AGNC Investment Corp.AGNC

AGNC Investment Corp. Fair Value Disclosure

10-KFiled Feb 23, 20262 min read
Fair Value Measurements
The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of December 31, 2025 and 2024, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.
December 31, 2025December 31, 2024
Level 1Level 2Level 3Level 1Level 2Level 3
Assets:
Agency securities
$— $81,003 $— $— $65,367 $— 
Agency securities transferred to consolidated VIEs
— 85 — — 97 — 
Credit risk transfer securities
— 606 — — 633 — 
Non-Agency securities
— 25 — — 251 — 
U.S. Treasury securities
13,477 — — 1,575 — — 
Interest rate swaps 1
— 57 — — 22 — 
Swaptions
— 24 — — 39 — 
TBA securities— 77 — — 61 — 
SOFR Futures— — — — — — 
U.S. Treasury futures
11 — — 83 — — 
Total$13,488 $81,877 $— $1,658 $66,470 $— 
Liabilities:
Debt of consolidated VIEs$— $56 $— $— $64 $— 
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements16,452 — — 16,676 — — 
Interest rate swaps 1
— — — — — — 
TBA securities— 6 — — 87 — 
SOFR Futures— — — 7 — — 
Total$16,452 $62 $— $16,683 $151 $— 
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1.As of December 31, 2025 and 2024, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $1.3 billion and $2.3 billion, respectively, based on "Level 2" inputs.
Excluded from the table above are financial instruments reported at cost and other mortgage credit investments reported under the equity method of accounting in our consolidated financial statements. As of December 31, 2025 and 2024, the fair value of our repurchase agreements approximated cost, given their short-term nature (less than one year) and the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market. The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of such dates due to their short duration. We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs. As of December 31, 2025 and 2024, the carrying value of other mortgage credit investments reported under the equity method of accounting was $70 million and $64 million, respectively.

Historical Timeline

Fiscal YearFiled
2025Feb 23, 2026Showing above
2024Feb 21, 2025
2023Feb 22, 2024
2022Feb 27, 2023
2021Feb 23, 2022
2020Feb 26, 2021
2019Feb 25, 2020
2018Feb 22, 2019
2017Feb 26, 2018
2016Feb 27, 2017
2015Feb 23, 2016

About Fair Value Disclosures

Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.

Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.

Other Available Disclosures

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