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Item 8. Financial Statements and Supplementary Data

2022-02-23 compared with 2021-02-26 · 138 added, 181 removed, 971 unchanged (25% of the section changed)

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The independent registered public accounting firm's responsibility is to express an opinion on these consolidated financial statements based on their audit.

For further information refer to the Ernst & Young LLP audit opinion included in this Item 8 of our Annual Report.

For further information refer to the Ernst & Young LLP (PCAOB ID:

42 ) audit opinion included in this Item 8 of our Annual Report.

Management's Report on Internal Control over Financial Reporting

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AGNC Investment Corp.’s management is responsible for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting included in the accompanying Management’s Report on Internal Control over Financial Reporting.

Our responsibility is to express an opinion on the Company’s internal control over financial reporting based on our audit.

Our responsibility is to express an opinion on AGNC Investment Corp.’s internal control over financial reporting based on our audit.

We are a public accounting firm registered with the PCAOB and are required to be independent with respect to AGNC Investment Corp.

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

as of December 31, 2020 and 2019, and the related consolidated statements of comprehensive income, stockholders' equity, and cash flows for each of the three years in the period ended December 31, 2020, and the related notes (collectively referred to as the “consolidated financial statements”).

(the Company) as of December 31, 2021 and 2020, and the related consolidated statements of comprehensive income, stockholders' equity, and cash flows for each of the three years in the period ended December 31, 2021, and the related notes (collectively referred to as the “consolidated financial statements”).

In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of AGNC Investment Corp.

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Stockholders' equity:

Preferred Stock - aggregate liquidation preference of $ 1,538 and $ 963 , respectively

Preferred Stock - aggregate liquidation preference of $ 1,538

Common stock - $ 0.01 par value;

1,500 and 900 shares authorized, respectively;

1,500 shares authorized;

522.2 and 539.5 shares issued and outstanding, respectively

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Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 1,502 ) 319 2,014

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

Management fee income — — 54

Gain (loss) on derivative instruments and other securities, net 1,110 ( 2,463 ) ( 2,324 )

Total other gain (loss), net:

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Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net ( 418 ) 622 1,040

Comprehensive income (loss) 356 1,728 ( 469 )

Comprehensive income 331 356 1,728

Dividends on preferred stock

Issuance costs of redeemed preferred stock — — 6

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

Comprehensive income available to common stockholders $ 231 $ 260 $ 1,668

Weighted average number of common shares outstanding - basic

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Net income — — — — 688 — 688

Other comprehensive loss:

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

Stock-based compensation — — — 10 — — 10

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

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

Common dividends declared — — — — ( 964 ) — ( 964 )

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

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

Stock-based compensation, net — 0.1 — 13 — — 13

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

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Unrealized gain on available-for-sale securities, net — — — — — 622 622

Stock-based compensation — 0.1 — 18 — — 18

Stock-based compensation, net — 0.1 — 18 — — 18

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

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

Net income — — — — 749 — 749

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 418 ) ( 418 )

Stock-based compensation, net — 0.4 — 19 — — 19

Repurchase of common stock — ( 17.7 ) — ( 281 ) — — ( 281 )

Preferred dividends declared — — — — ( 100 ) — ( 100 )

Common dividends declared — — — — ( 757 ) — ( 757 )

Balance, December 31, 2021 $ 1,489 522.2 $ 5 $ 13,710 $ ( 5,214 ) $ 301 $ 10,291

See accompanying notes to consolidated financial statements.

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Net income (loss) $ 749 $ ( 266 ) $ 688

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

Adjustments to reconcile net income (loss) to net cash provided by operating activities:

Amortization of premiums and discounts on mortgage-backed securities, net 369 1,082 601

Amortization of intangible assets — — 25

Stock-based compensation 18 13 6

Stock-based compensation, net 19 18 13

(Gain) loss on sale of investment securities, net 57 ( 1,126 ) ( 388 )

Unrealized (gain) loss on investment securities measured at fair value through net income, net 1,502 ( 319 ) ( 2,014 )

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

(Gain) loss on derivative instruments and other securities, net ( 1,110 ) 2,463 2,324

(Increase) decrease in other assets ( 29 ) 119 ( 35 )

Increase (decrease) in accounts payable and other accrued liabilities ( 224 ) ( 9 ) 121

Decrease in accounts payable and other accrued liabilities ( 17 ) ( 224 ) ( 9 )

Net cash provided by operating activities 1,540 1,747 1,180

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Net proceeds from (payments on) derivative instruments 1,045 ( 1,834 ) ( 1,437 )

Net proceeds from other investing activity — — 30

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

Net cash provided by investing activities 3,836 36,525 ( 14,218 )

Financing activities:

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Cash dividends paid ( 860 ) ( 970 ) ( 1,139 )

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

Net cash (used in) provided by financing activities ( 6,175 ) ( 37,230 ) 12,800

Net change in cash, cash equivalents and restricted cash ( 799 ) 1,042 ( 238 )

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

We were organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering.

AGNC Investment Corp.

(referred throughout this report as the "Company," "we," "us" and "our") was organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering.

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

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federal or state corporate income tax 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.

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

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.

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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 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.

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At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis.

Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses.

Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates, including collateral call provisions, and the impact of default and severity rates on the timing and amount of credit losses.

On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors.

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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.

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.

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

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

The 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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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 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, such as 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.

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Restricted Cash

Restricted cash includes cash pledged as collateral for clearing and executing trades, repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments.

Restricted cash includes cash pledged as collateral for clearing and executing trades, repurchase agreements, and interest rate swaps and other derivative instruments.

Goodwill is the cost of an acquisition in excess of the fair value of identified assets acquired and liabilities assumed and is recognized as an asset on our consolidated balance sheets.

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If the reporting units' carrying value is greater than its fair value, an impairment charge is recognized to the extent the carrying amount of the reporting unit exceeds its fair value.

During fiscal years 2020, 2019, and 2018, we did not recognize a goodwill impairment charge.

During each of the three fiscal years ended December 31, 2021, we did not recognize a goodwill impairment charge.

Stock-Based Compensation

Under our 2016 AGNC Investment Corp.

Under our Amended and Restated AGNC Investment Corp.

2016 Equity and Incentive Compensation Plan (the "2016 Equity Plan" or "the Plan"), we may grant equity-based compensation to our officers and other employees and non-employee directors for the purpose of providing incentives and rewards for service or performance.

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Investment Securities

As of December 31, 2020 and 2019, our investment portfolio consisted of $ 66.4 billion and $ 100.4 billion of investment securities, at fair value, respectively, and $ 31.5 billion and $ 7.4 billion of net TBA securities, at fair value, respectively.

Our net TBA position is reported at its net carrying value of $ 275 million and $ 25 million as of December 31, 2020 and 2019, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets.

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

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

$ 54.4 billion and $ 66.4 billion investment securities, at fair value, respectively;

$ 27.1 billion and $ 31.5 billion net TBA securities, at fair value, respectively;

and $ 0.4 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 $( 44 ) million and $ 275 million as of December 31, 2021 and 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 December 31, 2021 and 2020, our investment securities had a net unamortized premium balance of $ 1.8 billion and $ 2.4 billion, respectively.

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

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

The following tables summarize our investment securities as of December 31, 2021 and 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.

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

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

December 31, 2021 December 31, 2020

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$ 54,421 $ 53,628 3.08 % 2.43 % $ 66,414 $ 63,701 3.39 % 2.33 %

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 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 )

Gains and Losses on Sale of Investment Securities

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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):

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

December 31, 2021 December 31, 2020

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> 9 to ≤ 12 months 1,362 0.23 % 307 1,450 0.15 % 354

> 12 to ≤ 24 months — — % — 625 2.38 % 411

> 24 to ≤ 36 months — — % — 1,700 2.45 % 833

Total Agency repo 46,911 0.15 % 63 52,366 0.24 % 54

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

Treasury repo:

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Total $ 47,381 0.15 % 63 $ 52,366 0.24 % 54

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.

As of December 31, 2021 and 2020, $ 0.8 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 December 31, 2021, we had $ 9.8 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 3 days and a weighted average interest rate of 0.08 %.

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

As of 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 December 31, 2021 and 2020, 43 % and 47 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").

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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.

We did not terminate any repurchase agreements during fiscal years 2021 and 2019.

Reverse Repurchase Agreements

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Derivative and Other Hedging Instruments Balance Sheet Location

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

Interest rate swaps 1

Derivative assets, at fair value $ — $ —

Swaptions Derivative assets, at fair value 290 116

TBA securities Derivative assets, at fair value 275 29

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

TBA and forward settling non-Agency securities Derivative assets, at fair value 27 275

Total derivative assets, at fair value

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

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

Interest rate swaps 1

Derivative liabilities, at fair value $ — $ —

TBA and forward settling non-Agency securities Derivative liabilities, at fair value ( 71 ) —

Treasury futures - short Derivative liabilities, at fair value ( 15 ) ( 2 )

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$ ( 9,226 ) $ ( 11,727 )

________________________________

As of December 31, 2021 and 2020, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $ 1.6 billion and $ 0.4 billion respectively.

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

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Total $ 51,225 0.20 % 0.05 % 4.0 $ 43,225 0.15 % 0.08 % 5.1

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

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

December 31, 2020

SOFR 75 % 71 %

OIS 25 % 29 %

3M LIBOR — % 11 %

Total 100 % 100 %

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> 2 year ≤ 3 years 99 79 28 4,050 2.35 % 10.0

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

Total $ 328 $ 290 18 $ 13,000 1.93 % 9.6

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> 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

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As of December 31, 2021 and 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 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.

As of December 31, 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 December 31, 2021 December 31, 2020

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

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 securities totaling $(9.7) billion and $(11.7) billion, at fair value, respectively, had a weighted average yield of 1.56 % and 1.20 %, respectively, and, as of December 31, 2021, long U.S.

Treasury securities totaling $ 0.5 billion, at fair value, had a weighted average yield of 1.18 % as of December 31, 2021.

Treasury Futures December 31, 2021 December 31, 2020

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December 31, 2021 December 31, 2020

TBA Securities by Coupon Notional

TBA Securities by Coupon 2

Long (Short) Cost

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— — — — 200 208 209 1

— — — — 1,059 1,083 1,086 3

— — — — 241 250 250 —

— — — — 75 78 78 —

Total 15-Year TBA securities 2,039 2,056 2,059 3 6,740 6,916 6,980 64

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581 611 611 — 124 131 131 —

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

— — — — 415 436 437 1

Total 30-Year TBA securities, net 24,634 25,128 25,081 ( 47 ) 23,624 24,288 24,499 211

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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 $ 0.4 billion market value and $ 0.2 million net carrying value as of December 31, 2021.

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

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TBA securities, net $ 30,364 352,658 ( 356,349 ) $ 26,673 $ ( 552 )

Forward settling non-Agency securities $ — 1,800 ( 1,350 ) $ 450 5

Interest rate swaps - payer $ 43,225 9,000 ( 1,000 ) $ 51,225 1,117

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

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

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

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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 )

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________________________________

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.

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 fiscal year 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 December 31, 2020, 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 (measured as the excess of the value of collateral pledged over the amount of our repurchase liabilities).

As of December 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 December 31, 2021, approximately 7 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

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Repurchase Agreements 2

Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3

VIEs Derivative Agreements and Other 3

Agency RMBS - fair value $ 46,943 $ 208 $ 739 $ 47,890

CRT - fair value

455 — — — 455

Non-Agency - fair value

458 — — — 458

Treasury securities - fair value

Accrued interest on pledged securities

1,084 — 208 1,292

Accrued interest on pledged securities

Restricted cash 15 — 512 527

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Repurchase Agreements 2

Debt of Consolidated VIEs Derivative Agreements Brokerage and Clearing Agreements 3

VIEs Derivative Agreements and Other 3

Agency RMBS - fair value $ 53,401 $ 295 $ 623 $ 54,319

CRT - fair value

309 — — — 309

Treasury securities - fair value

453 — — 28 481

Non-Agency - fair value

Accrued interest on pledged securities

267 1 1 1 270

Restricted cash 417 — 890 1,307

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Includes $ 81 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2021 and 2020, respectively.

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

Includes deposits under brokerage and clearing agreements.

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 December 31, 2021 and 2020 (in millions).

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Includes $ 81 million and $ 119 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2021 and 2020, respectively.

Excludes $ 357 million of repledged U.S.

Excludes $ 0.6 billion of repledged U.S.

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

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________________________________

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.

As of December 31, 2021 and 2020, amounts include $9.7 billion and $11.7 billion, respectively, of U.S.

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

Treasury securities.

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$ 290 $ — $ 290 $ — $ ( 290 ) $ —

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

TBA and forward settling non-Agency securities, at fair value 27 — 27 ( 27 ) — —

Receivable under reverse repurchase agreements 10,475 — 10,475 ( 6,087 ) ( 4,381 ) 7

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December 31, 2021

Interest rate swap agreements, at fair value 1

$ — $ — $ — $ — $ — $ —

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

TBA and forward settling non-Agency securities, at fair value $ 71 $ — $ 71 $ ( 27 ) $ ( 44 ) $ —

Repurchase agreements 47,381 — 47,381 ( 6,087 ) ( 41,294 ) —

1 unchanged sentence

December 31, 2020

Interest rate swap agreements, at fair value 1

$ 2 $ — $ 2 $ ( 2 ) $ — $ —

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

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

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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, 2021 and 2020, based on their categorization within the valuation hierarchy (in millions).

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

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

December 31, 2021 December 31, 2020

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Treasury securities

Interest rate swaps

471 — — — — —

TBA securities

Interest rate swaps 1

— 290 — — 116 —

Treasury futures

TBA and forward settling securities — 27 — — 275 —

Total $ 471 $ 54,738 $ — $ — $ 66,805 $ —

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Interest rate swaps 1

TBA securities

TBA and forward settling securities — 71 — — — —

Treasury futures

Total $ 9,712 $ 197 $ — $ 11,729 $ 177 $ —

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As of December 31, 2021 and 2020, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $ 1.6 billion and $ 0.4 billion, respectively, based on "Level 2" inputs.

See Note 2 for additional details.

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, 2021 and 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 December 31, 2020 and 2019 due to their short duration.

The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of such dates 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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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 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.

As of December 31, 2021 and 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 December 31, 2021 and 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.

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

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

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.

Common Stock Offerings

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

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 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.

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 following table includes a summary of shares of our common stock sold under such sales agreements during fiscal years 2020 and 2019 (in millions, except for per share data).

During fiscal year 2021, we did not issue shares under this program.

As of December 31, 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.

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

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Fiscal Year 2019 $ 16.67 11.4 $ 190

Fiscal Year 2018 $ 18.03 20.8 $ 375

Common Stock Repurchase Program

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.

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").

The following table includes a summary of shares of our common stock repurchased during fiscal years 2021, 2020 and 2019 (in millions, except for per share data).

As of December 31, 2021, shares of our common stock with an aggregate repurchase price of $ 958 million remained authorized for repurchase through December 31, 2022.

Common Stock Repurchases Average Price Paid Per Share 1

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Fiscal Year 2020 $ 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.

Includes December 2020 share repurchases that settled in January 2021 totaling $ 24 million, or 1.6 million shares.

Distributions to Stockholders

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$ 12 $ 1.673785

Fiscal year 2018

$ 14 $ 1.937500

Series C Preferred Stock

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Fiscal year 2020 $ 23 $ 1.750000

$ 23 $ 1.750000

Fiscal year 2019

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Fiscal year 2020 $ 16 $ 1.718750

Fiscal year 2019

$ 14 $ 1.475263

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Fiscal year 2020 $ 26 $ 1.625000

Fiscal year 2019

$ 7 $ 0.460420

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Fiscal year 2021 $ 757 $ 1.440000

$ 1,081 $ 2.000000

Fiscal year 2020 $ 858 $ 1.560000

Fiscal year 2019

$ 1,081 $ 2.000000

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

Fiscal year 2018

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

Series C Preferred Stock

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

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

Fiscal year 2019

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

Fiscal year 2019

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

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Fiscal year 2021 $ 1.625000 $ 0.317310 $ — $ 0.088940 $ 1.218750 $ 0.317310

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

Series F Preferred Stock

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Fiscal year 2021 $ 1.320000 $ 0.095930 $ — $ 0.026889 $ 1.197181 $ 0.095930

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

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

Fiscal year 2019

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

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Ending Balance $ 301 $ 719 $ 97

Long-Term Incentive Compensation

Stock-Based Incentive Plans

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 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 RSU Awards Weighted Average Grant Date Fair Value 1

Stock-Based Compensation

During fiscal years 2021, 2020 and 2019, we granted RSU awards to employees with a grant date fair value of $ 8 million, $ 7 million and $ 7 million, respectively, which generally vest annually over a three-year period, and we granted RSU awards to independent directors of $ 0.9 million, $ 0.8 million and $ 0.5 million, respectively, which vest at the end of a one-year period from grant date.

We also granted PSU awards to employees which generally 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 2021, 2020 and 2019 as of the grant date was $ 10 million, $ 10 million and $ 9 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.

Our 2016 Equity Plan, as amended, authorizes a total of 40 million shares of our common stock that may be used to satisfy awards granted under the Plan, subject to the share counting rules set forth within the Plan.

As of December 31, 2021, 33.1 million shares remained available for awards under the 2016 Equity Plan.

For purposes of determining the total number of shares available for awards under the 2016 Equity Plan, available shares are reduced by (i) shares issued for vested awards, net of units withheld to cover minimum statutory tax withholding requirements paid by us in cash on behalf of the employee, (ii) outstanding unvested awards, (iii) outstanding previously vested awards, if distribution of such awards has been deferred beyond the vesting date ("deferred awards"), and (iv) accrued dividend equivalent units on outstanding awards through December 31, 2021.

Unvested PSU awards assume the maximum potential payout under the terms of the award.

As of December 31, 2021, 1.6 million of deferred awards, including accrued dividend equivalents, were outstanding.

During fiscal years 2021, 2020 and 2019, we recognized compensation expense of $ 21.4 million, $ 20.6 million and $ 13.7 million, respectively, for stock-based awards to employees and we recognized other operating expense of $ 0.8 million, $ 0.7 million and $ 0.5 million, respectively, for stock-based awards to independent directors.

As of December 31, 2021, we had unrecognized expense related to stock-based awards of approximately $ 13 million, which is expected to be recognized over a weighted average period of 1.8 years.

The following tables summarizes awards under our 2016 Equity Plan for fiscal years 2021, 2020 and 2019:

RSU Awards RSU Awards Weighted Average Grant Date Fair Value 1

Weighted Average Vest Date Fair Value

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

261,036 $ 18.05 $ —

Granted 432,149 $ 17.59 $ —

Accrued RSU dividend equivalents

83,355 $ — $ —

( 150,423 ) $ 16.52 $ 18.60

Vested ( 252,375 ) $ 15.30 $ 17.91

( 6,812 ) $ 16.00 $ —

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

Granted 432,149 $ 17.59 $ —

433,414 $ 18.60 $ —

Accrued RSU dividend equivalents

95,809 $ — $ —

Vested ( 252,375 ) $ 15.30 $ 17.91

( 377,244 ) $ 14.82 $ 11.82

( 1,225 ) $ 17.87 $ —

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

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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 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 PSUs

PSU Awards PSUs

at Target Performance Level Weighted Average Grant Date Fair Value 1

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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 $ —

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( 466,224 ) $ 12.86 $ 16.52

( 13,826 ) $ 15.54 $ —

Unvested balance as of December 31, 2021 2,212,660 $ 14.52 $ —

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

As of December 31, 2020, 4.8 million shares remained available for awards under the 2016 Equity Plan.

For purposes of determining the total number of shares available for awards under the 2016 Equity Plan, available shares are reduced by (i) shares issued for vested RSU awards, net of units withheld to cover minimum statutory tax withholding requirements paid by us in cash on behalf of the employee and (ii) outstanding unvested awards, (iii) outstanding previously vested awards, if distribution of such awards has been deferred beyond the vesting date ("deferred awards"), and (iv) accrued dividend equivalent units on outstanding awards through December 31, 2012.

Unvested performance-based awards assume the maximum potential payout under the terms of the award.

As of December 31, 2020, 1.2 million of deferred awards, including accrued DEUs, were outstanding.

During fiscal years 2020, 2019 and 2018, we recognized compensation expense of $ 20.6 million, $ 13.7 million and $ 6.1 million, respectively, for stock-based awards to employees and we recognized other operating expense of $ 0.7 million, $ 0.5 million and $ 0.5 million, respectively, for stock-based awards to independent directors.

As of December 31, 2020, we had unrecognized expense related to stock-based awards of approximately $ 13 million, which is expected to be recognized over a weighted average period of 1.4 years.

Other Long-Term Incentive Compensation

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 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.

Accordingly, we do not expect to incur an income tax liability on our 2020 taxable income.

For fiscal years 2019 and 2018, we distributed all of our taxable income within the time limits prescribed by the Internal Revenue Code.

Accordingly, we did not incur an income tax liability on our taxable income for such periods.

We did not incur a tax liability for fiscal years ended 2020 and 2019 and we do not expect to incur an income tax liability for fiscal year 2021.

Based on our analysis of any potential uncertain income tax positions, we concluded that we do not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2021 or prior periods.

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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