AGNC INVESTMENT CORP 6.125% CUM RED PREF STK SERIES（「AGNC」，「公司」，「我們」，「我們」和「我們的」）於2008年1月7日成立，並於2008年5月20日開始運營，隨後完成了我們的首次公開募股。我們的普通股在納斯達克全球貨幣精選市場以標的「AGNC」交易。
Our funding and derivative agreement counterparties may not fulfill their obligations to us as and when due.
If a repurchase agreement counterparty defaults on its obligation to resell collateral to us, we could incur a loss on the transaction equal to the difference between the value of our collateral and the amount of our borrowing. 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.
We attempt to limit our counterparty exposure by diversifying our funding across multiple counterparties and limiting our counterparties to registered central clearing exchanges and major financial institutions with acceptable credit ratings. However, these measures may not sufficiently reduce our risk of loss. Central clearing exchanges typically attempt to reduce the risk of default by requiring initial and daily variation margin from their clearinghouse members and maintain guarantee funds and other resources that are available in the event of default. 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. 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. Consequently, for any cleared swap or futures transaction, we bear the credit risk of both the DCO and the relevant FCM as to obligations under our swap and futures agreements. The enforceability of our derivative and repurchase agreements may also depend on compliance with applicable statutory, commodity and other regulatory requirements and, depending on the domicile of the counterparty, applicable international requirements.
Our hedging strategies may be ineffective.
We attempt to limit, or hedge against, the adverse effect of changes in interest rates on the value of our assets and financing costs, subject to complying with REIT tax requirements. Hedging strategies are complex and do not fully protect against adverse changes under all circumstances. Our business model also calls for accepting certain amounts of risk. Consequently, our hedging activities are generally designed to limit interest rate exposure, but not to eliminate it, and they are generally not designed to hedge against spread risk and other risks inherent to our business model.
Our hedging strategies may vary in scope based on our portfolio composition, liabilities and our assessment of the level and volatility of interest rates, expected prepayments, credit and other market conditions, and are expected to change over time. We could inaccurately assess a risk or fail to recognize a risk entirely, leaving us exposed to losses without the benefit of any offsetting hedges. Furthermore, the techniques and derivative instruments we select may not have the effect of reducing our risk. Poorly designed hedging strategies or improperly executed transactions could increase our risk of loss. Hedging activities could also result in losses if the hedged event does not occur. Numerous other factors can impact the effectiveness of our hedging strategies, including the following:
•the cost of interest rate hedges;
•the degree to which the interest rate hedge benchmark rate correlates to the interest rate risk being hedged;
•the degree to which the duration of the hedge matches that of the related asset or liability, particularly as interest rates change;
•the amount of income that a REIT may earn from hedging transactions that do not satisfy certain requirements of the Internal Revenue Code or that are not done through a TRS; and
•the degree to which the value of our interest rate hedges changes relative to our assets as a result of fluctuations in interest rates, passage of time, or other factors.
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Additionally, regulations adopted by the CFTC and regulators of other countries could adversely affect our ability to engage in derivative transactions or impose increased margin requirements and require additional operational and compliance costs. Consequently, 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.
Risks Related to Our Business Operations
Our executive officers and other key personnel are critical to our success and the loss of any executive officer or key employee may materially adversely affect our business.
We operate in a highly specialized industry and our success is dependent upon the efforts, experience, diligence, skill and network of business contacts of our executive officers and key personnel. The departure of any of our executive officers and/or key personnel could have a material adverse effect on our operations and performance.
We are highly dependent on information systems and third-party service providers to conduct our operations, and system failures, cybersecurity incidents or failure of our providers to fulfill their obligations to us could significantly disrupt our ability to operate our business.
Our business heavily depends on information and communication systems, including services provided by third parties and cloud-based platforms. A failure in these systems, or a failure by a third-party provider, could significantly disrupt our operations. These systems may be subject to damage or interruption from, among other things, natural disasters, public health issues such as pandemics or epidemics, terrorist attack, rogue employees, power loss, telecommunications failures, internet disruptions, and other interruptions beyond our control. 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. 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. 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. The consequences of a cyber-attack may include operational disruption, unauthorized access to sensitive data, regulatory fines, reputational damage, liability to third parties, and financial losses.
The impact of cybersecurity incidents is difficult to predict, and legal and regulatory requirements around data privacy and security could lead to increased costs and stricter compliance requirements. 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. 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. A cybersecurity incident, if one were to occur, could adversely affect our business, results of operations, or financial condition.
Risks Related to Our Taxation as a REIT
Our failure to qualify as a REIT would have adverse tax consequences.
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. The determination that we are a REIT requires an analysis of various factual matters and circumstances that may not be entirely within our control. Qualification and taxation as a REIT also depend on our ability to continually meet requirements imposed on REITs by the Internal Revenue Code, including satisfying certain organizational requirements, an annual distribution requirement, and quarterly asset and annual income tests. These tests depend on our ability to effectively manage the composition of our income and assets on an ongoing basis. 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. 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. 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.
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Failure to qualify as a REIT would have significant consequences. We would lose the ability to deduct dividends paid to stockholders when computing our taxable income and would be subject to U.S. federal and state corporate income tax as a regular C corporation for any taxable year for which we did not qualify. This could result in substantial tax liabilities and reduce funds available for investments and distributions, likely adversely impacting our stock value. Additionally, we would no longer be required to make stockholder distributions. Unless the IRS granted us relief under certain statutory provisions, we would remain disqualified as a REIT for four years following the year we first fail to qualify.
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. Even if we were to qualify for relief, we may still incur penalty taxes. The penalty for failing an asset test is the greater of $50,000 per failure or the net income from non-qualifying assets that resulted in the failure multiplied by the highest U.S. federal corporate tax rate. For failing one or both gross income tests, the penalty equals 100% of the net profit from non-qualifying income that resulted in the failure, as determined under the Internal Revenue Code.
REIT distribution requirements could adversely affect our ability to execute our business plan.
We generally must distribute annually at least 90% of our taxable income, subject to certain adjustments and excluding any net capital gain, for U.S. federal and state corporate income tax not to apply to earnings that we distribute and to retain our REIT status. 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. 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. Our stockholders would then increase the adjusted basis of their stock by the difference between (a) the amounts of capital gain dividends that we designated and that they include in their taxable income, minus (b) the tax that we paid on their behalf with respect to that income. We intend to make distributions to our stockholders to comply with the REIT qualification requirements of the Internal Revenue Code, which limits our ability to retain earnings and thereby replenish or increase capital from operations.
To the extent that we satisfy this distribution requirement, but distribute less than 100% of our taxable income, we will be subject to U.S. federal and state corporate income tax on our undistributed taxable income. 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.
Our taxable income will typically differ from income prepared in accordance with GAAP due to temporary and permanent differences. For example, realized gains and losses on our hedging instruments, such as interest rate swaps, may be deferred for income tax purposes and amortized into taxable income over the remaining contract term of the instrument even if we have exited the instrument and settled such gains or losses for cash. We are also not allowed to reduce our taxable income for net capital losses incurred; instead, the capital losses may be carried forward for a period of up to five years and applied against future capital gains subject to our ability to generate sufficient capital gains, which cannot be assured. Therefore, it is possible that our taxable income could be in excess of the net cash generated from our operations. If we do not have funds available in these situations to meet our REIT distribution requirements or to avoid corporate and excise taxes altogether, we could be required to borrow funds on unfavorable terms, sell investments at disadvantageous prices or distribute amounts that would otherwise be invested in future acquisitions.
We may choose to pay dividends in our own stock, in which case stockholders may be required to pay income taxes in excess of cash dividends received.
We may in the future distribute taxable dividends that are payable at least in part in shares of our common stock. Taxable stockholders receiving such dividends will be required to include the full amount of the dividend as ordinary income to the extent of our current and accumulated earnings and profits for U.S. federal income tax purposes. As a result, stockholders may be required to pay income taxes with respect to such dividends that are in excess of the cash dividends received. 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. 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.
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Even if we remain qualified as a REIT, we may face other tax liabilities that reduce our cash flow.
Even if we remain qualified for taxation as a REIT, we may nonetheless be subject to certain federal, state and local taxes on our income and assets, including the following items. Any 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.
Complying with REIT requirements may cause us to liquidate or forgo attractive investment opportunities.
To remain qualified as a REIT, we must ensure that, at the end of each calendar quarter, at least 75% of the value of our assets consists of cash, cash items, government securities and qualified real estate assets. 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. 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. If we fail to comply with these requirements at the end of any calendar quarter, we must correct the failure within 30 days after the end of the calendar quarter or qualify for certain statutory relief provisions to avoid losing our REIT qualification and suffering adverse tax consequences. 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. 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.
Complying with REIT requirements may limit our ability to hedge effectively and may cause us to incur tax liabilities.
The REIT provisions of the Internal Revenue Code could substantially limit our ability to hedge our risks. 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"). To the extent that we enter into other types of hedging transactions, or fail to properly designate qualified hedges, the income from those transactions is likely to be treated as non-qualifying income for purposes of both gross income tests. As such, we may have to limit our use of advantageous hedging techniques or implement those hedges through a TRS. This could increase the cost of our hedging activities as our TRS would be subject to tax on gains or expose us to greater risks than we would otherwise want to bear. In addition, losses in a TRS will generally not provide any tax benefit, except for being carried forward against future taxable income in the TRS.
Uncertainty exists with respect to the treatment of our TBAs for purposes of the REIT asset and income tests.
儘管與我們普通股票相關的分配通常不構成非相關業務應稅收入，但在某些情況下可能會構成。如果 (i) 我們因所有或部分資產受到與「應稅抵押貸款池」相關的規則的約束而產生「超額包含收入」或因持有REMIC的剩餘權益而產生，或者 (ii) 我們成爲「養老金持有REIT」，那麼對免稅投資者的部分分配可能會根據《國內稅收法》作爲非相關業務應稅收入而需繳納美國聯邦所得稅。
Actions of the U.S. Government, including the U.S. Congress, Fed, U.S. 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. To the extent the markets do not respond favorably to any such actions or such actions do not function as intended, they could have broad adverse market implications and could negatively impact our financial condition and results of operations. For example, the actual or anticipated actions or inaction on U.S. fiscal policy matters, including the U.S. dept ceiling and the amount and tenor of U.S. 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 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. In 2023, the FDIC and Fed proposed revisions to bank capital rules that would have applied risk weights (and costs) to Agency RMBS that, if adopted, might have impacted the source, pricing, volume, financing, and nature of Agency RMBS. Although these proposals are not expected to be finally adopted in their original form, they have not yet been withdrawn, and aspects of them may be re-proposed or adopted in the future. In addition, SEC regulations that mandate the central clearing of U.S. Treasury and U.S. Treasury repurchase agreement ("U.S. Treasury Repo") transactions will necessitate significant changes to trading operations and have the potential to adversely impact liquidity, funding and efficiency of these markets. Such changes could adversely affect the cost and other terms or availability of financing and hedging arrangements for our business. 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.
•speculation in the press or investment community;
•actual or anticipated changes in our dividend policy; and
•changes to our targeted investments or investment guidelines.
We have not established a minimum dividend payment level and may be unable to pay dividends in the future.
We intend to pay monthly dividends to our common stockholders in an amount that all or substantially all our taxable income is distributed within the limits prescribed by the Internal Revenue Code. However, we have not established a minimum dividend payment level and the amount of our dividend may fluctuate. Our ability to pay dividends may be adversely affected by the risk factors described herein. All distributions will be made at the discretion of our Board and will depend on our earnings and financial condition, the requirements for REIT qualification and such other factors as our Board deems relevant from time to time. Additionally, our preferred stock has a preference on dividend payments and liquidating distributions that could limit our ability to pay dividends to the holders of our common stock. Therefore, we may not be able to make distributions in the future or our Board may change our dividend policy.
Our certificate of incorporation generally does not permit ownership of more than 9.8% of our common or capital stock and attempts to acquire amounts above this limit will be ineffective unless an exemption is granted by our Board of Directors.
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. Most of the shares of our common stock are held by brokers and other institutions on behalf of stockholders.
我們至少每季度審查一次實際及預期的預付款經驗，並在以下情況出現差異時重新計算有效收益：(i) 我們之前的預付款估計與 (ii) 截至目前的實際預付款以及未來預付款的當前估計。如果實際和預計的未來預付款經驗與我們之前的預付款估計不同，我們需要在當前期間記錄一個調整，調整內容涉及自開始至報告日期的有效收益累計差異的溢價和折扣的攤銷或增值。我們通常將此調整稱爲「追趕」溢價攤銷成本/收益。
At the time we purchase CRT and non-Agency securities that are not of high credit quality, we determine an effective interest rate based on our estimate of the timing and amount of cash flows and our cost basis. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on input and analysis received from external sources, internal models, our judgment about interest rates, prepayment rates, including collateral call provisions, timing and amount of estimated credit losses, and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any.
RESULTS OF OPERATIONS
Non-GAAP Financial Measures
In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "economic interest income," "economic interest expense," and "net spread and dollar roll income available to common stockholders" and the related per common share measures and certain financial metrics derived from such non-GAAP information.
"Economic interest income" is measured as interest income (GAAP measure), adjusted to (i) exclude retrospective "catch-up" adjustments to premium amortization cost associated with changes in projected CPR estimates and (ii) include TBA dollar roll implied interest income. "Economic interest expense" is measured as interest expense (GAAP measure) adjusted to include TBA dollar roll implied interest expense/benefit and interest rate swap periodic cost/income. "Net spread and dollar roll income available to common stockholders" is measured as comprehensive income (loss) available (attributable) to common stockholders (GAAP measure) adjusted to: (i) exclude gains/losses on investment securities recognized through net income and other comprehensive income and gains/losses on derivative instruments and other securities (GAAP measures); (ii) exclude retrospective "catch-up" adjustments to premium amortization cost associated with changes in projected CPR estimates; and (iii) include interest rate swap periodic income/cost, TBA dollar roll income and other interest income/expense. As defined "Net spread and dollar roll income available to common stockholders" includes (i) the components of "economic interest income" and "economic interest expense", plus (ii) other interest income/expense, and less (iii) total operating expenses and dividends on preferred stock (GAAP measures).
By providing such measures, in addition to the related GAAP measures, we believe we give greater transparency into the information used by our management in its financial and operational decision-making. We also believe it is important for users of our financial information to consider information related to our current financial performance without the effects of certain measures and one-time events that are not necessarily indicative of our current investment portfolio performance and operations.
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
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gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements. Similarly, 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. 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.
However, because such measures are incomplete measures of our financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP. 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. The selected financial data should be read in conjunction with the more detailed information contained in Item 8. Financial Statements and in this Item 7. 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
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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.Net book value per common share is calculated as total stockholders' equity, less preferred stock liquidation preference, divided by number of common shares outstanding as of period end.
2.Tangible net book value per common share excludes goodwill.
3.Includes net TBA dollar roll position and, if applicable, forward settling securities.
4.The carrying value of our net TBA position represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value on our accompanying consolidated balances sheets.
5.Amount represents the daily weighted average repurchase agreements outstanding for the period used to fund our investment securities and other debt. Amount excludes U.S. Treasury repurchase agreements and TBA contracts. Other debt includes debt of consolidated VIEs.
6.Average stockholders' equity calculated as average month-ended stockholders' equity during the period.
7.Average tangible net book value "at risk" leverage is calculated by dividing the sum of daily weighted average repurchase agreements used to fund our investment securities, other debt, and TBA and forward settling securities (at cost) (collectively "mortgage borrowings") outstanding for the period by the sum of average stockholders' equity adjusted to exclude goodwill for the period. Leverage excludes U.S. Treasury repurchase agreements.
8.Tangible net book value "at risk" leverage as of period end is calculated by dividing the sum of mortgage borrowings outstanding and receivable/payable for unsettled investment securities as of period end by the sum of total stockholders' equity adjusted to exclude goodwill as of period end. Leverage excludes U.S. Treasury repurchase agreements.
9.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
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. 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.Implied interest income from TBA dollar roll transactions is computed as the sum of (i) TBA dollar roll income and (ii) estimated TBA implied funding cost (see Economic Interest Expense and Aggregate Cost of Funds below). TBA dollar roll income represents the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement and is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period. Amount is net of TBAs used for hedging purposes. Amount excludes TBA mark-to-market adjustments.
3.The combined asset yield is calculated on a weighted average basis based on our average investment and TBA balances outstanding during the period and their respective yields.
4.30-year fixed rate mortgage rates are sourced from Optimal Blue. 10-year U.S. Treasury rates are sourced from Bloomberg.
The principal elements impacting our economic interest income are the average size of our investment portfolio and the average yield on our securities. 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
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 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.
Leverage
Our primary measure of leverage is our tangible net book value "at risk" leverage ratio, which is measured as the sum of our repurchase agreements and other debt used to fund our investment securities and net TBA and forward settling securities position (at cost) (together referred to as "mortgage borrowings") and our net receivable/payable for unsettled investment securities, divided by our total stockholders' equity adjusted to exclude goodwill.
We include our net TBA position in our measure of leverage because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. Similarly, a TBA contract for the forward sale of Agency securities has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. (Refer to Liquidity and Capital Resources in this Form 10-K for further discussion of TBA securities and dollar roll transactions). Repurchase agreements used to fund short-term investments in U.S. Treasury securities ("U.S. Treasury Repo") are excluded from our measure of leverage due to the temporary and highly liquid nature of these investments. 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.Other debt includes debt of consolidated VIEs. Amounts exclude U.S. Treasury Repo agreements.
2.Daily average and ending net TBA position outstanding measured at cost. Includes forward settling non-Agency securities.
3.Average tangible net book value "at risk" leverage during the period represents the sum of our daily weighted average repurchase agreements and other debt used to fund acquisitions of investment securities and net TBA and forward settling securities position outstanding, divided by the sum of our average month-ended stockholders' equity, adjusted to exclude goodwill.
4.Tangible net book value "at risk" leverage as of period end represents the sum of our repurchase agreements and other debt used to fund acquisitions of investments securities, net TBA and forward settling securities position (at cost), and net receivable/payable for unsettled investment securities outstanding as of period end, divided by total stockholders' equity, adjusted to exclude goodwill as of period end.
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.Amounts exclude interest rate swap termination fees and variation margin settlements paid or received, forward starting swaps and the impact of other supplemental hedges, such as swaptions and U.S. Treasury positions.
2.Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
3.The implied funding cost (benefit) of TBA dollar roll transactions is determined using the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement and market based assumptions regarding the "cheapest-to-deliver" collateral that can be delivered to satisfy the TBA contract, such as the anticipated collateral’s weighted average coupon, weighted average maturity and projected 1-month CPR. The average implied funding cost (benefit) for all TBA transactions is weighted based on our daily average TBA balance outstanding for the period.
4.The combined cost of funds for total mortgage borrowings outstanding, before interest rate swap periodic income, is calculated on a weighted average basis based on average investment securities repurchase agreements, other debt and TBA securities outstanding during the period and their respective cost of funds.
5.Interest rate swap periodic income is measured as a percent of average mortgage borrowings outstanding for the period.
The principal elements impacting our economic interest expense are (i) the size of our average mortgage borrowings and interest rate swap portfolio outstanding during the period, (ii) the average interest rate on our mortgage borrowings and (iii) the average net interest rate paid/received on our interest rate swaps. 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 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.
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). 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. Forward starting interest rate swaps do not impact our economic interest expense and aggregate cost of funds until they commence accruing net interest settlements on their forward start dates.
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.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.Other interest income (expense), net includes interest income on cash and cash equivalents; price alignment interest income (expense) ("PAI") on interest rate swap margin deposits posted by or (to) the Company; and other miscellaneous interest income (expense).
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.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).
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. Treasury securities - short position
844
(54)
1,482
U.S. Treasury securities - long position
(85)
(30)
(32)
U.S. 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. Our primary sources of liquidity are unencumbered cash and securities, borrowings available under repurchase agreements, TBA dollar roll financing and monthly receipts of principal and interest payments. We may also conduct asset sales, change our asset or funding mix, issue equity or undertake other capital enhancing actions to maintain adequate levels of liquidity and capital resources. There are various risks and uncertainties that can impact our liquidity, such as those described in Item 1A. Risk Factors and Item 7A. Quantitative and Qualitative Disclosures of Market Risks in this Form 10-K. In assessing our liquidity, we consider a number of factors, including our current leverage, collateral levels, access to capital markets, overall market conditions, and the sensitivity of our tangible net book value over a range of scenarios. We believe that we have sufficient liquidity and capital resources available to meet our obligations and execute our business strategy.
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. 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). For additional details of our mortgage borrowings refer to Notes 2, 4 and 5 to our Consolidated Financial Statements in this Form 10-K.
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.Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. Excludes U.S. Treasury repurchase agreements totaling $1.4 billion and $1.5 billion as of December 31, 2024 and 2023, respectively.
2.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. 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 manage our repurchase agreement funding position through a variety of methods, including diversification of counterparties, maintaining a suitable maturity profile and utilization of interest rate hedging strategies. We also use TBA dollar roll transactions as a means of synthetically financing Agency RMBS.
The terms and conditions of our repurchase agreements are determined on a transaction-by-transaction basis when each such borrowing is initiated or renewed and, in the case of GCF Repo, by the prevailing margin requirements calculated by the FICC, which acts as the central counterparty. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an assessed discount, referred to as a "haircut," that reflects the underlying risk of the specific collateral and protects the counterparty against a change in its value. Interest rates are generally fixed based on prevailing rates corresponding to the term of the borrowing. None of our repo counterparties are obligated to renew or otherwise enter into new borrowings at the conclusion of our existing borrowings.
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. TBA dollar roll transactions may also have a lower implied cost of funds than comparable repo funded transactions (referred to as "dollar roll specialness") offering incremental return potential. 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. Each of these elements may fluctuate with changes in interest rates, credit quality and liquidity conditions within the financial markets. To help manage the adverse impact of interest rate changes on our borrowings, we utilize an interest rate risk management strategy involving the use of derivative financial instruments. In particular, we attempt to mitigate the risk of the cost of our short-term funding liabilities increasing at a faster rate than the earnings of our long-term fixed rate assets during a period of rising interest rates.
The collateral requirements, or haircut levels, under our repo agreements are typically determined on an individual transaction basis or by the prevailing requirements established by the FICC for GCF tri-party repo. Consequently, haircut levels and minimum margin requirements can change over time and may increase during periods of elevated market volatility. If the fair value of our collateral declines, our counterparties will typically require that we post additional collateral to re-establish the agreed-upon collateral levels, referred to as "margin calls." Similarly, if the estimated fair value of our investment securities increases, we may request that counterparties release collateral back to us. Our counterparties typically have the sole discretion to determine the value of pledged collateral but are required to act in good faith in making determinations of value. Our agreements generally provide that in the event of a margin call, collateral must be posted on the same business day, subject to notice requirements. As of December 31, 2024, we had met all our margin requirements.
The value of Agency RMBS collateral is impacted by market factors and is reduced by monthly principal pay-downs on the underlying mortgage pools. Fannie Mae and Freddie Mac publish monthly security pay-down factors for their mortgage pools on the fifth day after month-end, but do not remit payment to security holders until generally the 25th day after month-end. Bi-lateral repo counterparties assess margin to account for the reduction in value of Agency collateral when factors are released. 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. Due to the timing difference between associated margin calls and our receipt of principal pay-downs, our liquidity is temporarily reduced each month for principal repayments. We attempt to manage the liquidity risk associated with principal pay-downs by monitoring conditions impacting prepayment rates and through asset selection. 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.
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. We are also subject to daily variation margin requirements based on changes in the value of the derivative instrument and/or collateral pledged. Daily variation margin requirements also entitle us to receive collateral if the value of amounts owed to us under the derivative agreement exceeds the minimum margin requirement. 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 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. 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.
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. 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. 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.
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. We also diversify our funding across multiple counterparties and by region.
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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, 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.
Asset Sales
Agency RMBS securities are among the most liquid fixed income securities, and the TBA market is the second most liquid market (after the U.S. Treasury market). Although market conditions fluctuate, the vitality of these markets enables us to sell assets under most conditions to generate liquidity through direct sales or delivery into TBA contracts, subject to "good delivery" provisions promulgated by the Securities Industry and Financial Markets Association ("SIFMA"). Under certain market conditions, however, we may be unable to realize the full carrying value of our securities. We attempt to manage this risk by maintaining at least a minimum level of securities that trade at or near TBA values that in our estimation enhances our portfolio liquidity across a wide range of market conditions. 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. The availability of equity capital is dependent on market conditions and investor demand for our common and preferred stock. We will typically not issue common stock at times when we believe the capital raised will not be accretive to our tangible net book value or earnings, and we will typically not issue preferred equity when its cost exceeds acceptable hurdle rates of return on our equity. We may also be unable to raise additional equity capital at suitable times or on favorable terms. Furthermore, when the trading price of our common stock is less than our then-current estimate of our tangible net book value per common share, among other conditions, we may repurchase shares of our common stock pursuant to the stock repurchase plan authorized by our Board. Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-K for further details regarding our recent equity capital transactions.
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. 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.
FORWARD-LOOKING STATEMENTS
The statements contained in this Annual Report that are not historical facts, including estimates, projections, beliefs, expectations concerning conditions, events, or the outlook for our business, strategy, performance, operations or the markets or industries in which we operate, are forward-looking statements within the meaning of the Private Securities Litigation Reform Act. 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. Actual results may differ materially from those anticipated in forward-looking statements, as well as from historical performance. 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. 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;
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•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.
Forward-looking statements speak only as of the date made, and we do not assume any duty and do not undertake to update forward-looking statements. A further discussion of risks and uncertainties that could cause actual results to differ from any of our forward-looking statements is included under Item 1A. Risk Factors in Part I of this document. We caution readers not to place undue reliance on our forward-looking statements.
WEBSITE AND SOCIAL MEDIA DISCLOSURE
We use our website (www.AGNC.com) and AGNC’s LinkedIn (www.linkedin.com/company/agnc-investment-corp/) and X (www.x.com/AGNCInvestment) accounts to distribute information about the Company. Investors should monitor these channels in addition to our press releases, filings with the U.S. 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. Investors and others may automatically receive emails and information about AGNC when they sign up for investor alerts on the "Investor Resources" tab of the Investor Relations section of our website.
Item 7A. Quantitative and Qualitative Disclosures about Market Risk
Market risk is the exposure to loss resulting from changes in market factors such as interest rates, foreign currency exchange rates, commodity prices and equity prices. The primary market risks that we are exposed to are interest rate, prepayment, spread, liquidity, extension and credit risks.
Interest Rate Risk
We are subject to interest rate risk in connection with the fixed income nature of our assets and the short-term, variable rate nature of our financing obligations. Our operating results depend in large part on differences between the income earned on our assets and our cost of borrowing and hedging activities. 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. Changes in the level of interest rates can also affect the rate of mortgage prepayments and the value of our assets.
Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political considerations, as well as other factors beyond our control. Subject to maintaining our qualification as a REIT, we engage in a variety of interest rate management techniques to mitigate the influence of interest rate changes on our net interest income and fluctuations of our tangible net book value. The principal instruments that we use to hedge our interest rate risk are interest rate swaps, swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. Our hedging techniques are highly complex and are partly based on assumed levels of prepayments of our assets. If prepayments are slower or faster than assumed, the maturity of our investments will also differ from our expectations, which could reduce the effectiveness of our hedging strategies and may cause losses on such transactions and adversely affect our cash flow.
The severity of potential declines in our tangible net book value due to fluctuations in interest rates would depend on our asset, liability, and hedge composition at the time, as well as the magnitude and duration of the interest rate change. Primary measures of an instrument's price sensitivity to interest rate fluctuations are its duration and convexity. 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
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and decrease when interest rates fall. This "negative convexity" generally increases the interest rate exposure of our investment portfolio in excess of what is measured by duration alone.
We estimate the duration and convexity of our assets using a third-party risk management system and market data. 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. 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.
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. 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.
To the extent that these estimates or other assumptions do not hold true, which may be more likely during periods of elevated market volatility, actual results could differ materially from our projections. Moreover, if different models were employed in the analysis, materially different projections could result. Lastly, while the table below reflects the estimated impact of interest rate changes on a static portfolio, we actively manage our portfolio, and we continuously adjust the size and composition of our asset and hedge portfolio.
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.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.
Prepayment 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. 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. We also amortize or accrete premiums and discounts we pay or receive at purchase relative to the stated principal of our assets into interest income over their projected lives using the effective interest method. 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. 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
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mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.
As of December 31, 2024 and 2023, our investment securities (excluding TBAs) had a weighted average projected CPR of 7.7% and 11.4%, respectively, and a weighted average yield of 4.77% and 4.41%, respectively. The table below presents estimated weighted average projected CPRs and yields for our investment securities should interest rates go up or down instantaneously by 25, 50 and 75 basis points. Estimated yields exclude the impact of retroactive "catch-up" premium amortization adjustments for prior periods due to changes in the projected CPR assumption.
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.Derived from models that are dependent on inputs and assumptions and assumes a static portfolio. Actual results could differ materially from these estimates. Table excludes TBA securities.
2.Asset yield based on historical cost basis and does not include the impact of retroactive "catch-up" premium amortization adjustments due to changes in projected CPR.
Spread Risk
Spread risk is the risk that the market spread between the yield on our assets and the yield on benchmark interest rates linked to our interest rate hedges, such as U.S. Treasury rates and interest rate swap rates, may vary. As a levered investor in mortgage-backed securities, spread risk is an inherent component of our investment strategy. Therefore, although we use hedging instruments to attempt to protect against moves in interest rates, our hedges are generally not designed to protect against spread risk, and our tangible net book value could decline if spreads widen.
Fluctuations in mortgage spreads can occur due to a variety of factors, including changes in interest rates, prepayment expectations, actual or anticipated monetary policy actions by the U.S. and foreign central banks, liquidity conditions, required rates of returns on different assets and other market supply and demand factors. 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 estimated impact of changes in spreads is in addition to our interest rate shock sensitivity included in the interest rate shock table above. 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. Therefore, actual results could differ materially from our estimates.
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%
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________________________________
1.Spread sensitivity is derived from models that are dependent on inputs and assumptions, assumes there are no changes in interest rates 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.
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, which fluctuates with changes in interest rates and liquidity conditions within the commercial banking and mortgage finance industries.
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). However, should the value of our collateral or the value of our derivative instruments suddenly decrease, or margin requirements increase, we may be required to post additional collateral for these arrangements, causing an adverse change in our liquidity position. Furthermore, there is no assurance that we will always be able to renew (or roll) our short-term funding liabilities. 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. 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.
Credit Risk
Our credit sensitive investments, such as CRT and non-Agency securities, expose us to the risk of nonpayment of principal, interest or other remuneration we are contractually entitled to. We are also exposed to credit risk in the event our repurchase agreement counterparties default on their obligations to resell the underlying collateral back to us at the end of the repo term or in the event our derivative counterparties do not perform under the terms of our derivative agreements.
We accept credit exposure related to our credit sensitive assets at levels we deem prudent within the context of our overall investment strategy. We attempt to manage this risk through careful asset selection, pre-acquisition due diligence, post-acquisition performance monitoring, and the sale of assets where we identify negative credit trends. We may also manage credit risk with credit default swaps or other financial derivatives that we believe are appropriate. Additionally, we may vary the mix of our interest rate and credit sensitive assets or our duration gap to adjust our credit exposure and/or improve the return profile of our assets, such as when we believe credit performance is inversely correlated with changes in interest rates. 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. 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.
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Item 8. Financial Statements
Our management is responsible for the accompanying consolidated financial statements and the related financial information. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States and necessarily include certain amounts that are based on estimates and informed judgments. Our management also prepared the related financial information included in this Annual Report on Form 10-K and is responsible for its accuracy and consistency with the consolidated financial statements.
The consolidated financial statements as of December 31, 2024 and 2023 and for fiscal years 2024, 2023 and 2022 have been audited by Ernst & Young LLP, an independent registered public accounting firm, who conducted their audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). The independent registered public accounting firm's responsibility is to express an opinion on these consolidated financial statements based on their audits. For further information refer to the Ernst & Young LLP (PCAOB ID: 42) audit opinion included in this Item 8 of our Annual Report.
Management's Report on Internal Control over Financial Reporting
Our management is responsible for establishing and maintaining adequate internal control over financial reporting as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934. Our internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of consolidated financial statements for external purposes in accordance with generally accepted accounting principles. Our internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of our assets; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures are being made only in accordance with authorizations of our management and Board of Directors; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of our assets that could have a material effect on the consolidated financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
Management assessed the effectiveness of our internal control over financial reporting as of December 31, 2024, utilizing the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its Internal Control-Integrated Framework (2013 framework). Based on this assessment and those criteria, management determined that our internal control over financial reporting was effective as of December 31, 2024. The effectiveness of our internal control over financial reporting as of December 31, 2024 has been audited by Ernst & Young LLP, our independent registered public accounting firm, as stated in their attestation report included in this Form 10-K.
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Report of Independent Registered Public Accounting Firm
To the Stockholders and the Board of Directors of AGNC Investment Corp.
Opinion on Internal Control over Financial Reporting
We have audited AGNC Investment Corp.’s internal control over financial reporting as of December 31, 2024, based on criteria established in Internal Control Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (2013 framework) (the COSO criteria). In our opinion, AGNC Investment Corp. (the Company) maintained, in all material respects, effective internal control over financial reporting as of December 31, 2024, based onthe COSO criteria.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated balance sheets of the Company as of December 31, 2024 and 2023, the related consolidated statements of comprehensive income, stockholders’ equity, and cash flows for each of the three years in the period ended December 31, 2024, and the related notes, and our report dated February 21, 2025 expressed an unqualified opinion thereon.
Basis for Opinion
The Company’s management is responsible for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting included in the accompanying Management’s Report on Internal Control over Financial Reporting. Our responsibility is to express an opinion on the Company’s internal control over financial reporting based on our audit. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects.
Our audit included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, testing and evaluating the design and operating effectiveness of internal control based on the assessed risk, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.
Definition and Limitations of Internal Control Over Financial Reporting
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
/s/ Ernst & Young LLP
Tysons, Virginia
February 21, 2025
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Report of Independent Registered Public Accounting Firm
To the Stockholders and the Board of Directors of AGNC Investment Corp.
Opinion on the Financial Statements
We have audited the accompanying consolidated balance sheets of AGNC Investment Corp. (the Company) as of December 31, 2024 and 2023, the related consolidated statements of comprehensive income, stockholders' equity, and cash flows for each of the three years in the period ended December 31, 2024, and the related notes (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Company at December 31, 2024 and 2023, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2024, in conformity with U.S. generally accepted accounting principles.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the Company’s internal control over financial reporting as of December 31, 2024, based on criteria established in Internal Control-Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (2013 framework) and our report dated February 21, 2025 expressed an unqualified opinion thereon.
Basis for Opinion
These financial statements are the responsibility of the Company's management. Our responsibility is to express an opinion on the Company's financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
Critical Audit Matter
The critical audit matter communicated below is a matter arising from the current period audit of the financial statements that was communicated or required to be communicated to the audit committee and that: (1) relates to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective or complex judgments. The communication of the critical audit matter does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates.
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Agency securities and non-agency securities of high credit quality net premium amortization
Description of the Matter
As of December 31, 2024, the Company’s investment securities had a net unamortized premium balance of $1.0 billion, including interest and principal-only securities, and it recorded $123 million of net premium amortization for the year then ended. As explained in Note 2 to the financial statements, premiums or discounts associated with the purchase of Agency residential mortgage-backed securities (“Agency RMBS") and non-Agency mortgage-backed securities of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method. The effective yield on the Company’s Agency RMBS and non-Agency mortgage-backed securities of high credit quality is highly impacted by the Company’s estimate of future prepayments. The Company estimates long-term prepayment speeds of such securities using a third-party service provider and market data. The third-party service provider estimates long-term prepayment speeds using a prepayment model that incorporates the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors.
Auditing the Company's estimation of long-term prepayment speeds used for the amortization of premiums and accretion of discounts is subjective due to the significant judgments and estimates required by management and the third-party service provider, as inputs into prepayment models are prone to fluctuation based on changing macroeconomic conditions.
How We Addressed the Matter in Our Audit
We obtained an understanding, evaluated the design and tested the operating effectiveness of internal controls over the estimation of long-term prepayment speeds, including management’s review of the estimated prepayment speeds provided by the third-party service provider. Our audit procedures included, among others, performing comparative analyses between the Company’s long-term prepayment speed estimates and long-term prepayment speed estimates data from independent third-party sources, reconciling the Company’s estimates of long-term prepayment speeds to source prepayment speeds data provided by management’s third-party service provider, evaluating the competency and objectivity of management’s third-party service provider, and identifying potential sources of contrary information, with the assistance of an internal valuation specialist.
/s/ Ernst & Young LLP
We have served as the Company’s auditor since 2008.
Tysons, Virginia
February 21, 2025
50
AGNC INVESTMENT CORP.
CONSOLIDATED BALANCE SHEETS
(in millions, except per share data)
December 31,
2024
2023
Assets:
Agency securities, at fair value (including pledged securities of $59,952 and $49,575, respectively)
$
65,367
$
53,673
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)
97
121
Credit risk transfer securities, at fair value (including pledged securities of $590 and $678, respectively)
633
723
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $206 and $262, respectively)
315
351
U.S. Treasury securities, at fair value (including pledged securities of $1,565 and $1,530, respectively)
1,575
1,540
Cash and cash equivalents
505
518
Restricted cash
1,266
1,253
Derivative assets, at fair value
205
185
Receivable under reverse repurchase agreements
17,137
11,618
Goodwill
526
526
Other assets
389
1,088
Total assets
$
88,015
$
71,596
Liabilities:
Repurchase agreements
$
60,798
$
50,426
Debt of consolidated variable interest entities, at fair value
64
80
Payable for investment securities purchased
74
210
Derivative liabilities, at fair value
94
362
Dividends payable
143
115
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
16,676
10,894
Other liabilities
404
1,252
Total liabilities
78,253
63,339
Stockholders' equity:
Preferred Stock - aggregate liquidation preference of $1,688
1,634
1,634
Common stock - $0.01 par value; 1,500 shares authorized; 897.4 and 694.3 shares issued and outstanding, respectively
9
7
Additional paid-in capital
17,264
15,281
Retained deficit
(8,554)
(8,148)
Accumulated other comprehensive loss
(591)
(517)
Total stockholders' equity
9,762
8,257
Total liabilities and stockholders' equity
$
88,015
$
71,596
See accompanying notes to consolidated financial statements.
51
AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(in millions, except per share data)
Year Ended December 31,
2024
2023
2022
Interest income:
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:
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 investments, net
2,028
386
4,630
Total other gain (loss), net:
955
497
(2,081)
Expenses:
Compensation and benefits
74
62
41
Other operating expense
36
34
33
Total operating expense
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)
Unrealized gain (loss) on investment securities measured at fair value through 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)
See accompanying notes to consolidated financial statements.
52
AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
(in millions)
Preferred Stock
Common Stock
Additional Paid-in Capital
Retained Deficit
Accumulated Other Comprehensive Income (Loss)
Total
Shares
Amount
Balance, December 31, 2021
$
1,489
522.2
$
5
$
13,710
$
(5,214)
$
301
$
10,291
Net loss
—
—
—
—
(1,190)
—
(1,190)
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net
—
—
—
—
—
(973)
(973)
Stock-based compensation, net
—
1.1
—
2
—
—
2
Issuance of preferred stock
145
—
—
—
—
—
145
Issuance of common stock
—
56.0
1
525
—
—
526
Repurchase of common stock
—
(4.7)
—
(51)
—
—
(51)
Preferred dividends declared
—
—
—
—
(105)
—
(105)
Common dividends declared
—
—
—
—
(775)
—
(775)
Balance, December 31, 2022
$
1,634
574.6
$
6
$
14,186
$
(7,284)
$
(672)
$
7,870
Net income
—
—
—
—
155
—
155
Other comprehensive income:
Unrealized gain on available-for-sale securities, net
—
—
—
—
—
155
155
Stock-based compensation, net
—
0.9
—
11
—
—
11
Issuance of common stock
—
118.8
1
1,084
—
—
1,085
Preferred dividends declared
—
—
—
—
(123)
—
(123)
Common dividends declared
—
—
—
—
(896)
—
(896)
Balance, December 31, 2023
$
1,634
694.3
$
7
$
15,281
$
(8,148)
$
(517)
$
8,257
Net income
—
—
—
—
863
—
863
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net
—
—
—
—
—
(74)
(74)
Stock-based compensation, net
—
1.0
—
18
—
—
18
Issuance of common stock
—
202.1
2
1,965
—
—
1,967
Preferred dividends declared
—
—
—
—
(132)
—
(132)
Common dividends declared
—
—
—
—
(1,137)
—
(1,137)
Balance, December 31, 2024
$
1,634
897.4
$
9
$
17,264
$
(8,554)
$
(591)
$
9,762
See accompanying notes to consolidated financial statements.
53
AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(in millions)
Year Ended December 31,
2024
2023
2022
Operating activities:
Net income (loss)
$
863
$
155
$
(1,190)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net
123
201
13
Stock-based compensation, net
18
11
2
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)
(Increase) decrease in other assets
738
(892)
38
Increase (decrease) in other liabilities
(701)
904
69
Net cash provided by (used in) operating activities
86
(118)
1,013
Investing activities:
Purchases of Agency mortgage-backed securities
(41,762)
(32,216)
(26,842)
Purchases of credit risk transfer and non-Agency securities and other mortgage credit investments
(251)
(364)
(1,173)
Proceeds from sale of Agency mortgage-backed securities
22,825
13,608
25,978
Proceeds from sale of credit risk transfer and non-Agency securities
286
732
1,199
Principal collections on Agency mortgage-backed securities
5,832
4,327
6,525
Principal collections on credit risk transfer and non-Agency securities
121
68
209
Payments on U.S. Treasury securities
(18,831)
(30,535)
(27,494)
Proceeds from U.S. Treasury securities
24,601
33,229
25,878
Net proceeds from (payments on) reverse repurchase agreements
(4,793)
(4,510)
4,001
Net proceeds from derivative instruments
803
989
2,907
Net cash provided by (used in) investing activities
(11,169)
(14,672)
11,188
Financing activities:
Proceeds from repurchase arrangements
5,600,336
3,282,218
2,360,328
Payments on repurchase agreements
(5,589,964)
(3,268,054)
(2,371,447)
Payments on debt of consolidated variable interest entities
(15)
(17)
(24)
Net proceeds from preferred stock issuances
—
—
145
Net proceeds from common stock issuances
1,967
1,085
526
Payments for common stock repurchases
—
—
(51)
Cash dividends paid
(1,241)
(1,005)
(869)
Net cash provided by (used in) financing activities
11,083
14,227
(11,392)
Net change in cash, cash equivalents and restricted cash
—
(563)
809
Cash, cash equivalents and restricted cash at beginning of period
1,771
2,334
1,525
Cash, cash equivalents and restricted cash at end of period
$
1,771
$
1,771
$
2,334
Reconciliation of cash, cash equivalents and restricted cash end of period:
Cash and cash equivalents
$
505
$
518
$
1,018
Restricted cash
1,266
1,253
1,316
Total cash, cash equivalents and restricted cash, end of period
$
1,771
$
1,771
$
2,334
Supplemental disclosure to cash flow information:
Interest paid
$
2,899
$
2,246
$
557
See accompanying notes to consolidated financial statements.
54
AGNC INVESTMENT CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1. Organization
AGNC Investment Corp. (referred throughout this report as the "Company," "we," "us" and "our") was organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC."
We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency residential mortgage-backed securities ("Agency RMBS") for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise ("GSE") or a U.S. Government agency. We also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency, and other assets related to the housing, mortgage or real estate markets. We fund our investments primarily through collateralized borrowings structured as repurchase agreements.
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"). As a REIT, we are required to distribute annually 90% of our taxable income, and we will generally not be subject to U.S. federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100% of our taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year.
We are internally managed with the principal objective of generating favorable long-term stockholder returns with a substantial yield component. We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities.
Note 2. Summary of Significant Accounting Policies
Basis of Presentation and Consolidation
Our consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). Our consolidated financial statements include the accounts of all subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the period reported. Actual results could differ from those estimates.
Investment Securities
Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").
CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.
Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, over-collateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS.
55
All of our securities are reported at fair value on our consolidated balance sheet. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities, requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for securities pursuant to ASC Topic 825, Financial Instruments. Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"), whereas unrealized gains and losses on securities for which we elected the fair value option, or are classified as trading, are reported in net income through other gain (loss). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments.
We generally recognize gains or losses through net income on available-for-sale securities only if the security is sold; however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair value in net income as a component of other gain (loss). We did not recognize any loss on available for sale securities through net income that we held as of December 31, 2024 because, as of such date, we neither intended to sell any securities in an unrealized loss position nor was it more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. Since all of our available-for-sale designated securities consist of Agency RMBS, we do not have an allowance for credit losses. We have not recognized impairment losses on our available-for-sale securities through net income for the periods presented in our consolidated financial statements.
Interest Income
Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments, using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs.
We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, primary to secondary mortgage rate spreads, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service for reasonableness with consideration given to both historical prepayment speeds and current market conditions. If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape we may make adjustments to the models. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date through the reporting date.
At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates, collateral call provisions, and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment adjusted for credit impairments, if any.
Repurchase Agreements
We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with our lending counterparties. Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the securities at a future date. We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement
56
and we receive the related principal and interest payments. Pursuant to ASC Topic 860, Transfers and Servicing, we account for repurchase agreements as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year.
Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements
We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less.
Derivative Instruments
We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS.
We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Net cash receipts from and payments on our derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section.
Interest rate swap agreements
We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the Secured Overnight Financing Rate ("SOFR") and Overnight Index Swap Rate ("OIS"). Our interest rate swaps typically have terms from one to 10 years. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange. The initial margin amount is intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability.
Interest rate swaptions
We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our interest rate swaption agreements are not subject to central clearing. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium
57
paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid.
TBA securities
A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent of interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing.
We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions.
U.S. Treasury securities and US Treasury futures contracts
We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We enter into short-sales of U.S. Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying U.S. Treasury security as of the reporting date. Treasury futures contracts are standardized contracts that obligate us to sell or buy U.S. Treasury securities for future delivery. Gains and losses associated with U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Fair Value Measurements
We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date. We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement.
The three levels of valuation hierarchy are defined as follows:
•Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.
•Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
•Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.
The majority of our financial instruments are classified as Level 2 inputs. The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. We typically obtain price estimates from multiple third-party pricing sources, such as pricing services and dealers, or, if applicable, from the registered clearing exchange. We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity. We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities and for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation procedures and our market knowledge and expertise that the price is significantly different from what observable market data
58
would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price.
The following is a description of the valuation methodologies used for financial instruments measured at fair value on a recurring basis classified as Level 2 inputs. These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of these markets and the similarity of our instruments to those actively traded enable our pricing sources and us to utilize the observed quoted prices as a basis for formulating fair value measurements.
Investment securities - are valued based on prices obtained from multiple third-party pricing sources. The pricing sources utilize various valuation approaches, including market and income approaches. For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for TBA securities having the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.
TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.
Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.
Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any.
U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs.
Consolidated Variable Interest Entities
ASC Topic 810, Consolidation ("ASC 810"), requires an enterprise to consolidate a variable interest entity ("VIE") if it is deemed the primary beneficiary of the VIE. As of December 31, 2024 and 2023, our consolidated financial statements reflect the consolidation of certain VIEs for which we have determined we are the primary beneficiary. The consolidated VIEs consist of CMO trusts backed by fixed or adjustable-rate Agency RMBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with the CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac.
Cash and Cash Equivalents
Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis.
Restricted Cash
Restricted cash includes cash pledged as collateral for clearing and executing trades, repurchase agreements, and interest rate swaps and other derivative instruments.
Goodwill
Goodwill is the cost of an acquisition in excess of the fair value of identified assets acquired and liabilities assumed and is recognized as an asset on our consolidated balance sheets. As of December 31, 2024 and 2023, we had $526 million of goodwill related to our acquisition of AGNC Management, LLC, our former manager, on July 1, 2016. Goodwill is not subject to amortization but must be tested for impairment at least annually and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative analysis requires that we compare the carrying value of the
59
identified reporting unit comprising the goodwill to the reporting unit's fair value. If the reporting unit's carrying value is greater than its fair value, an impairment charge is recognized to the extent the carrying amount of the reporting unit exceeds its fair value. During the three fiscal years ended December 31, 2024, we did not recognize a goodwill impairment charge.
Stock-Based Compensation
Under our Amended and Restated AGNC Investment Corp. 2016 Equity and Incentive Compensation Plan (the "2016 Equity Plan" or "the Plan"), we may grant equity-based compensation to our officers and other employees and non-employee directors for the purpose of providing incentives and rewards for service or performance. Stock-based awards issued under the Plan include time-based and performance-based restricted stock unit awards ("RSU" and "PSU" awards, respectively), but may include other forms of equity-based compensation. RSU and PSU awards are an agreement to issue an equivalent number of shares of our common stock, plus any equivalent shares for dividends declared on our common stock, at the time the award vests, or later if distribution of such shares has been deferred beyond the vesting date. RSU awards vest over a specified service period. PSU awards vest over a specified service period subject to achieving long-term performance criteria.
We measure and recognize compensation expense for all stock-based payment awards made to employees and non-employee directors based on their fair values. We value RSU and PSU awards based on the fair value of our common stock on the date of grant. Compensation expense is recognized over each award’s respective service period. For PSU awards, we estimate the probability that the performance criteria will be achieved and recognize expense only for those awards expected to vest. We reevaluate our estimates each reporting period and recognize a cumulative effect adjustment to expense if our estimates change from the prior period. We do not estimate forfeiture rates; rather, we adjust for forfeitures in the periods in which they occur.
Shares underlying RSU and PSU awards are issued when the awards vest, or later if distribution of such shares has been deferred beyond the vest date. Shares issued are net of shares withheld to cover minimum statutory tax withholding obligations. The fair value of shares withheld for tax withholdings is recorded as a reduction to additional paid-in capital.
Recent Accounting Pronouncements
We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption.
Note 3. Investment Securities
As of December 31, 2024 and 2023, our investment portfolio consisted of $66.3 billion and $54.8 billion investment securities, at fair value, respectively, $6.9 billion and $5.4 billion net TBA securities, 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. Our TBA position is reported at its net carrying value totaling $(26) million and $66 million as of December 31, 2024 and 2023, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying security and the cost basis or the forward price to be paid or received for the underlying security.
As of December 31, 2024 and 2023, our investment securities had a net unamortized premium balance of $1.0 billion and $1.2 billion, respectively.
60
The following tables summarize our investment securities as of December 31, 2024 and 2023, excluding TBA securities and other mortgage credit investments (dollars in millions). Details of our TBA securities are included in Note 5.
December 31, 2024
December 31, 2023
Investment Securities
Amortized Cost
Fair Value
Amortized Cost
Fair Value
Agency RMBS:
Fixed rate
$
67,139
$
64,049
$
55,289
$
53,161
Adjustable rate
796
790
293
290
CMO
102
96
127
120
Interest-only and principal-only strips
60
53
67
61
Multifamily
485
476
161
162
Total Agency RMBS
68,582
65,464
55,937
53,794
Non-Agency RMBS 1
17
15
43
34
CMBS
264
236
303
273
CRT securities
583
633
682
723
Total investment securities
$
69,446
$
66,348
$
56,965
$
54,824
December 31, 2024
December 31, 2023
Non-Agency 1
Non-Agency 1
Investment Securities
Agency RMBS
RMBS
CMBS
CRT
Total
Agency RMBS
RMBS
CMBS
CRT
Total
Available-for-sale securities:
Par value 2
$
4,447
$
—
$
—
$
—
$
4,447
$
5,034
$
—
$
—
$
—
$
5,034
Unamortized discount
(1)
—
—
—
(1)
(1)
—
—
—
(1)
Unamortized premium
265
—
—
—
265
300
—
—
—
300
Amortized cost
4,711
—
—
—
4,711
5,333
—
—
—
5,333
Gross unrealized gains
—
—
—
—
—
—
—
—
—
—
Gross unrealized losses
(591)
—
—
—
(591)
(517)
—
—
—
(517)
Total available-for-sale securities, at fair value
4,120
—
—
—
4,120
4,816
—
—
—
4,816
Securities remeasured at fair value through earnings:
Par value 2
63,119
19
270
576
63,984
49,696
44
307
679
50,726
Unamortized discount
(374)
(3)
(8)
(11)
(396)
(170)
(3)
(7)
(9)
(189)
Unamortized premium
1,126
1
2
18
1,147
1,078
2
3
12
1,095
Amortized cost
63,871
17
264
583
64,735
50,604
43
303
682
51,632
Gross unrealized gains
93
—
4
50
147
282
—
2
41
325
Gross unrealized losses
(2,620)
(2)
(32)
—
(2,654)
(1,908)
(9)
(32)
—
(1,949)
Total securities remeasured at fair value through earnings
61,344
15
236
633
62,228
48,978
34
273
723
50,008
Total securities, at fair value
$
65,464
$
15
$
236
$
633
$
66,348
$
53,794
$
34
$
273
$
723
$
54,824
________________________________
1.Non-Agency amounts exclude other mortgage credit investments of $64 million and $44 million as of December 31, 2024 and 2023, respectively.
2.Par value excludes interest-only securities. As of December 31, 2024 and 2023, Agency RMBS interest-only securities had a par value of $307 million and $336 million, respectively, and non-Agency interest-only securities had a par value of $93 million and $98 million, respectively.
61
The following table presents the Company's Agency RMBS portfolio by issuing GSE or U.S. Government agency at fair value as of December 31, 2024 and 2023 (in millions):
December 31,
Investment Type
2024
2023
Fannie Mae
$
35,220
$
33,119
Freddie Mac
30,216
20,393
Ginnie Mae
28
282
Total
$
65,464
$
53,794
As of December 31, 2024 and 2023, our investments in CRT and non-Agency securities had the following credit ratings (in millions):
December 31, 2024
December 31, 2023
CRT and Non-Agency Security Credit Ratings 1
CRT
RMBS 2
CMBS
CRT
RMBS 2
CMBS
AAA
$
—
$
1
$
16
$
—
$
1
$
9
AA
8
—
35
—
—
31
A
—
—
31
—
—
25
BBB
6
1
22
144
14
44
BB
87
1
51
137
7
81
B
27
—
43
39
2
55
Not Rated
505
12
38
403
10
28
Total
$
633
$
15
$
236
$
723
$
34
$
273
________________________________
1.Represents the lowest of Standard and Poor's ("S&P"), Moody's, Fitch, DBRS, Kroll Bond Rating Agency ("KBRA") and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date.
2.RMBS excludes other mortgage credit investments of $64 million and $44 million as of December 31, 2024 and 2023, respectively.
Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards.
The actual maturities of our investment securities are generally shorter than their stated contractual maturities. The actual maturities of our Agency and high credit quality non-Agency RMBS are primarily affected by principal prepayments and to a lesser degree the contractual lives of the underlying mortgages and periodic contractual principal repayments. The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates. As of December 31, 2024 and 2023, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 7.7% and 11.4%, respectively. Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs. The following table summarizes our investments as of December 31, 2024 and 2023 according to their estimated weighted average life classification (dollars in millions):
December 31, 2024
December 31, 2023
Estimated Weighted Average Life of Investment Securities 1
Fair Value
Amortized Cost
Weighted Average Coupon
Weighted Average Yield
Fair Value
Amortized Cost
Weighted Average Coupon
Weighted Average Yield
≤ 3 years
$
539
$
530
7.37%
8.06%
$
942
$
961
6.57%
5.93%
> 3 years and ≤ 5 years
2,026
2,066
5.96%
5.48%
10,381
10,331
5.94%
5.52%
> 5 years and ≤10 years
56,551
59,479
4.97%
4.66%
40,895
42,988
4.55%
4.10%
> 10 years
7,232
7,371
5.14%
5.24%
2,606
2,685
4.77%
4.63%
Total
$
66,348
$
69,446
5.03%
4.77%
$
54,824
$
56,965
4.85%
4.41%
________________________________
1.Table excludes other mortgage credit investments of $64 million and $44 million as of December 31, 2024 and 2023, respectively.
The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2024 and 2023 (in millions):
62
Unrealized Loss Position For
Less than 12 Months
12 Months or More
Total
Securities Classified as Available-for-Sale
Fair Value
Unrealized Loss
Fair Value
Unrealized Loss
Fair Value
Unrealized Loss
December 31, 2024
$
—
$
—
$
4,104
$
(591)
$
4,104
$
(591)
December 31, 2023
$
—
$
—
$
4,797
$
(517)
$
4,797
$
(517)
Gains and Losses on Sale of Investment Securities
The following table is a summary of our net gain (loss) from the sale of investment securities for fiscal years 2024, 2023 and 2022 by investment classification of accounting (in millions):
Fiscal Year 2024
Fiscal Year 2023
Fiscal Year 2022
Investment Securities
Available-for-Sale
Securities 2,3
Fair Value Option Securities
Total
Available-for-Sale
Securities 2,3
Fair Value Option Securities
Total
Available-for-Sale
Securities 2,3
Fair Value Option Securities
Total
Investment securities sold, at cost
$
—
$
(23,299)
$
(23,299)
$
(524)
$
(15,263)
$
(15,787)
$
(786)
$
(29,427)
$
(30,213)
Proceeds from investment securities sold 1
—
23,111
23,111
461
13,759
14,220
744
26,553
27,297
Net gain (loss) on sale of investment securities
$
—
$
(188)
$
(188)
$
(63)
$
(1,504)
$
(1,567)
$
(42)
$
(2,874)
$
(2,916)
Gross gain on sale of investment securities
$
—
$
164
$
164
$
—
$
19
$
19
$
2
$
10
$
12
Gross loss on sale of investment securities
—
(352)
(352)
(63)
(1,523)
(1,586)
(44)
(2,884)
(2,928)
Net gain (loss) on sale of investment securities
$
—
$
(188)
$
(188)
$
(63)
$
(1,504)
$
(1,567)
$
(42)
$
(2,874)
$
(2,916)
________________________________
1.Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.
2.See Note 9 for a summary of changes in accumulated OCI.
3.During fiscal years 2024, 2023 and 2022, we received principal repayments on available-for-sale securities of $0.6 billion, $0.7 billion and $1.5 billion, respectively.
Note 4. Repurchase Agreements and Reverse Repurchase Agreements
Repurchase Agreements
We pledge our securities as collateral under our borrowings structured as repurchase agreements with financial institutions. Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of December 31, 2024, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6.
As of December 31, 2024 and 2023, we had $60.8 billion and $50.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S. Treasury securities. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis or subject to a tri-party repo agreement. The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of December 31, 2024 and 2023 (dollars in millions):
63
December 31, 2024
December 31, 2023
Remaining Maturity
Repurchase Agreements
Weighted Average Interest Rate
Weighted Average Days to Maturity
Repurchase Agreements
Weighted Average Interest Rate
Weighted Average Days to Maturity
Investment Securities Repo
≤ 1 month
$
55,580
4.77
%
10
$
40,946
5.61
%
11
> 1 to ≤ 3 months
3,782
4.68
%
39
7,933
5.55
%
64
Investment Securities Repo
59,362
4.76
%
11
48,879
5.60
%
19
U.S. Treasury Repo:
≤ 1 month
1,436
4.68
%
2
1,547
5.54
%
2
Total
$
60,798
4.76
%
11
$
50,426
5.60
%
19
As of December 31, 2024 and 2023, $25.4 billion and $16.7 billion, respectively, of our investment securities repurchase agreements and all of our U.S. Treasury repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand. As of December 31, 2024, we had $17.3 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 2 days and a weighted average interest rate of 4.61%. As of December 31, 2023, we had $8.8 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 4 days and a weighted average interest rate of 5.54%. As of December 31, 2024 and 2023, 50% and 48%, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 47% and 43% of our repurchase agreement funding outstanding as of December 31, 2024 and 2023, respectively.
Reverse Repurchase Agreements
As of December 31, 2024 and 2023, we had $17.1 billion and $11.6 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S. Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $16.7 billion and $10.9 billion, respectively. As of December 31, 2024 and 2023, $3.9 billion and $3.1 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.
Note 5. Derivative and Other Hedging Instruments
For the periods presented, our interest rate based hedges primarily consisted of interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We also utilized forward contracts, primarily consisting of TBA securities, for the purchase and sale of investment securities. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 2.
64
Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of December 31, 2024 and 2023 (in millions):
Derivative and Other Hedging Instruments
Balance Sheet Location
2024
2023
Interest rate swaps 1
Derivative assets, at fair value
$
22
$
15
Swaptions
Derivative assets, at fair value
39
89
TBA and forward settling non-Agency securities
Derivative assets, at fair value
61
81
U.S. Treasury futures - short
Derivative assets, at fair value
83
—
SOFR futures contracts - long
Derivative assets, at fair value
—
—
Total derivative assets, at fair value
$
205
$
185
Interest rate swaps 1
Derivative liabilities, at fair value
$
—
$
(1)
TBA and forward settling non-Agency securities
Derivative liabilities, at fair value
(87)
(15)
U.S. Treasury futures - short
Derivative liabilities, at fair value
—
(336)
SOFR futures contracts - long
Derivative liabilities, at fair value
(7)
(10)
Credit default swaps 1
Derivative liabilities, at fair value
—
—
Total derivative liabilities, at fair value
$
(94)
$
(362)
U.S. Treasury securities - long
U.S. Treasury securities, at fair value
$
1,575
$
1,540
U.S. Treasury securities - short
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
(16,676)
(10,894)
Total U.S. Treasury securities, net at fair value
$
(15,101)
$
(9,354)
________________________________
1.As of December 31, 2024 and 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $2.3 billion and $2.9 billion, respectively. As of December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was a net asset (liability) of $(6) million.
The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of December 31, 2024 and 2023 (dollars in millions):
Pay Fixed / Receive Variable Interest Rate Swaps
December 31, 2024
December 31, 2023
Years to Maturity
Notional Amount
Average Fixed Pay Rate
Average
Variable Receive
Rate 1
Average Maturity (Years)
Notional Amount
Average Fixed Pay Rate
Average
Variable Receive
Rate 1
Average Maturity (Years)
≤ 1 year
$
8,500
0.14%
4.42%
0.5
$
13,750
0.14%
5.37%
0.4
> 1 to ≤ 3 years
10,550
0.22%
4.45%
1.8
15,800
0.17%
5.36%
2.0
> 3 to ≤ 5 years
3,800
0.25%
4.49%
3.9
5,800
0.24%
5.38%
3.9
> 5 to ≤ 7 years
4,150
2.14%
4.46%
5.7
3,900
0.92%
5.37%
6.2
> 7 to ≤ 10 years
12,646
3.52%
4.49%
8.8
5,226
3.06%
5.38%
9.2
Total
$
39,646
1.46%
4.46%
4.4
$
44,476
0.57%
5.37%
3.0
________________________________
1.As of December 31, 2024, 82% and 18% of notional amount receive index references SOFR and OIS, respectively. As of December 31, 2023, 80% and 20% of notional amount receive index references SOFR and OIS, respectively.
65
Receive Fixed / Pay Variable Interest Rate Swaps
December 31, 2024
December 31, 2023
Years to Maturity
Notional Amount
Average
Variable Pay
Rate 1
Average Fixed Receive Rate
Average Maturity (Years)
Notional Amount
Average
Variable Pay
Rate 1
Average Fixed Receive Rate
Average Maturity (Years)
> 1 to ≤ 3 years
$
—
—%
—%
0.0
$
(1,000)
5.38%
4.65%
1.5
________________________________
1.Pay index references SOFR.
Payer Swaptions
Option
Underlying Payer Swap
Option Expiration Date
Cost Basis
Fair Value
Average Months to Option Expiration Date
Notional Amount
Average Fixed Pay
Rate 1
Average Term (Years)
December 31, 2024
≤ 1 year
$
23
$
38
5
$
2,000
4.16%
10.0
December 31, 2023
≤ 1 year
$
28
$
86
5
$
1,250
2.61%
10.0
________________________________
1.Receive index references SOFR.
Receiver Swaptions
Option
Underlying Receiver Swap
Option Expiration Date
Cost Basis
Fair Value
Average Months to Option Expiration Date
Notional Amount
Average Fixed Receive
Rate 1
Average Term (Years)
December 31, 2024
≤ 1 year
$
3
$
1
11
$
150
2.98%
5.0
December 31, 2023
≤ 1 year
$
3
$
3
24
$
150
2.98%
5.0
________________________________
1.Pay index references SOFR.
U.S. Treasury Securities 1
December 31, 2024
December 31, 2023
Years to Maturity
Face Amount Long/(Short)
Cost Basis
Fair Value
Face Amount Long/(Short)
Cost Basis
Fair Value
≤ 5 years
$
956
$
961
$
956
$
1,408
$
1,419
$
1,454
> 5 year ≤ 7 years
(2,722)
(2,685)
(2,302)
(818)
(821)
(703)
> 7 year ≤ 10 years
(12,659)
(12,329)
(11,999)
(8,649)
(8,277)
(8,187)
> 10 years
(1,782)
(1,829)
(1,756)
(1,796)
(1,796)
(1,918)
Total U.S. Treasury securities
$
(16,207)
$
(15,882)
$
(15,101)
$
(9,855)
$
(9,475)
$
(9,354)
________________________________
1.As of December 31, 2024 and 2023, short U.S. Treasury securities totaling $(16.7) billion and $(10.9) billion, at fair value, respectively, had a weighted average yield of 3.85% and 3.64%, respectively. As of December 31, 2024 and 2023, long U.S. Treasury securities totaling $1.6 billion and $1.5 billion, at fair value, respectively, had a weighted average yield of 4.27% and 4.39%, respectively.
U.S. Treasury Futures
December 31, 2024
December 31, 2023
Years to Maturity
Notional Amount Long (Short)
Cost Basis
Fair Value
Net Carrying Value 1
Notional Amount Long (Short)
Cost Basis
Fair Value
Net Carrying Value 1
> 5 year ≤ 7 years
$
(1,582)
$
(1,734)
$
(1,721)
$
13
$
(2,714)
$
(2,961)
$
(3,064)
$
(103)
> 7 year ≤ 10 years
(500)
(566)
(557)
9
(2,924)
(3,294)
(3,451)
(157)
> 10 years
(2,291)
(2,669)
(2,608)
61
(791)
(913)
(989)
(76)
Total U.S. Treasury futures
$
(4,373)
$
(4,969)
$
(4,886)
$
83
$
(6,429)
$
(7,168)
$
(7,504)
$
(336)
________________________________
1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
66
December 31, 2024
December 31, 2023
TBA Securities by Coupon
Notional Amount Long (Short)
Cost Basis
Fair Value
Net Carrying Value 1
Notional Amount Long (Short)
Cost Basis
Fair Value
Net Carrying Value 1
15-Year TBA securities:
≥ 5.0%
$
—
$
—
$
—
$
—
$
90
$
89
$
91
$
2
Total 15-Year TBA securities
—
—
—
—
90
89
91
2
30-Year TBA securities:
≤ 3.0%
(586)
(504)
(497)
7
(29)
(24)
(25)
(1)
3.5%
—
2
—
(2)
—
—
—
—
4.0%
122
112
111
(1)
—
—
—
—
4.5%
2,342
2,210
2,204
(6)
363
343
352
9
5.0%
2,780
2,703
2,700
(3)
1,717
1,704
1,704
—
5.5%
(235)
(180)
(210)
(30)
2,034
2,014
2,047
33
6.0%
2,033
2,036
2,044
8
20
10
21
11
≥ 6.5%
499
508
509
1
1,137
1,152
1,164
12
Total 30-Year TBA securities, net
6,955
6,887
6,861
(26)
5,242
5,199
5,263
64
Total TBA securities, net
$
6,955
$
6,887
$
6,861
$
(26)
$
5,332
$
5,288
$
5,354
$
66
________________________________
1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
As of December 31, 2024 and 2023, we held SOFR futures contracts with a long notional position of $1.2 billion and $0.9 billion, respectively, measured on a two-year swap equivalent basis, with a net carrying value of $(7) million and $(10) million, respectively.
As of December 31, 2023, we held centrally cleared credit default swaps ("CDS") with a notional value of $95 million that referenced the Markit CDX Investment Grade or High Yield Grade Index, maturing in December 2028. Under the terms of these contracts, we made fixed periodic payments equal to 1% per annum of the notional value and we were entitled to receive payments in the event of qualifying credit events. As of December 31, 2023, the credit default swaps had a market value of $(6) million and a carrying value of zero dollars, net of variation margin settlements. Pursuant to rules governing central clearing activities, we recognized variation margin settlements as a direct reduction of the carrying value of the CDS asset or liability.
Gain (Loss) From Derivative Instruments and Other Securities, Net
The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for fiscal years 2024, 2023 and 2022 (in millions):
67
Derivative and Other Hedging Instruments
Beginning Notional Amount
Additions
Settlement, Termination, Expiration or Exercise
Ending Notional Amount
Gain/(Loss)
on Derivative Instruments and Other Securities, Net 1
Fiscal Year 2024:
TBA securities, net
$
5,332
123,959
(122,336)
$
6,955
$
(123)
Forward settling non-Agency securities
$
—
—
—
$
—
—
Interest rate swaps - payer
$
44,476
12,095
(16,925)
$
39,646
1,020
Interest rate swaps - receiver
$
(1,000)
—
1,000
$
—
(9)
Credit default swaps - buy protection
$
(96)
(192)
288
$
—
(7)
Payer swaptions
$
1,250
2,500
(1,750)
$
2,000
54
Receiver swaptions
$
(150)
—
—
$
(150)
(3)
U.S. Treasury securities - short position
$
(11,347)
(16,948)
10,503
$
(17,792)
844
U.S. Treasury securities - long position
$
1,492
7,780
(7,687)
$
1,585
(85)
U.S. Treasury futures contracts - short position
$
(6,429)
(11,723)
13,779
$
(4,373)
409
$
2,100
Fiscal Year 2023:
TBA securities, net
$
19,050
164,465
(178,183)
$
5,332
$
49
Interest rate swaps - payer
$
47,825
5,746
(9,095)
$
44,476
666
Interest rate swaps - receive, net
$
—
(1,000)
—
$
(1,000)
4
Credit default swaps - buy protection
$
(215)
(1,322)
1,441
$
(96)
(13)
Payer swaptions
$
3,050
—
(1,800)
$
1,250
(21)
Receiver swaptions
$
—
(150)
—
$
(150)
—
U.S. Treasury securities - short position
$
(7,373)
(20,143)
16,169
$
(11,347)
(54)
U.S. Treasury securities - long position
$
357
14,272
(13,137)
$
1,492
(30)
U.S. Treasury futures contracts - short position
$
(9,213)
(31,465)
34,249
$
(6,429)
(42)
$
559
Fiscal Year 2022:
TBA securities, net
$
26,673
312,307
(319,930)
$
19,050
$
(2,860)
Forward settling non-Agency securities
$
450
—
(450)
$
—
—
Interest rate swaps - payer
$
51,225
5,895
(9,295)
$
47,825
4,400
Credit default swaps - buy protection
$
—
(5,835)
5,620
$
(215)
21
Payer swaptions
$
13,000
1,750
(11,700)
$
3,050
857
Receiver swaptions
$
—
(150)
150
$
—
—
U.S. Treasury securities - short position
$
(9,590)
(15,548)
17,765
$
(7,373)
1,482
U.S. Treasury securities - long position
$
472
10,202
(10,317)
$
357
(32)
U.S. Treasury futures contracts - short position
$
(1,500)
(37,493)
29,780
$
(9,213)
811
$
4,679
________________________________
1.Amounts exclude other miscellaneous gains and losses and other interest income (expense) recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Additionally, as of December 31, 2024 and 2023, we held SOFR futures contracts with a long notional position of $1.2 billion and $0.9 billion, respectively, measured on a two-year swap equivalent basis. For fiscal years December 31, 2024 and 2023, we recognized a gain (loss) of $13 million and $(10) million, respectively, on our SOFR futures contracts in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Note 6. Pledged Assets
Our funding agreements require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which
68
fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract. We are typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value. Our brokerage and custody agreements and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits. If we breach our collateral requirements, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral.
Our counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value. Our agreements do not specify the haircut; rather, haircuts are determined on an individual transaction basis. Consequently, our funding agreements and derivative contracts expose us to credit risk relating to potential losses that could be recognized if our counterparties fail to perform their obligations under such agreements. We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses and U.S. government agencies, and we monitor our positions with individual counterparties. In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments as and when due to us under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark-to-market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.
As of December 31, 2024, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 2% of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables). As of December 31, 2024, 9% of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.
Assets Pledged to Counterparties
The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2024 and 2023 (in millions):
December 31, 2024
Assets Pledged to Counterparties 1
Repurchase Agreements 2
Debt of Consolidated VIEs
Derivative Agreements and Other
Total
Agency RMBS - fair value
$
59,958
$
97
$
27
$
60,082
CRT - fair value
590
—
—
590
Non-Agency - fair value
206
—
—
206
U.S. Treasury securities - fair value
1,414
—
151
1,565
Accrued interest on pledged securities
279
—
1
280
Restricted cash
386
—
880
1,266
Total
$
62,833
$
97
$
1,059
$
63,989
December 31, 2023
Assets Pledged to Counterparties 1
Repurchase Agreements 2
Debt of Consolidated VIEs
Derivative Agreements and Other
Total
Agency RMBS - fair value
$
49,602
$
121
$
15
$
49,738
CRT - fair value
678
—
—
678
Non-Agency - fair value
262
—
—
262
U.S. Treasury securities - fair value
1,865
—
62
1,927
Accrued interest on pledged securities
217
—
—
217
Restricted cash
9
—
1,244
1,253
Total
$
52,633
$
121
$
1,321
$
54,075
69
________________________________
1.Includes repledged assets received as collateral from counterparties and securities sold but not yet settled.
2.Includes $33 million and $42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2024 and 2023, respectively.
The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of December 31, 2024 and 2023 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4.
December 31, 2024
December 31, 2023
Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2
Fair Value of Pledged Securities
Amortized Cost of Pledged Securities
Accrued Interest on Pledged Securities
Fair Value of Pledged Securities
Amortized Cost of Pledged Securities
Accrued Interest on Pledged Securities
≤ 1 month
$
58,180
$
60,506
$
266
$
43,701
$
44,918
$
188
> 1 and ≤ 2 months
3,842
4,227
13
2,847
3,069
10
> 2 and ≤ 3 months
146
149
—
5,524
5,947
19
Total
$
62,168
$
64,882
$
279
$
52,072
$
53,934
$
217
________________________________
1.Includes $33 million and $42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2024 and 2023, respectively.
2.Excludes $397 million of repledged U.S. Treasury securities received as collateral from counterparties as of December 31, 2023.
Assets Pledged from Counterparties
As of December 31, 2024 and 2023, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).
December 31, 2024
December 31, 2023
Assets Pledged to AGNC
Reverse Repurchase Agreements
Derivative Agreements
Repurchase Agreements
Total
Reverse Repurchase Agreements
Derivative Agreements
Repurchase Agreements
Total
Agency securities - fair value
$
—
$
—
$
17
$
17
$
—
$
—
$
—
$
—
U.S. Treasury securities - fair value
16,885
—
—
16,885
11,667
—
306
11,973
Cash
—
28
38
66
—
89
49
138
Total
$
16,885
$
28
$
55
$
16,968
$
11,667
$
89
$
355
$
12,111
Offsetting Assets and Liabilities
Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of December 31, 2024 and 2023 (in millions):
70
Offsetting of Financial and Derivative Assets
Gross Amounts of Recognized Assets
Gross Amounts Offset in the Consolidated Balance Sheets
Net Amounts of Assets Presented in the Consolidated Balance Sheets
Gross Amounts Not Offset in the Consolidated Balance Sheets
Net Amount
Financial Instruments
Collateral Received 2
December 31, 2024
Interest rate swap and swaption agreements, at fair value 1
$
61
$
—
$
61
$
—
$
(28)
$
33
TBA securities, at fair value 1
61
—
61
(61)
—
—
Receivable under reverse repurchase agreements
17,137
—
17,137
(11,680)
(5,457)
—
Total
$
17,259
$
—
$
17,259
$
(11,741)
$
(5,485)
$
33
December 31, 2023
Interest rate swap and swaption agreements, at fair value 1
$
104
$
—
$
104
$
—
$
(89)
$
15
TBA securities, at fair value 1
80
—
80
(15)
(65)
—
Receivable under reverse repurchase agreements
11,618
—
11,618
(8,433)
(3,181)
4
Total
$
11,802
$
—
$
11,802
$
(8,448)
$
(3,335)
$
19
Offsetting of Financial and Derivative Liabilities
Gross Amounts of Recognized Liabilities
Gross Amounts Offset in the Consolidated Balance Sheets
Net Amounts of Liabilities Presented in the Consolidated Balance Sheets
Gross Amounts Not Offset in the Consolidated Balance Sheets
Net Amount
Financial Instruments
Collateral Pledged 2
December 31, 2024
TBA securities, at fair value 1
$
87
$
—
$
87
$
(61)
$
(26)
$
—
Repurchase agreements
60,798
—
60,798
(11,680)
(49,118)
—
Total
$
60,885
$
—
$
60,885
$
(11,741)
$
(49,144)
$
—
December 31, 2023
TBA securities, at fair value 1
$
15
$
—
$
15
$
(15)
$
—
$
—
Repurchase agreements
50,426
—
50,426
(8,433)
(41,993)
—
Total
$
50,441
$
—
$
50,441
$
(8,448)
$
(41,993)
$
—
________________________________
1.Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.
2.Includes cash and securities pledged / received as collateral, at fair value. Amounts include repledged collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.
Note 7. Fair Value Measurements
The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of December 31, 2024 and 2023, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.
71
December 31, 2024
December 31, 2023
Level 1
Level 2
Level 3
Level 1
Level 2
Level 3
Assets:
Agency securities
$
—
$
65,367
$
—
$
—
$
53,673
$
—
Agency securities transferred to consolidated VIEs
—
97
—
—
121
—
Credit risk transfer securities
—
633
—
—
723
—
Non-Agency securities
—
251
—
—
307
—
U.S. Treasury securities
1,575
—
—
1,540
—
—
Interest rate swaps 1
—
22
—
—
15
—
Swaptions
—
39
—
—
89
—
TBA securities
—
61
—
—
81
—
U.S. Treasury futures
83
—
—
—
—
—
Total
$
1,658
$
66,470
$
—
$
1,540
$
55,009
$
—
Liabilities:
Debt of consolidated VIEs
$
—
$
64
$
—
$
—
$
80
$
—
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements
16,676
—
—
10,894
—
—
Interest rate swaps 1
—
—
—
—
1
—
Credit default swaps 1
—
—
—
—
—
—
TBA securities
—
87
—
—
15
—
U.S. Treasury futures
—
—
—
336
—
—
SOFR Futures
7
—
—
10
—
—
Total
$
16,683
$
151
$
—
$
11,240
$
96
$
—
________________________________
1.As of December 31, 2024 and 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $2.3 billion and $2.9 billion, respectively, based on "Level 2" inputs. As of December 31, 2024 and 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was a net asset (liability) of $0 million and $(6) million, respectively, based on "Level 2" inputs. See Notes 2 and 5 for additional details.
Excluded from the table above are financial instruments reported at cost and other mortgage credit investments reported under the equity method of accounting in our consolidated financial statements. As of December 31, 2024 and 2023, the fair value of our repurchase agreements approximated cost, given their short-term nature (less than one year) and the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market. The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of such dates due to their short duration. We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs. As of December 31, 2024 and 2023, the carrying value of other mortgage credit investments reported under the equity method of accounting was $64 million and $44 million, respectively.
Note 8. Net Income (Loss) Per Common Share
Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time- and performance-based restricted stock units ("RSUs") that were outstanding during the period, which were granted under our long-term incentive program to employees and non-employee members of the Board of Directors ("the Board"). Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless doing so would reduce a loss or increase income per common share. Our potential common stock equivalents consist of unvested time- and performance-based RSUs. The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated (shares and dollars in millions):
72
Fiscal Year
2024
2023
2022
Weighted average number of common shares issued and outstanding
781.2
616.6
535.4
Weighted average number of fully vested restricted stock units outstanding
2.2
1.8
1.6
Weighted average number of common shares outstanding - basic
783.4
618.4
537.0
Weighted average number of dilutive unvested restricted stock units outstanding
2.6
1.2
—
Weighted average number of common shares outstanding - diluted
786.0
619.6
537.0
Net income (loss) available (attributable) to common stockholders
$
731
$
32
$
(1,295)
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)
For the year ended December 31, 2022, 1.1 million of potentially dilutive unvested time- and performance-based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because including them would have been anti-dilutive for the period.
Note 9. Stockholders' Equity
Preferred Stock
We are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. As of December 31, 2024 and 2023, 13,800, 10,350, 16,100, 23,000 and 6,900 shares of preferred stock were designated as 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E, F and G Preferred Stock", respectively). As of December 31, 2024 and 2023, 13,000, 9,400, 16,100, 23,000 and 6,000 shares of Series C, D, E, F and G Preferred Stock, respectively, were issued and outstanding. Each share of preferred stock is represented by 1,000 depositary shares. Each share of preferred stock has a liquidation preference of $25,000 per share ($25 per depositary share).
Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Our preferred stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and each series of preferred stock ranks on parity with one another. Under certain circumstances upon a change of control, our preferred stock is convertible to shares of our common stock. Holders of our preferred stock and depositary shares underlying our preferred stock have no voting rights, except under limited conditions. Beginning on each series' optional redemption date, we may redeem shares at $25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared), exclusively at our option.
The following table includes a summary of preferred stock depositary shares issued and outstanding as of December 31, 2024 (dollars and shares in millions):
Cumulative Redeemable Preferred Stock 1
Issue Date
Depositary Shares Issued and Outstanding
Carrying Value
Aggregate Liquidation Preference
Per Annum Dividend
Rate 2,3
First Optional
Redemption Date / Conversion Date 3,4
Fixed-to-Floating Rate:
Series C
August 22, 2017
13.0
$
315
$
325
10.01991%
October 15, 2022
Series D
March 6, 2019
9.4
227
235
9.24091%
April 15, 2024
Series E
October 3, 2019
16.1
390
403
9.90191%
October 15, 2024
Series F
February 11, 2020
23.0
557
575
6.125%
April 15, 2025
Fixed-Rate Reset:
Series G
September 14, 2022
6.0
145
150
7.750%
October 15, 2027
Total
67.5
$
1,634
$
1,688
________________________________
1.The depositary shares underlying our preferred stock accrue dividends at an initial annual fixed rate of the $25.00 liquidation preference per depositary share from the issuance date up to, but not including, the fixed-to-floating rate or fixed-rate-reset conversion date; thereafter, dividends will accrue on a floating rate or fixed-rate-reset basis equal to the conversion rate plus a fixed spread.
2.The Series C, D and E per annum dividend rates represent the rates in effect as of December 31, 2024.
3.The Series C, D and E dividends accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus spreads of 5.111%, 4.332% and 4.993%, respectively, per annum, resetting quarterly in accordance with the certificate of designations for such series and the Adjustable Interest Rate (LIBOR) Act of 2021 (the “LIBOR Act”). At the conclusion of the fixed rate period (the conversion date) for the Series F Preferred Stock, the dividend for such series will accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 4.697% per annum, resetting
73
quarterly in accordance with the certificate of designations for such series and the LIBOR Act. At the conclusion of the fixed rate period for the Series G Preferred Stock, the dividend will accrue at a floating rate equal to the 5-Year US Treasury rate plus a spread of 4.39% per annum and will reset in accordance with the certificate of designations for such series.
4.Shares may be redeemed prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for U.S federal income tax purposes.
At-the-Market Offering Program
We are authorized by our Board to enter into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to a maximum aggregate offering price of our common stock. The following table includes a summary of shares of our common stock sold under the sales agreements during fiscal years 2024, 2023 and 2022 (in millions, except for per share data). As of December 31, 2024, shares of our common stock with an aggregate offering price of $1.2 billion remained authorized for issuance under this program through December 31, 2025.
ATM Offerings
Average Price Received Per Share, Net
Shares
Net Proceeds
Fiscal Year 2024
$9.73
202.1
$
1,967
Fiscal Year 2023
$9.14
118.8
$
1,085
Fiscal Year 2022
$9.39
56.0
$
526
Common Stock Repurchase Program
We are authorized by our Board to repurchase shares of our common stock in open market, through privately negotiated transactions, or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended. The following table includes a summary of shares of our common stock repurchased during fiscal year 2022 (in millions, except for per share data). During fiscal years 2023 and 2024, we did not repurchase shares under this program. As of December 31, 2024, shares of our common stock with an aggregate repurchase price of $1.0 billion remained authorized for repurchase through December 31, 2026.
Common Stock Repurchases
Average Price Paid Per Share 1
Shares
Net Cost
Fiscal Year 2022
$10.78
4.7
$
51
74
Distributions to Stockholders
The following table summarizes dividends declared during fiscal years 2024, 2023 and 2022 (in millions, except per share amounts):
Dividends Declared
Dividends Declared Per Share 1
Series C Preferred Stock
Fiscal year 2024
$
35
$
2.672820
Fiscal year 2023
$
34
$
2.660390
Fiscal year 2022
$
25
$
1.886880
Series D Preferred Stock
Fiscal year 2024
$
21
$
2.278248
Fiscal year 2023
$
16
$
1.718750
Fiscal year 2022
$
16
$
1.718750
Series E Preferred Stock
Fiscal year 2024
$
30
$
1.851370
Fiscal year 2023
$
26
$
1.625000
Fiscal year 2022
$
26
$
1.625000
Series F Preferred Stock
Fiscal year 2024
$
35
$
1.531250
Fiscal year 2023
$
35
$
1.531250
Fiscal year 2022
$
35
$
1.531250
Series G Preferred Stock
Fiscal year 2024
$
12
$
1.937520
Fiscal year 2023
$
12
$
1.937520
Fiscal year 2022
$
4
$
0.651220
Common Stock
Fiscal year 2024
$
1,137
$
1.440000
Fiscal year 2023
$
896
$
1.440000
Fiscal year 2022
$
775
$
1.440000
________________________________
1.Preferred stock per share amounts are per depositary share.
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The following table summarizes our tax characterization of distributions to stockholders for fiscal years 2024, 2023 and 2022. Distributions included in the table below are based on the fiscal tax year for which the distribution is attributed to for stockholders in accordance with rules promulgated under the Internal Revenue Code:
Tax Characterization 1
Tax Year
Distribution Rate 1
Ordinary Dividend Per Share
Qualified Dividends
Capital Gain Dividend Per Share
Non-Dividend Distributions
Section 199A Dividend
Series C Preferred Stock
Fiscal year 2024
$
2.721090
$
2.721090
$
—
$
—
$
—
$
2.721090
Fiscal year 2023
$
2.546340
$
2.546340
$
—
$
—
$
—
$
2.546340
Fiscal year 2022
$
1.750000
$
1.750000
$
—
$
—
$
—
$
1.750000
Series D Preferred Stock
Fiscal year 2024
$
2.117545
$
2.117545
$
—
$
—
$
—
$
2.117545
Fiscal year 2023
$
1.718750
$
1.718750
$
—
$
—
$
—
$
1.718750
Fiscal year 2022
$
1.718750
$
1.718750
$
—
$
—
$
—
$
1.718750
Series E Preferred Stock
Fiscal year 2024
$
1.625000
$
1.625000
$
—
$
—
$
—
$
1.625000
Fiscal year 2023
$
1.625000
$
1.625000
$
—
$
—
$
—
$
1.625000
Fiscal year 2022
$
1.625000
$
1.625000
$
—
$
—
$
—
$
1.625000
Series F Preferred Stock
Fiscal year 2024
$
1.531250
$
1.531250
$
—
$
—
$
—
$
1.531250
Fiscal year 2023
$
1.531250
$
1.531250
$
—
$
—
$
—
$
1.531250
Fiscal year 2022
$
1.531250
$
1.531250
$
—
$
—
$
—
$
1.531250
Series G Preferred Stock
Fiscal year 2024
$
1.937520
$
1.937520
$
—
$
—
$
—
$
1.937520
Fiscal year 2023
$
2.104360
$
2.104360
$
—
$
—
$
—
$
2.104360
Common Stock
Fiscal year 2024
$
1.440000
$
1.440000
$
—
$
—
$
—
$
1.440000
Fiscal year 2023
$
1.560000
$
1.560000
$
—
$
—
$
—
$
1.560000
Fiscal year 2022
$
1.440000
$
0.669420
$
—
$
—
$
0.770580
$
0.669420
________________________________
1.Preferred stock per share amounts are per depositary share.
Accumulated Other Comprehensive Income (Loss)
The following table summarizes changes to accumulated OCI for fiscal years 2024, 2023 and 2022 (in millions):
Fiscal Year
Accumulated Other Comprehensive Income (Loss)
2024
2023
2022
Beginning Balance
$
(517)
$
(672)
$
301
OCI before reclassifications
(74)
92
(1,015)
Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net
—
63
42
Ending Balance
$
(591)
$
(517)
$
(672)
Note 10. Segment Reporting
Our investment portfolio consists primarily of Agency RMBS, and we fund our investments primarily through collateralized borrowings structured as repurchase agreements. As part of our operations, we are exposed to market risks, including interest rate, prepayment, extension, spread, and credit risks.
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Our portfolio is managed as a whole, with investment and hedging decisions assessed collectively by the Chief Operating Decision Maker (CODM). The CODM, represented by our Chief Executive Officer with the support of our Executive Management Committee, allocates resources and evaluates financial performance by considering the market risks identified above. The CODM also considers factors such as total assets and repurchase agreements outstanding, as reported on the consolidated balance sheet; our TBA position, as disclosed in Note 5. Derivative and Other Hedging Instruments; our ability to hedge certain risks; and our intention to qualify as a REIT. Consequently, the Company operates as a single reportable segment, as reflected in the accompanying consolidated financial statements and notes.
The CODM assesses performance using comprehensive income (loss), as reported on the consolidated statement of comprehensive income (loss). Comprehensive income (loss) is a key determinant of the Company’s economic return, calculated as the change in tangible stockholders’ equity attributable to common stockholders plus common stock dividends declared, divided by the prior period’s tangible stockholders’ equity attributable to common stockholders. This measure is used to monitor actual results, benchmark performance against peers, and inform management’s compensation. Additionally, the CODM also evaluates consolidated expense information, including interest expense, compensation and benefits, and other operating expenses, as significant metrics in decision-making.
Note 11. Stock-Based Compensation
During fiscal years 2024, 2023 and 2022, we granted RSU awards to employees with a grant date fair value of $10 million, $11 million and $8 million, respectively, which generally vest annually over a three-year period, and we granted RSU awards to independent directors of $1.2 million, $1.2 million and $1.0 million, respectively, which vest at the end of a one-year period from grant date. We also granted PSU awards to employees which generally vest at the end of a three-year period provided that specified performance criteria are met. The performance criteria are based on a formula tied to our achievement of long-term economic returns consisting of the change in tangible net book value and dividends paid per common share on an absolute basis and relative to a select group of our peers. The fair value of the PSU awards granted during fiscal years 2024, 2023 and 2022 as of the grant date was $10 million, $10 million and $11 million, respectively, assuming the target levels of performance are achieved. The actual value of the awards will vary within a range of 0% to 200% of the target based on the actual performance achieved relative to the targets.
Our 2016 Equity Plan, as amended, authorizes a total of 40 million shares of our common stock that may be used to satisfy awards granted under the Plan, subject to the share counting rules set forth within the Plan. As of December 31, 2024, 26.0 million shares remained available for awards under the 2016 Equity Plan. For purposes of determining the total number of shares available for awards under the 2016 Equity Plan, available shares are reduced by (i) shares issued for vested awards, net of units withheld to cover minimum statutory tax withholding requirements paid by us in cash on behalf of the employee, (ii) outstanding unvested awards, (iii) outstanding previously vested awards, if distribution of such awards has been deferred beyond the vesting date ("deferred awards"), and (iv) accrued dividend equivalent units on outstanding awards through December 31, 2024. Unvested PSU awards assume the maximum potential payout under the terms of the award. As of December 31, 2024, 2.0 million of deferred awards, including accrued dividend equivalents, were outstanding.
During fiscal years 2024, 2023 and 2022, we recognized total compensation expense of $23.5 million, $15.0 million and $11.6 million, respectively, for stock-based awards to employees, and we recognized other operating expense of $1.2 million, $1.1 million and $1.0 million, respectively, for stock-based awards to independent directors. Compensation expense for PSU awards is based on our estimate of the probability that the performance criteria for PSU awards will be achieved and, if applicable, includes a cumulative effect adjustment for changes in our estimate from the prior year period. As of December 31, 2024, we estimate that 75.5% of target for PSU awards granted in fiscal year 2022 will vest based on actual performance achieved through the end of the performance measurement period and that 115% and 100% of target will vest for PSU awards granted in fiscal years 2023 and 2024, respectively, based on our estimate of the probability that the performance criteria for these awards will be achieved. As of December 31, 2024, we had $18 million of unrecognized expense related to stock-based awards that we expect to recognize over a weighted average period of 1.4 years.
The following tables summarizes awards under our 2016 Equity Plan for fiscal years 2024, 2023 and 2022:
77
RSU Awards
RSU Awards 1
Weighted Average Grant Date Fair Value 2
Weighted Average Vest Date Fair Value
Unvested balance as of December 31, 2021
1,050,027
$
15.15
$
—
Granted
687,733
$
12.85
$
—
Accrued RSU dividend equivalents
159,039
$
—
$
—
Vested
(558,796)
$
14.68
$
12.70
Forfeitures
(4,312)
$
13.43
$
—
Unvested balance as of December 31, 2022
1,333,691
$
12.36
$
—
Granted
1,140,758
$
10.67
$
—
Accrued RSU dividend equivalents
273,189
$
—
$
—
Vested
(703,557)
$
12.28
$
9.88
Unvested balance as of December 31, 2023
2,044,081
$
9.79
$
—
Granted
1,154,343
$
9.52
$
—
Accrued RSU dividend equivalents
337,739
$
—
$
—
Vested
(1,062,526)
$
9.71
$
9.56
Unvested balance as of December 31, 2024
2,473,637
$
8.36
$
—
________________________________
1.There were no forfeitures of awards during the fiscal years 2023 and 2024.
2.Accrued RSU award dividend equivalents have a weighted average grant date fair value of $0.
1.There were no forfeitures of awards during the periods presented.
2.Accrued PSU award dividend equivalents have a weighted average grant date fair value of $0.
3.Performance adjustments reflect adjustments for actual performance achieved relative to target, measured at the end of the performance period.
4.The unvested balance as of December 31, 2024 assumes actual performance achievement of 75.5% of target for PSU awards granted in fiscal year 2022 that are scheduled to vest in fiscal year 2024 and target levels of performance (100%) for PSU awards granted in fiscal years 2023 and 2024. The actual number of PSUs that will vest for the 2023 and 2024 PSU awards will vary within a range of 0% to 200% of the target based on the actual performance achieved relative to the targets. As of December 31, 2024, we estimate that 115.0% and 100.0% of the 2023 and 2024 PSU awards, respectively, will vest based on our estimate of the probability that the performance criteria for the awards will be achieved.
78
Note 12. Income Taxes
We did not incur an income tax liability for the years ended December 31, 2023 and 2022 and we do not expect to incur an income tax liability for the year ended December 31, 2024.
Based on our analysis of any potential uncertain income tax positions, we concluded that we do not have any uncertain tax positions that meet the recognition or measurement criteria of ASC Topic 740, Income Taxes, as of December 31, 2024 or prior periods. Our tax returns for tax years 2021 and forward are open to examination by the IRS. If we incur income tax related interest and penalties, our policy is to classify them as a component of provision for income taxes.
Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
None.
Item 9A. Controls and Procedures
We maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in our Exchange Act reports is recorded, processed, summarized and reported within the time periods specified in the SEC's rules and forms, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure based on the definition of "disclosure controls and procedures" as promulgated under the Exchange Act and the rules and regulations thereunder. In designing and evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures.
We, including our Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures as of December 31, 2024. Based on the foregoing, our Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective.
Management's Report on Internal Control over Financial Reporting
Management Report on Internal Control over Financial Reporting is included in "Item 8. Financial Statements and Supplementary Data."
Attestation Report of Registered Public Accounting Firm
The attestation report of our registered public accounting firm is included in "Item 8. Financial Statements and Supplementary Data."
Changes in Internal Control over Financial Reporting
There have been no changes in our "internal control over financial reporting" (as defined in Rule 13a-15(f) of the Exchange Act) that occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.
Item 9B. Other Information
During the fiscal quarter ended December 31, 2024, none of our directors or officers (as defined in Rule 16a-1(f) under the Exchange Act) informed us of the adoption or termination of a “Rule 10b5-1 trading arrangement” or “non-Rule 10b5-1 trading arrangement” (as each term is defined in Regulation S-K, Item 408).
PART III.
Item 10. Directors, Executive Officers and Corporate Governance
Information in response to this Item is incorporated herein by reference to the information provided in our Proxy Statement for our 2025 Annual Meeting of Stockholders (the "2025 Proxy Statement") under the headings "PROPOSAL 1: ELECTION OF DIRECTORS", "EXECUTIVE OFFICERS OF REGISTRANT", and "BOARD AND GOVERNANCE MATTERS."
Insider Trading Policy
The Company has adopted the AGNC Investment Corp. Policy on Insider Trading that applies to our directors, officers, employees, independent contractors, and certain of their respective family members. We believe the policy is reasonably designed to promote compliance with insider trading laws, rules and regulations, and any applicable listing standards. A copy of our policy is filed as Exhibit 19 to this Annual Report on Form 10-K.
79
Item 11. Executive Compensation
Information in response to this Item is incorporated herein by reference to the information provided in the 2025 Proxy Statement under the headings "PROPOSAL 1: ELECTION OF DIRECTORS", "EXECUTIVE COMPENSATION", "COMPENSATION DISCUSSION AND ANALYSIS", "REPORT OF THE COMPENSATION AND CORPORATE GOVERNANCE COMMITTEE", and "COMPENSATION COMMITTEE INTERLOCKS AND INSIDER PARTICIPATION."
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters
Information in response to this Item is incorporated herein by reference to the information provided in the 2025 Proxy Statement under the heading "SECURITY OWNERSHIP OF MANAGEMENT AND CERTAIN BENEFICIAL OWNERS."
Item 13. Certain Relationships and Related Transactions, and Director Independence
Information in response to this Item is incorporated herein by reference to the information provided in the 2025 Proxy Statement under the headings "CERTAIN TRANSACTIONS WITH RELATED PERSONS" and "PROPOSAL 1: ELECTION OF DIRECTORS."
Item 14. Principal Accounting Fees and Services
Information in response to this Item is incorporated herein by reference to the information provided in the 2025 Proxy Statement under the heading "PROPOSAL 4: RATIFICATION OF APPOINTMENT OF INDEPENDENT PUBLIC ACCOUNTANT."
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PART IV.
Item 15. Exhibits and Financial Statement Schedules
(a) List of documents filed as part of this report:
(1) The following financial statements are filed herewith:
Consolidated Balance Sheets as of December 31, 2024 and 2023
Consolidated Statements of Comprehensive Income for fiscal years 2024, 2023 and 2022
Consolidated Statements of Stockholders' Equity for fiscal years 2024, 2023 and 2022
Consolidated Statements of Cash Flows for fiscal years 2024, 2023 and 2022
(2) The following exhibits are filed herewith or incorporated herein by reference
** This exhibit is being furnished rather than filed, and shall not be deemed incorporated by reference into any filing, in accordance with Item 601 of Regulation S-K
† Management contract or compensatory plan or arrangement
(b) Exhibits
See the exhibits filed herewith.
(c) Additional financial statement schedules
None.
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SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Company has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AGNC INVESTMENT CORP.
By:
/s/ PETER J. FEDERICO
Peter J. Federico President and Chief Executive Officer (Principal Executive Officer)
Date:
February 21, 2025
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Name
Title
Date
/s/ PETER J. FEDERICO
Director, President and Chief Executive Officer (Principal Executive Officer)
February 21, 2025
Peter J. Federico
/s/ BERNICEE. BELL
Executive Vice President and Chief Financial Officer (Principal Financial Officer and Principal Accounting Officer)
