AGNC Investment Business Model Canvas

Derivative dealers providing swaps, futures, and options enable AGNC to hedge interest rate exposure and manage duration, reducing basis and duration risks. ISDA Master Agreement adoption remains industry-standard, with ISDA reporting over 900 members in 2024, so robust ISDA, CSA terms, and collateral processes are critical. Competitive pricing and depth across dealers improve hedge execution and liquidity.

GSEs and approved dealers secure agency MBS supply in a market ~8.5 trillion USD outstanding in 2024. Secured financing counterparties provide repo and FHLB funding that supported the bulk of AGNC’s balance sheet in 2024. Derivative dealers and custodians enable hedging, settlement and custody with major custodians holding >30 trillion USD AUC in 2024.

AGNC hedges interest risk with swaps, swaptions, futures and Treasury shorts to target net duration while monitoring convexity, key-rate durations and MBS-Treasury basis; in 2024 the Fed funds range stayed near 5.25–5.50%, shaping hedge posture. Risk teams adjust positions to volatility regime changes and policy signals, rebalancing to cap earnings and book-value volatility and preserve NAV stability.

Source/analyze GSE pools and TBAs (U.S. agency MBS ~$8.7T in 2024), optimize coupon stack, PSA and pay-ups. Fund via staggered repo books (haircuts 1–3%), maintain 5–10% liquidity buffer and contingency lines; Fed funds 5.25–5.50% (2024). Hedge duration/convexity with swaps/futures, model CPR (2024 dispersion 6–14%), run VaR/stress tests and meet REIT 90% distribution rules.

Access to liquid derivatives markets and ISDA agreements enables AGNC to execute interest-rate and convexity hedges efficiently amid a 2024 fed funds range ~5.25–5.50%. Collateral management and netting lower funding needs and can shave several basis points off hedging costs. Quantitative models for hedge effectiveness guide positioning and rebalancing, stabilizing NIM and protecting book value.

Core agency MBS (~$8.5T market in 2024) drive NIM via coupon/pool mix; repo-eligible collateral with typical haircuts 0–3% supports leverage. Robust repo/FHLB access and derivatives markets (fed funds ~5.25–5.50% in 2024) enable hedging and liquidity. Proprietary models ingest 1,000+ pools and run 1,000s of scenarios; REIT tax rule: 90% distribution.

AGNC dynamically hedges duration and convexity through interest-rate swaps and TBA hedges to protect book value, while diversified funding channels—repo, agency securities financing, and long-term debt—reduce liquidity-driven volatility; quarterly disclosures provide duration, convexity and VaR metrics to investors, supporting transparent risk oversight and a target of smoother total returns for shareholders.

Offer high monthly dividends from levered carry on agency MBS (GSE-guaranteed) targeting spread capture vs Treasuries (2024 spread ~100–200 bps; 30‑yr mortgage ~6.8%). ~99% of portfolio GSE-backed in 2024, reducing credit risk; performance driven by rates and prepayments. Deep market liquidity and diversified funding support execution and hedging to manage duration/convexity.

Offer primers explaining agency MBS (which comprise nearly 100% of AGNCs portfolio), leverage mechanics and principal risks, with clear examples using current spread and yield frameworks. Simplify prepayment dynamics by visualizing CPR and SMM impacts on cash flows and NAV. Use FAQs, charts and scenario tables to show drivers like rate shifts and convexity. Empower long-term holders with actionable hold-sell indicators tied to book value and dividend coverage.

Dividend stewardship ties payouts to sustainable earnings given ~97% agency RMBS exposure; dividends paid monthly (12/yr) to prioritize predictability.

IR uses quarterly earnings calls, investor days, roadshows and SEC filings to reduce surprise and retain income-focused holders.

Digital hub centralizes filings, monthly analytics and historical data; responsive IR provides rapid access to management and feedback loops.

Quarterly earnings calls for AGNC Investment Corp (NYSE: AGNC) detail performance and outlook, totaling four calls in 2024 and covering portfolio yield, net interest margin and risk exposures. The live Q&A provides transparency on strategy and capital allocation. Replays and transcripts on the IR site extend access for investors and analysts. These calls are a primary stakeholder touchpoint.

Public exchanges (NASDAQ: AGNC; preferreds on major venues) provide primary distribution, liquidity (~5M ADV) and price discovery; IR site, downloadable weekly metrics (≈52/yr) and 4 quarterly earnings calls (2024) sustain transparency. Sell-side coverage, press and conferences extend institutional and retail reach, supporting NAV/dividend benchmarking (~12% yield, 2024).

Total-return funds comprise macro and mortgage specialists seeking alpha through active trades around rates, basis, and volatility, exploiting a 2024 Fed funds range of 5.25–5.50% and a roughly 7% average 30-year mortgage rate. They prize sophisticated risk management and derivatives expertise to hedge convexity and prepayment. Often act as dynamic holders of AGNC equity, rotating exposure as spread and funding conditions shift.

Income retail seeks AGNC for high monthly dividends as 10y UST averaged ~4.2% in 2024, prioritizing stable payout and transparency. Institutions (funds, insurers, pensions) target carry vs duration with Fed funds 5.25–5.50% in 2024 and need cashflow/stress reporting. Macro/ mortgage funds chase alpha via hedging amid ~7% 30y mortgage; ETFs provide passive liquidity (global ETF AUM ~$12T in 2024).

Management and G&A cover compensation, systems, and overhead that support AGNC’s portfolio and capital markets activities. Regulatory and listing fees are recurring expenses required to maintain SEC reporting and Nasdaq listing. Scale from portfolio growth and higher share count can dilute per-share G&A, lowering expense ratios. Greater operational efficiency strengthens AGNC’s competitiveness in spread capture and dividend sustainability.

Funding expense is AGNC’s largest cost, sensitive to Fed funds 5.25–5.50% (2024) and repo tenor mix; net interest margin moves with funding spreads. Swap spreads ~10 bps, 1y ATM caps ~1.0%, and margin funding ~5% add hedging/friction costs. G&A, custody (several bps AUM), audit/legal and data subs (20k–25k/terminal) are recurring.

Realized gains arise from occasional sales of securities or hedges that crystallize profits; AGNC used these opportunistically in volatile 2024 markets. Such gains supported earnings and capital recycling but remained a minor component, under 5% of reported net investment income in 2024. They are supplemental, not a core revenue reliance for the mREIT.

Net interest income remained AGNC’s primary recurring revenue in 2024, driven by agency MBS coupon carry, multi‑turn leverage and hedging. TBA dollar‑rolls added low‑tens bps of extra carry and flexible duration control. Realized gains were opportunistic (<5% of net investment income) while cash/UST yields (~3‑5%) and fees were minor stabilizers.