (2.28) % (1.05) % Average net interest spread 1.92 % 2.42 % 3.06 % 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 2025, 2024 and 2023 (dollars in millions): Fiscal Year 2025 2024 2023 Comprehensive income available to common stockholders $ 1,777 $ 657 $ 187 Adjustments to exclude realized and unrealized (gains) losses reported through net income: Realized loss on sale of investment securities, net 529 188 1,567 Unrealized (gain) loss on investment securities measured at fair value through net income, net (2,733) 885 (1,678) (Gain) loss on derivative instruments and other securities, net 1,082 (2,028) (386) 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 (268) 74 (155) Other adjustments: Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 1 12 (51) (5) TBA dollar roll income, net 2 97 21 31 Interest rate swap periodic income, net 2 1,037 1,815 2,202 Other interest income (expense), net 2,3 2 (87) (146) Net spread and dollar roll income available to common stockholders (non-GAAP measure) 1,535 1,474 1,617 Weighted average number of common shares outstanding - basic 1,020.0 783.4 618.4 Weighted average number of common shares outstanding - diluted 1,023.7 786.0 619.6 Net spread and dollar roll income per common share - basic $ 1.50 $ 1.88 $ 2.61 Net spread and dollar roll income per common share - diluted $ 1.50 $ 1.88 $ 2.61 ________________________________ 1.
Economic Interest Expense and Aggregate Cost of Funds The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for fiscal years 2024, 2023 and 2022 (dollars in millions), which includes the combination of interest expense on repurchase agreements and other debt used to fund acquisitions of investment securities (GAAP measure), implied financing cost of our TBA securities and interest rate swap periodic income: 36 Fiscal Year 2024 2023 2022 Economic Interest Expense and Aggregate Cost of Funds 1 Amount Cost of Funds Amount Cost of Funds Amount Cost of Funds Investment securities repurchase agreement and other debt - interest expense (GAAP measure) $ 2,931 5.27 % $ 2,287 5.12 % $ 625 1.49 % TBA dollar roll income - implied interest expense 2,3 279 5.07 % 493 4.86 % 228 1.08 % Economic interest expense - before interest rate swap periodic income, net 4 3,210 5.25 % 2,780 5.07 % 853 1.35 % Interest rate swap periodic income, net 2,5 (1,815) (2.97) % (2,202) (4.02) % (675) (1.08) % Total economic interest expense (non-GAAP measure) $ 1,395 2.28 % $ 578 1.05 % $ 178 0.27 % ________________________________ 1.
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 2025, 2024 and 2023 (dollars in millions), which includes the combination of interest expense on repurchase agreements and other debt used to fund acquisitions of investment securities (GAAP measure), implied financing cost of our TBA securities and interest rate swap periodic income: 38 Fiscal Year 2025 2024 2023 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) $ 2,848 4.36 % $ 2,931 5.27 % $ 2,287 5.12 % TBA dollar roll income - implied interest expense 2,3 465 4.22 % 279 5.07 % 493 4.86 % Economic interest expense - before interest rate swap periodic income, net 4 3,313 4.34 % 3,210 5.25 % 2,780 5.07 % Interest rate swap periodic income, net 2,5 (1,037) (1.36) % (1,815) (2.97) % (2,202) (4.02) % Total economic interest expense (non-GAAP measure) $ 2,276 2.98 % $ 1,395 2.28 % $ 578 1.05 % ________________________________ 1.
The collateral requirements under our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC. Collateral levels for interest rate derivative agreements are typically governed by the central clearing exchange and the associated futures commission merchants ("FCMs"), which may establish margin levels in excess of the clearing exchange.
Collateral requirements for our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC. Collateral levels for interest rate swap agreements are established by the central clearing exchange and the associated futures commission merchants ("FCMs"), which may impose margin requirements in excess of those required by the clearing exchange.
Gain (Loss) on Derivative Instruments and Other Securities, Net The following table is a summary of our gain (loss) on derivative instruments and other securities, net for fiscal years 2024, 2023 and 2022 (in millions): Fiscal Year 2024 2023 2022 TBA securities, dollar roll income $ 21 $ 31 $ 518 TBA securities, mark-to-market gain (loss) (144) 18 (3,378) Interest rate swaps, periodic income 1,815 2,202 675 Interest rate swaps, mark-to-market gain (loss) (804) (1,532) 3,802 Credit default swaps - buy protection (7) (13) 21 Payer swaptions 54 (21) 857 Recceiver swaptions (3) — — U.S.
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 2025, 2024 and 2023 (in millions): Fiscal Year 2025 2024 2023 TBA securities, dollar roll income $ 97 $ 21 $ 31 TBA securities, mark-to-market gain (loss) 221 (144) 18 Interest rate swaps, periodic income 1,037 1,815 2,202 Interest rate swaps, mark-to-market gain (loss) (1,555) (804) (1,532) Credit default swaps - buy protection — (7) (13) Payer swaptions (29) 54 (21) Receiver swaptions (47) (3) — U.S.
As of December 31, 2024, lower balance specified pools had a weighted average original loan balance of $188,000 and $148,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively. 2.
As of December 31, 2025, lower balance specified pools had a weighted average original loan balance of $181,000 and $142,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 142% for 15-year and 30-year securities, respectively. 2.
Gain (Loss) on Investment Securities, Net The following table is a summary of our net gain (loss) on investment securities for fiscal years 2024, 2023 and 2022 (in millions): Fiscal Year Gain (Loss) on Investment Securities, Net 1 2024 2023 2022 Loss on sale of investment securities, net $ (188) $ (1,567) $ (2,916) Unrealized (loss) gain on investment securities measured at fair value through net income, net 2 (885) 1,678 (3,795) Unrealized (loss) gain on investment securities measured at fair value through other comprehensive income, net (74) 155 (973) Total (loss) gain on investment securities, net $ (1,147) $ 266 $ (7,684) ________________________________ 1.
Gain (Loss) on Investment Securities, Net The following table is a summary of our net gain (loss) on investment securities for fiscal years 2025, 2024 and 2023 (in millions): Fiscal Year Gain (Loss) on Investment Securities, Net 1 2025 2024 2023 Loss on sale of investment securities, net $ (529) $ (188) $ (1,567) Unrealized gain (loss) on investment securities measured at fair value through net income, net 2 2,733 (885) 1,678 Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income, net 268 (74) 155 Total gain (loss) on investment securities, net $ 2,472 $ (1,147) $ 266 ________________________________ 1.
As of December 31, 2024, our unencumbered assets totaled approximately $6.2 billion, or 67% of tangible equity, consisting of $6.1 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.
As of December 31, 2025, our unencumbered assets totaled approximately $7.7 billion, or 65% of tangible equity, consisting of $7.6 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.
The average interest rate on our mortgage borrowings, excluding the impact of interest rate swap periodic income, increased 18 and 372 basis points for fiscal years 2024 and 2023, respectively, due to higher short-term interest rates.
The average interest rate on our mortgage borrowings, excluding the impact of interest rate swap periodic income, decreased 91 and increased 18 basis points for fiscal years 2025 and 2024, respectively, due to changes in short-term interest rates.
We also diversify our funding across multiple counterparties and by region. 41 As of December 31, 2024, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was less than 2% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing less than 5% of our tangible stockholders' equity.
As of December 31, 2025, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was less than 2% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing less than 5% of our tangible stockholders' equity.
Amounts exclude forward starting swaps not yet in effect. 37 Fiscal Year Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding 2024 2023 2022 Average investment securities repo and other debt outstanding $ 54,658 $ 44,027 $ 41,363 Average net TBA dollar roll position outstanding - at cost $ 5,389 $ 10,000 $ 20,631 Average mortgage borrowings outstanding $ 60,047 $ 54,027 $ 61,994 Average notional amount of interest rate swaps outstanding (excluding forward starting swaps), net $ 43,351 $ 47,012 $ 49,334 Ratio of average interest rate swaps to mortgage borrowings outstanding 72 % 87 % 80 % Average interest rate swap pay-fixed rate (excluding forward starting swaps) 1.16 % 0.55 % 0.25 % Average interest rate swap receive-floating rate (5.25) % (5.17) % (1.60) % Average interest rate swap net pay/(receive) rate (4.09) % (4.62) % (1.35) % For fiscal years 2024, 2023 and 2022, we had an average forward starting net pay-fixed rate swap balance of $672 million, $43 million and $48 million, respectively.
Amounts exclude forward starting swaps not yet in effect. 39 Fiscal Year Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding 2025 2024 2023 Average investment securities repo and other debt outstanding $ 64,472 $ 54,658 $ 44,027 Average net TBA dollar roll position outstanding - at cost $ 10,853 $ 5,389 $ 10,000 Average mortgage borrowings outstanding $ 75,325 $ 60,047 $ 54,027 Average notional amount of interest rate swaps outstanding (excluding forward starting swaps), net $ 48,921 $ 43,351 $ 47,012 Ratio of average interest rate swaps to mortgage borrowings outstanding 65 % 72 % 87 % Average interest rate swap pay-fixed rate (excluding forward starting swaps) 2.16 % 1.16 % 0.55 % Average interest rate swap receive-floating rate (4.34) % (5.25) % (5.17) % Average interest rate swap net pay/(receive) rate (2.18) % (4.09) % (4.62) % For fiscal years 2025, 2024 and 2023, we had an average forward starting net pay-fixed rate swap balance of $469 million, $672 million and $43 million, respectively.
The following table includes a summary of the estimated impact of these elements on our economic interest expense for fiscal years 2024 and 2023 compared to the prior year period (in millions): Impact of Changes in the Principal Elements of Economic Interest Expense Due to Change in Average Fiscal Year 2024 vs 2023 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Investment securities repurchase agreement and other debt interest expense $ 644 $ 552 $ 92 TBA dollar roll income - implied interest expense (214) (227) 13 Interest rate swap periodic income/cost 387 171 216 Total change in economic interest expense $ 817 $ 496 $ 321 Due to Change in Average Fiscal Year 2023 vs 2022 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Investment securities repurchase agreement and other debt interest expense $ 1,662 $ 40 $ 1,622 TBA dollar roll income - implied interest benefit/expense 265 (117) 382 Interest rate swap periodic income/cost (1,527) 32 (1,559) Total change in economic interest benefit/expense $ 400 $ (45) $ 445 Our average mortgage borrowings, inclusive of TBAs, increased 11% and decreased 13% for fiscal years 2024 and 2023, respectively, consistent with changes to our average investment portfolio.
The following table includes a summary of the estimated impact of these elements on our economic interest expense for fiscal years 2025 and 2024 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 2025 vs 2024 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Investment securities repurchase agreement and other debt interest expense $ (83) $ 526 $ (609) TBA dollar roll income - implied interest expense 186 283 (97) Interest rate swap periodic income/cost 778 (233) 1,011 Total change in economic interest expense $ 881 $ 576 $ 305 Due to Change in Average Fiscal Year 2024 vs 2023 Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate Investment securities repurchase agreement and other debt interest expense $ 644 $ 552 $ 92 TBA dollar roll income - implied interest benefit/expense (214) (227) 13 Interest rate swap periodic income/cost 387 171 216 Total change in economic interest benefit/expense $ 817 $ 496 $ 321 Our average mortgage borrowings, inclusive of TBAs, increased 25% and 11% for fiscal years 2025 and 2024, respectively, consistent with the increase to our average investment portfolio.
Management's Discussion and Analysis of Financial Condition and Results of Operations (in millions, except per share amounts): December 31, Balance Sheet Data 2024 2023 2022 Investment securities, at fair value of $66,348, $54,824 and $40,904, respectively, and other mortgage credit investments $ 66,412 $ 54,868 $ 40,929 Total assets $ 88,015 $ 71,596 $ 51,748 Repurchase agreements and other debt $ 60,862 $ 50,506 $ 36,357 Total liabilities $ 78,253 $ 63,339 $ 43,878 Total stockholders' equity $ 9,762 $ 8,257 $ 7,870 Net book value per common share 1 $ 9.00 $ 9.46 $ 10.76 Tangible net book value per common share 2 $ 8.41 $ 8.70 $ 9.84 Fiscal Year Statement of Comprehensive Income Data 2024 2023 2022 Interest income $ 2,949 $ 2,041 $ 1,590 Interest expense 2,931 2,287 625 Net interest income (expense) 18 (246) 965 Other gain (loss), net 955 497 (2,081) Operating expenses 110 96 74 Net income (loss) 863 155 (1,190) Dividends on preferred stock 132 123 105 Net income (loss) available (attributable) to common stockholders $ 731 $ 32 $ (1,295) Net income (loss) $ 863 $ 155 $ (1,190) Other comprehensive income (loss), net (74) 155 (973) Comprehensive income (loss) 789 310 (2,163) Dividends on preferred stock 132 123 105 Comprehensive income (loss) available (attributable) to common stockholders $ 657 $ 187 $ (2,268) Weighted average number of common shares outstanding - basic 783.4 618.4 537.0 Weighted average number of common shares outstanding - diluted 786.0 619.6 537.0 Net income (loss) per common share - basic $ 0.93 $ 0.05 $ (2.41) Net income (loss) per common share - diluted $ 0.93 $ 0.05 $ (2.41) Comprehensive income (loss) per common share - basic $ 0.84 $ 0.30 $ (4.22) Comprehensive income (loss) per common share - diluted $ 0.84 $ 0.30 $ (4.22) Dividends declared per common share $ 1.44 $ 1.44 $ 1.44 33 Fiscal Year Other Data (Unaudited) * 2024 2023 2022 Average investment securities - at par $ 61,613 $ 50,878 $ 47,761 Average investment securities - at cost $ 62,698 $ 52,262 $ 49,195 Net TBA portfolio - at par (as of period end) 3 $ 6,955 $ 5,331 $ 19,050 Net TBA portfolio - at cost (as of period end) 3 $ 6,887 $ 5,288 $ 18,407 Net TBA portfolio - at market value (as of period end) 3 $ 6,861 $ 5,354 $ 18,574 Net TBA portfolio - at carrying value (as of period end) 3,4 $ (26) $ 66 $ 167 Average net TBA dollar roll position - at cost $ 5,389 $ 10,000 $ 20,631 Average total assets - at fair value $ 79,058 $ 63,409 $ 61,028 Average repurchase agreements and other debt outstanding 5 $ 54,658 $ 44,027 $ 41,363 Average stockholders' equity 6 $ 8,885 $ 7,817 $ 8,475 Average tangible net book value "at risk" leverage 7 7.2:1 7.4:1 7.8:1 Tangible net book value "at risk" leverage (as of period end) 8 7.2:1 7.0:1 7.4:1 Economic return on tangible common equity 9 13.2 % 3.0 % (28.4) % Expenses % of average total assets 0.14 % 0.15 % 0.12 % Expenses % of average assets, including average net TBA position 0.13 % 0.13 % 0.09 % Expenses % of average stockholders' equity 1.24 % 1.23 % 0.87 % ________________________________ * Except as noted below, average numbers for each period are weighted based on days on our books and records. 1.
Management's Discussion and Analysis of Financial Condition and Results of Operations (in millions, except per share amounts): December 31, Balance Sheet Data 2025 2024 2023 Investment securities, at fair value of $81,719, $66,348 and 54,824, respectively, and other mortgage credit investments $ 81,789 $ 66,412 $ 54,868 Total assets $ 115,077 $ 88,015 $ 71,596 Repurchase agreements and other debt $ 85,342 $ 60,862 $ 50,506 Total liabilities $ 102,684 $ 78,253 $ 63,339 Total stockholders' equity $ 12,393 $ 9,762 $ 8,257 Net book value per common share 1 $ 9.35 $ 9.00 $ 9.46 Tangible net book value per common share 2 $ 8.88 $ 8.41 $ 8.70 Fiscal Year Statement of Comprehensive Income Data 2025 2024 2023 Interest income $ 3,523 $ 2,949 $ 2,041 Interest expense 2,848 2,931 2,287 Net interest income (expense) 675 18 (246) Other gain, net 1,122 955 497 Operating expenses 127 110 96 Net income 1,670 863 155 Dividends on preferred stock 161 132 123 Net income available to common stockholders $ 1,509 $ 731 $ 32 Net income $ 1,670 $ 863 $ 155 Other comprehensive income (loss), net 268 (74) 155 Comprehensive income 1,938 789 310 Dividends on preferred stock 161 132 123 Comprehensive income available to common stockholders $ 1,777 $ 657 $ 187 Weighted average number of common shares outstanding - basic 1,020.0 783.4 618.4 Weighted average number of common shares outstanding - diluted 1,023.7 786.0 619.6 Net income per common share - basic $ 1.48 $ 0.93 $ 0.05 Net income per common share - diluted $ 1.47 $ 0.93 $ 0.05 Comprehensive income per common share - basic $ 1.74 $ 0.84 $ 0.30 Comprehensive income per common share - diluted $ 1.74 $ 0.84 $ 0.30 Dividends declared per common share $ 1.44 $ 1.44 $ 1.44 35 Fiscal Year Other Data (Unaudited) * 2025 2024 2023 Average investment securities - at par $ 71,766 $ 61,613 $ 50,878 Average investment securities - at cost $ 72,737 $ 62,698 $ 52,262 Net TBA portfolio - at par (as of period end) 3 $ 13,180 $ 6,955 $ 5,331 Net TBA portfolio - at cost (as of period end) 3 $ 12,917 $ 6,887 $ 5,288 Net TBA portfolio - at market value (as of period end) 3 $ 12,988 $ 6,861 $ 5,354 Net TBA portfolio - at carrying value (as of period end) 3,4 $ 71 $ (26) $ 66 Average net TBA dollar roll position - at cost $ 10,853 $ 5,389 $ 10,000 Average total assets - at fair value $ 100,770 $ 79,058 $ 63,409 Average repurchase agreements and other debt outstanding 5 $ 64,472 $ 54,658 $ 44,027 Average stockholders' equity 6 $ 10,663 $ 8,885 $ 7,817 Average tangible net book value "at risk" leverage 7 7.4:1 7.2:1 7.4:1 Tangible net book value "at risk" leverage (as of period end) 8 7.2:1 7.2:1 7.0:1 Economic return on tangible common equity 9 22.7 % 13.2 % 3.0 % Expenses % of average total assets 0.13 % 0.14 % 0.15 % Expenses % of average assets, including average net TBA position 0.11 % 0.13 % 0.13 % Expenses % of average stockholders' equity 1.19 % 1.24 % 1.23 % ________________________________ * Except as noted below, average numbers for each period are weighted based on days on our books and records. 1.
The following table includes a summary of the estimated impact of each of these elements on our economic interest income for fiscal years 2024 and 2023 compared to the prior year period (in millions): Impact of Changes in the Principal Elements Impacting Economic Interest Income Due to Change in Average Fiscal Year 2024 vs 2023 Total Increase / (Decrease) Portfolio Size Asset Yield Interest Income (GAAP measure) $ 908 $ 408 $ 500 Estimated "catch-up" premium amortization due to change in CPR forecast (46) — (46) Interest income, excluding "catch-up" premium amortization 862 408 454 TBA dollar roll income - implied interest income (224) (242) 18 Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 638 $ 166 $ 472 Due to Change in Average Fiscal Year 2023 vs 2022 Total Increase / (Decrease) Portfolio Size Asset Yield Interest Income (GAAP measure) $ 451 $ 99 $ 352 Estimated "catch-up" premium amortization due to change in CPR forecast 233 — 233 Interest income, excluding "catch-up" premium amortization 684 99 585 TBA dollar roll income - implied interest income (222) (384) 162 Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 462 $ (285) $ 747 35 Our average investment portfolio (at cost), inclusive of TBAs, increased 9% and decreased 11% for fiscal years 2024 and 2023, respectively, primarily due to changes in our capital base.
The following table includes a summary of the estimated impact of each of these elements on our economic interest income for fiscal years 2025 and 2024 compared to the prior year period (in millions): Impact of Changes in the Principal Elements Impacting Economic Interest Income Due to Change in Average Fiscal Year 2025 vs 2024 Total Increase / (Decrease) Portfolio Size Asset Yield Interest Income (GAAP measure) $ 574 $ 472 $ 102 Estimated "catch-up" premium amortization due to change in CPR forecast 63 — 63 Interest income, excluding "catch-up" premium amortization 637 472 165 TBA dollar roll income - implied interest income 262 304 (42) Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 899 $ 776 $ 123 Due to Change in Average Fiscal Year 2024 vs 2023 Total Increase / (Decrease) Portfolio Size Asset Yield Interest Income (GAAP measure) $ 908 $ 408 $ 500 Estimated "catch-up" premium amortization due to change in CPR forecast (46) — (46) Interest income, excluding "catch-up" premium amortization 862 408 454 TBA dollar roll income - implied interest income (224) (242) 18 Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 638 $ 166 $ 472 37 Our average investment portfolio (at cost), inclusive of TBAs, increased 23% and 9% for fiscal years 2025 and 2024, respectively, primarily due to an increase in our capital base.
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. Quantitative and Qualitative Disclosures about Market Risk in this form 10-K. ________________________________ 1.
As of December 31, 2024 and 2023, 47% and 43%, respectively, of our total repurchase agreements, including 49% and 45% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service. Our primary financing sources are collateralized borrowings structured as repurchase agreements.
As of December 31, 2025 and 2024, 44% and 47%, respectively, of our total repurchase agreements, including 51% and 49% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service. We primarily finance our assets through collateralized borrowings structured as repurchase agreements ("repo").
The following table presents a summary of our leverage ratios for the periods listed (dollars in millions): Investment Securities Repurchase Agreements and Other Debt 1 Net TBA Position Long/(Short) 2 Average Tangible Net Book Value "At Risk" Leverage during the Period 3 Tangible Net Book Value "At Risk" Leverage as of Period End 4 Quarter Ended Average Daily Amount Maximum Daily Amount Ending Amount Average Daily Amount Ending Amount December 31, 2024 $ 59,690 $ 63,759 $ 59,426 $ 5,936 $ 6,887 7.2:1 7.2:1 September 30, 2024 $ 59,322 $ 64,585 $ 63,468 $ 2,650 $ 4,067 7.2:1 7.2:1 June 30, 2024 $ 50,784 $ 55,507 $ 54,682 $ 6,805 $ 5,318 7.2:1 7.4:1 March 31, 2024 $ 48,730 $ 49,894 $ 48,216 $ 6,190 $ 8,405 7.0:1 7.1:1 December 31, 2023 $ 47,548 $ 52,643 $ 48,959 $ 4,993 $ 5,288 7.4:1 7.0:1 September 30, 2023 $ 47,073 $ 52,888 $ 51,931 $ 7,340 $ 2,407 7.5:1 7.9:1 June 30, 2023 $ 41,546 $ 42,408 $ 40,962 $ 9,985 $ 10,320 7.2:1 7.2:1 March 31, 2023 $ 39,824 $ 42,919 $ 42,022 $ 17,851 $ 10,385 7.7:1 7.2:1 December 31, 2022 $ 35,486 $ 39,399 $ 36,002 $ 18,988 $ 18,407 7.8:1 7.4:1 September 30, 2022 $ 40,530 $ 41,834 $ 39,169 $ 20,331 $ 19,116 8.1:1 8.7:1 June 30, 2022 $ 42,997 $ 44,243 $ 41,406 $ 19,653 $ 16,001 7.8:1 7.4:1 March 31, 2022 $ 46,570 $ 47,940 $ 44,150 $ 23,605 $ 20,152 7.8:1 7.5:1 ________________________________ 1.
The following table 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, 2025 $ 69,943 $ 74,195 $ 73,002 $ 13,764 $ 12,917 7.4:1 7.2:1 September 30, 2025 $ 66,654 $ 70,066 $ 69,057 $ 10,163 $ 13,805 7.5:1 7.6:1 June 30, 2025 $ 59,469 $ 66,790 $ 66,052 $ 11,996 $ 8,162 7.5:1 7.6:1 March 31, 2025 $ 61,707 $ 63,789 $ 63,312 $ 7,428 $ 7,429 7.3:1 7.5:1 December 31, 2024 $ 59,690 $ 63,759 $ 59,426 $ 5,936 $ 6,887 7.2:1 7.2:1 September 30, 2024 $ 59,322 $ 64,585 $ 63,468 $ 2,650 $ 4,067 7.2:1 7.2:1 June 30, 2024 $ 50,784 $ 55,507 $ 54,682 $ 6,805 $ 5,318 7.2:1 7.4:1 March 31, 2024 $ 48,730 $ 49,894 $ 48,216 $ 6,190 $ 8,405 7.0:1 7.1:1 December 31, 2023 $ 47,548 $ 52,643 $ 48,959 $ 4,993 $ 5,288 7.4:1 7.0:1 September 30, 2023 $ 47,073 $ 52,888 $ 51,931 $ 7,340 $ 2,407 7.5:1 7.9:1 June 30, 2023 $ 41,546 $ 42,408 $ 40,962 $ 9,985 $ 10,320 7.2:1 7.2:1 March 31, 2023 $ 39,824 $ 42,919 $ 42,022 $ 17,851 $ 10,385 7.7:1 7.2:1 ________________________________ 1.
Treasury and Agency RMBS bond portfolio; • fluctuations in the yield curve; • the level, degree and extent of volatility in interest rates or the yield on our assets relative to interest rate benchmarks; • fluctuations in mortgage prepayment rates on the loans underlying our Agency RMBS; • the availability and terms of financing and our hedge positions; • changes in the market value of our assets, including from changes in net interest spreads, market liquidity or depth, and changes in our "at risk" leverage or hedge positions; • the effectiveness of our risk mitigation strategies; 42 • conditions in the market for Agency RMBS and other mortgage securities, including changes in the available supply of such securities or investor appetite therefor; • actions by the federal, state, or local governments that affect the economy, the housing sector or financial markets; • the direct or indirect effects of geopolitical events, including war, terrorism, civil discord, embargos, trade or other disputes, or natural disasters, on conditions in the markets for Agency RMBS or other mortgage securities, the terms or availability of funding for our business, or our ongoing business operations; • the availability of personnel, operational resources, information technology and other systems to conduct our operations; • changes to laws, regulations, rules or policies that affect the GSE's, the primary or secondary mortgage markets in which we participate or U.S. housing finance activity, including actions that would end or alter the conservatorships of Fannie Mae or Freddie Mac or their quasi-governmental status; and • legislative or regulatory actions that affect our status as a REIT or our exemption from the Investment Company Act of 1940.
Treasury and Agency RMBS bond portfolio or to influence funding markets; • changes in U.S. government entity purchases or dispositions of Agency RMBS or other actions that directly or indirectly increase demand or supply of Agency RMBS or affect prepayment speeds; • the direct or indirect effects of actions by the federal, state, or local governments that affect the economy, the housing sector or financial markets, including actions relating to fiscal policy; • the direct or indirect effects of geopolitical events, including war, terrorism, civil discord, embargos, trade or other disputes, or natural disasters, on conditions in the markets for Agency RMBS or other mortgage securities, the terms or availability of funding for our business, or our ongoing business operations; • the availability of personnel, operational resources, information technology and other systems to conduct our operations; • changes to laws, regulations, rules or policies that affect the GSE's, the primary or secondary mortgage markets in which we participate or U.S. housing finance activity, including actions that would end or alter the conservatorships of Fannie Mae or Freddie Mac or their quasi-governmental status; and • legislative or regulatory actions that affect our status as a REIT or our exemption from the Investment Company Act of 1940.
December 31, 2024 December 31, 2023 Mortgage Borrowings Amount % Amount % Investment securities repurchase agreements 1,2 $ 59,362 90 % $ 48,879 90 % Debt of consolidated variable interest entities, at fair value 64 — % 80 — % Total debt 59,426 90 % 48,959 90 % TBA and forward settling non-Agency securities, at cost 6,887 10 % 5,288 10 % Total mortgage borrowings $ 66,313 100 % $ 54,247 100 % ________________________________ 1.
December 31, 2025 December 31, 2024 Mortgage Borrowings Amount % Amount % Investment securities repurchase agreements 1,2 $ 72,946 85 % $ 59,362 90 % Debt of consolidated variable interest entities, at fair value 56 — % 64 — % Total debt 73,002 85 % 59,426 90 % TBA and forward settling non-Agency securities, at cost 12,917 15 % 6,887 10 % Total mortgage borrowings $ 85,919 100 % $ 66,313 100 % ________________________________ 1.
As of December 31, 2024, the weighted average haircut on our repurchase agreements was approximately 3.2% of the value of our collateral, compared to 3.1% as of December 31, 2023.
As of December 31, 2025, the weighted average haircut and initial margin on our repurchase agreements were approximately 3.1% of the value of our collateral, compared to 3.2% as of December 31, 2024. We were in compliance with all margin requirements as of December 31, 2025.
Treasury 4.03% 4.34% 4.56% 4.12% 4.78% +75 bps 30-Year Fixed Rate Agency Price: 2.5% $85.24 $82.77 $81.87 $86.22 $81.38 -$3.86 3.0% $88.58 $86.16 $85.26 $89.68 $84.88 -$3.70 3.5% $91.86 $89.61 $88.67 $93.09 $88.38 -$3.48 4.0% $94.69 $92.74 $91.68 $95.98 $91.32 -$3.37 4.5% $97.04 $95.34 $94.45 $98.27 $93.98 -$3.06 5.0% $99.04 $97.70 $96.81 $99.90 $96.44 -$2.60 5.5% $100.56 $99.58 $98.76 $101.15 $98.61 -$1.95 6.0% $101.63 $100.98 $100.39 $102.19 $100.45 -$1.18 6.5% $102.51 $102.21 $101.88 $103.10 $102.10 -$0.41 15-Year Fixed Rate Agency Price: 1.5% $86.86 $86.69 $85.61 $89.16 $85.80 -$1.06 2.0% $89.47 $88.71 $88.00 $91.41 $88.34 -$1.13 2.5% $92.14 $91.07 $90.44 $93.68 $90.83 -$1.31 3.0% $94.30 $93.17 $92.61 $95.82 $93.12 -$1.18 3.5% $96.39 $95.13 $94.61 $97.88 $94.56 -$1.83 4.0% $98.10 $96.95 $96.24 $99.28 $96.01 -$2.09 ________________________________ 1.
Treasury 4.78% 4.57% 4.78% 4.73% 4.85% +7 bps 30-Year Fixed Rate Agency Price: 2.5% $81.38 $83.05 $82.98 $84.25 $84.63 +$3.25 3.0% $84.88 $86.58 $86.55 $87.85 $88.50 +$3.62 3.5% $88.38 $90.11 $90.07 $91.40 $92.53 +$4.15 4.0% $91.32 $93.10 $93.02 $94.27 $94.95 +$3.63 4.5% $93.98 $95.55 $95.67 $97.02 $97.70 +$3.72 5.0% $96.44 $97.89 $98.03 $99.19 $99.83 +$3.39 5.5% $98.61 $99.79 $99.99 $100.84 $101.45 +$2.84 6.0% $100.45 $101.49 $101.63 $102.16 $102.69 +$2.24 6.5% $102.10 $103.08 $103.22 $103.34 $103.94 +$1.84 15-Year Fixed Rate Agency Price: 1.5% $85.80 $87.69 $88.84 $89.48 $90.39 +$4.59 2.0% $88.34 $90.30 $91.38 $91.97 $92.52 +$4.18 2.5% $90.83 $92.44 $93.38 $94.05 $94.55 +$3.72 3.0% $93.12 $94.55 $95.34 $95.83 $96.23 +$3.11 3.5% $94.56 $96.16 $96.53 $96.89 $97.23 +$2.67 4.0% $96.01 $97.37 $97.81 $98.36 $98.67 +$2.66 ________________________________ 1.
Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-K for further details regarding our recent equity capital transactions.
As of December 31, 2025, $1.0 billion remained authorized to repurchase shares of our common stock through December 31, 2026. Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-K for further details regarding our recent equity capital transactions.
The following table is a summary of our investment securities (including TBA securities) as of December 31, 2024 and 2023 (dollars in millions): December 31, 2024 December 31, 2023 Investment Securities (Includes TBAs) 1 Amortized Cost Fair Value Average Coupon % Amortized Cost Fair Value Average Coupon % Fixed rate Agency RMBS and TBA securities: ≤ 15-year: ≤ 15-year RMBS $ 97 $ 90 2.68 % — % $ 759 $ 718 3.25 % 1 % 15-year TBA securities — — — % — % 89 91 5.00 % — % Total ≤ 15-year 97 90 2.68 % — % 848 809 3.44 % 1 % 20-year RMBS 578 506 3.12 % 1 % 872 768 2.82 % 1 % 30-year: 30-year RMBS 66,464 63,453 5.01 % 87 % 53,658 51,675 4.82 % 86 % 30-year TBA securities, net 2 6,887 6,861 5.37 % 9 % 5,199 5,263 5.50 % 9 % Total 30-year 73,351 70,314 5.04 % 96 % 58,857 56,938 4.88 % 95 % Total fixed rate Agency RMBS and TBA securities 74,026 70,910 5.02 % 97 % 60,577 58,515 4.83 % 97 % Adjustable rate Agency RMBS 796 790 4.85 % 1 % 293 290 4.67 % — % Multifamily 485 476 4.62 % 1 % 161 162 4.47 % — % CMO Agency RMBS: CMO 102 96 3.34 % — % 127 120 3.28 % — % Interest-only strips 35 30 2.08 % — % 40 35 1.77 % — % Principal-only strips 25 23 — % — % 27 26 — % — % Total CMO Agency RMBS 3 162 149 3.34 % — % 194 181 3.28 % 1 % Total Agency RMBS and TBA securities 3 75,469 72,325 5.02 % 99 % 61,225 59,148 4.83 % 98 % Non-Agency RMBS 1,3 17 15 5.29 % — % 43 34 4.61 % — % CMBS 3 264 236 6.59 % — % 303 273 7.27 % — % CRT 583 633 10.44 % 1 % 682 723 10.45 % 1 % Total investment securities 3 $ 76,333 $ 73,209 5.06 % 100 % $ 62,253 $ 60,178 4.90 % 100 % ________________________________ 1.
The following table is a summary of our investment securities (including TBA securities) as of December 31, 2025 and 2024 (dollars in millions): December 31, 2025 December 31, 2024 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 $ 251 $ 248 4.47 % — % $ 97 $ 90 2.68 % — % 15-year TBA securities 151 151 5.29 % — % — — — % — % Total ≤ 15-year 402 399 4.78 % — % 97 90 2.68 % — % 20-year RMBS 238 227 3.76 % — % 578 506 3.12 % 1 % 30-year: 30-year RMBS 77,154 77,008 5.19 % 81 % 66,464 63,453 5.01 % 87 % 30-year TBA securities, net 2 12,766 12,837 4.72 % 14 % 6,887 6,861 5.37 % 9 % Total 30-year 89,920 89,845 5.12 % 95 % 73,351 70,314 5.04 % 96 % Total fixed rate Agency RMBS and TBA securities 90,560 90,471 5.12 % 96 % 74,026 70,910 5.02 % 97 % Adjustable rate Agency RMBS 858 867 4.87 % 1 % 796 790 4.85 % 1 % Multifamily 2,521 2,539 4.36 % 3 % 485 476 4.62 % 1 % CMO Agency RMBS: CMO 85 83 3.27 % — % 102 96 3.34 % — % Interest-only strips 100 96 0.52 % — % 35 30 2.08 % — % Principal-only strips 22 20 — % — % 25 23 — % — % Total CMO Agency RMBS 3 207 199 3.27 % — % 162 149 3.34 % — % Total Agency RMBS and TBA securities 3 94,146 94,076 5.09 % 99 % 75,469 72,325 5.02 % 99 % Non-Agency RMBS 1,3 16 15 5.12 % — % 17 15 5.29 % — % CMBS 3 11 10 6.00 % — % 264 236 6.59 % — % CRT 561 606 10.00 % 1 % 583 633 10.44 % 1 % Total investment securities 3 $ 94,734 $ 94,707 5.12 % 100 % $ 76,333 $ 73,209 5.06 % 100 % ________________________________ 1.
As of December 31, 2024, approximately 9% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs. The remainder of our portfolio primarily consisted of Agency RMBS, which had an average one-year CPR forecast of 7% as of December 31, 2024.
We manage this liquidity risk by monitoring factors that influence prepayment activity and through disciplined asset selection. As of December 31, 2025, approximately 14% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs. The remainder of our portfolio, primarily consisting of Agency RMBS, had an average one-year CPR forecast of 12%.
Forward-looking statements are typically identified by words such as “believe,” “plan,” “expect,” “anticipate,” “see,” “intend,” “outlook,” “potential,” “forecast,” “estimate,” “will,” “could,” “should,” “likely” and other similar, correlative or comparable words and expressions. Forward-looking statements are based on management’s assumptions, projections and beliefs as of the date of this Annual Report, but they involve a number of risks and uncertainties.
Forward-looking statements are typically identified by words such as "believe," "plan," "expect," "anticipate," "see," "intend," "outlook," "potential," "forecast," "estimate," "will," "could," "should" "likely" and other similar, correlative or comparable words and expressions. Forward-looking statements are based on management's assumptions, projections and beliefs as of the date of this Annual Report, but they involve a number of risks and uncertainties.
Our duration gap, which measures the estimated difference between the interest rate sensitivity of our assets and our liabilities, inclusive of interest rate hedges, extended to 0.3 years as of December 31, 2024, from -0.5 years as of December 31, 2023, consistent with higher long-term rates and shifts in portfolio and hedge composition.
Our duration gap, which measures the estimated difference between the interest rate sensitivity of our assets and liabilities including hedges, extended slightly to 0.4 years as of year end, compared to 0.3 years as of December 31, 2024.
Interest rate swap periodic income declined for fiscal years 2024 and 2023 primarily due to higher pay rates on our pay-fixed swaps largely driven by the maturity of low cost interest rate swaps. The following is a summary of our interest rate swaps outstanding during fiscal years 2024, 2023 and 2022 (dollars in millions).
Interest rate swap periodic income declined for fiscal years 2025 and 2024, primarily due to higher pay rates on our pay-fixed swaps, largely reflecting the maturity of lower-cost legacy swaps, and lower receive rates. The ratio of interest rate swaps outstanding to mortgage borrowings also declined, reflecting a reduction in the Company's total hedge ratio and shifts in hedge composition.
Collateral requirements under our derivative agreements are subject to our counterparties' assessment of their maximum risk of loss associated with the derivative instrument, referred to as the initial or minimum margin requirement, and may be adjusted based on changes in market volatility and other factors.
Collateral requirements under our derivative agreements are typically subject to initial and variation margin requirements, similar to those for centrally cleared repo transactions, and may be adjusted based on changes in the value of the derivative agreements, collateral values, market volatility, and other factors.
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.
We enter into these agreements on a bilateral basis with financial institutions and independent dealers, as well as through tri-party and centrally cleared repo platforms—such as the FICC's GCF Repo service—accessed through our wholly owned, registered broker-dealer subsidiary, Bethesda Securities, LLC. We manage our repo funding through counterparty diversification, maintaining a suitable maturity profile, interest rate hedging, and other strategies.
This compares to $5.2 billion of unencumbered assets, or 67% of tangible equity, as of December 31, 2023, consisting of $5.1 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.
This compares to $6.2 billion of unencumbered assets, or 67% of tangible equity, as of December 31, 2024, consisting of $6.1 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets. 43 For additional details regarding assets pledged under our repo and derivative agreements refer to Note 6 to our Consolidated Financial Statements in this Form 10-K.
Treasury Spread 140 139 149 140 145 +5 30-Year Agency Current Coupon Yield to 10-Year U.S. Treasury Spread 137 140 147 118 126 -11 30-Year Agency Current Coupon Yield to 5/10-Year U.S.
Treasury Spread 145 156 168 146 131 -14 30-Year Agency Current Coupon Yield to 10-Year U.S. Treasury Spread 126 130 125 105 87 -39 30-Year Agency Current Coupon Yield to 5/10-Year U.S.
Counterparty Risk Collateral requirements imposed by counterparties subject us to the risk that the counterparty does not return pledged assets to us as and when required. We attempt to manage this risk by monitoring our collateral positions and limiting our counterparties to registered clearinghouses and major financial institutions with acceptable credit ratings.
Counterparty Risk Collateral requirements imposed by counterparties subject us to the risk that pledged assets may not be returned to us as and when required.
Treasury Security Rate: 2-Year U.S. Treasury 4.25% 4.62% 4.76% 3.64% 4.24% -1 bps 5-Year U.S. Treasury 3.85% 4.21% 4.38% 3.56% 4.38% +53 bps 10-Year U.S. Treasury 3.88% 4.20% 4.40% 3.78% 4.57% +69 bps 30-Year U.S.
Treasury Security Rate: 2-Year U.S. Treasury 4.24% 3.89% 3.72% 3.61% 3.48% -76 bps 5-Year U.S. Treasury 4.38% 3.95% 3.80% 3.74% 3.73% -65 bps 10-Year U.S. Treasury 4.57% 4.21% 4.23% 4.15% 4.17% -40 bps 30-Year U.S.
Factors that could cause actual results to vary from our forward-looking statements include, but are not limited to, the following: • changes in U.S. monetary policy or interest rates, including actions taken by the Federal Reserve to normalize monetary policy and to reduce the size of its U.S.
Factors that could cause actual results to vary from our forward-looking statements include, but are not limited to, the following: • 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 our financing and 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; • fluctuations in the yield curve; • the effectiveness of our risk mitigation strategies; • conditions in the market for Agency RMBS and other mortgage securities, including changes in the available supply of such securities or investor appetite therefor; • changes in U.S. monetary policy or interest rates, including actions taken by the Federal Reserve to adjust the size or composition of its U.S.
Treasury Spread 139 139 149 129 135 -4 30-Year Agency Current Coupon Yield 5.25% 5.60% 5.87% 4.96% 5.83% +58 bps 30-Year Mortgage Rate 6.56% 6.74% 6.94% 6.14% 6.86% +30 bps Credit Spread (in bps): 2 CRT M2 206 182 166 159 137 -69 CMBS AAA 118 88 100 91 72 -46 CDX IG 56 51 54 53 50 -6 ________________________________ 1. 30-Year Current Coupon Yield represents yield on new production Agency RMBS. 30-Year Current Coupon Yields are sourced from Bloomberg and 30-Year Mortgage Rates are sourced from Clear Blue. 2.
Treasury Spread 142 150 157 137 123 -19 30-Year Agency Current Coupon Yield to 3/5/10-Year Swap Spread 177 183 197 174 151 -26 30-Year Agency Current Coupon Yield 5.83% 5.51% 5.48% 5.20% 5.04% -79 bps 30-Year Mortgage Rate 6.86% 6.60% 6.67% 6.32% 6.16% -70 bps Credit Spread (in bps): 2 CRT M2 137 163 155 151 150 +13 CMBS AAA 72 94 86 77 78 +6 CDX IG 50 61 51 52 50 — CDX HY 310 373 316 318 314 +4 ________________________________ 1. 30-Year Current Coupon Yield represents the 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.
These dynamics provided an improved investment backdrop that enabled AGNC to generate a positive economic return of 13.2% in 2024, comprised of our monthly dividends totaling $1.44 per common share for the year and a modest decline of our tangible net book value of $0.29 per common share.
This compares to total comprehensive income of $0.84 per diluted common share and an economic return of 13.2% for 2024, comprised of $1.44 in dividends and a $0.29 decline in tangible net book value per common share. Net spread and dollar roll income (a non-GAAP measure) per diluted common share decreased to $1.50 in 2025 from $1.88 in 2024.
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.
These transactions may also benefit from lower implied costs, or "specialness." However, if rolling TBA contracts into future months becomes uneconomical, we may need to take physical delivery of the underlying securities and fund those securities with other sources, potentially reducing our liquidity position. 42 Collateral Requirements and Unencumbered Assets Borrowing capacity under our repurchase agreements is influenced by counterparty margin requirements, collateral values, interest rates, risk limits, and counterparties' willingness and ability to lend.
The FICC assesses margin on the last day of each month, prior to the factor release date, based on its internally projected pay-down rates (referred to as the "blackout period exposure adjustment" or "blackout margin"). On the factor release date, the blackout margin is released and collateralization requirements are adjusted to actual factor data.
The FICC assesses margin on the last business day of each month—prior to the factor release—using internally projected pay-down rates and subsequently adjusts collateral requirements to reflect the actual factor data when released. The timing difference between margin calls related to principal pay-downs and our receipt of the corresponding cash flows temporarily reduces our available liquidity each month.
Quantitative and Qualitative Disclosures about Market Risk in this form 10-K. 26 Market Information The following table summarizes benchmark interest rates and prices of generic fixed rate Agency RMBS as of each date presented below: Interest Rate/Security Price 1 Dec. 31, 2023 Mar. 31, 2024 June 30, 2024 Sept. 30, 2024 Dec. 31, 2024 Dec. 31, 2024 vs Dec. 31, 2023 Target Federal Funds Rate: Target Federal Funds Rate - Upper Band 5.50% 5.50% 5.50% 5.00% 4.50% -100 bps SOFR: SOFR Rate 5.38% 5.34% 5.33% 4.96% 4.49% -89 bps SOFR Interest Rate Swap Rate: 2-Year Swap 4.07% 4.55% 4.61% 3.44% 4.08% +1 bps 5-Year Swap 3.53% 3.98% 4.10% 3.25% 4.04% +51 bps 10-Year Swap 3.47% 3.84% 3.98% 3.32% 4.07% +60 bps 30-Year Swap 3.32% 3.62% 3.76% 3.30% 3.93% +61 bps U.S.
Agency RMBS with favorable prepayment attributes include: (i) specified pools backed by lower balance loans with original loan balances of up to $200K, HARP pools (defined as pools that were issued between May 2009 and December 2018 and backed by 100% refinance loans with original LTVs ≥ 80%), and pools backed by loans 100% originated in New York and Puerto Rico and (ii) other pools backed by loans with credit, loan balances, geographies, occupancy types, and other characteristics that exhibit favorable prepayment behavior. 28 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, 2024 Mar. 31, 2025 June 30, 2025 Sept. 30, 2025 Dec. 31, 2025 Dec. 31, 2025 vs Dec. 31, 2024 Target Federal Funds Rate: Target Federal Funds Rate - Upper Band 4.50% 4.50% 4.50% 4.25% 3.75% -75 bps SOFR: SOFR Rate 4.49% 4.41% 4.45% 4.24% 3.87% -62 bps SOFR Interest Rate Swap Rate: 2-Year Swap 4.08% 3.72% 3.49% 3.40% 3.31% -77 bps 5-Year Swap 4.04% 3.65% 3.43% 3.39% 3.46% -58 bps 10-Year Swap 4.07% 3.76% 3.69% 3.66% 3.80% -27 bps 30-Year Swap 3.93% 3.79% 3.90% 3.93% 4.17% +24 bps U.S.
We concluded 2024 with $6.1 billion in cash and unencumbered Agency RMBS, representing 66% of tangible stockholders’ equity, compared to $5.1 billion and 66% of tangible equity as of December 31, 2023.
We ended the year with a large liquidity position of $7.6 billion in unencumbered cash and Agency RMBS, representing 64% of tangible equity, compared to $6.1 billion and 66%, respectively, as of December 31, 2024. 27 Lastly, given the convexity profile of our assets and the significant decline in interest rate volatility, we increased our receiver swaption position by $6.9 billion during the year to provide additional protection in a declining rate environment.
Actual CPRs for 2024 averaged 7.5%, slightly up from 6.3% in 2023. AGNC's average and ending "at risk" leverage for 2024 was 7.2x tangible stockholders’ equity, compared to 7.4x and 7.0x, respectively, for 2023.
As of December 31, 2025, our "at risk" leverage was 7.2x tangible equity, unchanged from December 31, 2024. Average leverage for the year was 7.4x, compared to 7.2x for the prior year.
The weighted average coupon on our fixed-rate Agency RMBS and TBA securities increased to 5.02% at the end of 2024, up from 4.83% at the end of 2023. The average projected life Constant Prepayment Rate (CPR) for the portfolio decreased to 7.7% at year-end, from 11.4% at the end of 2023.
The average projected life Constant Prepayment Rate ("CPR") for our portfolio increased to 9.6% as of December 31, 2025, from 7.7% as of December 31, 2024, largely reflecting a 70 basis point decline in the average 30-year mortgage rate, which was 6.16% at year end. Actual CPRs averaged 8.4% for the year, compared to 7.5% for the prior year.
The use of TBA dollar roll transactions increases our funding diversification, expands our available pool of assets, and increases our overall liquidity position, as TBA contracts typically have lower implied haircuts relative to Agency RMBS pools funded with repo financing.
Our repurchase agreement counterparties are not obligated to renew or enter into new borrowings upon the maturity of existing agreements. TBA dollar roll transactions enhance our funding diversification, expand our available pool of assets, and improve our liquidity position by typically requiring less collateral than Agency RMBS financed with repo.
Collateral levels for interest rate derivative agreements not subject to central clearing are established by the counterparty financial institution. Haircut levels and minimum margin requirements imposed by our counterparties reduce the amount of our unencumbered assets and limit the amount we can borrow against our investment securities. During the fiscal year 2024, haircuts on our repo funding arrangements remained stable.
Collateral requirements for non-centrally cleared derivatives are set by the counterparty financial institution. Haircut levels and initial or additional minimum margin requirements reduce the amount of our unencumbered assets and limit our borrowing capacity.
Removed
Trends and Recent Market Impacts In 2024, an increasingly favorable market environment for Agency RMBS investors emerged as the Fed pivoted from its restrictive monetary policy and began lowering short-term rates toward a neutral level. Declining inflationary pressures and the Fed’s more accommodative monetary policy helped reduce interest rate volatility and steepen the yield curve.
Added
Trends and Recent Market Impacts Market Trends Agency RMBS outperformed domestic fixed income alternatives in 2025, and this favorable asset class performance, coupled with AGNC's active portfolio management strategies, drove AGNC's best-in-class economic return for the year. 1 In 2025, the Bloomberg US Mortgage Backed Securities Index (the "Agency MBS Index"), which represents the entire Agency RMBS market, generated a total return of 8.6% for the year, its best annual performance since 2002.
Removed
The U.S. presidential election and its implications for deficit spending, fiscal policy and future Treasury issuance tempered the positive investment sentiment that existed during the first three quarters of the year.
Added
Also notable, given the similar credit profile, the Agency MBS Index outperformed the Bloomberg US Treasury Index by 2.3 percentage points, or 36%.
Removed
In addition, strong economic data late in the fourth quarter extended the Fed’s anticipated easing timeline as evidenced by its December Summary of Economic Projections, which indicated fewer expected rate cuts in 2025 and 2026 than previously projected. Looking forward, our outlook for Agency mortgage-backed securities in 2025 remains very favorable.
Added
A number of factors that materialized over the course of the year catalyzed the strong performance of Agency RMBS, including: • The Federal Reserve (the "Fed") shifted monetary policy toward lower short-term interest rates and greater accommodation, which contributed to the positive performance of all domestic fixed income asset classes. • Greater fiscal policy clarity and the stable supply outlook for U.S.

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Item 7A. Quantitative and Qualitative Disclosures About Market Risk

Market Risk — interest-rate, FX, commodity exposure

23 edited+2 added−1 removed25 unchanged
Biggest changePrepayment Risk and Extension Risk Prepayment risk is the risk that our assets will be repaid at a faster rate than anticipated. Interest rates and numerous other factors affect the rate of prepayments, such as housing prices, general economic conditions, loan age, size and loan-to-value ratios, and GSE buyouts of delinquent loans underlying our securities.
Biggest changeInterest rates and numerous other factors affect the rate of prepayments, such as housing prices, general economic conditions, loan age, size and loan-to-value ratios, and GSE buyouts of delinquent loans underlying our securities. Generally, declining mortgage rates increase the rate of prepayments, while rising rates have the opposite effect.
In a rising or higher interest rate environment, we may be required to finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities as a result of borrowers prepaying their 44 mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.
In a rising or higher interest rate environment, we may be required to finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities as a result of borrowers prepaying their mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.
The costs associated with our borrowings are generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase while the yields earned on our existing portfolio of leveraged fixed-rate assets will largely remain static. This can result in a decline in our net interest spread.
The costs associated with our borrowings are generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase while the yields earned on our existing portfolio of leveraged fixed-rate assets will largely remain static. This can result in a decline in our 45 net interest spread.
Duration measures the estimated percentage change in market value of an instrument that would be caused by a parallel change in short and long-term interest rates. The duration of our assets will vary with changes in interest rates and tends to increase when interest rates rise 43 and decrease when interest rates fall.
Duration measures the estimated percentage change in market value of an instrument that would be caused by a parallel change in short and long-term interest rates. The duration of our assets will vary with changes in interest rates and tends to increase when interest rates rise and decrease when interest rates fall.
The table below quantifies the estimated changes in the fair value of our investment portfolio (including derivatives and other securities used for hedging purposes) and in our tangible net book value per common share as of December 31, 2024 and 2023 should interest rates go up or down by 25, 50 and 75 basis points, assuming instantaneous parallel shifts in the yield curve and including the impact of both duration and convexity.
The table below quantifies the estimated changes in the fair value of our 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, 2025 and 2024 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.
Our credit risk related to derivative and repurchase agreement transactions is largely mitigated by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered central clearinghouses and monitoring concentration levels with any one counterparty. We also continuously monitor and adjust the amount of collateral pledged based on changes in market value.
Our credit risk related to derivative and repurchase agreement transactions is largely mitigated by limiting our counterparties to regulated financial institutions with acceptable credit ratings or to registered central clearinghouses and monitoring concentration levels with any one counterparty. We also continuously monitor and adjust the amount of collateral pledged based on changes in market value.
The table below quantifies the estimated changes in the fair value of our assets, net of hedges, and our tangible net book value per common share as of December 31, 2024 and 2023 should spreads widen or tighten by 10, 25 and 50 basis points.
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, 2025 and 2024 should spreads widen or tighten by 10, 25 and 50 basis points.
If the actual and estimated future prepayment experience differs from our prior estimates, we are required to record an adjustment to interest income for the impact of the cumulative difference in the effective yield. Extension risk is the risk that our assets will be repaid at a slower rate than anticipated and generally increases when interest rates rise.
If the actual and estimated future prepayment experience differs from our prior estimates, we are required to record a current period adjustment to interest income for the impact of the cumulative difference in the effective yield. Extension risk is the risk that our assets will be repaid at a slower rate than anticipated and generally increases when interest rates rise.
We review the estimates for reasonableness, giving consideration to any unique characteristics of our securities, market conditions and other factors likely to impact these estimates, and based on our judgement we may make adjustments to the third-party estimates.
We review the estimates for reasonableness, giving consideration to any unique characteristics of our securities, market conditions and other factors likely to impact these estimates, and based on our judgment we may make adjustments to the third-party estimates.
As of December 31, 2024, we believe that we have sufficient liquidity and capital resources available to execute our business strategy (see Liquidity and Capital Resources in this Form 10-K for additional details).
As of December 31, 2025, we believe that we have sufficient liquidity and capital resources available to execute our business strategy (see Liquidity and Capital Resources in this Form 10-K for additional details).
All values in the table below are measured as percentage changes from the base interest rate scenario. The base interest rate scenario assumes interest rates and prepayment projections as of December 31, 2024 and 2023.
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, 2025 and 2024.
However, our efforts to manage credit risk may be unsuccessful and we could suffer losses as a result. Excluding central clearing exchanges, as of December 31, 2024, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was less than 2% and less than 1%, respectively, of tangible stockholders' equity. 46
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, 2025, our maximum amount at risk with any counterparty related to our 48 repurchase agreements and derivative agreements was less than 2% and less than 1%, respectively, of tangible stockholders' equity.
Interest Rate Sensitivity 1,2 December 31, 2024 December 31, 2023 Change in Interest Rate Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share -75 Basis Points -0.1% -0.9% -0.7% -7.0% -50 Basis Points 0.0% +0.2% -0.4% -3.8% -25 Basis Points +0.1% +0.5% -0.1% -1.5% +25 Basis Points -0.1% -1.1% +0.1% +0.7% +50 Basis Points -0.3% -2.8% +0.1% +0.7% +75 Basis Points -0.5% -4.8% 0.0% 0.0% ________________________________ 1.
Interest Rate Sensitivity 1,2 December 31, 2025 December 31, 2024 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 -0.2% -2.4% -0.1% -0.9% -50 Basis Points 0.0% -0.3% 0.0% +0.2% -25 Basis Points +0.1% +0.5% +0.1% +0.5% +25 Basis Points -0.2% -1.6% -0.1% -1.1% +50 Basis Points -0.4% -4.3% -0.3% -2.8% +75 Basis Points -0.8% -7.7% -0.5% -4.8% ________________________________ 1.
Significantly higher haircuts can reduce our ability to leverage our portfolio or may even force us to sell assets, especially if correlated with asset price declines or faster prepayment rates on our assets.
Significantly higher haircuts or initial margin requirements can reduce our ability to leverage our portfolio or may even force us to sell assets, especially if correlated with asset price declines or faster prepayment rates on our assets.
Our estimated duration gap, which is a measure of the difference between the interest rate sensitivity of our assets and our liabilities, inclusive of interest rate hedges, was 0.3 years as of December 31, 2024, compared to -0.5 years as of 2023.
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, 2025, compared to 0.3 years as of December 31, 2024.
The table below assumes a spread duration of 5.1 and 4.7 years as of December 31, 2024 and 2023, respectively, based on interest rates and prices as of such dates; however, our portfolio's sensitivity to mortgage spread changes will vary with changes in interest rates and in the size and composition of our portfolio.
The table below assumes a spread duration of 5.0 and 5.1 as of December 31, 2025 and 2024, respectively, based on interest rates and prices as of such dates; 47 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.
Spread Sensitivity 1,2 December 31, 2024 December 31, 2023 Change in MBS Spread Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share -50 Basis Points +2.5% +24.5% +2.3% +23.1% -25 Basis Points +1.3% +12.3% +1.2% +11.6% -10 Basis Points +0.5% +4.9% +0.5% +4.6% +10 Basis Points -0.5% -4.9% -0.5% -4.6% +25 Basis Points -1.3% -12.3% -1.2% -11.6% +50 Basis Points -2.5% -24.5% -2.3% -23.1% 45 ________________________________ 1.
Spread Sensitivity 1,2 December 31, 2025 December 31, 2024 Change in MBS Spread Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share -50 Basis Points +2.5% +24.0% +2.5% +24.5% -25 Basis Points +1.2% +12.0% +1.3% +12.3% -10 Basis Points +0.5% +4.8% +0.5% +4.9% +10 Basis Points -0.5% -4.8% -0.5% -4.9% +25 Basis Points -1.2% -12.0% -1.3% -12.3% +50 Basis Points -2.5% -24.0% -2.5% -24.5% ________________________________ 1.
Derived from models that are dependent on inputs and assumptions, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates. 2. Includes the effect of derivatives and other securities used for hedging purposes. Interest rates are assumed to be floored at 0% in down rate scenarios.
Derived from models that are dependent on inputs and assumptions, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates. 2. Includes the effect of derivatives and other securities used for hedging purposes.
As of December 31, 2024 and 2023, our investment securities (excluding TBAs) had a weighted average projected CPR of 7.7% and 11.4%, respectively, and a weighted average yield of 4.77% and 4.41%, respectively.
As of December 31, 2025 and 2024, our investment securities (excluding TBAs) had a weighted average projected CPR of 9.6% and 7.7%, respectively, and a weighted average yield of 4.93% and 4.77%, respectively.
Generally, declining mortgage rates increase the rate of prepayments, while rising rates have the opposite effect. If our assets prepay at a faster rate than anticipated, we may be unable to reinvest the repayments at acceptable yields. If the proceeds are reinvested at lower yields than our existing assets, our net interest income would be negatively impacted.
If our assets prepay at a faster rate than anticipated, we may be unable to reinvest the repayments at acceptable yields. If the proceeds are reinvested at lower yields than our existing assets, our net interest income would be negatively impacted.
Interest Rate Sensitivity 1 December 31, 2024 December 31, 2023 Change in Interest Rate Weighted Average Projected CPR Weighted Average Asset Yield 2 Weighted Average Projected CPR Weighted Average Asset Yield 2 -75 Basis Points 11.7% 4.70% 17.8% 4.33% -50 Basis Points 9.8% 4.73% 15.4% 4.36% -25 Basis Points 8.5% 4.76% 13.2% 4.39% Actual as of Period End 7.7% 4.77% 11.4% 4.41% +25 Basis Points 7.3% 4.78% 9.7% 4.44% +50 Basis Points 6.9% 4.79% 8.5% 4.46% +75 Basis Points 6.7% 4.80% 7.7% 4.47% ________________________________ 1.
Interest Rate Sensitivity 1 December 31, 2025 December 31, 2024 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 16.6% 4.79% 11.7% 4.70% -50 Basis Points 13.6% 4.84% 9.8% 4.73% -25 Basis Points 11.3% 4.89% 8.5% 4.76% Actual as of Period End 9.6% 4.93% 7.7% 4.77% +25 Basis Points 8.3% 4.96% 7.3% 4.78% +50 Basis Points 7.5% 4.98% 6.9% 4.79% +75 Basis Points 7.0% 5.00% 6.7% 4.80% ________________________________ 1.
In addition, our counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, thereby reducing the amount that can be borrowed against an asset even if they agree to renew or roll our funding liabilities.
In addition, our bilateral counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, and our central clearing counterparties may adjust their risk models impacting the amount of initial margin we are required to post, thereby reducing the amount that can be borrowed against our assets even if they agree to renew or roll our funding liabilities.
Future borrowings are dependent upon the willingness of lenders to finance our investments, lender collateral requirements and the lenders’ determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates and liquidity conditions within the commercial banking and mortgage finance industries.
Liquidity Risk Our liquidity risk principally arises from financing long-term fixed rate assets with shorter-term variable rate borrowings. Future borrowings are dependent upon the willingness of lenders to finance our investments, lender collateral requirements and the lenders' determination of the fair value of the securities pledged as collateral.
Removed
Liquidity Risk Our liquidity risk principally arises from financing long-term fixed rate assets with shorter-term variable rate borrowings.
Added
Interest rates are assumed to be floored at 0% in down rate scenarios. 46 Prepayment Risk and Extension Risk Prepayment risk is the risk that our assets will be repaid at a faster rate than anticipated.
Added
These factors can change over time in response to interest rate movements, overall market liquidity, shifts in credit quality and changes in bank regulatory requirements. Borrowings under centrally cleared repo also depend on Bethesda Securities' remaining compliant with regulatory and FICC membership requirements and maintaining its risk exposure within limits established by the FICC.

Other AGNCO 10-K year-over-year comparisons