AGNC Investment

Agency guarantees limit credit losses, but earnings and book value are highly sensitive to interest rates, prepayments, and the mortgage basis. The firm’s hedge ratio and near‑zero duration gap reduce, but do not eliminate, mark‑to‑market volatility.

History confirms cyclicality: in 2022 tangible book suffered a large drawdown as mortgage spreads widened sharply, before partial recovery. Today’s run‑rate net spread and dollar roll income TTM of about $1.52 per share barely covers the $1.44 dividend, leaving limited shock absorption. Predictability is therefore modest at best.