AGNCZ — what changed in the latest 10-Q

Text added vs the prior filing · source: 10-Q · 2026-05-04

• Agency RMBS performance in the first quarter of 2026 was driven by two divergent macroeconomic themes. In January and February, the Administration’s focus on reducing interest rate volatility, maintaining mortgage spread stability, and improving housing affordability drove strong performance across …

• We continue to believe that many of the positive catalysts for Agency RMBS performance observed at the beginning of the year remain intact, with several improving further during the first quarter. First, mortgage spreads to benchmark rates widened significantly in March, and these wider spread level…

• interest rate volatility has increased and future Federal Reserve monetary policy actions have become somewhat more uncertain, we believe that, with some form of resolution or easing of tensions in the Middle East, these factors could quickly revert to positive catalysts for Agency RMBS. As a result…

• During the first quarter, Agency RMBS performance varied meaningfully by coupon and hedge type. Lower coupon Agency RMBS significantly outperformed higher coupon Agency RMBS due to strong index demand from money managers as a result of outsized bond fund inflows. Specifically, spreads of lower coupo…

• Agency RMBS performance was also materially impacted by hedge type as U.S. Treasury hedges outperformed swap hedges during the quarter. Ten-year swap spreads to U.S. Treasuries, for example, tightened by almost 10 basis points. As a result, an Agency RMBS position hedged with a 10-year pay-fixed swa…

Text removed vs the prior filing · source: 10-Q · 2025-10-31

• In the third quarter of 2025, the pivot by the Federal Reserve (the "Fed") to a less restrictive monetary policy stance, combined with easing fiscal policy concerns, drove strong financial market performance and a notable improvement in investor sentiment. Agency RMBS were one of the best-performing…

• At its September meeting, the Fed lowered the federal funds rate as expected and signaled further monetary policy accommodation with the possibility of additional rate cuts at the October and December meetings. On the fiscal policy front, the passage of the tax bill early in the quarter and several …

• Looking ahead, a number of macroeconomic dynamics support a constructive outlook for Agency RMBS. First, the Administration has begun to focus on mortgage spreads as a means of improving housing affordability. In a late-September interview, the Treasury Secretary underscored this view, stating: "the…

• Second, the supply and demand dynamic for Agency RMBS remains well balanced. With the primary mortgage rate year-to-date remaining above 6%, net new issuance of Agency RMBS is expected to total approximately $200 billion in 2025—toward the lower end of initial expectations. Meanwhile, the demand out…

• Third, the financing market for Agency RMBS remains strong. The Fed recently announced that it will conclude the reduction of its aggregate securities holdings on December 1, 2025 to ensure bank reserves remain at levels consistent with ongoing funding market liquidity. Over the longer-term, the Fed…

Text added vs the prior filing · source: 10-Q · 2026-05-04

• 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 m…

• 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…

• 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…

• 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 March 31, 2026 and December 31, 2025 should interest rates go up or down by …

• 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.

Text removed vs the prior filing · source: 10-Q · 2025-10-31

• 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 m…

• 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…

• 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…

• 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…

• 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 September 30, 2025 and December 31, 2024 should interest rates go up or down…

Text removed vs the prior filing · source: 10-Q · 2025-10-31

• The following summary of certain U.S. federal income tax considerations supplements the discussion set forth under the heading “U.S. Federal Income Tax Considerations” in the shelf registration statement on Form S-3 filed with the Securities and Exchange Commission on May 9, 2024, including the base…

• New legislation has been recently enacted that modifies certain disclosures in “U.S. Federal Income Tax Considerations” of the Prospectus. Please see below for a brief description of these modifications.

• •As described in the Prospectus, stockholders that are individuals, trusts or estates are generally entitled to a deduction equal to 20% of the aggregate amount of ordinary income dividends received from a REIT (not including capital gain dividends or dividends eligible for the reduced rates applica…

• •The limitation on a REIT’s ownership of TRS securities has been increased from 20% to 25% of the REIT’s total assets, effective for taxable years beginning after December 31, 2025.