Executive Summary

Q4 2024 produced a small GAAP profit but a comprehensive loss: $0.10 net income per common share offset by $(0.20) OCI, yielding $(0.11) comprehensive loss; tangible book fell 4.6% to $8.41, driving an economic return of -0.6% for the quarter .
Net spread and dollar roll income per share declined to $0.37 from $0.43 in Q3 as the annualized net interest spread compressed to 1.91% (vs. 2.21% in Q3), largely reflecting a higher swap pay rate, timing mismatches, and a greater use of Treasury-based hedges not captured in the reported spread; management estimated ~$0.04/share of carry from Treasury hedges in Q4 .
Portfolio grew late in the quarter at attractive spreads with leverage steady at 7.2x and liquidity strong ($6.1B unencumbered cash and Agency MBS); hedge ratio increased sharply to 91% with a tilt to Treasury hedges given very tight swap spreads .
Management’s 2025 outlook is constructive: agency MBS spreads expected to remain in a well-defined attractive range; net supply constrained near 7% primary mortgage rates; bank demand could improve with a less onerous regulatory backdrop; dividend policy remains aligned with expected gross ROEs of ~17–18.5% versus a ~16.5–16.7% total cost of capital hurdle .

What Went Well and What Went Wrong

What Went Well

Opportunistic capital issuance at a premium drove accretion; $511M raised via ATM in Q4 ($2.0B FY) with deployment late in the quarter at wider spreads; liquidity ended robust at $6.1B (66% of tangible equity) .
Portfolio repositioned up-in-coupon (reducing 4.5s and lower by ~$6B; adding ~$8B of 5%+), and continued additions into January; TBA position (primarily Ginnie Mae) provided attractive roll financing .
CFO highlighted transparency enhancements (Treasury hedge carry disclosure) and stable leverage (average and ending 7.2x), underscoring risk discipline in a volatile rate backdrop .

What Went Wrong

Tangible book value per share declined $0.41 to $8.41 (-4.6%) on higher rates and modestly wider agency MBS spreads; Q4 economic return was -0.6% .
Net spread & dollar roll income per share fell to $0.37 (from $0.43) as net interest spread compressed 30 bps; Treasury hedges (excluded from reported spread) muted P&L carry, while swap pay rate increased .
Other gain (loss), net fell sharply to $39M from $440M in Q3, reflecting large mark-to-market unrealized losses on investment securities partially offset by gains on swaps and U.S. Treasuries .

Financial Results

Metric	Q2 2024	Q3 2024	Q4 2024
Interest Income ($USD Millions)	$695	$756	$856
Interest Expense ($USD Millions)	$698	$820	$741
Net Income per Common Share (Basic) ($)	$(0.11)	$0.39	$0.10
Comprehensive Income per Common Share (Basic) ($)	$(0.13)	$0.64	$(0.11)
Net Spread & Dollar Roll Income per Share (Basic) ($)	$0.53	$0.43	$0.37
Annualized Net Interest Spread (%)	2.69%	2.21%	1.91%
Tangible Net Book Value per Common Share (End) ($)	$8.40	$8.82	$8.41
Dividends Declared per Common Share ($)	$0.36	$0.36	$0.36
Economic Return on Tangible Common Equity (Quarter, %)	-0.9%	9.3%	-0.6%

Segment/Portfolio Composition

Metric	Q2 2024	Q3 2024	Q4 2024
Fixed-Rate Agency MBS (Fair Value, $B)	$58.729	$66.668	$64.049
Other Agency MBS (Fair Value, $B)	$0.963	$1.376	$1.415
Net TBA Portfolio (Fair Value, $B)	$5.348	$4.068	$6.861
CRT Securities (Fair Value, $B)	$0.683	$0.620	$0.633
Non-Agency MBS (Fair Value, $B)	$0.257	$0.273	$0.251

Key Performance Indicators (KPIs)

KPI	Q2 2024	Q3 2024	Q4 2024
Average Actual CPR (%)	7.1%	7.3%	9.6%
Forecasted CPR at Period-End (%)	9.2%	13.2%	7.7%
Combined Avg Asset Yield excl “Catch-up” (%)	4.69%	4.73%	4.80%
Avg Total Cost of Funds (%)	2.00%	2.52%	2.89%
Net Interest Spread (%)	2.69%	2.21%	1.91%
Leverage (“at risk”, period-end, x)	7.4x	7.2x	7.2x
Hedge Ratio (%)	98%	72%	91%
Unencumbered Cash & Agency MBS ($B)	$5.3	$6.2	$6.1
Avg Repo Funding Cost (%)	5.44%	5.41%	4.86%

Guidance Changes

Metric	Period	Previous Guidance	Current Guidance	Change
Common Dividend per Share (Monthly)	Q4 2024	$0.12 per month (consistent since 2019)	$0.12 per month (Oct–Dec declared totaling $0.36)	Maintained
Leverage	Near term	No formal guidance; operated ~7.1–7.4x in prior quarters	Unchanged at ~7.2x in Q4	Maintained
Hedging Mix	2025 Outlook	Reduced hedge ratio in Q3; mix more swaps historically	Increased hedge ratio to 91% with Treasury-heavy mix; expect rotation back to swaps as spreads stabilize	Strategic shift (temporary)
Capital Issuance	2024	Opportunistic ATM issuance ($434M Q2; $781M Q3)	Continued opportunistic ATM ($511M Q4), focused on accretion	Maintained opportunistic stance

Notes: AGNC does not provide formal quantitative revenue/EPS guidance; dividend policy and capital/hedging stances are communicated qualitatively .

Earnings Call Themes & Trends

Topic	Previous Mentions (Q2 & Q3)	Current Period (Q4)	Trend
Monetary Policy & Spreads	Q2: Hawkish Fed, volatility, spreads widened but long-term outlook favorable . Q3: Fed pivot (50bp cut), spreads stable and favorable; strong economic return .	Q4: Rates rose and spreads modestly widened late in quarter; outlook remains favorable; expect spreads in a well-defined range .	Policy easing trajectory intact; temporary late-Q4 headwinds; constructive 2025.
Hedging Strategy	Q2: Hedge ratio ~98%; broad use of swaps/treasuries . Q3: Hedge ratio reduced to 72% .	Q4: Hedge ratio increased to 91%; tilt to Treasury hedges due to tight swap spreads; anticipated rotation back to swaps as spreads stabilize .	Dynamic hedging: Treasury-heavy in Q4, likely more swaps ahead.
Equity Issuance & Accretion	Q2: $434M ATM; accretive . Q3: $781M ATM; accretive .	Q4: $511M ATM at premium; opportunistic timing (issued early, deployed later) .	Continued accretive issuance when premium/arbitrage exists.
Dividend Framework	Q3: Highlighted 55 consecutive months at $0.12 .	Q4: Hurdle rate ~16.5–16.7% vs expected gross ROEs ~17–18.5%; supports dividend maintenance .	Dividend supported by ROE vs cost of capital math.
Supply/Demand & Bank Participation	Q2: Net supply favorable; affordability constraints . Q3: Outlook improved with Fed pivot .	Q4: 2025 net supply expected similar to 2024 ($200–$250B); money manager flows robust; bank demand may improve with lighter regulation .	Balanced technicals; potential upside from banks.
Repo Market & Funding	Prior quarters: normalizing funding markets .	Q4: Year-end repo spreads to SOFR widened (50–100 bps), but capacity ample; funding cost a manageable drag .	Funding cost volatility at reporting periods; capacity intact.
Prepayment Speeds	Q2/Q3: CPR in single digits; projections adjusted .	Q4: CPR rose; lenders aggressive in rallies; manage via asset selection/diversification .	Prepay risk manageable; selection over pay-up.

Management Commentary

CEO: “Entering 2025, we continue to have a very positive outlook for Agency MBS…Agency MBS spreads to benchmark rates remain in a well-defined range and offer…very attractive return opportunities.” .
CFO: “AGNC's -0.6% economic return…was comprised of $0.36…dividends…and a $(0.41) decline in tangible net book value…During the fourth quarter, we issued $511 million…at a considerable premium…AGNC's net spread and dollar roll income totaled $0.37 per common share…leverage remained unchanged at 7.2x…liquidity…$6.1 billion.” .
CIO: “We added close to $12 billion in longer term, mostly treasury-based hedges…hedge ratio…increased materially to 91%…allocation to swap-based hedges will likely increase over the coming quarters.” .
CEO (policy context): “We expect agency spreads to remain in their current attractive range…Collectively, these positive dynamics create a favorable investment backdrop for AGNC in 2025.” .

Q&A Highlights

Equity issuance: ATM activity will remain opportunistic, focused on accretion and ROE/scale; Q4 issuance was concentrated early, with deployment later as spreads widened .
ROE mapping with hedges: Treasury hedges offer less carry than swaps (swap spreads were >-50 bps in Q4), hence reported net spread/dollar roll understate economics; expect rotation back to swaps as spreads stabilize .
Dividend outlook: Total cost of capital hurdle ~16.5–16.7% vs gross ROE ~17–18.5% at current spreads supports maintaining the dividend .
Hedge ratio: Raised to 91% heading into election amid rate uncertainty; expect long-term rates stable; will adjust mix over time .
Demand and funding: 2025 supply ~$200–$250B; money manager flows solid; bank demand may rise; repo market capacity ample though costs can spike at period ends .
CPR/prepay: October/November showed sharp sensitivity; lenders aggressive in rallies; prepay risk managed through selection/diversification .

Estimates Context

S&P Global (Capital IQ) Wall Street consensus for Q4 2024 EPS and revenue was unavailable at time of request due to rate limits, so comparison to estimates cannot be provided. Values would normally be retrieved from S&P Global; consensus data was unavailable in this instance.

Key Takeaways for Investors

Dividend appears supported by current spread environment: expected gross ROEs (~17–18.5%) exceed the ~16.5–16.7% hurdle rate, implying stability barring unforeseen spread/rate volatility .
Book value sensitivity remains the primary driver: wider spreads/higher rates in Q4 reduced TNBV; constructive 2025 spread outlook and accretive issuance are key to book value trajectory .
Hedge mix a tactical lever: Q4 tilt to Treasuries reduced reported spread income; as swap spreads stabilize, a shift back to swaps could lift reported net spread/dollar roll metrics .
Liquidity and leverage are well-managed: 7.2x leverage with $6.1B unencumbered liquidity provides flexibility to add assets at attractive spreads and navigate funding volatility .
Supply/demand technicals are favorable: constrained MBS supply near ~7% mortgage rates with potential incremental bank demand supports spread stability/tightening .
Active capital management remains accretive: opportunistic ATM issuance at premiums enhances book value and funds growth into attractive assets .
Monitor policy and funding dynamics: U.S. fiscal/monetary/ GSE policy changes and year-end repo costs can influence spreads, carry, and BV — key catalysts for stock reaction .

Citations: All quantitative and qualitative data above sourced from AGNC’s Q4 2024 8‑K press release and exhibits , Q4 2024 earnings call transcripts , and prior quarter press releases for Q3 and Q2 2024 .

AGNC Investment Corp. (AGNC)·Q4 2024 Earnings Summary