What changed in this filing

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Item 8. Financial Statements and Supplementary Data

2021-02-26 compared with 2020-02-25 · 461 added, 397 removed, 691 unchanged (55% of the section changed)

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The Board of Directors and Stockholders of AGNC Investment Corp.

Opinion on Financial Statements

Opinion on the Financial Statements

We have audited the accompanying consolidated balance sheets of AGNC Investment Corp.

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Agency securities and non-agency securities of high credit quality net premium amortization

of the Matter

As of December 31, 2019, the Company’s investment securities had a net unamortized premium balance of $3.0 billion, including interest and principal-only securities, and it recorded $601.8 million of net premium amortization for the year then ended.

of the Matter As of December 31, 2020, the Company’s investment securities had a net unamortized premium balance of $2.3 billion, including interest and principal-only securities, and it recorded $1.1 billion of net premium amortization for the year then ended.

As explained in Note 2 to the financial statements, premiums or discounts associated with the purchase of Agency residential mortgage-backed securities (“Agency RMBS") and non-Agency mortgage-backed securities of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method.

The effective yield on the Company’s Agency RMBS and non-Agency mortgage-backed securities of high credit quality is highly impacted by the Company’s estimate of future prepayments.

The Company estimates long-term prepayment speeds of such securities using a third-party service and market data.

The Company estimates long-term prepayment speeds of such securities using a third-party service provider and market data.

The third-party service provider estimates long-term prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors.

Auditing the Company's estimation of long-term prepayment speeds used for the amortization of premiums and accretion of discounts is subjective due to the significant judgments and estimates required by management and the third-party service provider, as inputs into prepayment models are prone to fluctuation based on changing macroeconomic conditions.

How We Addressed the Matter in Our Audit

We obtained an understanding, evaluated the design and tested the operating effectiveness of internal controls over the estimation of long-term prepayment speeds, including management’s review of the estimated prepayment speeds provided by the third-party service provider.

How We Addressed the Matter in Our Audit We obtained an understanding, evaluated the design and tested the operating effectiveness of internal controls over the estimation of long-term prepayment speeds, including management’s review of the estimated prepayment speeds provided by the third-party service provider.

Our audit procedures included, among others, performing comparative analyses between the Company’s long-term prepayment speed estimates and long-term prepayment speed estimates data from independent third-party sources, reconciling the Company’s estimates of long-term prepayment speeds to source prepayment speeds data provided by management’s third-party service provider, evaluating the competency and objectivity of management’s third-party service provider, and identifying potential sources of contrary information, with the assistance of an internal valuation specialist.

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Agency securities, at fair value (including pledged securities of $ 53,698 and $ 92,608 , respectively)

$ 64,836 $ 98,516

Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) 295 371

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Derivative assets, at fair value 391 190

Receivable for investment securities sold (pledged securities)

Receivable for investment securities sold (including pledged securities of $ 207 and $0, respectively)

Receivable under reverse repurchase agreements 11,748 10,181

Goodwill 526 526

Other assets 204 364

Total assets $ 81,817 $ 113,082

Repurchase agreements $ 52,366 $ 89,182

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Common stock - $ 0.01 par value;

900 shares authorized;

1,500 and 900 shares authorized, respectively;

539.5 and 540.9 shares issued and outstanding, respectively

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Retained deficit ( 5,106 ) ( 3,886 )

Accumulated other comprehensive income (loss)

Accumulated other comprehensive income 719 97

Total stockholders' equity 11,079 11,041

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For the year ended December 31,

2020 2019 2018

Interest income:

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Unrealized gain (loss) on investment securities measured at fair value through net income, net 319 2,014 ( 297 )

Gain (loss) on derivative instruments and other securities, net

Loss on derivative instruments and other securities, net ( 2,463 ) ( 2,324 ) ( 167 )

Management fee income — — 54

Total other gain (loss), net:

( 1,018 ) 78 ( 547 )

Compensation and benefits 56 47 45

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Total operating expense 93 83 100

Net income (loss) ( 266 ) 688 129

Dividends on preferred stock 96 54 36

Issuance costs of redeemed preferred stock — 6 —

Net income available to common stockholders

Net income (loss) available (attributable) to common stockholders $ ( 362 ) $ 628 $ 93

Net income (loss) $ ( 266 ) $ 688 $ 129

Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net 622 1,040 ( 598 )

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Dividends on preferred stock

Issuance cost of redeemed preferred stock

Issuance costs of redeemed preferred stock — 6 —

Comprehensive income (loss) available (attributable) to common stockholders $ 260 $ 1,668 $ ( 505 )

Weighted average number of common shares outstanding - basic

551.6 540.6 441.1

Weighted average number of common shares outstanding - diluted

Net income per common share - basic

Net income per common share - diluted

551.6 541.4 441.4

Net income (loss) per common share - basic $ ( 0.66 ) $ 1.16 $ 0.21

Net income (loss) per common share - diluted $ ( 0.66 ) $ 1.16 $ 0.21

See accompanying notes to consolidated financial statements.

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, December 31, 2017 $ 484 391.3 $ 4 $ 11,173 $ ( 2,562 ) $ ( 345 ) $ 8,754

Other comprehensive income:

Unrealized gain on available-for-sale securities, net

Net income — — — — 129 — 129

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 598 ) ( 598 )

Stock-based compensation — — — 10 — — 10

Issuance of preferred stock, net of offering cost

Redemption of preferred stock

Issuance of common stock, net of offering cost

Issuance of common stock, net of offering costs — 145.0 1 2,610 — — 2,611

Preferred dividends declared — — — — ( 36 ) — ( 36 )

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

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

Net income — — — — 688 — 688

Other comprehensive income:

Unrealized gain on available-for-sale securities, net — — — — — 1,040 1,040

Stock-based compensation — 0.1 — 13 — — 13

Issuance of preferred stock, net of offering cost 617 — — — — — 617

Redemption of preferred stock ( 169 ) — — — ( 6 ) — (175)

Issuance of common stock, net of offering cost — 11.4 — 190 — — 190

Repurchase of common stock — ( 6.9 ) — ( 103 ) — — (103)

Preferred dividends declared — — — — ( 54 ) — ( 54 )

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

Net loss — — — — ( 266 ) — ( 266 )

Other comprehensive income:

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Issuance of preferred stock, net of offering cost 557 — — — — — 557

Redemption of preferred stock

Issuance of common stock, net of offering cost — 26.7 1 438 — — 439

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For the year ended December 31,

2020 2019 2018

Operating activities:

Net income (loss) $ ( 266 ) $ 688 $ 129

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

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Unrealized (gain) loss on investment securities measured at fair value through net income, net ( 319 ) ( 2,014 ) 297

(Gain) loss on derivative instruments and other securities, net

Loss on derivative instruments and other securities, net 2,463 2,324 167

(Increase) decrease in other assets 119 ( 35 ) ( 100 )

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Net proceeds from other investing activity — — 30

Net cash used in investing activities

Net cash provided by (used in) investing activities 36,525 ( 14,218 ) ( 27,936 )

Financing activities:

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Payments on debt of consolidated variable interest entities ( 62 ) ( 55 ) ( 78 )

Payments on Federal Home Loan Bank advances

Net proceeds from preferred stock issuances 557 617 —

Payments for preferred stock redemptions

Payments for preferred stock repurchases — ( 175 ) —

Net proceeds from common stock issuances 439 190 2,611

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Cash dividends paid ( 970 ) ( 1,139 ) ( 974 )

Net cash provided by financing activities

Net cash provided by (used in) financing activities ( 37,230 ) 12,800 26,980

Net change in cash, cash equivalents and restricted cash 1,042 ( 238 ) 157

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Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC."

We are internally managed, and our principal objective is to provide our stockholders with attractive risk-adjusted returns through a combination of monthly dividends and tangible net book value accretion.

We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities.

We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code").

As a REIT, we are required to distribute annually 90 % of our taxable income.

As a REIT, we will generally not be subject to U.S.

federal or state corporate taxes on our taxable income to the extent that we distribute our annual taxable income to our stockholders on a timely basis.

It is our intention to distribute 100 % of our taxable income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year.

We invest primarily in Agency residential mortgage-backed securities ("Agency RMBS") for which the principal and interest payments are guaranteed by a U.S.

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We also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a GSE or U.S.

Government agency, and in other investments in, or related to, the housing, mortgage or real estate markets.

We fund our investments primarily through borrowings structured as repurchase agreements.

Government agency, and other assets related to the housing, mortgage or real estate markets.

We fund our investments primarily through collateralized borrowings structured as repurchase agreements.

We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code").

As a REIT, we are required to distribute annually 90 % of our taxable income, and we will generally not be subject to U.S.

federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis.

We are internally managed with the principal objective of providing our stockholders with attractive risk-adjusted returns through a combination of monthly dividends and tangible net book value accretion.

We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities.

Summary of Significant Accounting Policies

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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.

Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-

maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity.

Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity.

Alternatively, we may elect the fair value option of accounting for securities pursuant to ASC Topic 825, Financial Instruments .

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Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"), whereas unrealized gains and losses on securities for which we elected the fair value option, or are classified as trading, are reported in net income through other gain (loss).

Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method.

In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period, as the fair value changes for these assets are presented in a manner consistent with the presentation and timing of the fair value changes of our derivative instruments.

We estimate the fair value of our investment securities based on prices provided by multiple third-party pricing services and non-binding dealer quotes (collectively "pricing sources").

These pricing sources use various valuation approaches, including market and income approaches, using "Level 2" inputs.

The pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value of our Agency RMBS based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, which may include maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate.

The pricing sources may also utilize discounted cash flow model-derived pricing techniques to estimate the fair value of investment securities.

Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.

We review the pricing estimates obtained from the pricing sources and perform procedures to validate their reasonableness.

Refer to Note 7 for further discussion of fair value measurements.

We evaluate our investments designated as available-for-sale, on a quarterly basis, to assess whether a decline in the fair value of the security below its amortized cost basis is an other-than-temporary impairment ("OTTI").

The determination of whether a security is other-than-temporarily impaired may involve judgments and assumptions based on subjective and objective factors.

When a security is impaired, an OTTI is considered to have occurred if any one of the following three conditions exists as of the financial reporting date:

(i) we intend to sell the security (that is, a decision has been made to sell the security), (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover the security's amortized cost basis, even if we do not intend to sell the security and it is not more likely than not that we will be required to sell the security.

A general allowance for unidentified impairments in a portfolio of securities is not permitted.

If either of the first two conditions exists as of the financial reporting date, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value.

If the third condition exists, the OTTI is separated into (i) the amount relating to credit loss (the "credit component") and (ii) the amount relating to all other factors (the "non-credit components").

Only the credit component is recognized in earnings, with the non-credit components recognized in OCI.

We did not recognize OTTI charges on our investment securities for fiscal years 2019, 2018 or 2017.

Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method.

In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments.

We generally recognize gains or losses through net income on available-for-sale securities only if the security is sold;

however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair in net income as a component of other gain (loss).

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

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

Interest Income

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We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data.

The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors.

We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available.

We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the third-party estimates.

The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, primary to secondary mortgage rate spreads, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors.

We review the prepayment speeds estimated by the third-party service for reasonableness with consideration given to both historical prepayment speeds and current market conditions.

If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape, such as during periods of elevated market uncertainty or unique market conditions, we may make adjustments to the models.

We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments.

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Repurchase Agreements

We finance the acquisition of securities for our investment portfolio primarily through repurchase transactions under master repurchase agreements.

Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest.

We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with financial institutions.

Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date.

We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments.

Pursuant to ASC Topic 860, Transfers and Servicing ,

we account for repurchase agreements as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest.

Our repurchase agreements typically have maturities of less than one year but may extend up to five years or more.

Interest rates on our repurchase agreements generally correspond to short-term benchmark rates plus or minus a fixed spread.

The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market.

Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements

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Our reverse repurchase agreements typically have maturities of 30 days or less.

The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are considered to be at market.

Derivative Instruments

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Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section.

The use of derivative instruments creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts.

Our derivative agreements require that we post or receive collateral to mitigate such risk.

We also attempt to minimize our risk of loss by limiting our counterparties to registered central clearing exchanges and major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required.

Interest rate swap agreements

We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements.

Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the three-month London Interbank Offered Rate ("LIBOR"), Overnight Index Swap Rate ("OIS") or Secured Overnight Financing Rate ("SOFR").

Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the Secured Overnight Financing Rate ("SOFR"), Overnight Index Swap Rate ("OIS") or three-month London Interbank Offered Rate ("LIBOR").

Our interest rate swaps typically have terms from one to 10 years but may extend up to 20 years or more.

The majority of our interest rate swaps are centrally cleared through a registered commodities exchange.

We value centrally cleared interest rate swaps using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.

Our centrally cleared swaps require that we post an "initial margin" amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement.

Our interest rate swaps are centrally cleared through a registered commodities exchange.

The clearing exchange requires that we post an "initial margin" amount determined by the exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement.

We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange.

Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability.

We value non-centrally cleared swaps using a combination of third-party valuations obtained from pricing services and the swap counterparty.

The third-party valuations are model-driven using observable inputs, including short-term benchmark rates, swap rates and the forward yield curve.

We also consider both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps.

In considering the effect of nonperformance risk, we assess the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements.

Interest rate swaptions

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

We estimate the fair value of interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option, adjusted for non-performance risk, if any.

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.

If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid.

If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid.

If we sell or exercise a swaption, the

realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid.

TBA securities

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We account for TBA dollar roll transactions as a series of derivative transactions.

We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities.

Treasury securities

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Treasury securities and U.S.

Treasury futures

contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Fair Value Measurements

We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date.

We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date.

We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement.

The three levels of valuation hierarchy are defined as follows:

• Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.

• Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets;

quoted prices for identical or similar instruments in markets that are not active;

and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

• Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.

The majority of our financial instruments are classified as Level 2 inputs.

The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument.

We typically obtain price estimates from multiple third-party pricing sources, such as pricing services and dealers, or, if applicable, the registered clearing exchange.

We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity.

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.

The following is a description of the valuation methodologies used for instruments measured at fair value on a recurring basis classified as Level 2 inputs.

These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis.

The liquidity of these markets and the similarity of our securities and derivative instruments to those actively traded enable our pricing sources and us to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements.

Investment securities - are valued based on prices obtained from multiple third-party pricing sources.

The pricing sources utilize various valuation approaches, including market and income approaches.

For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, which may include maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate.

For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value.

Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.

TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.

Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.

Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models.

The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any.

Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets.

None of our financial instruments are classified as Level 3 inputs.

Consolidated Variable Interest Entities

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Our maximum exposure to loss related to our involvement with the CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac.

We elected the option to account for the debt of consolidated VIEs at fair value, with changes in fair value reflected in earnings during the period in which they occur.

We believe this election more appropriately reflects our financial position as both the consolidated assets and consolidated debt are presented in a consistent manner on our consolidated balance sheets.

We estimate the fair value of the consolidated debt based on the fair value of the Agency RMBS held by the CMO trusts, less the fair value of our retained interests in the trusts, which are measured on a market approach using "Level 2" inputs from third-party pricing services and dealer quotes, because such inputs are more observable than inputs to otherwise independently determine the value of our consolidated debt.

Cash and Cash Equivalents

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Goodwill is not subject to amortization but must be tested for impairment at least annually and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred.

If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed.

If a qualitative analysis indicates that there may be an

impairment, a quantitative analysis is performed.

The quantitative analysis requires that we compare the carrying value of the identified reporting unit comprising the goodwill to the reporting unit's fair value.

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Recent Accounting Pronouncements

We consider the applicability and impact of all Accounting Standards Updates ("ASUs") issued by the Financial Accounting Standards Board.

ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted or did not have a significant impact on our consolidated financial statements upon adoption.

ASU 2016-13, Financial Instruments - Credit Losses (Topic 326):

ASU 2016-13 changes the impairment model for most financial assets and certain other instruments.

Under ASU 2016-13, credit losses on available-for-sale investment securities are recorded as an allowance rather than as a direct reduction of amortized cost.

Remaining losses unrelated to credit loss, such as due to changing interest rates, continue to be recorded through OCI.

The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost.

The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019.

ASU 2016-13 is not expected to have a significant impact on our consolidated financial statements.

We consider the applicability and impact of all ASUs issued by the FASB.

There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption.

Investment Securities

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Details of our TBA securities as of each of the respective dates are included in Note 5.

December 31, 2019

December 31, 2018

Investment Securities

December 31, 2020 December 31, 2019

Investment Securities Amortized

Cost Fair Value Amortized

Cost Fair Value

Fixed rate $ 61,977 $ 64,615 $ 96,375 $ 98,074

Adjustable rate 69 70 160 163

CMO 289 301 441 447

Interest-only and principal-only strips 105 126 146 164

Multifamily 17 19 37 39

Total Agency RMBS 62,457 65,131 97,159 98,887

Non-Agency RMBS 178 188 198 209

CMBS 333 358 352 370

CRT securities 733 737 961 976

1 unchanged sentence

December 31, 2020

Investment Securities

Agency RMBS Non-Agency

Investment Securities Fannie Mae Freddie Mac Ginnie

Mae RMBS CMBS CRT Total

Available-for-sale securities:

$ 9,325 $ 3,416 $ 2 $ — $ — $ — $ 12,743

Unamortized discount

( 4 ) ( 1 ) — — — — ( 5 )

Unamortized premium

389 152 — — — — 541

Amortized cost

9,710 3,567 2 — — — 13,279

Gross unrealized gains

539 180 — — — — 719

Gross unrealized losses

— — — — — — —

Total available-for-sale securities, at fair value 10,249 3,747 2 — — — 13,998

Securities remeasured at fair value through earnings:

32,824 14,447 3 187 331 735 48,527

Unamortized discount

( 18 ) ( 1 ) — ( 12 ) ( 3 ) ( 12 ) ( 46 )

Unamortized premium

1,314 607 — 4 6 10 1,941

Amortized cost

34,120 15,053 3 179 334 733 50,422

Gross unrealized gains

1,280 683 — 11 28 12 2,014

Gross unrealized losses

( 5 ) ( 1 ) — ( 2 ) ( 4 ) ( 8 ) ( 20 )

Total securities remeasured at fair value through earnings 35,395 15,735 3 188 358 737 52,416

1 unchanged sentence

Weighted average coupon as of December 31, 2020

3.30 % 3.56 % 4.73 % 4.28 % 4.13 % 3.43 % 3.39 %

Weighted average yield as of December 31, 2020 1

2.25 % 2.39 % 2.46 % 4.33 % 4.29 % 3.71 % 2.33 %

________________________________

Incorporates a weighted average future constant prepayment rate assumption of 17.6 % based on forward rates as of December 31, 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 )

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

December 31, 2019

December 31, 2018

December 31, 2020 December 31, 2019

CRT and Non-Agency Security Credit Ratings 1

CRT RMBS CMBS CRT RMBS CMBS

AAA $ — $ — $ 35 $ — $ — $ 43

AA — 20 190 — 81 214

A — 32 28 13 25 34

BBB 28 83 55 67 71 69

BB 167 36 43 471 21 10

B 304 6 7 308 4 —

Not Rated 238 11 — 117 7 —

Total $ 737 $ 188 $ 358 $ 976 $ 209 $ 370

________________________________

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

December 31, 2019

December 31, 2018

Estimated Weighted Average Life of Investment Securities

December 31, 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 $ 3,642 $ 3,569 3.56 % 2.15 % $ 2,671 $ 2,654 3.54 % 2.61 %

> 3 years and ≤ 5 years 47,740 45,578 3.54 % 2.42 % 10,822 10,563 3.85 % 3.20 %

> 5 years and ≤10 years 15,019 14,541 2.87 % 2.08 % 86,492 85,002 3.67 % 3.07 %

> 10 years 13 13 5.56 % 3.59 % 457 451 3.31 % 3.06 %

$ 66,414 $ 63,701 3.39 % 2.33 % $ 100,442 $ 98,670 3.68 % 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 December 31, 2020 and 2019 (in millions):

Unrealized Loss Position For

Less than 12 Months

12 Months or More

Securities Classified as Available-for-Sale

Less than 12 Months 12 Months or More Total

Securities Classified as Available-for-Sale Fair

Value Unrealized

Fair Value Unrealized

Value Unrealized

December 31, 2020 $ — $ — $ — $ — $ — $ —

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

We did not recognize OTTI charges on our investment securities classified as available-for-sale during the periods presented on our consolidated statements of operations.

As of the end of each respective reporting period, a decision had not been made to sell securities in an unrealized loss position and we did not believe it was more likely than not that we would be required to sell such securities before recovery of their amortized cost basis.

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 fiscal years 2020, 2019 and 2018 by investment classification of accounting (in millions):

Fiscal Year 2019

Fiscal Year 2018

Fiscal Year 2017

Investment Securities

Available-for-Sale

Fair Value Option Securities

Available-for-Sale

Fair Value Option Securities

Available-for-Sale

Fair Value Option Securities

Fiscal Year 2020 Fiscal Year 2019 Fiscal Year 2018

Investment Securities Available-for-Sale

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ ( 2,310 ) $ ( 74,964 ) $ ( 77,274 ) $ ( 732 ) $ ( 23,040 ) $ ( 23,772 ) $ ( 4,306 ) $ ( 5,344 ) $ ( 9,650 )

Proceeds from investment securities sold 1

2,391 76,009 78,400 723 23,437 24,160 4,227 5,286 9,513

Net gain (loss) on sale of investment securities $ 81 $ 1,045 $ 1,126 $ ( 9 ) $ 397 $ 388 $ ( 79 ) $ ( 58 ) $ ( 137 )

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The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis.

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

T he following table summarizes our borrowings under repurchase agreements by their remaining maturities as of December 31, 2019 and 2018 (dollars in millions):

December 31, 2019

December 31, 2018

Remaining Maturity

Repurchase Agreements

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

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

December 31, 2020 December 31, 2019

Remaining Maturity Repurchase Agreements Weighted

Rate Weighted

to Maturity Repurchase Agreements Weighted

Rate Weighted

≤ 1 month $ 29,505 0.22 % 12 $ 56,664 2.19 % 10

> 1 to ≤ 3 months 13,434 0.27 % 57 20,761 2.01 % 53

5 unchanged sentences

Total Agency repo

52,366 0.24 % 54 89,085 2.17 % 55

Treasury repo:

> 1 day to ≤ 1 month — — % — 97 1.63 % 2

Total $ 52,366 0.24 % 54 $ 89,182 2.17 % 55

As of December 31, 2020 and 2019, $ 11.2 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.

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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 46 % and 38 % of our repurchase agreement funding outstanding as of December 31, 2020 and 2019, respectively.

During fiscal year 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 fiscal year 2020 associated with the terminated repurchase agreements.

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

Reverse Repurchase Agreements

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

Derivative and Other Hedging Instruments

Balance Sheet Location

Interest rate swaps

Derivative assets, at fair value

TBA securities

Derivative assets, at fair value

Treasury futures - short

Derivative assets, at fair value

Derivative and Other Hedging Instruments Balance Sheet Location

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

Swaptions Derivative assets, at fair value 116 126

TBA securities Derivative assets, at fair value 275 29

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

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 ( 2 ) —

Total derivative liabilities, at fair value

Treasury securities - long

$ ( 2 ) $ ( 6 )

Treasury securities - long U.S.

Treasury securities, at fair value $ — $ 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 ( 11,727 ) ( 9,543 )

Treasury securities, net at fair value

$ ( 11,727 ) $ ( 9,446 )

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

December 31, 2019

December 31, 2018

Pay Fixed / Receive Variable Interest Rate Swaps

December 31, 2020 December 31, 2019

Pay Fixed / Receive Variable Interest Rate Swaps Notional

Amount Average

(Years) Notional

Amount Average

≤ 3 years $ 8,750 0.04 % 0.08 % 2.4 $ 59,700 1.30 % 1.58 % 1.6

> 3 to ≤ 5 years 17,000 0.10 % 0.08 % 4.1 9,850 1.17 % 1.55 % 3.8

1 unchanged sentence

> 7 to ≤ 10 years 6,200 0.28 % 0.07 % 8.5 2,850 1.36 % 1.58 % 8.9

________________________________

Notional amount as of December 31, 2018 includes forward starting swaps of $ 5.7 billion with an average forward start date of 0.5 years.

There were no forward starting swaps outstanding as of December 31, 2019.

Average fixed pay rate as of December 31, 2018 includes forward starting swaps.

Excluding forward starting swaps, the average fixed pay rate was 1.98 % as of 2018 .

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

December 31, 2019

December 31, 2018

Underlying Payer Swap

Current Option Expiration Date

> 10 years 1,475 0.47 % 0.07 % 14.2 1,025 1.64 % 1.78 % 15.4

Total $ 43,225 0.15 % 0.08 % 5.1 $ 79,075 1.29 % 1.59 % 2.7

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

SOFR 71 % 3 %

OIS 29 % 86 %

3M LIBOR — % 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

Amount Average Fixed Pay

December 31, 2020

≤ 1 year $ 123 $ 15 5 $ 5,900 2.17 % 9.2

> 1 year ≤ 2 years 41 33 20 2,000 1.38 % 10.0

> 2 year ≤ 3 years 65 60 33 2,250 1.40 % 10.0

> 3 year ≤ 4 years 8 8 40 250 1.43 % 10.0

Total $ 237 $ 116 15 $ 10,400 1.84 % 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

________________________________

As of December 31, 2020 and 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

December 31, 2019

December 31, 2018

Face Amount Long/(Short)

As of December 31, 2020, 33% and 67% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively, and, as of 2019, 100% of the underlying payer swap receive rates were tied to 3-Month LIBOR.

Treasury Securities December 31, 2020 December 31, 2019

Maturity Face Amount Long/(Short) Cost Basis 1

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

5 years $ ( 425 ) $ ( 425 ) $ ( 425 ) $ 95 $ 95 $ 97

7 years ( 1,083 ) ( 1,081 ) ( 1,089 ) — — —

10 years ( 9,780 ) ( 9,862 ) ( 10,213 ) ( 9,224 ) ( 9,329 ) ( 9,543 )

Treasury securities $ ( 11,288 ) $ ( 11,368 ) $ ( 11,727 ) $ ( 9,129 ) $ ( 9,234 ) $ ( 9,446 )

1 unchanged sentence

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

Treasury securities had a weighted average yield of 2.19 % and 2.66 % , respectively, and long U.S.

Treasury securities had a weighted average yield of 2.21 % and 2.98 % , respectively.

Treasury Futures

December 31, 2019

December 31, 2018

Net Carrying Value 1

Treasury securities had a weighted average yield of 1.20 % and 2.19 %, respectively, and, as of 2019, long U.S.

Treasury securities had a weighted average yield of 2.21 %.

Treasury Futures December 31, 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 ) $ ( 1,379 ) $ ( 1,381 ) $ ( 2 ) $ ( 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.

December 31, 2019

December 31, 2018

TBA Securities by Coupon

Net Carrying Value 1

December 31, 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:

≤ 2.0% $ 6,540 $ 6,708 $ 6,771 63 $ — $ — $ — $ —

200 208 209 1 805 811 812 1

— — — — 1,059 1,083 1,086 3

— — — — 241 250 250 —

— — — — 75 78 78 —

Total 15-Year TBA securities 6,740 6,916 6,980 64 2,180 2,222 2,226 4

30-Year TBA securities:

≤ 2.0% 19,805 20,314 20,480 166 — — — —

2.5% 3,167 3,291 3,335 44 — — — —

528 552 553 1 5,008 5,052 5,073 21

124 131 131 — 1,226 1,259 1,261 2

— — — — ( 1,507 ) ( 1,565 ) ( 1,568 ) ( 3 )

— — — — 415 436 437 1

Total 30-Year TBA securities, net 23,624 24,288 24,499 211 5,142 5,182 5,203 21

4 unchanged sentences

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for fiscal years 2020, 2019 and 2018 (in millions):

Derivative and Other Hedging Instruments

Notional Amount

Settlement, Termination,

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

2 unchanged sentences

Interest rate swaps - payer $ 79,075 101,950 ( 137,800 ) $ 43,225 ( 2,766 )

Interest rate swaps - receiver

Payer swaptions $ 8,850 7,000 ( 5,450 ) $ 10,400 ( 156 )

4 unchanged sentences

TBA securities, net $ 7,152 95,169 ( 94,999 ) $ 7,322 $ 411

Interest rate swaps

Interest rate swaps - payer $ 51,625 166,975 ( 139,525 ) $ 79,075 ( 1,645 )

Interest rate swaps - receiver $ — ( 175 ) 175 $ — —

Payer swaptions $ 3,500 7,650 ( 2,300 ) $ 8,850 ( 26 )

4 unchanged sentences

TBA securities, net $ 15,474 194,534 ( 202,856 ) $ 7,152 $ ( 299 )

Interest rate swaps

Interest rate swaps - payer $ 43,700 14,350 ( 6,425 ) $ 51,625 140

Payer swaptions $ 6,650 1,250 ( 4,400 ) $ 3,500 90

3 unchanged sentences

________________________________

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 fiscal year 2020 (see Note 4) 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

9 unchanged sentences

Consequently, our funding agreements and derivative contracts expose us to credit risk relating to potential losses that could be recognized if our counterparties fail to perform their obligations under such agreements.

We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or

to registered clearinghouses and U.S.

We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses and U.S.

government agencies, and we monitor our positions with individual counterparties.

9 unchanged sentences

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 $ 53,401 $ 295 $ 365 $ 258 $ 54,319

CRT - fair value

455 — — — 455

Non-Agency - fair value

458 — — — 458

Treasury securities - fair value

Accrued interest on pledged securities

Restricted cash and cash equivalents

147 1 1 1 150

Restricted cash 417 — 890 — 1,307

Total $ 54,878 $ 296 $ 1,256 $ 259 $ 56,689

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

Non-Agency - fair value

309 — — — 309

Treasury securities - fair value

453 — — 28 481

Accrued interest on pledged securities

Restricted cash and cash equivalents

267 1 1 1 270

Includes repledged assets received as collateral from counterparties.

Restricted cash 111 — 340 — 451

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

________________________________

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

Includes $ 119 million and $ 144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2020 and 2019, respectively.

2 unchanged sentences

For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 .

December 31, 2019

December 31, 2018

December 31, 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

Pledged Securities Accrued

Securities Fair Value of Pledged Securities Amortized

Pledged Securities Accrued

≤ 30 days $ 29,674 $ 28,208 $ 82 $ 56,990 $ 55,951 $ 167

> 30 and ≤ 60 days 8,438 8,013 23 14,410 14,114 42

> 60 and ≤ 90 days 5,782 5,495 16 7,637 7,536 20

> 90 days 10,420 10,068 26 13,510 13,286 38

Total $ 54,314 $ 51,784 $ 147 $ 92,547 $ 90,887 $ 267

________________________________

Includes $ 119 million and $ 144 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2020 and 2019, respectively.

Excludes $ 357 million and $ 437 million of repledged U.S.

Treasury securities received as collateral from counterparties as of December 31, 2019 and 2018 , respectively.

Excludes $ 357 million of repledged U.S.

Treasury securities received as collateral from counterparties as of December 31, 2019.

Assets Pledged from Counterparties

As of December 31, 2020 and 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).

December 31, 2019

December 31, 2018

Assets Pledged to AGNC

Reverse Repurchase Agreements

Derivative Agreements

Repurchase Agreements

Reverse Repurchase Agreements

Derivative Agreements

Repurchase Agreements

December 31, 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

$ 11,727 $ — $ 13 $ 11,740 $ 10,099 $ — $ 1 $ 10,100

As of December 31, 2019 and 2018 , $ 357 million and $ 437 million , respectively, of U.S.

Treasury securities received from counterparties were repledged as collateral and $9.5 billion and $21.4 billion, respectively, were used to cover short sales of U.S.

— 107 3 110 — 116 — 116

Total $ 11,727 $ 107 $ 16 $ 11,850 $ 10,099 $ 116 $ 1 $ 10,216

________________________________

As of December 31, 2019, $ 357 million of U.S.

Treasury securities received from counterparties were repledged as collateral and, as of December 31, 2020 and 2019, $11.7 billion and $9.5 billion, respectively, were used to cover short sales of U.S.

Treasury securities.

4 unchanged sentences

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

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

December 31, 2020

Interest rate swap and swaption agreements, at fair value 1

$ 116 $ — $ 116 $ — $ ( 105 ) $ 11

TBA securities, at fair value 275 — 275 — — 275

Receivable under reverse repurchase agreements 11,748 — 11,748 ( 6,522 ) ( 5,223 ) 3

Total $ 12,139 $ — $ 12,139 $ ( 6,522 ) $ ( 5,328 ) $ 289

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

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

December 31, 2020

Interest rate swap agreements, at fair value 1

$ — $ — $ — $ — $ — $ —

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

Repurchase agreements 52,366 — 52,366 ( 6,522 ) ( 45,844 ) —

Total $ 52,366 $ — $ 52,366 $ ( 6,522 ) $ ( 45,844 ) $ —

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 ) $ —

________________________________

5 unchanged sentences

Fair Value Measurements

We determine the fair value of our financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date.

We typically obtain price estimates from multiple third-party pricing services and dealers or, if applicable, the clearing exchange (see Note 2 for further details.) We utilize a three-level valuation hierarchy for disclosure of fair value measurements.

The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date.

A financial instrument's categorization within the hierarchy is based upon the lowest level of input that is significant to the fair value measurement.

The three levels of valuation hierarchy are defined as follows:

Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.

Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets;

quoted prices for identical or similar instruments in markets that are not active;

and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.

The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument.

Third-party pricing sources may also use certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities, especially when estimating fair values for securities with lower levels of recent trading activity.

We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices.

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.

The validation procedures described above also influence our determination of the appropriate fair value measurement categorization.

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, 2020 and 2019, based on their categorization within the valuation hierarchy (in millions).

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

December 31, 2019

December 31, 2018

There were no transfers between valuation hierarchy levels during fiscal years 2020 and 2019.

December 31, 2020 December 31, 2019

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

Agency securities

$ — $ 64,836 $ — $ — $ 98,516 $ —

Agency securities transferred to consolidated VIEs

— 295 — — 371 —

Credit risk transfer securities

— 737 — — 976 —

Non-Agency securities

— 546 — — 579 —

Treasury securities

Interest rate swaps

— 116 — — 126 —

TBA securities

— 275 — — 29 —

Treasury futures

Total $ — $ 66,805 $ — $ 111 $ 100,618 $ —

Debt of consolidated VIEs $ — $ 177 $ — $ — $ 228 $ —

4 unchanged sentences

Treasury futures

Excluded from the table above are financial instruments, including cash and cash equivalents, restricted cash and cash equivalents, receivables, payables and borrowings under repurchase agreements, which are presented in our consolidated financial statements at cost.

The cost basis of these instruments is determined to approximate fair value due to their short duration or, in the case of longer-term repo, due to floating rates of interest corresponding on an index plus or minus a fixed spread which is consistent with fixed spreads demanded in the market.

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

Net Income Per Common Share

Basic net income per common share is computed by dividing (i) net income available to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time and performance-based RSUs outstanding for the period granted under our long-term incentive program to employees and non-employee Board of Directors.

Diluted net income per common share assumes the issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per common share.

Total $ 11,729 $ 177 $ — $ 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 approximated cost as of December 31, 2020 and 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 December 31, 2020 and 2019 due to their short duration.

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

Net Income (Loss) Per Common Share

Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time and performance-based restricted stock units ("RSUs") outstanding for the period granted under our long-term incentive program to employees and non-employee Board of Directors.

Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per common share.

Our potential common stock equivalents consist of unvested time and performance-based RSUs.

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):

2020 2019 2018

Weighted average number of common shares issued and outstanding 550.6 540.2 440.9

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Weighted average number of common shares outstanding - diluted 551.6 541.4 441.4

Net income available to common stockholders

Net income per common share - basic

Net income per common share - diluted

Net income (loss) available (attributable) to common stockholders $ ( 362 ) $ 628 $ 93

Net income (loss) per common share - basic $ ( 0.66 ) $ 1.16 $ 0.21

Net income (loss) per common share - diluted $ ( 0.66 ) $ 1.16 $ 0.21

For fiscal year 2020, 1.1 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

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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 December 31, 2019, 13,800 , 10,350 and 16,100 shares were designated as 7.00 % Series C, 6.875 % Series D and 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as Series C, D and E Preferred Stock, respectively).

As of December 31, 2019, 13,000 , 9,400 and 16,100 shares of Series C, D and E Preferred Stock, respectively, were issued and outstanding, with an aggregate carrying value of $ 932 million and aggregate liquidation preference of $ 963 million .

As of December 31, 2018, 8,050 and 13,800 shares of 7.750 % Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock") and Series C Preferred Stock, respectively, were designated and 7,000 and 13,000 shares, respectively, were issued and outstanding with an aggregate carrying value of $ 484 million and an aggregate liquidation preference of $ 500 million .

Each share of Series B, C, D and E Preferred Stock represents 1,000 Series B, C, D and E Preferred Stock depositary shares, respectively.

As of December 31, 2019, 13,800 , 10,350 , and 16,100 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, and 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, and E Preferred Stock", respectively).

As of December 31, 2020, an additional 23,000 shares were designated as 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (referred to as "Series F Preferred Stock").

As of December 31, 2019, 13,000 , 9,400 , and 16,100 shares of Series C, D, and E Preferred Stock, respectively, were issued and outstanding.

As of December 31, 2020, an additional 23,000 shares of Series F Preferred Stock were issued and outstanding.

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

Each share of preferred stock has a liquidation preference of $25,000 per share (or $25 per depositary share).

Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company.

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Holders of our preferred stock and depositary shares underlying our preferred stock have no voting rights, except under limited conditions.

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

In November 2019, we redeemed all of the outstanding shares (and corresponding depositary shares) of our Series B Preferred Stock for $175 million (or $ 25.00 per depo sitary share), plus accrued and unpaid dividends to, but not including, the redemption date.

In December, 2019, we filed a Certificate of Elimination of our Series B Preferred Stock with the Secretary of State of the State of Delaware, which eliminated the designation of Series B Preferred Stock from our amended and restated certificate of incorporation.

Prior to the redemption date, holders of Series B Preferred Stock were entitled to receive cumulative cash dividends at a fixed rate of 7.750 % per annum of their $ 25.00 per depositary share liquidation preference.

In September 2017, we redeemed all of the outstanding shares of our 8.000% Series A Cumulative Redeemable Preferred Stock for their aggregate liquidation preference of $ 173 million , plus accrued and unpaid dividends, and, in October 2017, we eliminated the designation of Series A Preferred Stock from our amended and restated certificate of incorporation.

Prior to the redemption date, holders of Series A Preferred Stock were entitled to receive cumulative cash dividends at a fixed rate of 8.000 % per annum of their $ 25.00 per share liquidation preference.

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 December 31, 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%

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

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Shares may be redeemed prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for U.S federal income tax purposes.

In November 2019, we redeemed all of the outstanding shares (and corresponding depositary shares) of our Series B Preferred Stock for $175 million (or $ 25.00 per depositary share), plus accrued and unpaid dividends to, but not including, the redemption date.

Prior to the redemption date, holders of Series B Preferred Stock were entitled to receive cumulative cash dividends at a fixed rate of 7.750% per annum of their $ 25.00 per depositary share liquidation preference.

Common Stock Offerings

During fiscal year 2019, we did not complete a follow-on public offering of our common stock.

During fiscal years 2018 and 2017, we completed follow-on public offerings of our common stock summarized in the table below (in millions, except for per share data).

Follow-On Public Offering

Price Received Per Share, Net

During fiscal years 2020 and 2019, we did not complete a follow-on public offering of our common stock.

During fiscal year 2018, we completed three follow-on public offerings of our common stock summarized in the table below (in millions, except for per share data).

Follow-On Public Offerings Price Received Per Share, Net Shares Net Proceeds

Fiscal Year 2018:

May 2018 $ 18.35 34.5 $ 633

August 2018 $ 18.68 43.7 817

November 2018 $ 17.09 46.0 786

Total fiscal year 2018 124.2 $ 2,236

Fiscal Year 2017:

September 2017

Total fiscal year 2017

At-the-Market Offering Program

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.

The table below summarizes sales our common stock under the sales agreements during fiscal years 2019, 2018 and 2017 (in millions, except for per share data).

The following table includes a summary of shares of our common stock sold under sales the agreements during fiscal years 2020, 2019 and 2018.

As of December 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.

ATM Offerings

Average Price Received Per Share, Net

ATM Offerings Average Price Received Per Share, Net Shares Net Proceeds

Fiscal Year 2020 $ 16.46 26.7 $ 439

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Common Stock Repurchase Program

From time-to-time we are authorized by our Board of Directors to repurchase shares of our common stock under certain conditions.

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.

During fiscal year 2019, we repurchased 6.9 million shares, or $ 103 million , of our common stock for an average repurchase price of $ 14.90 per common share, inclusive of transaction costs.

We are authorized by our Board of Directors to repurchase shares of our common stock under certain conditions.

In October 2020, our Board of Directors terminated its existing stock repurchase authorization that was due to expire on December 31, 2020 and replaced it with a new authorization to repurchase up to $ 1 billion of common stock through December 31, 2021.

The following table includes a summary of shares of our common stock repurchased during fiscal years 2020 and 2019.

We did not repurchase shares of our common stock during fiscal year 2018.

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

Common Stock Repurchases Average Price Paid Per Share 1

Shares Net Cost

Fiscal Year 2020 2

$ 13.33 28.2 $ 378

Fiscal Year 2019 $ 14.90 6.9 $ 103

________________________________

Average price paid per share includes transaction costs.

Excludes December 2020 share repurchases settling in January 2021 totaling $ 24 million, or 1.6 million shares.

Distributions to Stockholders

The following table summarizes cash dividends declared during fiscal years 2019, 2018 and 2017 (in millions, except per share amounts):

Dividends Declared

Dividends Declared Per Share

8.000 % Series A Cumulative Redeemable Preferred Stock

The following table summarizes dividends declared during fiscal years 2020, 2019 and 2018 (in millions, except per share amounts):

Dividends Declared Dividends Declared Per Share 1

Series B Preferred Stock

Fiscal year 2019

7.750% Series B Cumulative Redeemable Preferred Stock (Per Depositary Share)

$ 12 $ 1.673785

Fiscal year 2018

$ 14 $ 1.937500

Series C Preferred Stock

Fiscal year 2020 $ 23 $ 1.750000

Fiscal year 2019

7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (Per Depositary Share)

$ 23 $ 1.750000

Fiscal year 2018

$ 23 $ 1.750000

Series D Preferred Stock

Fiscal year 2020 $ 16 $ 1.718750

Fiscal year 2019

7.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (Per Depositary Share)

$ 14 $ 1.475263

Series E Preferred Stock

Fiscal year 2020 $ 26 $ 1.625000

7.00% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (Per Depositary Share)

Fiscal year 2019

$ 7 $ 0.460420

Series F Preferred Stock

Fiscal year 2020 $ 33 $ 1.420658

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Fiscal year 2019

$ 1,081 $ 2.000000

Fiscal year 2018

$ 964 $ 2.160000

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Preferred stock per share amounts are per depositary share.

The following table summarizes our tax characterization of distributions to stockholders for fiscal years 2020, 2019 and 2018.

Distributions included in the table below are based on the fiscal tax year for which the distribution is attributed to for stockholders in accordance with rules promulgated under the Internal Revenue Code:

Tax Characterization 1

Fiscal Tax Year Distribution Rate 1

Ordinary Dividend Per Share Qualified Dividends Capital Gain Dividend Per Share Non-Dividend Distributions Section 199A Dividend

Series B Preferred Stock

Fiscal year 2019

$ 2.158160 $ 2.158160 $ — $ — $ — $ 2.158160

Fiscal year 2018

$ 1.937500 $ 1.937500 $ — $ — $ — $ 1.937500

Series C Preferred Stock

Fiscal year 2020 $ 1.750000 $ 0.570268 $ — $ 1.179732 $ — $ 0.570268

Fiscal year 2019

$ 1.750000 $ 1.750000 $ — $ — $ — $ 1.750000

Fiscal year 2018

$ 1.750000 $ 1.750000 $ — $ — $ — $ 1.750000

Series D Preferred Stock

Fiscal year 2020 $ 1.718750 $ 0.560086 $ — $ 1.158664 $ — $ 0.560086

Fiscal year 2019

$ 1.045575 $ 1.045575 $ — $ — $ — $ 1.045575

Series E Preferred Stock

Fiscal year 2020 $ 1.679170 $ 0.547188 $ — $ 1.131982 $ — $ 0.547188

Series F Preferred Stock

Fiscal year 2020 $ 1.037845 $ 0.338201 $ — $ 0.699644 $ — $ 0.338201

Fiscal year 2020 $ 1.720000 $ 0.560492 $ — $ 1.159508 $ — $ 0.560492

Fiscal year 2019

$ 2.020000 $ 1.159504 $ — $ — $ 0.860496 $ 1.159504

Fiscal year 2018

$ 2.160000 $ 1.127208 $ — $ — $ 1.032792 $ 1.127208

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Preferred stock per share amounts are per depositary share.

Accumulated Other Comprehensive Income (Loss)

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OCI before reclassifications

703 1,031 ( 677 )

Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net ( 81 ) 9 79

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Stock-Based Incentive Plans

The 2016 Equity Plan authorizes a total of 10 million shares our common stock that may be used to satisfy awards under the Plan, subject to the share counting rules set forth within the Plan.

The 2016 Equity Plan authorizes a total of 10 million shares of our common stock that may be used to satisfy awards under the Plan, subject to the share counting rules set forth within the Plan.

During fiscal years 2020, 2019 and 2018, we granted RSU awards to employees with a grant date fair value of $ 7 million, $ 7 million and $ 4 million, respectively, which vest annually over a three-year period.

Additionally, during fiscal year 2018, we granted fully vested RSU awards to employees with a grant date fair value of $ 4 million in exchange for satisfaction and conversion of AGNC's obligations of an equivalent value under outstanding long-term incentive compensation awards granted to employees under the MTGE Incentive Plan ("RSU Exchange Awards") (see Other Long-Term Incentive Compensation below).

During fiscal years 2019, 2018 and 2017, we granted RSU awards to independent directors of $ 0.5 million , $ 0.5 million and $ 0.5 million , respectively, which vest over a 12 to 13 month period.

During fiscal years 2020, 2019 and 2018, we

granted RSU awards to independent directors of $ 0.8 million, $ 0.5 million and $ 0.5 million, respectively, which vest at the end of a one-year period from grant date.

The following table summarizes RSU awards under our 2016 Equity Plan for fiscal years 2020, 2019 and 2018:

2016 Equity Incentive Plan

Weighted Average Grant Date Fair Value 1

2016 Equity Incentive Plan RSU Awards Weighted Average Grant Date Fair Value 1

Weighted Average Vest Date Fair Value

Unvested balance as of December 31, 2017 335,228 $ 17.46 $ —

Accrued RSU dividend equivalents

Unvested balance as of December 31, 2017

261,036 $ 18.05 $ —

Accrued RSU dividend equivalents

56,618 $ — $ —

( 150,423 ) $ 16.52 $ 18.60

( 546 ) $ 16.98 $ —

Unvested balance as of December 31, 2018 501,913 $ 16.08 $ —

Granted 432,149 $ 17.59 $ —

Accrued RSU dividend equivalents

Unvested balance as of December 31, 2019

83,355 $ — $ —

Accrued RSU award dividend equivalents have a weighted average grant date fair value of $0.

Excludes 185,285 of RSU Exchange Awards.

Prior to establishing the 2016 Equity Plan, we granted equity-based awards to independent directors per the terms of our AGNC Equity Incentive Plan for Independent Directors (the "Director Plan").

The Director Plan was terminated in December of 2016 and replaced by our 2016 Equity Plan.

Outstanding awards under the Director Plan continued in effect in accordance with their terms.

The following table summarizes RSU and restricted stock transactions under the Director Plan for fiscal year 2017:

Director Plan

Shares of Restricted Stock

Weighted Average Grant Date Fair Value 1

Weighted Average Vest Date Fair Value

Vested ( 252,375 ) $ 15.30 $ 17.91

( 6,812 ) $ 16.00 $ —

Unvested balance as of December 31, 2019 758,230 $ 15.44 $ —

433,414 $ 18.60 $ —

Accrued RSU dividend equivalents

95,809 $ — $ —

( 377,244 ) $ 14.82 $ 11.82

( 1,225 ) $ 17.87 $ —

Unvested balance as of December 31, 2020 908,984 $ 15.57 $ —

1 unchanged sentence

Accrued RSU award dividend equivalents have a weighted average grant date fair value of $0.

Excludes 185,285 of RSU Exchange Awards.

During fiscal years 2020, 2019 and 2018, we granted PSU awards to employees under our 2016 Equity Plan, which vest at the end of a three-year period provided that specified performance criteria are met.

The performance criteria are based on a formula tied to our achievement of long-term economic returns consisting of the change in tangible net book value and dividends paid per common share on an absolute basis and relative to a select group of our peers.

The fair value of the PSU awards granted during fiscal years 2019, 2018 and 2017 as of the grant date was $ 9 million , $ 5 million and $ 5 million , respectively, assuming the target levels of performance are achieved, but the actual value will vary within a range of 0% to 200% of target based on actual performance achieved relative to the targets.

The fair value of the PSU awards granted during fiscal years 2020, 2019 and 2018 as of the grant date was $ 10 million, $ 9 million and $ 5 million, respectively, assuming the target levels of performance are achieved.

The actual value of the awards will vary within a range of 0% to 200% of the target based on the actual performance achieved relative to the targets.

The following table summarizes PSU awards under our 2016 Equity Plan for fiscal years 2020, 2019 and 2018.

2016 Equity Incentive Plan

at Target Performance Level

Weighted Average Grant Date Fair Value 1

2016 Equity Incentive Plan PSUs

at Target Performance Level Weighted Average Grant Date Fair Value 1

Weighted Average Vest Date Fair Value 1

Unvested balance as of December 31, 2017 273,376 $ 17.78 $ —

272,228 $ 17.98 $ —

Accrued PSU dividend equivalents

61,171 $ — $ —

Unvested balance as of December 31, 2018 606,775 $ 16.08 $ —

494,016 $ 17.56 $ —

Accrued PSU dividend equivalents

123,594 $ — $ —

Performance adjustment - Granted 95,427 $ 19.39 $ —

Performance adjustment - Accrued PSU dividend equivalents 35,825 $ — $ —

( 4,224 ) $ 15.84 $ —

Unvested balance as of December 31, 2019 1,351,413 $ 14.96 $ —

508,757 $ 19.62 $ —

Accrued PSU dividend equivalents

Performance adjustment - 2017 PSU grant

160,442 $ — $ —

Performance adjustment - Granted 62,796 $ 17.98 $ —

Performance adjustment - Accrued PSU dividend equivalents 26,183 $ — $ —

( 482,806 ) $ 13.84 $ 11.81

Unvested balance as of December 31, 2020 1,626,785 $ 15.15 $ —

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Other Long-Term Incentive Compensation

During fiscal years 2018 and 2017, we granted long-term incentive compensation awards to employees under our MTGE Incentive Plan (the "Incentive Plan"), with original grant date fair values of $ 2 million and $ 2 million , respectively.

During fiscal year 2018, we granted long-term incentive compensation awards to employees under our MTGE Incentive Plan (the "Incentive Plan"), with original grant date fair values of $ 2 million.

During 2018, all outstanding awards under the Incentive Plan became fully vested and the Incentive Plan was terminated.

Awards for which distribution of vested amounts had been deferred beyond the vesting date were exchanged for RSU awards granted under the 2016 Equity Plan of equal value.

During fiscal years 2018 and 2017, we recognized long-term incentive compensation expense associated with awards under the Incentive Plan of $ 5 million and $ 1 million , respectively.

During fiscal year 2018, we recognized long-term incentive compensation expense associated with awards under the Incentive Plan of $ 5 million.

As of December 31, 2020, we have distributed all of our estimated taxable income for fiscal year 2020.

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If we incur income tax related interest and penalties, our policy is to classify them as a component of provision for income taxes.

Quarterly Results (Unaudited)

The following is a presentation of the quarterly results of operations and comprehensive income (loss) for fiscal years 2019 and 2018 (in millions, except per share data).

Quarter Ended

September 30,

December 31, 2019

Interest income:

Interest income

Interest expense

Net interest income

Other gain (loss):

Gain on sale of investment securities, net

Unrealized gain (loss) on investment securities measured at fair value through net income, net

Gain (loss) on derivative instruments and other securities, net

Total other gain (loss), net

Compensation and benefits

Other operating expenses

Total expenses

Net income (loss)

Dividends on preferred stock

Issuance cost of redeemed preferred stock

Net income (loss) available (attributable) to common shareholders

Net income (loss)

Unrealized gain on investment securities measured at fair value through other comprehensive income (loss), net

Comprehensive income (loss)

Dividends on preferred stock

Issuance cost of redeemed preferred stock

Comprehensive income (loss) available (attributable) to common shareholders

Weighted average number of common shares outstanding - basic

Weighted average number of common shares outstanding - diluted

Net income (loss) per common share - basic

Net income (loss) per common share - diluted

Comprehensive income (loss) per common share - basic

Comprehensive income (loss) per common share - diluted

Dividends declared per common share

Quarter Ended

September 30,

December 31, 2018

Interest income:

Interest income

Interest expense

Net interest income

Other gain (loss):

Loss on sale of investment securities, net

Unrealized gain (loss) on investment securities measured at fair value through net income, net

Gain (loss) on derivative instruments and other securities, net

Management fee income

Total other gain (loss), net

Compensation and benefits

Other operating expenses

Total expenses

Net income (loss)

Dividends on preferred stock

Net income (loss) available (attributable) to common shareholders

Net income (loss)

Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net

Comprehensive income (loss)

Dividends on preferred stock

Comprehensive income (loss) available (attributable) to common shareholders

Weighted average number of common shares outstanding - basic

Weighted average number of common shares outstanding - diluted

Net income (loss) per common share - basic and diluted

Comprehensive income (loss) per common share - basic and diluted

Dividends declared per common share

Subsequent Events

Preferred Stock Offering

On February 11, 2020, we issued $ 575 million , or 23 million depositary shares, of 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series F Preferred Stock"), for net proceeds of $ 557 million .

Each depositary share represents a 1/1,000th interest in a share of Series F Preferred Stock.

At the conclusion of the Series F fixed rate period on April 15, 2025, the Series F Preferred Stock dividend will accrue at a floating rate equal to three-month LIBOR plus a spread of 4.697 % per annum, and commencing on such date, the Series F Preferred Stock is redeemable at our option at the liquidation preference of $ 25.00 per depositary share, plus any accrued and unpaid dividends.

Common Stock Dividend Declaration

On January 9, 2020 and February 13, 2020 , our Board of Directors declared a monthly dividend of $ 0.16 per common share payable on February 11, 2020 and March 10, 2020 , respectively, to common stockholders of record as of January 31, 2020 and February 28, 2020 , respectively.

Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

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-K

Item 8. Financial Statements and Supplementary Data