What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2021-08-05 compared with 2021-05-07 · 160 added, 97 removed, 711 unchanged (27% of the section changed)

3 unchanged sentences

(in millions, except per share data)

March 31, 2021 December 31, 2020

June 30, 2021 December 31, 2020

Agency securities, at fair value (including pledged securities of $ 49,686 and $ 53,698 , respectively)

3 unchanged sentences

Non-Agency securities, at fair value (including pledged securities of $ 377 and $ 458 , respectively)

Treasury securities, at fair value (including pledged securities of $ 397 and $ 0 , respectively)

Cash and cash equivalents 947 1,017

28 unchanged sentences

(in millions, except per share data)

Three Months Ended March 31,

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

2021 2020 2021 2020

Interest income:

3 unchanged sentences

Other gain (loss), net:

Gain (loss) on sale of investment securities, net ( 13 ) 494

Gain on sale of investment securities, net 25 153 12 647

Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 28 ) 679 ( 983 ) 876

14 unchanged sentences

Weighted average number of common shares outstanding - basic

526.6 560.3 530.1 554.2

Weighted average number of common shares outstanding - diluted

526.6 560.8 531.9 554.2

Net income (loss) per common share - basic $ ( 0.83 ) $ 1.24 $ 0.97 $ ( 3.16 )

11 unchanged sentences

Shares Amount

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

Net income — — — — 718 — 718

Other comprehensive income:

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

Stock-based compensation, net — — — 4 — — 4

Repurchase of common stock — ( 12.2 ) — ( 147 ) — — ( 147 )

Preferred dividends declared — — — — ( 25 ) — ( 25 )

Common dividends declared — — — — ( 201 ) — ( 201 )

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

Balance, March 31, 2021 $ 1,489 524.9 $ 5 $ 13,736 $ ( 4,348 ) $ 482 $ 11,364

Net loss — — — — ( 411 ) — ( 411 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 77 ) ( 77 )

Stock-based compensation, net — — — 5 — — 5

Preferred dividends declared — — — — ( 25 ) — ( 25 )

Common dividends declared — — — — ( 188 ) — ( 188 )

Balance, June 30, 2021 $ 1,489 524.9 $ 5 $ 13,741 $ ( 4,972 ) $ 405 $ 10,668

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

5 unchanged sentences

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

Repurchase of common stock — ( 12.2 ) — ( 147 ) — — ( 147 )

Preferred dividends declared — — — — ( 46 ) — ( 46 )

Common dividends declared — — — — ( 465 ) — ( 465 )

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

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

Balance, December 31, 2020 $ 1,489 539.5 $ 5 $ 13,972 $ ( 5,106 ) $ 719 $ 11,079

6 unchanged sentences

Common dividends declared — — — — ( 380 ) — ( 380 )

Balance, March 31, 2021 $ 1,489 524.9 $ 5 $ 13,736 $ ( 4,348 ) $ 482 $ 11,364

Balance, June 30, 2021 $ 1,489 524.9 $ 5 $ 13,741 $ ( 4,972 ) $ 405 $ 10,668

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Three Months Ended

Six Months Ended

Operating activities:

3 unchanged sentences

Stock-based compensation, net 8 7

(Gain) loss on sale of investment securities, net 13 ( 494 )

Gain on sale of investment securities, net ( 12 ) ( 647 )

Unrealized (gain) loss on investment securities measured at fair value through net income, net 983 ( 876 )

(Gain) loss on derivative instruments and other securities, net ( 821 ) 3,539

Decrease in other assets 9 78

(Increase) decrease in other assets ( 52 ) 59

Decrease in accounts payable and other accrued liabilities ( 27 ) ( 210 )

13 unchanged sentences

Net proceeds from (payments on) derivative instruments 593 ( 2,682 )

Net cash provided by (used in) investing activities ( 3,196 ) 23,577

Net cash provided by investing activities 2,801 19,309

Financing activities:

6 unchanged sentences

Cash dividends paid ( 432 ) ( 525 )

Net cash provided by (used in) financing activities 2,220 ( 21,939 )

Net cash provided used in financing activities ( 4,326 ) ( 19,202 )

Net change in cash, cash equivalents and restricted cash ( 754 ) 883

48 unchanged sentences

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.

113 unchanged sentences

Investment Securities

As of March 31, 2021 and December 31, 2020, our investment portfolio consisted of $ 65.5 billion and $ 66.4 billion of investment securities, at fair value, respectively, and $ 24.8 billion and $ 31.5 billion of net TBA securities, at fair value, respectively.

Our net TBA position is reported at its net carrying value of $( 576 ) million and $ 275 million as of March 31, 2021 and December 31, 2020, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets.

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

As of March 31, 2021 and December 31, 2020, our investment securities had a net unamortized premium balance of $ 2.5 billion and $ 2.4 billion, respectively.

The following tables summarize our investment securities as of March 31, 2021 and December 31, 2020, excluding TBA securities, (dollars in millions).

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

March 31, 2021 December 31, 2020

As of June 30, 2021 and December 31, 2020, our investment portfolio consisted of:

$ 59.8 billion and $ 66.4 billion investment securities, at fair value, respectively;

$ 27.4 billion and $ 31.5 billion net TBA securities, at fair value, respectively;

and $ 0.3 billion and zero forward settling non-Agency securities, at fair value, respectively.

Our net TBA position and forward settling non-Agency securities are reported at their net carrying value totaling $ 79 million and $ 275 million as of June 30, 2021 and December 31, 2020, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets.

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

As of June 30, 2021 and December 31, 2020, our investment securities had a net unamortized premium balance of $ 2.1 billion and $ 2.4 billion, respectively.

The following tables summarize our investment securities as of June 30, 2021 and December 31, 2020, excluding TBA and forward settling securities, (dollars in millions).

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

June 30, 2021 December 31, 2020

Investment Securities Amortized

11 unchanged sentences

Total investment securities $ 58,379 $ 59,799 $ 63,701 $ 66,414

March 31, 2021

June 30, 2021

Agency RMBS Non-Agency

28 unchanged sentences

Total securities, at fair value $ 40,542 $ 17,594 $ 5 $ 200 $ 353 $ 1,105 $ 59,799

Weighted average coupon as of March 31, 2021

Weighted average coupon as of June 30, 2021

3.15 % 3.23 % 4.73 % 4.23 % 3.69 % 3.58 % 3.19 %

Weighted average yield as of March 31, 2021 1

Weighted average yield as of June 30, 2021 1

2.37 % 2.38 % 2.56 % 4.38 % 4.01 % 4.09 % 2.42 %

________________________________

Incorporates a weighted average future constant prepayment rate assumption of 11.3 % based on forward rates as of March 31, 2021.

Incorporates a weighted average future constant prepayment rate assumption of 11.6 % based on forward rates as of June 30, 2021.

December 31, 2020

30 unchanged sentences

Incorporates a weighted average future constant prepayment rate assumption of 17.6 % based on forward rates as of December 31, 2020.

As of March 31, 2021 and December 31, 2020, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

March 31, 2021 December 31, 2020

As of June 30, 2021 and December 31, 2020, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

June 30, 2021 December 31, 2020

CRT and Non-Agency Security Credit Ratings 1

14 unchanged sentences

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

As of March 31, 2021 and December 31, 2020, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 11.3 % and 17.6 %, respectively.

As of June 30, 2021 and December 31, 2020, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 11.6 % and 17.6 %, respectively.

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

The following table summarizes our investments as of March 31, 2021 and December 31, 2020 according to their estimated weighted average life classification (dollars in millions):

March 31, 2021 December 31, 2020

The following table summarizes our investments as of June 30, 2021 and December 31, 2020 according to their estimated weighted average life classification (dollars in millions):

June 30, 2021 December 31, 2020

Estimated Weighted Average Life of Investment Securities Fair Value Amortized

10 unchanged sentences

Gains and Losses on Sale of Investment Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2021 and 2020 by investment classification of accounting (in millions):

Three Months Ended March 31,

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2021 and 2020 by investment classification of accounting (in millions):

Three Months Ended June 30,

Investment Securities Available-for-Sale

8 unchanged sentences

Net gain (loss) on sale of investment securities $ 14 $ 11 $ 25 $ 39 $ 114 $ 153

Six Months Ended June 30,

Investment Securities Available-for-Sale

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ ( 4,644 ) $ ( 14,523 ) $ ( 19,167 ) $ ( 1,433 ) $ ( 53,912 ) $ ( 55,345 )

Proceeds from investment securities sold 1

4,676 14,503 19,179 1,473 54,519 55,992

Net gain (loss) on sale of investment securities $ 32 $ ( 20 ) $ 12 $ 40 $ 607 $ 647

Gross gain on sale of investment securities $ 32 $ 97 $ 129 $ 40 $ 696 $ 736

Gross loss on sale of investment securities — ( 117 ) ( 117 ) — ( 89 ) ( 89 )

Net gain (loss) on sale of investment securities $ 32 $ ( 20 ) $ 12 $ 40 $ 607 $ 647

________________________________

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

5 unchanged sentences

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

As of March 31, 2021, we had met all margin call requirements.

As of June 30, 2021, we had met all margin call requirements.

For additional information regarding our pledged assets, please refer to Note 6.

As of March 31, 2021 and December 31, 2020, we had $ 55.1 billion and $ 52.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio.

As of June 30, 2021 and December 31, 2020, we had $ 48.7 billion and $ 52.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S.

Treasury securities.

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 may have floating interest rates based on an index plus or minus a fixed spread.

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2021 and December 31, 2020 (dollars in millions):

March 31, 2021 December 31, 2020

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.

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2021 and December 31, 2020 (dollars in millions):

June 30, 2021 December 31, 2020

Remaining Maturity Repurchase Agreements Weighted

7 unchanged sentences

> 9 to ≤ 12 months 875 0.18 % 303 1,450 0.15 % 354

> 12 to ≤ 24 months 625 0.19 % 406 — — % —

Total Agency repo

48,340 0.11 % 54 52,366 0.24 % 54

Treasury repo:

> 1 day to ≤ 1 month 397 0.02 % 1 — — % —

Total $ 48,737 0.11 % 54 $ 52,366 0.24 % 54

As of March 31, 2021 and December 31, 2020, $ 4.3 billion and $ 11.2 billion, respectively, of our repurchase agreements had a remaining maturity of one business day and none of our repurchase agreements were due on demand.

As of March 31, 2021, we had no forward commitments to enter into repurchase agreements.

As of June 30, 2021 and December 31, 2020, $ 7.4 billion and $ 11.2 billion, respectively, of our repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand.

As of June 30, 2021, we had $ 8.3 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 2 days and a weighted average interest rate of 0.06 %.

As of December 31, 2020, we had $ 2.9 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 4 days and a weighted average interest rate of 0.12 %.

As of March 31, 2021 and December 31, 2020, 45 % and 47 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").

Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 44 % and 46 % of our repurchase agreement funding outstanding as of March 31, 2021 and December 31, 2020, respectively.

As of June 30, 2021 and December 31, 2020, 44 % and 47 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").

Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 43 % and 46 % of our repurchase agreement funding outstanding as of June 30, 2021 and December 31, 2020, respectively.

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

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

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

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

Reverse Repurchase Agreements

As of March 31, 2021 and December 31, 2020, we had $16.8 billion and $11.7 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S.

As of June 30, 2021 and December 31, 2020, we had $12.0 billion and $11.7 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S.

Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $10.9 billion and $11.7 billion, respectively.

As of March 31, 2021 and December 31, 2020, $ 3.3 billion and $ 3.6 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

As of June 30, 2021 and December 31, 2020, $ 2.7 billion and $ 3.6 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

5 unchanged sentences

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

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2021 and December 31, 2020 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location March 31,

Interest rate swaps Derivative assets, at fair value $ 45 $ —

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of June 30, 2021 and December 31, 2020 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

Swaptions Derivative assets, at fair value $ 294 $ 116

TBA securities Derivative assets, at fair value 87 275

Treasury futures - short Derivative assets, at fair value 33 —

Total derivative assets, at fair value

3 unchanged sentences

$ ( 14 ) $ ( 2 )

Treasury securities - long U.S.

Treasury securities, at fair value $ 397 $ —

Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value ( 10,920 ) ( 11,727 )

1 unchanged sentence

$ ( 10,523 ) $ ( 11,727 )

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2021 and December 31, 2020 (dollars in millions):

March 31, 2021 December 31, 2020

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2021 and December 31, 2020 (dollars in millions):

June 30, 2021 December 31, 2020

Pay Fixed / Receive Variable Interest Rate Swaps Notional

8 unchanged sentences

Total $ 49,725 0.18 % 0.06 % 4.4 $ 43,225 0.15 % 0.08 % 5.1

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

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

December 31, 2020

7 unchanged sentences

Amount Average Fixed Pay

March 31, 2021

June 30, 2021

≤ 1 year $ 101 $ 55 5 $ 4,200 1.77 % 8.8

1 unchanged sentence

> 2 year ≤ 3 years 110 122 32 4,000 2.07 % 10.0

> 3 year ≤ 4 years 8 23 37 250 1.43 % 10.0

Total $ 291 $ 294 19 $ 11,450 1.77 % 9.5

6 unchanged sentences

________________________________

As of March 31, 2021 and December 31, 2020, ≤ 1 year notional amount includes $ 700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.

As of March 31, 2021, 20% and 80% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively.

As of June 30, 2021 and December 31, 2020, ≤ 1 year notional amount includes $ 700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.

As of June 30, 2021, 8% and 92% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively.

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

Treasury Securities March 31, 2021 December 31, 2020

Treasury Securities June 30, 2021 December 31, 2020

Maturity Face Amount Long/(Short) Cost Basis 1

5 unchanged sentences

________________________________

As of March 31, 2021 and December 31, 2020, short U.S.

Treasury securities had a weighted average yield of 1.17 % and 1.20 %, respectively.

Treasury Futures March 31, 2021 December 31, 2020

As of June 30, 2021 and December 31, 2020, short U.S.

Treasury securities had a weighted average yield of 1.30 % and 1.20 %, respectively, and long U.S.

Treasury securities totaling $ 397 million, at fair value, had a weighted average yield of 0.98 % as of June 30, 2021.

Treasury Futures June 30, 2021 December 31, 2020

Maturity Notional

8 unchanged sentences

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

March 31, 2021 December 31, 2020

June 30, 2021 December 31, 2020

TBA Securities by Coupon Notional

17 unchanged sentences

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

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three months ended March 31, 2021 and 2020 (in millions):

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2021 and 2020 (in millions):

Derivative and Other Hedging Instruments Beginning

4 unchanged sentences

on Derivative Instruments and Other Securities, Net 1

Three months ended March 31, 2021:

Three months ended June 30, 2021:

TBA securities, net $ 24,518 94,248 ( 92,199 ) $ 26,567 $ 396

Forward settling non-Agency securities $ — 300 — $ 300 —

Interest rate swaps - payer $ 49,725 — — $ 49,725 ( 400 )

3 unchanged sentences

Treasury futures contracts - short position $ ( 1,000 ) ( 2,000 ) 1,500 $ ( 1,500 ) ( 29 )

Three months ended March 31, 2020:

Three months ended June 30, 2020:

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

4 unchanged sentences

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

Six months ended June 30, 2021:

TBA securities, net $ 30,364 187,584 ( 191,381 ) $ 26,567 $ ( 530 )

Forward settling non-Agency securities $ — 300 — $ 300 —

Interest rate swaps - payer $ 43,225 7,000 ( 500 ) $ 49,725 724

Payer swaptions $ 10,400 4,250 ( 3,200 ) $ 11,450 74

Treasury securities - short position $ ( 11,287 ) ( 7,846 ) 8,240 $ ( 10,893 ) 474

Treasury securities - long position $ — 2,651 ( 2,254 ) $ 397 ( 11 )

Treasury futures contracts - short position $ ( 1,000 ) ( 3,000 ) 2,500 $ ( 1,500 ) 32

Six months ended June 30, 2020:

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

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

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

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

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

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

________________________________

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 for the three and six months ended June 30, 2020 exclude $ 146 million of losses on debt extinguishment (see Note 4).

Pledged Assets

1 unchanged sentence

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

We are typically required to post initial margin upon execution of derivative transactions, such as under our

interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value.

We are typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value.

Our brokerage and custody agreements and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits.

10 unchanged sentences

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

As of March 31, 2021, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 2 % of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables).

As of March 31, 2021, approximately 9 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

As of June 30, 2021, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 2 % of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables).

As of June 30, 2021, approximately 8 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

Assets Pledged to Counterparties

The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2021 and December 31, 2020 (in millions):

March 31, 2021

June 30, 2021

Assets Pledged to Counterparties 1

27 unchanged sentences

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

Includes $ 106 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2021 and December 31, 2020, respectively.

Includes $ 98 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2021 and December 31, 2020, respectively.

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

The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of March 31, 2021 and December 31, 2020 (in millions).

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

March 31, 2021 December 31, 2020

June 30, 2021 December 31, 2020

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

9 unchanged sentences

________________________________

Includes $ 106 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2021 and December 31, 2020, respectively.

Includes $ 98 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2021 and December 31, 2020, respectively.

Excludes $ 0.6 billion of repledged U.S.

Treasury securities received as collateral from counterparties as of March 31, 2021.

Treasury securities received as collateral from counterparties as of June 30, 2021.

Assets Pledged from Counterparties

As of March 31, 2021 and December 31, 2020, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

March 31, 2021 December 31, 2020

As of June 30, 2021 and December 31, 2020, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

June 30, 2021 December 31, 2020

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

4 unchanged sentences

________________________________

As of March 31, 2021, $ 1.4 billion of U.S.

As of June 30, 2021, $ 0.6 billion of U.S.

Treasury securities received from counterparties were repledged as collateral.

As of March 31, 2021 and December 31, 2020, $15.1 billion and $11.7 billion, respectively, of U.S.

As of June 30, 2021 and December 31, 2020, $10.9 billion and $11.7 billion, respectively, of U.S.

Treasury securities received from counterparties were used to cover short sales of U.S.

3 unchanged sentences

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

The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2021 and December 31, 2020 (in millions):

Offsetting of Financial and Derivative Assets

2 unchanged sentences

Financial Instruments Collateral Received 2

March 31, 2021

June 30, 2021

Interest rate swap and swaption agreements, at fair value 1

13 unchanged sentences

Financial Instruments Collateral Pledged 2

March 31, 2021

June 30, 2021

TBA securities, at fair value $ 8 $ — $ 8 $ ( 8 ) $ — $ —

11 unchanged sentences

Fair Value Measurements

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2021 and December 31, 2020, based on their categorization within the valuation hierarchy (in millions).

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of June 30, 2021 and December 31, 2020, based on their categorization within the valuation hierarchy (in millions).

There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.

March 31, 2021 December 31, 2020

June 30, 2021 December 31, 2020

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

7 unchanged sentences

— 553 — — 546 —

Treasury securities

397 — — — — —

Interest rate swaps

2 unchanged sentences

— 87 — — 275 —

Treasury futures

Total $ 397 $ 60,180 $ — $ — $ 66,805 $ —

4 unchanged sentences

TBA securities

— 589 — — — —

Treasury futures

1 unchanged sentence

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 March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020 due to their short duration.

The fair value of our repurchase agreements approximated cost as of June 30, 2021 and December 31, 2020, as the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market.

The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of June 30, 2021 and December 31, 2020 due to their short duration.

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

4 unchanged sentences

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

Three Months Ended March 31,

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

2021 2020 2021 2020

Weighted average number of common shares issued and outstanding 524.9 559.1 528.7 553.3

6 unchanged sentences

Net income (loss) per common share - diluted $ ( 0.83 ) $ 1.24 $ 0.97 $ ( 3.16 )

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

For the three months ended June 30, 2021 and six months ended June 30, 2020, 1.7 million and 0.8 million, respectively, of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.

Stockholders' Equity

1 unchanged sentence

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

As of March 31, 2021 and December 31, 2020, 13,800 , 10,350 , 16,100 and 23,000 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively).

As of March 31, 2021 and December 31, 2020, 13,000 , 9,400 , 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding.

As of June 30, 2021 and December 31, 2020, 13,800 , 10,350 , 16,100 and 23,000 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively).

As of June 30, 2021 and December 31, 2020, 13,000 , 9,400 , 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding.

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

5 unchanged sentences

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

The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2021 (dollars and shares in millions):

The following table includes a summary of preferred stock depositary shares issued and outstanding as of June 30, 2021 (dollars and shares in millions):

Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1

17 unchanged sentences

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

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

As of June 30, 2021, shares of our common stock with an aggregate offering price of $1.25 billion remained authorized for issuance under this program through June 11, 2024.

We did not issue shares under the program during the six months ended June 30, 2021.

Common Stock Repurchase Program

In October 2020, our Board of Directors authorized the repurchase of up to $ 1 billion of our outstanding common stock through December 31, 2021.

During the three months ended March 31, 2021, we repurchased 15.0 million shares, or $ 239 million, of our common stock for an average repurchase price of $ 16.00 per common share, inclusive of transaction cost and including amounts repurchased in December 2020 that settled in January 2021.

As of March 31, 2021, we had $ 0.7 billion of common stock remaining available for repurchase through December 31, 2021.

We may repurchase shares in the open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the "Exchange Act").

We intend to repurchase shares under the stock repurchase program only when the repurchase price is less than our then-current estimate of our tangible net book value per common share.

We are authorized by our Board of Directors to repurchase shares of our common stock in open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the "Exchange Act").

During the three months ended March 31, 2021, we repurchased 15.0 million shares, or $ 239 million, of our common stock for an average repurchase price of $ 16.00 per common share, inclusive of transaction costs and including amounts repurchased in December 2020 that settled in January 2021.

During the three months ended June 30, 2021, we did not repurchase shares of our common stock.

As of June 30, 2021, shares of our common stock with an aggregate repurchase price of $ 684 million remained authorized for repurchase through December 31, 2021.

Accumulated Other Comprehensive Income (Loss)

The following table summarizes changes to accumulated OCI for the three months ended March 31, 2021 and 2020 (in millions):

Three Months Ended March 31,

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2021 and 2020 (in millions):

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

Accumulated Other Comprehensive Income (Loss) 2021 2020 2021 2020

1 unchanged sentence

OCI before reclassifications

( 63 ) 242 ( 282 ) 707

Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net ( 14 ) ( 39 ) ( 32 ) ( 40 )

1 unchanged sentence

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

What changed 10-Q

Item 1. Financial Statements