AGNC, Annaly, Two Harbors: Dividend vs Book Value 2026

Three companies, three different businesses, and one that is gone

The three names are usually lumped together as “agency mortgage REITs,” meaning companies that borrow short-term to hold mortgage bonds guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Their own filings say that fits only one of them.

Annaly's capital has not been mostly Agency for some time: its 10-K for 2023 shows 61% of capital in Agency, 20% in residential credit and 18% in servicing rights, and the one for 2025 shows 62%, 19% and 19%. In the second quarter of 2026 it bought a record $7.1 billion of loans, and says it was the largest issuer of expanded-credit mortgages. A reader who thinks of Annaly as a pure bet on mortgage-bond spreads is reading about about 57% of the business.

Two Harbors holds Agency securities and mortgage servicing rights, a different exposure from either of the other two. Its 10-Q says its objective is “more stable performance, relative to RMBS portfolios without MSR.” That is a stated objective, not a result: its book value fell in six of the ten quarters below.

Dividend, book value and economic return, quarter by quarter

Each cell is the dividend declared for the quarter, book value per share at quarter-end, and economic return for the quarter. Economic return is the change in book value plus the dividend declared, divided by the prior quarter-end book value, the definition AGNC and Annaly both give in their filings. AGNC reports its own figure for eight quarters; the other cells are our arithmetic from the reported book value and dividend. AGNC uses tangible book value (excluding $0.45 a share of goodwill); Annaly and Two Harbors report book value. For Annaly, the company's own figures are 4.9% (Q3 2024), 0.7% (Q2 2025), 8.1% (Q3 2025) and, for Q2 2026, a “portfolio economic return” of 5.5%, against 5.4% on our arithmetic.

For the fourth quarters, AGNC's and Annaly's 10-Ks give the year, not the quarter, so the dividend is the full year less the nine months in the third-quarter 10-Q ($1.44 less $1.08 for AGNC) or the dividend the 10-K lists as paid after year-end (Annaly). The last row adds the book value at June 30, 2026 to the dividends declared and divides by the December 31, 2023 book value. It is not a shareholder return: it ignores the price anyone paid, reinvestment and tax, and these companies' shares do not trade at book value.

Three readings:

• The dividend is not paid from a stable base at AGNC. Tangible book value fell in five of the ten quarters (Q2 2024, Q4 2024, Q1 2025, Q2 2025, Q1 2026) and in four of them the fall (between $0.41 and $0.50) was larger than the $0.36 dividend (our arithmetic). The net result is a book value 1.4% lower after paying out $3.60, which is 41.4% of the starting tangible book value (our arithmetic).
• Annaly has had the smoother path. Its book value never fell by more than $0.57 in a quarter against a $0.65 to $0.75 dividend, and its book value at June 30, 2026 is above its level at December 31, 2023. It did so with less leverage (5.6x against AGNC's 7.4x), though it also holds residential credit and servicing rights that AGNC does not.
• Two Harbors shows what a single bad quarter costs. Its Q2 2025 book value drop of $2.52 includes the $199.9 million litigation accrual, about $1.92 a share (our arithmetic). The dividend was then cut from $0.45 to $0.39 and, a quarter later, to $0.34.

Does the portfolio earn the dividend? AGNC and Annaly side by side

Each company publishes a non-GAAP earnings measure it holds up against the dividend: AGNC's net spread and dollar roll income, and Annaly's earnings available for distribution. Neither is the same as net income, and they are not the same as each other: AGNC's is spread income net of funding and hedging costs; Annaly's also includes servicing income and credit-portfolio income. The ratios divide each company's per-share figure by the dividend (our arithmetic). AGNC's figure is per basic share; two fourth-quarter figures for each company are the full year less nine months.

AGNC's coverage fell from 1.61 times to a low of 0.94 times in the fourth quarter of 2025 and recovered to 1.11 times. Its 10-K for 2025 says the fall from $1.88 to $1.50 for the year was “primarily driven by lower swap income resulting from the maturity of legacy interest rate swaps with low fixed pay rates,” plus a timing mismatch between issuing and deploying new capital; it adds that another driver was “the level of unhedged short-term debt in our funding mix.” AGNC's hedge ratio, the share of funding liabilities covered by swaps and Treasury hedges, was 88% on December 31, 2024, 86% on June 30, 2025, 77% on September 30 and December 31, 2025, 83% on March 31, 2026 and 82% on June 30, 2026. Its average for 2025 was about 82%, against 93% in 2024. A lower hedge ratio can earn more when short-term rates fall and lose more when they rise; at June 30, 2026 its interest-rate swaps had a notional of $73.8 billion, 83% of funding liabilities, and the duration gap was 0.7 years.

Annaly's EAD has exceeded its dividend in every quarter since the second quarter of 2024. The company calls Q2 2026 the ninth consecutive quarter in which EAD surpassed the dividend, and raised the dividend to $0.75 in that quarter.

What a monthly dividend does to book value (our arithmetic)

AGNC declares its dividend monthly, which on its $0.36 a quarter is $0.12 a month (our arithmetic). On $8.58 of tangible book value that is 1.4% a month, 4.2% a quarter and 16.8% a year. To keep tangible book value flat while paying it, the portfolio has to earn a 16.8% economic return before the dividend. A higher book value does not make the dividend a smaller percentage; a lower one makes the same $0.36 a bigger one: in the quarter after the June 30, 2025 low of $7.81 the same $0.36 was 4.6% of that book value, against 4.1% when book value was $8.84. Annaly's $0.75 a quarter, annualized at $3.00, is 14.9% of its $20.15 book value; Two Harbors' last quarterly $0.34, annualized at $1.36, was 12.7% of its $10.68.

The size of a book-value hit relative to the dividend is where the two companies differ most. AGNC's tangible net book value would fall an estimated 5.3% if interest rates rose 50 basis points, which is about $0.45 a share (our arithmetic), nearly four months of dividends. Its estimate for a 75 basis point rise is 8.8%. Mortgage spreads matter more than rates for both companies, because hedges are generally not built to protect against spreads. AGNC's 10-Q says its “hedges are generally not designed to protect against spread risk.”

The two sets of shocks are not identical (Annaly uses 5, 15 and 25 basis point spread moves; AGNC uses 10, 25 and 50), and the models are each company's own. Annaly's table covers its securities, residential loans, servicing rights and derivatives. They are estimates of an instantaneous parallel move, not forecasts. They do show the kind of risk: both companies lose book value when spreads widen even if their hedges work.

Leverage, funding and share count

Both companies fund the bonds they hold mostly with repurchase agreements, which are short-term loans collateralized by the bonds. AGNC's 10-K says “We rely primarily on short-term borrowings to finance our mortgage investments,” and that leverage “also exposes us to the risk of margin calls and defaults under our funding agreements, which may result in forced sales of assets under adverse market conditions.” At June 30, 2026 it had $79.5 billion of repurchase agreements and other debt plus a $9.7 billion net TBA position, against $12.5 billion of equity, and $7.5 billion of unencumbered cash and Agency securities (62% of tangible equity).

The three leverage measures are the companies' own and include different things: AGNC's counts repurchase agreements, other debt and the net TBA position against equity excluding goodwill; Annaly's counts recourse debt plus TBA cost basis against total equity, leaving out non-recourse securitization debt ($124.9 billion of GAAP debt becomes $95.7 billion of economic debt at June 30, 2026); Two Harbors' includes TBA positions, unsettled securities and unsecured debt. They are comparable in direction, not to the decimal.

AGNC's share count is the other half of the per-share story. It rose 67.7% in 2.5 years while tangible book value per share was flat to slightly down, so the money for a larger portfolio has come largely from new shares. In Q2 2026 the issue was $167 million for 16.2 million shares, about $10.31 a share against $8.58 of tangible book value (our arithmetic), which adds to book value per share rather than diluting it. Annaly raised about $447 million of common equity through its at-the-market program in Q2 2026 alone. In both cases the per-share dividend is paid on a growing number of shares, so the total cash paid out rises even when the per-share dividend does not.

Two Harbors: what happened to the stock

A reader who searches “Two Harbors stock” today finds a company with no common stock to buy. The sequence from its filings:

Taking the 8-K's formula for the stub dividend, and a closing on August 25 (55 days elapsed from July 1 through August 24), it comes to $0.2033 a share (our arithmetic; we did not find the final amount in the filings we read). With the common stock gone, there will be no further Form 10-Q for Two Harbors, which is why the June 30, 2026 figures above are its last.

The deal price is a fact, not a verdict on anything: $12.00 is 1.12 times the $10.68 book value reported at June 30, 2026 (our arithmetic). Book value is an accounting number that, for these companies, moves with the quarter's rates and spreads.

How the risk differs from commercial mortgage REITs and from non-traded vehicles

Against credit mortgage REITs such as those on our commercial mortgage REIT table: those lend against specific properties and the risk is that a borrower does not pay, which shows up as non-accrual loans, reserves and real estate owned. AGNC's 10-K says “The payments of principal and interest we receive on our Agency RMBS are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae,” and adds that only the Ginnie Mae guarantee is explicitly backed by the full faith and credit of the U.S. government. So the credit-loss line that dominates the other table is small here. The risk moves to interest rates, mortgage spreads, prepayment speed and funding: a book of $97 billion on $12.5 billion of equity can lose book value without any borrower missing a payment, and the dividend is paid out of that same book. Annaly adds a credit book of its own (residential loans, 22% of capital), and Two Harbors adds servicing rights.

Against non-traded REITs and interval funds such as those in our non-traded versus publicly traded REIT and NAV REIT comparison pages: those price monthly, appraise properties and cap withdrawals; a listed agency REIT marks its securities to market every period and its shares trade every day at a price that can be well above or below the book value in the filing. The 10-Q gives you the book value; it does not tell you what the shares trade for or what someone else would pay. A person holding a non-traded fund and an agency REIT is holding two very different exposures: appraisal-based property values and a levered, daily-marked bond portfolio. For how listed mortgage REITs sit in index and sector funds, see REIT ETF holdings: that page shows the REM fund holding Annaly at 22.77% and AGNC at 15.32% as of its report date.

What the second-quarter 2026 filings say

• AGNC (10-Q filed July 31, 2026): total comprehensive income of $0.52 per share; economic return 6.7% ($0.36 dividends plus a $0.20 rise in tangible book value); net spread and dollar roll income $0.40 against $0.42 in Q1, which it attributes to a 6 basis point decline in net interest spread; portfolio $97.2 billion against $94.7 billion; weighted average coupon 5.04%; specified pools 79% of the fixed-rate portfolio; leverage 7.4x, unchanged; the 8-K of July 20 shows $526 million of goodwill ($0.45 a share) excluded from tangible book value. An 8-K of September 11, 2026 amends the employment agreement of its executive chair; it is an executive-pay item, not a change in the numbers above.
• Annaly (10-Q filed July 29, 2026): EAD $0.79 per share; dividend raised to $0.75; economic leverage 5.6x; Agency up $2.8 billion to $95.0 billion, shifted from 4.5% coupons into 5.5% and 6.0%; residential credit $10.4 billion; servicing rights $4.1 billion, with a record $7.1 billion of loan purchases. After the quarter it announced on August 19 that it would redeem all 17,700,000 shares of its 6.750% Series I preferred at $25.00 on October 1, which it did (about $442.5 million, our arithmetic), and on October 2 reclassified the redeemed shares as common stock.
• Two Harbors (10-Q filed July 29, 2026): book value $10.68; economic debt-to-equity 6.0x, down from 7.0x at December 31, 2025; the filing already describes the merger as approved and expected to close on August 3. It did not close until August 25.

What a reader can do with this

This page is analysis of public documents, not investment, legal or tax advice. These are checks the filings let you run on any levered mortgage REIT you own or consider:

• Put the dividend against book value, not only against price. The dividend divided by book value (14.9% at Annaly, 16.8% at AGNC) is how much of the company's accounting equity it hands out each year. If the economic return is lower than that over a year, the book value is shrinking.
• Read both lines of the economic return. A quarter with a 10.6% return (AGNC, Q3 2025) and a quarter with a -1.6% return (Q1 2026) can sit next to each other with the same $0.36 dividend; judge over several quarters and several rate moves, not one.
• Check the share count. A flat per-share book value on a growing share count means new money is funding the portfolio.
• Find the sensitivity table (Item 3 of the 10-Q) and convert the percentage into dollars per share, then into months of dividend, as above.
• For listed funds, read the holdings. If you hold a REIT or income ETF, see our REIT ETF holdings page for what mortgage REIT weight it carries. For tax treatment of the distributions, see REIT distributions and return of capital.

If most of your income now comes from a levered mortgage REIT and you are deciding how much of your portfolio that should be, that is a question about your whole position, which no filing answers. We find advisers who can look at it with you.

FAQ

All figures are from SEC EDGAR filings read on October 15, 2026. AGNC Investment Corp. (CIK 1423689), Forms 10-K 0001423689-24-000005, 0001423689-25-000007 and 0001423689-26-000043, Forms 10-Q 0001423689-24-000039, -24-000058, -24-000076, -25-000056, -25-000073, -25-000106, -26-000099 and -26-000128, and Forms 8-K 0001423689-26-000124 (July 20, 2026) and 0001423689-26-000135 (September 11, 2026). Annaly Capital Management (CIK 1043219), Forms 10-K 0001628280-24-005115, 0001628280-25-005451 and 0001043219-26-000013, Forms 10-Q 0001628280-24-020047, -24-033212, -24-044566, -25-023811, -25-036724, 0001043219-25-000012, -26-000028 and -26-000058, and Forms 8-K 0001043219-26-000061 (August 19, 2026) and 0001043219-26-000070 (October 2, 2026). Two Harbors Investment Corp. (CIK 1465740), Forms 10-K 0001465740-24-000076, -25-000083 and -26-000009, Forms 10-Q 0001465740-24-000114, -24-000162, -24-000196, -25-000104, -25-000140, -25-000152, -26-000027 and -26-000031, Forms 8-K 0001104659-26-089438 and 0001104659-26-100622, Form 25 0001104659-26-110353 and Form 15-12G 0001104659-26-114620. Economic returns not reported by the company, fourth-quarter figures derived from annual and nine-month filings, ratios, sums and the dollar and month translations are our arithmetic. Each company's measures use its own definitions. This is analysis of public documents, not investment, legal or tax advice.