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Compare mortgage REITs (mREITs) using disclosures from the same reporting date, and reconcile each company’s definitions before comparing its ratios. Focus on leverage, funding and liquidity, the risks in the underlying assets, and what hedges leave exposed. A high dividend yield or a single leverage figure cannot tell you whether one mREIT is better or safer than another.
Start with comparable disclosures
For each company, collect its latest Form 10-K or 10-Q, earnings supplement, and relevant portfolio disclosures. Record the reporting date and the company’s definitions beside every figure. A period-end balance, quarterly average, and measure that includes off-balance-sheet positions are not interchangeable.
Use the filings to establish current figures. Company webpages can add detail, but check their definitions and dates against the filings. Issuer disclosures establish what the company reports; they are not independent assessments of management quality or future performance.
| Comparison area | What to record | Why it matters |
|---|---|---|
| Leverage | Gross, recourse, and at-risk leverage where disclosed; numerator and denominator; on- and off-balance-sheet financing; period-end and average figures | Different debt and equity definitions can produce different ratios, and leverage magnifies exposure to asset-value changes and funding demands. |
| Funding and liquidity | Repo and other borrowing; average funding cost and included components; maturity profile; counterparties; collateral terms; alternative funding; unencumbered liquid assets | A low stated rate does not show how much financing must be renewed or whether a firm could meet collateral calls under stress. |
| Portfolio | Agency and non-agency mix; residential, commercial, securities, loans, or servicing exposure; credit and collateral details; coupon, vintage, prepayment speeds, and concentrations where disclosed | Asset types carry different credit, rate, prepayment, extension, liquidity, and spread risks. |
| Risk management | Hedge instruments and notionals; hedge-ratio definition; duration gap; rate and spread sensitivities; basis and convexity risks; hedge costs | A hedge may reduce a particular exposure while leaving other material risks in place. |
| Outcomes | Book-value or tangible-net-book-value changes; dividends; realized and unrealized gains or losses; total or economic return over matching periods | These outcomes show more than a dividend yield or one quarter’s earnings alone. |
How should you compare leverage?
Leverage is the financing used to hold mortgage assets relative to an equity base. It can increase the return potential on equity, but it also magnifies losses when asset values fall and can increase the amount of collateral a company must provide. AGNC warns that leverage can heighten sensitivity to funding costs and asset values and, in adverse conditions, lead to margin calls, defaults under funding agreements, or forced asset sales. That is AGNC’s disclosure, not a recommended leverage range for the sector. AGNC’s 2025 Form 10-K
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Reconcile the ratio, not just the label
Check what each company counts as debt or financing, how it treats unsettled trades and forward positions, and whether the denominator is total, tangible, or another form of equity. Also distinguish recourse borrowing from financing with different recourse terms, where reported. Record whether the figure is an average or a point-in-time snapshot. If definitions differ, describe the difference rather than ranking the ratios as though they were standardized.
For a dated example, AGNC reported 7.4x “at-risk” leverage to tangible equity at June 30, 2026, and average at-risk leverage of 7.4x for the quarter. Its calculation includes repo, other debt, unsettled securities balances, and net TBA and forward-settling non-Agency positions at cost, divided by equity less goodwill. Compare another issuer’s figure with this only after checking whether it uses comparable components and a comparable equity denominator. AGNC’s 2026 second-quarter Form 10-Q
How do you assess funding and liquidity?
Repo is a key funding source to examine, but its stated interest rate is only part of the picture. Review the borrowing mix, how much funding must be renewed, when maturities fall due, which counterparties provide funds, what collateral they require, and what liquid assets remain unencumbered. Also check whether the company describes alternative funding channels and how it manages liquidity in stressed conditions.
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For context rather than a current sector benchmark, a 2014 Nareit paper describes Agency mREIT practices including staggering borrowing maturities and maintaining liquidity. Its historical market-volume discussion is dated and should not be read as a measure of current market capacity; company filings are needed to assess each issuer’s present funding profile.
Match the cost-of-funds definition
Before comparing borrowing costs, check the measurement period and which costs are included. AGNC’s portfolio page lists $79.5 billion of investment-securities repo outstanding and a 2.89% average cost of funds for the quarter ended June 30, 2026. The company says that cost measure includes repo, implied net TBA funding costs, and periodic swap costs. A repo-only rate or a measure for a different period would not be a like-for-like comparison. AGNC portfolio disclosures
Look for concentration and renewal exposure
Funding from a short list of counterparties can create a different vulnerability from a more diversified funding base. AGNC’s June 2026 Form 10-Q reported that the maximum amount at risk with any repo counterparty other than FICC was 1% of tangible stockholders’ equity, and that its top five such counterparties represented less than 5%. It separately reported less than 11% of tangible equity at risk with FICC. These are AGNC’s point-in-time figures, not targets or sector averages. AGNC’s 2026 second-quarter Form 10-Q
Funding outside traditional repo can matter too. Annaly says implied financing rates in the TBA market can at times provide a cheaper alternative to Agency repo. Treat “at times” as a qualification: this does not establish that TBA financing is always cheaper. Annaly’s Agency overview
What does portfolio quality mean for an mREIT?
Portfolio quality is not a single rating. Identify the assets first, then assess the risks and potential losses those assets carry. Agency mortgage-backed securities generally have guarantees on covered principal and interest, which can reduce credit risk on those assets. They still carry market and financing risks, including interest-rate, prepayment, extension, spread, liquidity, and funding risk. Do not treat “Agency” as a synonym for risk-free.
For a credit-focused or non-Agency mREIT, examine borrower credit, collateral, loan performance and delinquencies, and the company’s exposure to credit losses. Also distinguish residential from commercial exposure and securities from loans or servicing-related assets. Agency and non-Agency are different risk profiles, not a simple good-versus-bad ranking. The evidence presented here does not establish a matched, contemporaneous primary-source comparison of non-Agency peers, so assess those companies from their own current filings rather than inferring their quality from the AGNC example.
Independent reader supportYour contribution helps us test, update, and keep practical guides available for everyone.What do hedges protect against—and what remains?
Read the hedge instruments, not just the hedge ratio. Identify whether hedges use swaps, Treasury positions, options, or other instruments, and check how the issuer calculates the ratio. Then examine the disclosed duration gap and scenario sensitivities for interest-rate and mortgage-spread moves. A hedge ratio is not a promise that book value will be protected across market conditions.
At June 30, 2026, AGNC reported an 82% hedge ratio for swaps and U.S. Treasury hedges, excluding option-based hedges, and a 0.7-year duration gap. The filing describes these as modeled estimates and discusses sensitivity to interest rates and mortgage spreads. AGNC’s 2026 second-quarter Form 10-Q
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Do not directly substitute the 73% hedge ratio shown on AGNC’s portfolio webpage at June 30, 2026. That webpage’s stated numerator includes swaps, swaptions, and net U.S. Treasury positions, so its measure differs from the filing’s ratio excluding option-based hedges. The methodology and footnotes must be reconciled before comparing the two. AGNC portfolio disclosures
Even a well-matched rate hedge can leave mortgage spread risk, prepayment and extension risk, and basis risk. AGNC states in its 2025 Form 10-K that its hedging strategies are generally not designed to protect net book value from spread risk. That issuer-specific disclosure illustrates why a hedge should be judged against the risk it is intended to offset, not treated as blanket protection. AGNC’s 2025 Form 10-K
How should you compare results?
Once leverage, funding, portfolio exposures, and hedges are defined, compare what happened over the same period. Look at changes in book value or tangible net book value, dividends, realized and unrealized gains and losses, and total or economic return where reported. Check the issuer’s definitions, especially for non-GAAP measures, and do not compare figures calculated over different periods as if they were equivalent.
A dividend yield alone does not measure portfolio quality or the risk taken to pay the dividend. Read it alongside asset and funding exposures and changes in book value. A single quarter can also reflect market moves that do not describe the company’s longer-term performance.
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A practical comparison checklist
- Set the date: Use each company’s latest matching reporting period and label any figures drawn from a separate webpage or period.
- Write down definitions: Record the numerator, denominator, included positions, and averaging period for every leverage and hedge ratio.
- Map financing: Separate repo from other funding, note maturities and counterparties, and identify disclosed collateral and liquidity information.
- Classify the assets: Separate Agency from non-Agency exposure and identify the credit, prepayment, extension, spread, and liquidity risks relevant to each portfolio.
- Test hedge coverage: Match hedge instruments to disclosed rate and spread sensitivities; note exposures that remain unhedged or are not addressed by the hedge measure.
- Compare outcomes: Review book-value changes, distributions, gains or losses, and total-return measures over the same time horizon, using each issuer’s stated definitions.
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