What changed in this filing

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Item 1. Financial Statements

2021-11-05 compared with 2021-08-05 · 116 added, 107 removed, 764 unchanged (23% of the section changed)

3 unchanged sentences

(in millions, except per share data)

June 30, 2021 December 31, 2020

September 30, 2021 December 31, 2020

Agency securities, at fair value (including pledged securities of $ 46,741 and $ 53,698 , respectively)

34 unchanged sentences

(in millions, except per share data)

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

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

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Other gain (loss), net:

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

Gain (loss) on sale of investment securities, net ( 5 ) 346 7 993

Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 141 ) ( 365 ) ( 1,124 ) 511

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Shares Amount

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

Net income — — — — 662 — 662

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Common dividends declared — — — — ( 198 ) — ( 198 )

Balance, September 30, 2020 $ 1,489 545.2 $ 5 $ 14,053 $ ( 5,661 ) $ 834 $ 10,720

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

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 )

Net income — — — — 212 — 212

Other comprehensive income:

Unrealized gain on available-for-sale securities, net — — — — — 6 6

Stock-based compensation, net — — — 6 — — 6

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

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

Balance, September 30, 2021 $ 1,489 524.9 $ 5 $ 13,747 $ ( 4,973 ) $ 411 $ 10,679

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

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Common dividends declared — — — — ( 663 ) — ( 663 )

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

Balance, September 30, 2020 $ 1,489 545.2 $ 5 $ 14,053 $ ( 5,661 ) $ 834 $ 10,720

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

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Common dividends declared — — — — ( 568 ) — ( 568 )

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

Balance, September 30, 2021 $ 1,489 524.9 $ 5 $ 13,747 $ ( 4,973 ) $ 411 $ 10,679

See accompanying notes to consolidated financial statements.

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(in millions)

Six Months Ended

Nine Months Ended

September 30,

Operating activities:

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Treasury securities 15,261 20,112

Net proceeds from (payments on) reverse repurchase agreements ( 233 ) 2,270

Net proceeds from reverse repurchase agreements 2,129 1,590

Net proceeds from (payments on) derivative instruments 918 ( 2,260 )

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Cash dividends paid ( 646 ) ( 748 )

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

Net cash used in financing activities ( 6,758 ) ( 34,703 )

Net change in cash, cash equivalents and restricted cash ( 879 ) 1,132

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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, over-collateralization 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.

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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 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.

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Investment Securities

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

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

$ 55.4 billion and $ 66.4 billion investment securities, at fair value, respectively;

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and $ 0.5 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.

Our net TBA position and forward settling non-Agency securities are reported at their net carrying value totaling $( 171 ) million and $ 275 million as of September 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).

As of September 30, 2021 and December 31, 2020, our investment securities had a net unamortized premium balance of $ 1.9 billion and $ 2.4 billion, respectively.

The following tables summarize our investment securities as of September 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

September 30, 2021 December 31, 2020

Investment Securities Amortized

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Total investment securities $ 54,112 $ 55,393 $ 63,701 $ 66,414

June 30, 2021

September 30, 2021

Agency RMBS Non-Agency

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Total securities, at fair value $ 37,455 $ 16,283 $ 5 $ 197 $ 381 $ 1,072 $ 55,393

Weighted average coupon as of June 30, 2021

Weighted average coupon as of September 30, 2021

3.16 % 3.07 % 4.72 % 4.18 % 3.70 % 3.60 % 3.15 %

Weighted average yield as of June 30, 2021 1

Weighted average yield as of September 30, 2021 1

2.42 % 2.34 % 2.56 % 13.88 % 4.06 % 4.01 % 2.48 %

________________________________

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

Incorporates a weighted average future constant prepayment rate assumption of 10.7 % based on forward rates as of September 30, 2021.

December 31, 2020

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

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

September 30, 2021 December 31, 2020

CRT and Non-Agency Security Credit Ratings 1

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

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.

As of September 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 10.7 % 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 June 30, 2021 and December 31, 2020 according to their estimated weighted average life classification (dollars in millions):

June 30, 2021 December 31, 2020

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

September 30, 2021 December 31, 2020

Estimated Weighted Average Life of Investment Securities Fair Value Amortized

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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 and six months ended June 30, 2021 and 2020 by investment classification of accounting (in millions):

Three Months Ended June 30,

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

Three Months Ended September 30,

Investment Securities Available-for-Sale

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Net gain (loss) on sale of investment securities $ 4 $ ( 9 ) $ ( 5 ) $ — $ 346 $ 346

Six Months Ended June 30,

Nine Months Ended September 30,

Investment Securities Available-for-Sale

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

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

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

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.

As of September 30, 2021 and December 31, 2020, we had $ 46.5 billion and $ 52.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S.

Treasury securities.

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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

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

September 30, 2021 December 31, 2020

Remaining Maturity Repurchase Agreements Weighted

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Total $ 46,532 0.12 % 69 $ 52,366 0.24 % 54

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 September 30, 2021 and December 31, 2020, $ 3.7 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 September 30, 2021, we had $ 2.5 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 1 day and a weighted average interest rate of 0.06 %.

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 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.

As of September 30, 2021 and December 31, 2020, 43 % 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 42 % and 46 % of our repurchase agreement funding outstanding as of September 30, 2021 and December 31, 2020, respectively.

During the nine months ended September 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.

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

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

Reverse Repurchase Agreements

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.

As of September 30, 2021 and December 31, 2020, we had $9.6 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 $8.9 billion and $11.7 billion, respectively.

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.

As of September 30, 2021 and December 31, 2020, $ 2.5 billion and $ 3.6 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

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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 June 30, 2021 and December 31, 2020 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

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

Derivative and Other Hedging Instruments Balance Sheet Location September 30,

Swaptions Derivative assets, at fair value $ 374 $ 116

TBA securities Derivative assets, at fair value 87 275

TBA and forward settling non-Agency securities Derivative assets, at fair value 7 275

Treasury futures - short Derivative assets, at fair value 21 —

Total derivative assets, at fair value

TBA securities Derivative liabilities, at fair value ( 8 ) —

TBA and forward settling non-Agency securities Derivative liabilities, at fair value ( 178 ) —

Treasury futures - short Derivative liabilities, at fair value — ( 2 )

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$ ( 8,251 ) $ ( 11,727 )

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

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

September 30, 2021 December 31, 2020

Pay Fixed / Receive Variable Interest Rate Swaps Notional

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Total $ 49,725 0.17 % 0.05 % 4.2 $ 43,225 0.15 % 0.08 % 5.1

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

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

December 31, 2020

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Amount Average Fixed Pay

June 30, 2021

September 30, 2021

≤ 1 year $ 85 $ 53 6 $ 3,200 1.80 % 8.3

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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 June 30, 2021 December 31, 2020

As of September 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 September 30, 2021, 95% and 5% of the underlying swap receive rates were tied to SOFR and 3-Month LIBOR, respectively.

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

Treasury Securities September 30, 2021 December 31, 2020

Maturity Face Amount Long/(Short) Cost Basis 1

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

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

Treasury securities had a weighted average yield of 1.46 % 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

Treasury securities totaling $ 645 million, at fair value, had a weighted average yield of 0.56 % as of September 30, 2021.

Treasury Futures September 30, 2021 December 31, 2020

Maturity Notional

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

June 30, 2021 December 31, 2020

TBA Securities by Coupon Notional

September 30, 2021 December 31, 2020

TBA Securities by Coupon 2

Long (Short) Cost

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Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

Table excludes forward settling non-Agency securities totaling $ 0.5 billion market value and $ 1 million net carrying value as of September 30, 2021.

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 and six months ended June 30, 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 nine months ended September 30, 2021 and 2020 (in millions):

Derivative and Other Hedging Instruments Beginning

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on Derivative Instruments and Other Securities, Net 1

Three months ended June 30, 2021:

Three months ended September 30, 2021:

TBA securities, net $ 26,567 86,363 ( 85,301 ) $ 27,629 $ 30

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Treasury futures contracts - short position $ ( 1,500 ) ( 1,500 ) 1,500 $ ( 1,500 ) 5

Three months ended June 30, 2020:

Three months ended September 30, 2020:

TBA securities, net $ 19,760 80,599 ( 71,838 ) $ 28,521 $ 283

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Treasury futures contracts - short position $ ( 1,000 ) ( 1,000 ) 1,000 $ ( 1,000 ) ( 5 )

Six months ended June 30, 2021:

Nine months ended September 30, 2021:

TBA securities, net $ 30,364 273,947 ( 276,682 ) $ 27,629 $ ( 500 )

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Treasury futures contracts - short position $ ( 1,000 ) ( 4,500 ) 4,000 $ ( 1,500 ) 37

Six months ended June 30, 2020:

Nine months ended September 30, 2020:

TBA securities, net $ 7,322 193,535 ( 172,336 ) $ 28,521 $ 1,196

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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).

Amounts for the nine months ended September 30, 2020 exclude $ 146 million of losses on debt extinguishment (see Note 4).

Pledged Assets

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

As of 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.

As of September 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 September 30, 2021, approximately 7 % 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 June 30, 2021 and December 31, 2020 (in millions):

June 30, 2021

September 30, 2021

Assets Pledged to Counterparties 1

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

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 $ 89 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 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 June 30, 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 .

June 30, 2021 December 31, 2020

September 30, 2021 December 31, 2020

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

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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 $ 89 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2021 and December 31, 2020, respectively.

Excludes $ 0.6 billion of repledged U.S.

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

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

Assets Pledged from Counterparties

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

As of September 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).

September 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

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

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

Treasury securities received from counterparties were repledged as collateral.

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

As of September 30, 2021 and December 31, 2020, $8.9 billion and $11.7 billion, respectively, of U.S.

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

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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 June 30, 2021 and December 31, 2020 (in millions):

Offsetting of Financial and Derivative Assets

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Financial Instruments Collateral Received 2

June 30, 2021

September 30, 2021

Interest rate swap and swaption agreements, at fair value 1

$ 374 $ — $ 374 $ — $ ( 372 ) $ 2

TBA securities, at fair value 87 — 87 ( 8 ) — 79

TBA and forward settling non-Agency securities, at fair value 7 — 7 ( 7 ) — —

Receivable under reverse repurchase agreements 9,617 — 9,617 ( 6,625 ) ( 2,992 ) —

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Financial Instruments Collateral Pledged 2

June 30, 2021

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

September 30, 2021

TBA and forward settling non-Agency securities, at fair value $ 178 $ — $ 178 $ ( 7 ) $ ( 171 ) $ —

Repurchase agreements 46,532 — 46,532 ( 6,625 ) ( 39,907 ) —

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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 June 30, 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 September 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.

June 30, 2021 December 31, 2020

September 30, 2021 December 31, 2020

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

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645 — — — — —

Interest rate swaps

— 374 — — 116 —

TBA securities

— 87 — — 275 —

TBA and forward settling securities — 7 — — 275 —

Treasury futures

Total $ 666 $ 55,774 $ — $ — $ 66,805 $ —

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Treasury securities borrowed under reverse repurchase agreements 8,896 — — 11,727 — —

Interest rate swaps

TBA securities

TBA and forward settling securities — 178 — — — —

Treasury futures

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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 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.

The fair value of our repurchase agreements approximated cost as of September 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 September 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.

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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 June 30, Six Months Ended June 30,

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

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Net income (loss) per common share - diluted $ 0.35 $ 1.15 $ 1.32 $ ( 2.01 )

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.

For the nine months ended September 30, 2020 1.0 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 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.

As of September 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 September 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 June 30, 2021 (dollars and shares in millions):

The following table includes a summary of preferred stock depositary shares issued and outstanding as of September 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 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.

As of September 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 nine months ended September 30, 2021.

Common Stock Repurchase Program

1 unchanged sentence

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.

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

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

(See Note 10.

Subsequent Events for additional information regarding our stock repurchase plan.)

Accumulated Other Comprehensive Income (Loss)

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,

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

Three Months Ended September 30, Nine Months Ended September 30,

Accumulated Other Comprehensive Income (Loss) 2021 2020 2021 2020

4 unchanged sentences

Ending Balance $ 411 $ 834 $ 411 $ 834

Subsequent Events

Common Stock Repurchase Program

On October 21, 2021 our Board of Directors terminated our existing stock repurchase plan (see Note 9) that was due to expire on December 31, 2021 and replaced it with a new plan authorizing us to repurchase up to $ 1 billion of common stock through December 31, 2022.

Under the new plan, 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 Exchange Act.

Our stock repurchase program may be limited or terminated at any time without prior notice.

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

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