AGNC is the same market as NLY, but they played it more aggressively. That means they both have the same net rate exposure, only AGNC will have a bigger dose. It's OK as a riskier alternative to NLY, but I don't see much virtue in having both.
If you want another mortgage REIT, consider diversifying into a variable-rate one like NYMT. NLY's fixed rate portfolio loses value in a rising-rate environment. So it might be wise to diversify with someone who gets the opposite effect.