What AGNC Investment Corp. told the SEC could break it.

AGNC's leveraged Agency-MBS strategy depends on repo and derivative funding subject to margin calls — counterparties set eligible collateral and valuations at their discretion, faster prepayments increase margin-call magnitude, and CFTC/clearinghouse rule changes can raise margin requirements; loss of its captive broker-dealer (BES) FICC membership would cut off GCF Repo funding.

“Furthermore, faster rates of prepayment may increase the magnitude of potential margin calls as there is a time lag between the effective date of the prepayment and the date we receive the principal payment. Our derivative agreements also subject us to margin calls. Collateral requirements under our derivative agreements are typically dictated by contract or clearinghouse rules and regulations adopted by the U.S. Commodity Futures Trading Commission ("CFTC") and regulators of other countries.”

AGNC's book value and earnings are highly sensitive to interest rates, mortgage spreads and prepayment speeds — with securities carried at 101.2% of par at YE2025, changes in actual/projected prepayments can materially alter effective yields, and higher hedging costs or reduced spreads in 2026 could offset benefits; it relies on a third-party provider's prepayment models.

“The weighted average cost basis of our securities as of December 31, 2025 was 101.2% of par value and may vary materially across different securities; therefore, changes in our actual or projected prepayments can significantly alter the effective yield on our assets.”

AGNC must continually satisfy REIT requirements — at least 75% of gross income from real estate sources (95% from real estate/other qualifying sources), quarterly asset tests and annual distribution — which restrict its investment and hedging activities; failure would expose it to corporate tax, and regulatory changes affect financing/hedging availability and cost.

“At least 75% of our gross income must come from real estate sources, and 95% must come from real estate and certain other qualifying sources. Our ability to satisfy the asset tests depends on determining the characterization and fair market value of our assets, which may not be precisely measurable or may lack independent appraisals.”