What changed in this filing

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Item 1. Financial Statements

2020-08-07 compared with 2020-05-11 · 371 added, 220 removed, 538 unchanged (52% of the section changed)

3 unchanged sentences

(in millions, except per share data)

March 31, 2020

December 31, 2019

June 30, 2020 December 31, 2019

Agency securities, at fair value (including pledged securities of $ 69,956 and $ 92,608 , respectively)

$ 75,488 $ 98,516

Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) 344 371

1 unchanged sentence

Non-Agency securities, at fair value (including pledged securities of $ 511 and $ 0 , respectively)

Treasury securities, at fair value (pledged securities)

Treasury securities, at fair value (including pledged securities of $ 1,136 and $ 97 , respectively)

Cash and cash equivalents 859 831

1 unchanged sentence

Derivative assets, at fair value 140 190

Receivable for investment securities sold

Receivable for investment securities sold (including pledged securities of $ 480 and $0, respectively)

Receivable under reverse repurchase agreements 7,944 10,181

Goodwill 526 526

Other assets 265 364

Total assets $ 89,853 $ 113,082

Repurchase agreements $ 69,685 $ 89,182

9 unchanged sentences

Common stock - $ 0.01 par value;

900 shares authorized;

1,500 and 900 shares authorized, respectively;

555.5 and 540.9 shares issued and outstanding, respectively

1 unchanged sentence

Retained deficit ( 6,100 ) ( 3,886 )

Accumulated other comprehensive income (loss)

Accumulated other comprehensive income

Total stockholders' equity 10,350 11,041

4 unchanged sentences

(in millions, except per share data)

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

2020 2019 2020 2019

Interest income:

7 unchanged sentences

Total other gain (loss), net:

447 ( 547 ) ( 2,016 ) ( 427 )

Compensation and benefits 13 11 26 21

10 unchanged sentences

Weighted average number of common shares outstanding - basic

560.3 537.8 554.2 537.2

Weighted average number of common shares outstanding - diluted

560.8 537.8 554.2 537.2

Net income (loss) per common share - basic $ 1.24 $ ( 0.85 ) $ ( 3.16 ) $ ( 0.38 )

3 unchanged sentences

AGNC INVESTMENT CORP.

CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

(in millions)

Preferred Stock

Preferred Stock Common Stock Additional

Capital Retained

Deficit Accumulated

Comprehensive

Income (Loss)

Income (Loss) Total

Shares Amount

Balance, March 31, 2019 $ 711 536.3 $ 5 $ 13,795 $ ( 3,467 ) $ ( 543 ) $ 10,501

Net loss — — — — ( 444 ) — ( 444 )

Other comprehensive income:

Unrealized gain on available-for-sale securities, net — — — — — 379 379

Stock-based compensation

— 0.1 — 3 — — 3

Issuance of common stock, net of offering cost

— 11.4 — 190 — — 190

Preferred dividends declared

— — — — ( 13 ) — ( 13 )

Common dividends declared

— — — — ( 270 ) — ( 270 )

Balance, June 30, 2019 $ 711 547.8 $ 5 $ 13,988 $ ( 4,194 ) $ ( 164 ) $ 10,346

Balance, March 31, 2020 $ 1,489 567.7 $ 6 $ 14,334 $ ( 6,592 ) $ 561 $ 9,798

Net income — — — — 718 — 718

Other comprehensive income:

Unrealized gain on available-for-sale securities, net — — — — — 203 203

Stock-based compensation

— — — 4 — — 4

Repurchase of common stock

— ( 12.2 ) — ( 147 ) — — ( 147 )

Preferred dividends declared

— — — — ( 25 ) — ( 25 )

Common dividends declared

— — — — ( 201 ) — ( 201 )

Balance, June 30, 2020 $ 1,489 555.5 $ 6 $ 14,191 $ ( 6,100 ) $ 764 $ 10,350

Balance, December 31, 2018 $ 484 536.3 $ 5 $ 13,793 $ ( 3,433 ) $ ( 943 ) $ 9,906

Net loss — — — — ( 179 ) — ( 179 )

Other comprehensive income:

1 unchanged sentence

Stock-based compensation

— 0.1 — 5 — — 5

Issuance of common stock, net of offering cost

— 11.4 — 190 — — 190

Issuance of preferred stock, net of offering cost

227 — — — — — 227

Preferred dividends declared

— — — — ( 23 ) — ( 23 )

Common dividends declared

Balance, March 31, 2019

— — — — ( 559 ) — ( 559 )

Balance, June 30, 2019 $ 711 547.8 $ 5 $ 13,988 $ ( 4,194 ) $ ( 164 ) $ 10,346

Balance, December 31, 2019 $ 932 540.9 $ 5 $ 13,893 $ ( 3,886 ) $ 97 $ 11,041

Net loss — — — — ( 1,703 ) — ( 1,703 )

Other comprehensive income:

1 unchanged sentence

Stock-based compensation

— 0.1 — 7 — — 7

Issuance of preferred stock, net of offering cost

557 — — — — — 557

Issuance of common stock, net of offering cost

— 26.7 1 438 — — 439

Repurchase of common stock

— ( 12.2 ) — ( 147 ) — — ( 147 )

Preferred dividends declared

— — — — ( 46 ) — ( 46 )

Common dividends declared

Balance, March 31, 2020

— — — — ( 465 ) — ( 465 )

Balance, June 30, 2020 $ 1,489 555.5 $ 6 $ 14,191 $ ( 6,100 ) $ 764 $ 10,350

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Three Months Ended March 31,

Six Months Ended June 30,

Operating activities:

Net income (loss)

Net loss $ ( 1,703 ) $ ( 179 )

Adjustments to reconcile net income to net cash provided by operating activities:

27 unchanged sentences

Net proceeds from common stock issuances 439 190

Payments for common stock repurchases ( 147 ) —

Cash dividends paid ( 525 ) ( 587 )

35 unchanged sentences

Government agency;

rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds.

rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool

of loans exceed certain thresholds.

By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.

Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank.

Non-Agency MBS typically benefit

from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS.

Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS.

All of our securities are reported at fair value on our consolidated balance sheet.

9 unchanged sentences

Since all of our available-for-sale designated securities consist of Agency RMBS, we do not have an allowance for credit losses.

For the three months ended March 31, 2020 and 2019, we have not recognized any impairment losses on our available-for-sale securities through net income.

We have not recognized impairment losses on our available-for-sale securities through net income for any of the periods presented in our consolidated financial statements.

Interest Income

50 unchanged sentences

Our interest rate swaption agreements are not subject to central clearing.

The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets.

The premium paid for interest rate swaptions is reported as an asset in

our consolidated balance sheets.

The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

29 unchanged sentences

Investment Securities

As of March 31, 2020 and December 31, 2019 , our investment portfolio consisted of $ 71.8 billion and $ 100.4 billion of investment securities, at fair value, respectively, and $ 21.2 billion and $ 7.4 billion of net TBA securities, at fair value, respectively.

Our net TBA position is reported at its net carrying value of $ 574 million and $ 25 million as of March 31, 2020 and December 31, 2019 , respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets.

As of June 30, 2020 and December 31, 2019, our investment portfolio consisted of $ 77.1 billion and $ 100.4 billion of investment securities, at fair value, respectively, and $ 20.5 billion and $ 7.4 billion of net TBA securities, at fair value, respectively.

Our net TBA position is reported at its net carrying value of $ 130 million and $ 25 million as of June 30, 2020 and December 31, 2019, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets.

The net carrying value of our TBA position represents the difference between the fair value of the underlying Agency security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying Agency security.

As of March 31, 2020 and December 31, 2019 , our investment securities had a net unamortized premium balance of $ 2.6 billion and $ 3.1 billion , respectively.

The following tables summarize our investment securities as of March 31, 2020 and December 31, 2019 , excluding TBA securities, (dollars in millions).

As of June 30, 2020 and December 31, 2019, our investment securities had a net unamortized premium balance of $ 2.9 billion and $ 3.1 billion, respectively.

The following tables summarize our investment securities as of June 30, 2020 and December 31, 2019, excluding TBA securities, (dollars in millions).

Details of our TBA securities as of each of the respective dates are included in Note 6.

March 31, 2020

December 31, 2019

Investment Securities

June 30, 2020 December 31, 2019

Investment Securities Amortized

Cost Fair Value Amortized

Cost Fair Value

Fixed rate $ 71,885 $ 75,165 $ 96,375 $ 98,074

Adjustable rate 109 112 160 163

CMO 365 381 441 447

Interest-only and principal-only strips 128 155 146 164

Multifamily 17 19 37 39

Total Agency RMBS 72,504 75,832 97,159 98,887

Non-Agency RMBS 221 222 198 209

CMBS 361 377 352 370

CRT securities 742 712 961 976

Total investment securities $ 73,828 $ 77,143 $ 98,670 $ 100,442

March 31, 2020

Investment Securities

June 30, 2020

Agency RMBS Non-Agency

Investment Securities Fannie Mae Freddie Mac Ginnie

Mae RMBS CMBS CRT Total

Available-for-sale securities:

$ 11,774 $ 4,147 $ 16 $ — $ — $ — $ 15,937

Unamortized discount

( 6 ) ( 1 ) — — — — ( 7 )

Unamortized premium

538 211 — — — — 749

Amortized cost

12,306 4,357 16 — — — 16,679

Gross unrealized gains

581 183 1 — — — 765

Gross unrealized losses

( 1 ) — — — — — ( 1 )

Total available-for-sale securities, at fair value 12,886 4,540 17 — — — 17,443

Securities remeasured at fair value through earnings:

32,084 21,537 4 229 357 730 54,941

Unamortized discount

( 22 ) ( 2 ) — ( 10 ) ( 2 ) ( 6 ) ( 42 )

Unamortized premium

1,323 898 — 4 7 18 2,250

Amortized cost

33,385 22,433 4 223 362 742 57,149

Gross unrealized gains

1,471 1,103 — 8 23 3 2,608

Gross unrealized losses

( 4 ) ( 3 ) — ( 9 ) ( 8 ) ( 33 ) ( 57 )

Total securities remeasured at fair value through earnings 34,852 23,533 4 222 377 712 59,700

Total securities, at fair value $ 47,738 $ 28,073 $ 21 $ 222 $ 377 $ 712 $ 77,143

Weighted average coupon as of March 31, 2020

Weighted average yield as of March 31, 2020 1

Weighted average coupon as of June 30, 2020

3.65 % 3.80 % 3.80 % 4.15 % 4.20 % 3.46 % 3.71 %

Incorporates a weighted average future constant prepayment rate assumption of 14.5 % based on forward rates as of March 31, 2020 .

Weighted average yield as of June 30, 2020 1

2.60 % 2.68 % 2.23 % 4.01 % 4.11 % 2.94 % 2.64 %

________________________________

Incorporates a weighted average future constant prepayment rate assumption of 16.6 % based on forward rates as of June 30, 2020.

December 31, 2019

Investment Securities

Agency RMBS Non-Agency

Investment Securities Fannie

Mae Freddie Mac Ginnie

Mae RMBS CMBS CRT Total

Available-for-sale securities:

$ 14,301 $ 4,762 $ 18 $ — $ — $ — $ 19,081

Unamortized discount

( 10 ) ( 2 ) — — — — ( 12 )

Unamortized premium

711 276 — — — — 987

Amortized cost 15,002 5,036 18 — — — 20,056

Gross unrealized gains

142 29 1 — — — 172

Gross unrealized losses

( 50 ) ( 25 ) — — — — ( 75 )

Total available-for-sale securities, at fair value 15,094 5,040 19 — — — 20,153

Securities remeasured at fair value through earnings:

Par value 45,106 29,881 — 208 348 937 76,480

Unamortized discount ( 68 ) ( 2 ) — ( 10 ) ( 3 ) ( 2 ) ( 85 )

6 unchanged sentences

Weighted average coupon as of December 31, 2019

3.62 % 3.75 % 3.77 % 4.05 % 4.49 % 5.07 % 3.68 %

Weighted average yield as of December 31, 2019 1

3.03 % 3.09 % 2.08 % 4.39 % 4.38 % 4.05 % 3.07 %

________________________________

Incorporates a weighted average future constant prepayment rate assumption of 10.8 % based on forward rates as of December 31, 2019.

As of March 31, 2020 and December 31, 2019 , our investments in CRT and non-Agency securities had the following credit ratings:

March 31, 2020

December 31, 2019

As of June 30, 2020 and December 31, 2019, our investments in CRT and non-Agency securities had the following credit ratings:

June 30, 2020 December 31, 2019

CRT and Non-Agency Security Credit Ratings 1

CRT RMBS CMBS CRT RMBS CMBS

AAA $ — $ — $ 34 $ — $ — $ 43

AA — 69 223 — 81 214

A — 32 31 13 25 34

BBB 99 80 59 67 71 69

BB 244 26 30 471 21 10

B 251 5 — 308 4 —

Not Rated 118 10 — 117 7 —

Total $ 712 $ 222 $ 377 $ 976 $ 209 $ 370

________________________________

4 unchanged sentences

The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates.

As of March 31, 2020 and December 31, 2019 , the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 14.5 % and 10.8 % , respectively.

As of June 30, 2020 and December 31, 2019, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 16.6 % and 10.8 %, respectively.

Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs.

The following table summarizes our investments as of March 31, 2020 and December 31, 2019 according to their estimated weighted average life classification (dollars in millions):

March 31, 2020

December 31, 2019

Estimated Weighted Average Life of Investment Securities

The following table summarizes our investments as of June 30, 2020 and December 31, 2019 according to their estimated weighted average life classification (dollars in millions):

June 30, 2020 December 31, 2019

Estimated Weighted Average Life of Investment Securities Fair Value Amortized

Cost Weighted

Coupon Weighted

Yield Fair Value Amortized

Cost Weighted

Coupon Weighted

≤ 3 years $ 2,713 $ 2,686 3.48 % 1.88 % $ 2,671 $ 2,654 3.54 % 2.61 %

> 3 years and ≤ 5 years 43,494 41,853 3.70 % 2.53 % 10,822 10,563 3.85 % 3.20 %

> 5 years and ≤10 years 30,864 29,210 3.73 % 2.88 % 86,492 85,002 3.67 % 3.07 %

The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2020 and December 31, 2019 (in millions):

> 10 years 72 79 4.33 % 3.39 % 457 451 3.31 % 3.06 %

$ 77,143 $ 73,828 3.71 % 2.64 % $ 100,442 $ 98,670 3.68 % 3.07 %

Unrealized Loss Position For

Less than 12 Months

12 Months or More

Securities Classified as Available-for-Sale

March 31, 2020

Less than 12 Months 12 Months or More Total

Securities Classified as Available-for-Sale Fair

Value Unrealized

Fair Value Unrealized

Value Unrealized

June 30, 2020 $ — $ — $ 22 $ ( 1 ) $ 22 $ ( 1 )

December 31, 2019 $ 1,653 $ ( 12 ) $ 6,984 $ ( 63 ) $ 8,637 $ ( 75 )

Gains and Losses on Sale of Investment Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2020 and 2019 by investment classification of accounting (in millions):

Three Months Ended March 31,

Investment Securities

Available-for-Sale

Fair Value Option Securities

Available-for-Sale

Fair Value Option Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2020 and 2019 by investment classification of accounting (in millions):

Three Months Ended June 30,

Investment Securities Available-for-Sale

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ ( 1,278 ) $ ( 4,472 ) $ ( 5,750 ) $ ( 366 ) $ ( 7,769 ) $ ( 8,135 )

Proceeds from investment securities sold 1

1,317 4,586 5,903 361 7,906 8,267

Net gain (loss) on sale of investment securities $ 39 $ 114 $ 153 $ ( 5 ) $ 137 $ 132

2 unchanged sentences

Net gain (loss) on sale of investment securities $ 39 $ 114 $ 153 $ ( 5 ) $ 137 $ 132

Six Months Ended June 30,

Investment Securities Available-for-Sale

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ ( 1,433 ) $ ( 53,912 ) $ ( 55,345 ) $ ( 705 ) $ ( 12,331 ) $ ( 13,036 )

Proceeds from investment securities sold 1

1,473 54,519 55,992 696 12,532 13,228

Net gain (loss) on sale of investment securities $ 40 $ 607 $ 647 $ ( 9 ) $ 201 $ 192

Gross gain on sale of investment securities $ 40 $ 696 $ 736 $ — $ 204 $ 204

Gross loss on sale of investment securities — ( 89 ) ( 89 ) ( 9 ) ( 3 ) ( 12 )

Net gain (loss) on sale of investment securities $ 40 $ 607 $ 647 $ ( 9 ) $ 201 $ 192

________________________________

Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.

3 unchanged sentences

We pledge our securities as collateral under our borrowings structured as repurchase agreements with financial institutions.

Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries.

Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which

fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries.

If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us.

As of March 31, 2020 , we had met all margin call requirements.

As of June 30, 2020, we had met all margin call requirements.

For additional information regarding our pledged assets, please refer to Note 7.

As of March 31, 2020 and December 31, 2019 , we had $ 66.5 billion and $ 89.2 billion , respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S.

As of June 30, 2020 and December 31, 2019, we had $ 69.7 billion and $ 89.2 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S.

Treasury securities.

1 unchanged sentence

Our repurchase agreements with original maturities greater than one year have floating interest rates based on an index plus or minus a fixed spread.

The following

table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2020 and December 31, 2019 (dollars in millions):

March 31, 2020

December 31, 2019

Remaining Maturity

Repurchase Agreements

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2020 and December 31, 2019 (dollars in millions):

June 30, 2020 December 31, 2019

Remaining Maturity Repurchase Agreements Weighted

Rate Weighted

to Maturity Repurchase Agreements Weighted

Rate Weighted

≤ 1 month $ 44,718 0.30 % 11 $ 56,664 2.19 % 10

> 1 to ≤ 3 months 10,132 0.32 % 50 20,761 2.01 % 53

5 unchanged sentences

Total Agency repo

69,166 0.41 % 60 89,085 2.17 % 55

Treasury repo:

> 1 day to ≤ 1 month 519 0.12 % 1 97 1.63 % 2

As of March 31, 2020 and December 31, 2019 , $ 20.7 billion and $ 17.0 billion , respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand.

As of March 31, 2020 , we had $ 9.3 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 16 days and a weighted average interest rate of 0.74 % .

Total $ 69,685 0.41 % 59 $ 89,182 2.17 % 55

As of June 30, 2020 and December 31, 2019, $ 13.0 billion and $ 17.0 billion, respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand.

As of June 30, 2020, we had $ 1.5 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 1 day and a weighted average interest rate of 0.30 %.

As of December 31, 2019, we had $ 4.5 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 12 days and a weighted average interest rate of 1.60 %.

As of March 31, 2020 and December 31, 2019 , 56 % and 40 % , respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").

Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 54 % and 38 % of our repurchase agreement funding outstanding as of March 31, 2020 and December 31, 2019 , respectively.

As of June 30, 2020 and December 31, 2019, 48 % and 40 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").

Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 47 % and 38 % of our repurchase agreement funding outstanding as of June 30, 2020 and December 31, 2019, respectively.

During the three and six months ended June 30, 2020, we terminated $ 3.7 billion of repurchase agreements with a weighted average interest rate of 2.11 % and a weighted average remaining maturity of 2.2 years.

The terminated agreements were replaced with shorter duration repurchase agreements at lower prevailing market rates.

We recognized losses on debt extinguishment of $ 146 million in other gain (loss), net for the three and six months ended June 30, 2020 associated with the terminated repurchase agreements.

We did not terminate any repurchase agreements during the prior year periods.

Reverse Repurchase Agreements

As of March 31, 2020 and December 31, 2019 , we had $4.9 billion and $10.2 billion , respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S.

As of June 30, 2020 and December 31, 2019, we had $7.9 billion and $10.2 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S.

Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $7.9 billion and $9.5 billion, respectively.

As of March 31, 2020 and December 31, 2019 , $ 4.6 billion and $ 5.4 billion , respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

As of June 30, 2020 and December 31, 2019, $ 4.3 billion and $ 5.4 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

5 unchanged sentences

Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2020 and December 31, 2019 (in millions):

Derivative and Other Hedging Instruments

Balance Sheet Location

March 31, 2020

December 31, 2019

Interest rate swaps

Derivative assets, at fair value

TBA securities

Derivative assets, at fair value

Treasury futures - short

Derivative assets, at fair value

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of June 30, 2020 and December 31, 2019 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

Interest rate swaps Derivative assets, at fair value $ — $ 21

Swaptions Derivative assets, at fair value 6 126

TBA securities Derivative assets, at fair value 130 29

Treasury futures - short Derivative assets, at fair value — 14

Other Derivative assets, at fair value 4 —

Total derivative assets, at fair value

Interest rate swaps

Derivative liabilities, at fair value

TBA securities

Derivative liabilities, at fair value

Treasury futures - short

Derivative liabilities, at fair value

Interest rate swaps Derivative liabilities, at fair value $ — $ ( 2 )

TBA securities Derivative liabilities, at fair value — ( 4 )

Treasury futures - short Derivative liabilities, at fair value ( 3 ) —

Total derivative liabilities, at fair value

Treasury securities - long

$ ( 3 ) $ ( 6 )

Treasury securities - long U.S.

Treasury securities, at fair value $ 1,181 $ 97

Treasury securities - short

Obligation to return securities borrowed under reverse repurchase agreements, at fair value

Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value ( 7,929 ) ( 9,543 )

Treasury securities, net at fair value

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2020 and December 31, 2019 (dollars in millions):

March 31, 2020

December 31, 2019

Pay Fixed / Receive Variable Interest Rate Swaps

$ ( 6,748 ) $ ( 9,446 )

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2020 and December 31, 2019 (dollars in millions):

June 30, 2020 December 31, 2019

Pay Fixed / Receive Variable Interest Rate Swaps Notional

Amount Average

(Years) Notional

Amount Average

≤ 3 years $ 8,500 0.24 % 0.21 % 2.4 $ 59,700 1.30 % 1.58 % 1.6

> 3 to ≤ 5 years 16,500 0.20 % 0.08 % 4.3 9,850 1.17 % 1.55 % 3.8

1 unchanged sentence

> 7 to ≤ 10 years 3,150 0.78 % 0.08 % 8.6 2,850 1.36 % 1.58 % 8.9

Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount)

March 31, 2020

December 31, 2019

Underlying Payer Swap

Current Option Expiration Date

> 10 years 975 1.30 % 0.16 % 15.7 1,025 1.64 % 1.78 % 15.4

Total $ 42,075 0.39 % 0.13 % 5.1 $ 79,075 1.29 % 1.59 % 2.7

Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount) June 30, 2020 December 31, 2019

OIS 79 % 86 %

SOFR 16 % 3 %

3M LIBOR 5 % 11 %

Total 100 % 100 %

Swaptions Option Underlying Payer Swap

Current Option Expiration Date Cost Basis Fair Value Average

Months to Current Option

Expiration Date 1

Average Fixed Pay

March 31, 2020

Amount Average Fixed Pay

June 30, 2020

≤ 1 year $ 150 $ 2 6 $ 7,850 2.29 % 9.4

> 1 year ≤ 2 years 25 4 16 1,500 1.85 % 10.0

Total $ 175 $ 6 7 $ 9,350 2.22 % 9.5

December 31, 2019

≤ 1 year $ 123 $ 80 8 $ 5,650 2.26 % 9.3

> 1 year ≤ 2 years 53 46 16 3,200 2.50 % 10.0

Total $ 176 $ 126 11 $ 8,850 2.34 % 9.5

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As of March 31, 2020 and December 31, 2019 , ≤ 1 year notional amount includes $ 700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.

Treasury Securities

March 31, 2020

December 31, 2019

Face Amount Long/(Short)

As of June 30, 2020 and December 31, 2019, ≤ 1 year notional amount includes $ 700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.

As of June 30, 2020, 79% and 21% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively, and, as of December 31, 2019, 100% of the underlying payer swap receive rates were tied to 3-Month LIBOR.

Treasury Securities June 30, 2020 December 31, 2019

Maturity Face Amount Long/(Short) Cost Basis 1

Fair Value Face Amount Long/(Short) Cost Basis 1

5 years $ ( 477 ) $ ( 444 ) $ ( 434 ) $ 95 $ 95 $ 97

7 years ( 1,008 ) ( 1,007 ) ( 1,020 ) — — —

10 years ( 4,630 ) ( 4,816 ) ( 5,294 ) ( 9,224 ) ( 9,329 ) ( 9,543 )

Treasury securities $ ( 6,115 ) $ ( 6,267 ) $ ( 6,748 ) $ ( 9,129 ) $ ( 9,234 ) $ ( 9,446 )

________________________________

As of March 31, 2020 and December 31, 2019 , short U.S.

As of June 30, 2020 and December 31, 2019, short U.S.

Treasury securities had a weighted average yield of 1.33 % and 2.19 %, respectively, and long U.S.

Treasury securities had a weighted average yield of 0.61 % and 2.21 %, respectively.

Treasury Futures

March 31, 2020

December 31, 2019

Net Carrying Value 1

Treasury Futures June 30, 2020 December 31, 2019

Maturity Notional

Long (Short) Cost

Value Net Carrying Value 1

Long (Short) Cost

Value Net Carrying Value 1

10 years $ ( 1,000 ) $ ( 1,389 ) $ ( 1,392 ) $ ( 3 ) $ ( 1,000 ) $ ( 1,298 ) $ ( 1,284 ) $ 14

________________________________

2 unchanged sentences

Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

March 31, 2020

December 31, 2019

TBA Securities by Coupon

Net Carrying Value 1

June 30, 2020 December 31, 2019

TBA Securities by Coupon Notional

Long (Short) Cost

Value Net Carrying Value 1

Long (Short) Cost

Value Net Carrying Value 1

15-Year TBA securities:

$ 7,296 $ 7,522 $ 7,557 $ 35 $ 805 $ 811 $ 812 $ 1

75 79 79 — 1,059 1,083 1,086 3

— — — — 241 250 250 —

— — — — 75 78 78 —

Total 15-Year TBA securities 7,371 7,601 7,636 35 2,180 2,222 2,226 4

30-Year TBA securities:

10,758 11,091 11,187 96 — — — —

908 951 955 4 5,008 5,052 5,073 21

99 105 104 ( 1 ) 1,226 1,259 1,261 2

624 665 661 ( 4 ) ( 1,507 ) ( 1,565 ) ( 1,568 ) ( 3 )

— — — — 415 436 437 1

Total 30-Year TBA securities, net 12,389 12,812 12,907 95 5,142 5,182 5,203 21

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Gain (Loss) From Derivative Instruments and Other Securities, Net

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three months ended March 31, 2020 and 2019 (in millions):

Derivative and Other Hedging Instruments

Notional Amount

Settlement, Termination,

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2020 and 2019 (in millions):

Derivative and Other Hedging Instruments Beginning

Notional Amount Additions Settlement, Termination,

Expiration or

Notional Amount

Exercise Ending

Notional Amount Gain/(Loss)

on Derivative Instruments and Other Securities, Net 1

Three months ended March 31, 2020:

Three months ended June 30, 2020:

TBA securities, net $ 20,279 75,186 ( 75,705 ) $ 19,760 $ 220

4 unchanged sentences

Treasury futures contracts - short position $ ( 1,000 ) ( 1,000 ) 1,000 $ ( 1,000 ) ( 8 )

Three months ended March 31, 2019:

Three months ended June 30, 2019:

TBA securities, net $ 6,822 27,859 ( 23,638 ) $ 11,043 $ 163

4 unchanged sentences

Treasury futures contracts - short position $ ( 1,650 ) ( 1,650 ) 1,650 $ ( 1,650 ) ( 57 )

Six months ended June 30, 2020:

TBA securities, net $ 7,322 112,936 ( 100,498 ) $ 19,760 $ 913

Interest rate swaps - payer $ 79,075 75,725 ( 112,725 ) $ 42,075 ( 3,174 )

Payer swaptions $ 8,850 2,000 ( 1,500 ) $ 9,350 ( 148 )

Treasury securities - short position $ ( 9,224 ) ( 10,232 ) 12,209 $ ( 7,247 ) ( 997 )

Treasury securities - long position $ 95 7,011 ( 5,974 ) $ 1,132 101

Treasury futures contracts - short position $ ( 1,000 ) ( 2,000 ) 2,000 $ ( 1,000 ) ( 112 )

Six months ended June 30, 2019:

TBA securities, net $ 7,152 46,301 ( 42,410 ) $ 11,043 $ 246

Interest rate swaps $ 51,625 70,350 ( 47,025 ) $ 74,950 ( 1,615 )

Payer swaptions $ 3,500 2,650 ( 1,750 ) $ 4,400 ( 52 )

Treasury securities - short position $ ( 21,345 ) ( 7,306 ) 21,406 $ ( 7,245 ) ( 930 )

Treasury securities - long position $ 45 1,423 ( 334 ) $ 1,134 6

Treasury futures contracts - short position $ ( 1,650 ) ( 3,300 ) 3,300 $ ( 1,650 ) ( 88 )

________________________________

Amounts exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Amounts exclude $ 146 million of losses on debt extinguishment for the three and six months ended June 30, 2020 (see Note 5) and other miscellaneous gains and losses for all periods presented recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Pledged Assets

Our funding agreements require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate

Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract.

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However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark-to-market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.

As of March 31, 2020 and December 31, 2019, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 6 % and 4 % , respectively, of our tangible stockholders' equity (measured as the excess of the value of collateral pledged over the amount of our repurchase liabilities).

The following table summarizes certain characteristics of our repurchase agreements outstanding with counterparties representing amounts at risk greater than or equal to 5% of our stockholders' equity as of March 31, 2020 (dollars in millions):

March 31, 2020

Amount Outstanding

Net Counterparty Exposure 1

Percent of Stockholders' Equity

Weighted Average Months to Maturity

Morgan Securities, LLC

______________________

Represents the net carrying value of securities pledged under repurchase agreements, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

As of March 31, 2020 and December 31, 2019, approximately 10 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

As of June 30, 2020, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 3 % of our tangible stockholders' equity (measured as the excess of the value of collateral pledged over the amount of our repurchase liabilities).

As of June 30, 2020, approximately 11 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

Assets Pledged to Counterparties

The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2020 and December 31, 2019 (in millions):

March 31, 2020

June 30, 2020

Assets Pledged to Counterparties 1

Repurchase Agreements 2

Debt of Consolidated VIEs

Derivative Agreements

Brokerage and Clearing Agreements 3

Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3

Agency RMBS - fair value $ 70,357 $ 344 $ — $ 176 $ 70,877

CRT - fair value

490 — — — 490

Non-Agency - fair value

514 — — — 514

Treasury securities - fair value

668 — 468 — 1,136

Accrued interest on pledged securities

203 1 2 — 206

Restricted cash 658 — 648 — 1,306

Total $ 72,890 $ 345 $ 1,118 $ 176 $ 74,529

December 31, 2019

1 unchanged sentence

Repurchase Agreements 2

Debt of Consolidated VIEs

Derivative Agreements

Brokerage and Clearing Agreements 3

Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3

Agency RMBS - fair value $ 92,142 $ 371 $ 404 $ 206 $ 93,123

CRT - fair value

309 — — — 309

Treasury securities - fair value

453 — — 28 481

Accrued interest on pledged securities

267 1 1 1 270

Restricted cash 111 — 340 — 451

Total $ 93,282 $ 372 $ 745 $ 235 $ 94,634

________________________________

Includes repledged assets received as collateral from counterparties.

Includes $ 113 million and $ 144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2020 and December 31, 2019 , respectively.

Includes repledged assets received as collateral from counterparties and securities sold but not yet settled.

Includes $ 111 million and $ 144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2020 and December 31, 2019, respectively.

Includes margin for TBAs cleared through prime brokers and other clearing deposits.

The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of March 31, 2020 and December 31, 2019 (in millions).

For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 .

March 31, 2020

December 31, 2019

June 30, 2020 December 31, 2019

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

Fair Value of Pledged Securities

Cost of Pledged Securities

Fair Value of Pledged Securities

Cost of Pledged Securities

Fair Value of Pledged Securities Amortized

Cost of Pledged Securities Accrued

Securities Fair Value of Pledged Securities Amortized

Cost of Pledged Securities Accrued

≤ 30 days $ 46,347 $ 44,231 $ 131 $ 56,990 $ 55,951 $ 167

> 30 and ≤ 60 days 7,659 7,308 22 14,410 14,114 42

> 60 and ≤ 90 days 2,953 2,838 8 7,637 7,536 20

> 90 days 15,070 14,447 42 13,510 13,286 38

Total $ 72,029 $ 68,824 $ 203 $ 92,547 $ 90,887 $ 267

________________________________

Includes $ 113 million and $ 144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2020 and December 31, 2019 , respectively.

Includes $ 111 million and $ 144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2020 and December 31, 2019, respectively.

Excludes $ 357 million of repledged U.S.

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Assets Pledged from Counterparties

As of March 31, 2020 and December 31, 2019 , we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

March 31, 2020

December 31, 2019

Assets Pledged to AGNC

Reverse Repurchase Agreements

Derivative Agreements

Repurchase Agreements

Reverse Repurchase Agreements

Derivative Agreements

Repurchase Agreements

As of June 30, 2020 and December 31, 2019, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

June 30, 2020 December 31, 2019

Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total

Treasury securities - fair value 1

$ 7,931 $ — $ 8 $ 7,939 $ 10,099 $ — $ 1 $ 10,100

As of March 31, 2020 and December 31, 2019 , $ 0 million and $ 357 million , respectively, of U.S.

— 7 17 24 — 116 — 116

Total $ 7,931 $ 7 $ 25 $ 7,963 $ 10,099 $ 116 $ 1 $ 10,216

________________________________

As of June 30, 2020 and December 31, 2019, $ 0 million and $ 357 million, respectively, of U.S.

Treasury securities received from counterparties were repledged as collateral and $7.9 billion and $9.5 billion, respectively, were used to cover short sales of U.S.

3 unchanged sentences

We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets.

The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2020 and December 31, 2019 (in millions):

Offsetting of Financial and Derivative Assets

Gross Amounts of Recognized Assets

Gross Amounts Offset in the Consolidated Balance Sheets

Net Amounts of Assets Presented in the Consolidated Balance Sheets

Gross Amounts Not Offset

Consolidated Balance Sheets

Financial Instruments

Collateral Received 2

March 31, 2020

Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset

Consolidated Balance Sheets Net Amount

Financial Instruments Collateral Received 2

June 30, 2020

Interest rate swap and swaption agreements, at fair value 1

$ 6 $ — $ 6 $ — $ ( 6 ) $ —

TBA securities, at fair value 130 — 130 — — 130

Receivable under reverse repurchase agreements 7,944 — 7,944 ( 6,082 ) ( 1,862 ) —

Total $ 8,080 $ — $ 8,080 $ ( 6,082 ) $ ( 1,868 ) $ 130

December 31, 2019

Interest rate swap and swaption agreements, at fair value 1

$ 147 $ — $ 147 $ ( 2 ) $ ( 116 ) $ 29

TBA securities, at fair value 29 — 29 ( 4 ) — 25

Receivable under reverse repurchase agreements 10,181 — 10,181 ( 9,852 ) ( 329 ) —

Total $ 10,357 $ — $ 10,357 $ ( 9,858 ) $ ( 445 ) $ 54

Offsetting of Financial and Derivative Liabilities

Gross Amounts of Recognized Liabilities

Gross Amounts Offset in the Consolidated Balance Sheets

Net Amounts of Liabilities Presented in the Consolidated Balance Sheets

Gross Amounts Not Offset

Consolidated Balance Sheets

Financial Instruments

Collateral Pledged 2

March 31, 2020

Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset

Consolidated Balance Sheets Net Amount

Financial Instruments Collateral Pledged 2

June 30, 2020

Interest rate swap agreements, at fair value 1

$ — $ — $ — $ — $ — $ —

TBA securities, at fair value — — — — — —

Repurchase agreements 69,685 — 69,685 ( 6,082 ) ( 63,604 ) ( 1 )

Total $ 69,685 $ — $ 69,685 $ ( 6,082 ) $ ( 63,604 ) $ ( 1 )

December 31, 2019

Interest rate swap agreements, at fair value 1

$ 2 $ — $ 2 $ ( 2 ) $ — $ —

TBA securities, at fair value 4 — 4 ( 4 ) — —

Repurchase agreements 89,182 — 89,182 ( 9,852 ) ( 79,330 ) —

Total $ 89,188 $ — $ 89,188 $ ( 9,858 ) $ ( 79,330 ) $ —

________________________________

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We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities and for consistency with market conditions observed as of the measurement date.

While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation procedures and our market knowledge and expertise that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price.

While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation

procedures and our market knowledge and expertise that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price.

The markets for interest rate swap, swaption and TBA derivatives and for the investment securities that we invest in are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis.

1 unchanged sentence

Consequently, we classify these instruments as Level 2 inputs in the fair value hierarchy.

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2020 and December 31, 2019 , based on their categorization within the valuation hierarchy (in millions).

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of June 30, 2020 and December 31, 2019, based on their categorization within the valuation hierarchy (in millions).

There were no transfers between valuation hierarchy levels during the periods presented.

March 31, 2020

December 31, 2019

June 30, 2020 December 31, 2019

Level 1 Level 2 Level 3 Level 1 Level 2 Level 3

Agency securities

$ — $ 75,488 $ — $ — $ 98,516 $ —

Agency securities transferred to consolidated VIEs

— 344 — — 371 —

Credit risk transfer securities

— 712 — — 976 —

Non-Agency securities

— 599 — — 579 —

Treasury securities

1,181 — — 97 — —

Interest rate swaps

— 6 — — 126 —

TBA securities

— 130 — — 29 —

Treasury futures

Total $ 1,181 $ 77,283 $ — $ 111 $ 100,618 $ —

Debt of consolidated VIEs $ — $ 204 $ — $ — $ 228 $ —

4 unchanged sentences

Treasury futures

Total $ 7,932 $ 204 $ — $ 9,543 $ 234 $ —

Excluded from the table above are financial instruments presented in our consolidated financial statements at cost.

The fair value of our repurchase agreements was approximately $ 66.8 billion as of March 31, 2020 , compared to our cost of $66.5 billion , based on lower prevailing interest rates observed in the repo market compared to our outstanding repurchase agreements.

The fair value of our repurchase agreements, as of December 31, 2019 , approximated cost as the prevailing rates observed in the repo market largely corresponded to our outstanding repurchase agreements.

The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost, as of March 31, 2020 and December 31, 2019 , due to their short duration.

The fair value of our repurchase agreements approximated cost as of June 30, 2020 and December 31, 2019, as 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 June 30, 2020 and December 31, 2019 due to their short duration.

We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs.

4 unchanged sentences

The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated (shares and dollars in millions):

Three Months Ended March 31,

Three Months Ended

Six Months Ended June 30,

2020 2019 2020 2019

Weighted average number of common shares issued and outstanding 559.1 537.4 553.3 536.9

6 unchanged sentences

Net income (loss) per common share - diluted $ 1.24 $ ( 0.85 ) $ ( 3.16 ) $ ( 0.38 )

For the three months ended March 31, 2020, 1.2 million of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.

For the six months ended June 30, 2020, 0.8 million and, for the three and six months ended June 30, 2019, 0.6 million of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.

Stockholders' Equity

1 unchanged sentence

We are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series.

As of March 31, 2020 , 13,800 , 10,350 , 16,100 and 23,000 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively).

As of June 30, 2020, 13,800 , 10,350 , 16,100 and 23,000 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively).

During February 2020, we issued $575 million, or 23,000 shares, of 6.125% Series F Preferred Stock, for net proceeds of $557 million.

As of March 31, 2020 , 13,000 , 9,400 , 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding, with an aggregate carrying value of $ 1,489 million and aggregate liquidation preference of $ 1,538 million .

As of June 30, 2020, 13,000 , 9,400 , 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding, with an aggregate carrying value of $ 1,489 million and aggregate liquidation preference of $ 1,538 million.

Each share of preferred stock is represented by 1,000 depositary shares.

4 unchanged sentences

Beginning on each series' optional redemption date, we may redeem shares at $ 25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared), exclusively at our option.

The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2020 (dollars and shares in millions):

The following table includes a summary of preferred stock depositary shares issued and outstanding as of June 30, 2020 (dollars and shares in millions):

Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1

Liquidation Preference

Date Depositary

Outstanding Carrying

Value Aggregate

Liquidation Preference Fixed

Rate Optional

Fixed-to-Floating

August 22, 2017

October 15, 2022

3M LIBOR + 5.111%

March 6, 2019

April 15, 2024

3M LIBOR + 4.332%

October 3, 2019

October 15, 2024

3M LIBOR + 4.993%

February 11, 2020

April 15, 2025

3M LIBOR + 4.697%

Date Floating

Series C August 22, 2017 13.0 315 325 7.000 % October 15, 2022 October 15, 2022 3M LIBOR + 5.111%

Series D March 6, 2019 9.4 227 235 6.875 % April 15, 2024 April 15, 2024 3M LIBOR + 4.332%

Series E October 3, 2019 16.1 390 403 6.500 % October 15, 2024 October 15, 2024 3M LIBOR + 4.993%

Series F February 11, 2020 23.0 557 575 6.125 % April 15, 2025 April 15, 2025 3M LIBOR + 4.697%

Total 61.5 $ 1,489 $ 1,538

________________________________

4 unchanged sentences

We are authorized by our Board of Directors to enter into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to a maximum aggregate offering price of our common stock.

During the three months ended March 31, 2020 , we sold 26.7 million shares of our common stock under the sales agreements for proceeds of $ 439 million , or $ 16.46 per common share, net of offering costs.

As of March 31, 2020 , shares of our common stock with an aggregate offering price of $ 26 million remained authorized for issuance under this program through June 14, 2021.

During the six months ended June 30, 2020, we sold 26.7 million shares of our common stock under the sales agreements for proceeds of $ 439 million, or $ 16.46 per common share, net of offering costs.

As of June 30, 2020, shares of our common stock with an aggregate offering price of $ 26 million remained authorized for issuance under this program through June 14, 2021.

Common Stock Repurchase Program

1 unchanged sentence

In July 2019, our Board of Directors authorized the repurchase of up to $ 1 billion of our outstanding shares of common stock through December 31, 2020.

As of March 31, 2020 , we had $ 0.9 billion of common stock remaining available for repurchase.

During the three and six months ended June 30, 2020, we repurchased 12.2 million shares, or $ 147 million, of our common stock for an average repurchase price of $ 11.99 per common share, inclusive of transaction costs.

As of June 30, 2020, we had $ 750 million of common stock remaining available for repurchase.

Accumulated Other Comprehensive Income (Loss)

The following table summarizes changes to accumulated OCI for the three months ended March 31, 2020 and 2019 (in millions):

Three Months Ended March 31,

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2020 and 2019 (in millions):

Three Months Ended

Six Months Ended June 30,

Accumulated Other Comprehensive Income (Loss) 2020 2019 2020 2019

1 unchanged sentence

OCI before reclassifications

242 374 707 770

Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net ( 39 ) 5 ( 40 ) 9

2 unchanged sentences

Common Stock Dividend Declaration

On April 8, 2020 , our Board of Directors declared a monthly dividend of $ 0.12 per common share payable on May 11, 2020 to common stockholders of record as of April 30, 2020 .

Common Stock Repurchases

Subsequent to March 31, 2020, we repurchased 10.1 million shares, or $ 121 million , of our common stock for an average repurchase price of $ 12.04 per common share, including transaction costs.

On July 9, 2020, our Board of Directors declared a monthly dividend of $ 0.12 per common share payable on August 11, 2020 to common stockholders of record as of July 31, 2020.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements