What changed in this filing

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Item 1. Financial Statements

2022-08-04 compared with 2022-05-09 · 163 added, 101 removed, 748 unchanged (26% of the section changed)

3 unchanged sentences

(in millions, except per share data)

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Agency securities, at fair value (including pledged securities of $ 40,107 and $ 47,601 , respectively)

34 unchanged sentences

(in millions, except per share data)

Three Months Ended March 31,

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

2022 2021 2022 2021

Interest income:

3 unchanged sentences

Other gain (loss), net:

Loss on sale of investment securities, net ( 342 ) ( 13 )

Gain (loss) on sale of investment securities, net ( 946 ) 25 ( 1,288 ) 12

Unrealized loss on investment securities measured at fair value through net income, net ( 987 ) ( 28 ) ( 3,519 ) ( 983 )

Gain on derivative instruments and other securities, net 1,796 1,439

Total other gain (loss), net:

Gain (loss) on derivative instruments and other securities, net 1,204 ( 618 ) 3,000 821

Total other loss, net:

( 729 ) ( 621 ) ( 1,807 ) ( 150 )

11 unchanged sentences

Weighted average number of common shares outstanding - basic

526.2 526.6 525.3 530.1

Weighted average number of common shares outstanding - diluted

526.2 526.6 525.3 531.9

Net income (loss) per common share - basic $ ( 0.87 ) $ ( 0.83 ) $ ( 2.16 ) $ 0.97

11 unchanged sentences

Shares Amount

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

Net loss — — — — ( 411 ) — ( 411 )

Other comprehensive loss:

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

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

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

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

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

Balance, March 31, 2022 $ 1,489 523.3 $ 5 $ 13,704 $ ( 6,078 ) $ ( 190 ) $ 8,930

Net income — — — — ( 434 ) — ( 434 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 245 ) ( 245 )

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

Issuance of common stock — 4.1 — 50 — — 50

Repurchase of common stock — ( 4.7 ) — ( 51 ) — — ( 51 )

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

Common dividends declared — — — — ( 189 ) — ( 189 )

Balance, June 30, 2022 $ 1,489 522.7 $ 5 $ 13,707 $ ( 6,726 ) $ ( 435 ) $ 8,040

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

6 unchanged sentences

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

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

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

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

3 unchanged sentences

Stock-based compensation, net — 1.1 — ( 2 ) — — ( 2 )

Issuance of common stock — 4.1 — 50 — — 50

Repurchase of common stock — ( 4.7 ) — ( 51 ) — — ( 51 )

Preferred dividends declared — — — — ( 50 ) — ( 50 )

Common dividends declared — — — — ( 377 ) — ( 377 )

Balance, March 31, 2022 $ 1,489 523.3 $ 5 $ 13,704 $ ( 6,078 ) $ ( 190 ) $ 8,930

Balance, June 30, 2022 $ 1,489 522.7 $ 5 $ 13,707 $ ( 6,726 ) $ ( 435 ) $ 8,040

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Three Months Ended

Six Months Ended

Operating activities:

3 unchanged sentences

Stock-based compensation, net ( 2 ) 8

Loss on sale of investment securities, net 342 13

(Gain) loss on sale of investment securities, net 1,288 ( 12 )

Unrealized loss on investment securities measured at fair value through net income, net 3,519 983

Gain on derivative instruments and other securities, net ( 3,000 ) ( 821 )

Decrease in other assets 20 9

(Increase) decrease in other assets 21 ( 52 )

Increase (decrease) in accounts payable and other accrued liabilities 30 ( 27 )

11 unchanged sentences

Treasury securities 11,151 10,172

Net payments on reverse repurchase agreements ( 169 ) ( 5,055 )

Net proceeds from (payments on) reverse repurchase agreements 2,055 ( 233 )

Net proceeds from derivative instruments 2,242 593

Net cash provided by (used in) investing activities 3,081 ( 3,195 )

Net cash provided by investing activities 4,691 2,801

Financing activities:

2 unchanged sentences

Payments on debt of consolidated variable interest entities ( 14 ) ( 26 )

Proceeds from common stock issuances 50 —

Payments for common stock repurchases ( 51 ) ( 239 )

Cash dividends paid ( 427 ) ( 432 )

Net cash (used in) provided by financing activities ( 2,886 ) 2,220

Net cash used in financing activities ( 4,670 ) ( 4,326 )

Net change in cash, cash equivalents and restricted cash 714 ( 754 )

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would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price.

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

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

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

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

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

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

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Investment Securities

As of March 31, 2022 and December 31, 2021, our investment portfolio consisted of:

As of June 30, 2022 and December 31, 2021, our investment portfolio consisted of:

$ 45.4 billion and $ 54.4 billion investment securities, at fair value, respectively;

1 unchanged sentence

and, as of December 31, 2021, $ 0.4 billion forward settling non-Agency securities, at fair value.

Our net TBA position and forward settling non-Agency securities are reported at their net carrying value totaling $( 609 ) million and $( 44 ) million as of March 31, 2022 and December 31, 2021, 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 $( 108 ) million and $( 44 ) million as of June 30, 2022 and December 31, 2021, 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 March 31, 2022 and December 31, 2021, our investment securities had a net unamortized premium balance of $ 1.8 billion and $ 1.8 billion, respectively.

The following tables summarize our investment securities as of March 31, 2022 and December 31, 2021, excluding TBA and forward settling securities, (dollars in millions).

As of June 30, 2022 and December 31, 2021, our investment securities had a net unamortized premium balance of $ 1.5 billion and $ 1.8 billion, respectively.

The following tables summarize our investment securities as of June 30, 2022 and December 31, 2021, 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.

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Investment Securities Amortized

10 unchanged sentences

Total investment securities $ 48,862 $ 45,401 $ 53,628 $ 54,421

March 31, 2022

June 30, 2022

Agency RMBS Non-Agency

28 unchanged sentences

Total securities, at fair value $ 31,414 $ 12,209 $ 3 $ 384 $ 497 $ 894 $ 45,401

Weighted average coupon as of March 31, 2022

Weighted average coupon as of June 30, 2022

3.28 % 3.33 % 4.70 % 3.35 % 4.02 % 5.44 % 3.35 %

Weighted average yield as of March 31, 2022 1

Weighted average yield as of June 30, 2022 1

2.75 % 2.76 % 2.56 % 3.70 % 5.28 % 6.39 % 2.85 %

________________________________

Incorporates a weighted average future constant prepayment rate assumption of 7.9 % based on forward rates as of March 31, 2022.

Incorporates a weighted average future constant prepayment rate assumption of 7.2 % based on forward rates as of June 30, 2022.

December 31, 2021

30 unchanged sentences

Incorporates a weighted average future constant prepayment rate assumption of 10.9 % based on forward rates as of December 31, 2021.

As of March 31, 2022 and December 31, 2021, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

March 31, 2022 December 31, 2021

As of June 30, 2022 and December 31, 2021, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

June 30, 2022 December 31, 2021

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 March 31, 2022 and December 31, 2021, 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 7.9 % and 10.9 %, respectively.

As of June 30, 2022 and December 31, 2021, 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 7.2 % and 10.9 %, respectively.

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

The following table summarizes our investments as of March 31, 2022 and December 31, 2021 according to their estimated weighted average life classification (dollars in millions):

March 31, 2022 December 31, 2021

The following table summarizes our investments as of June 30, 2022 and December 31, 2021 according to their estimated weighted average life classification (dollars in millions):

June 30, 2022 December 31, 2021

Estimated Weighted Average Life of Investment Securities Fair Value Amortized

9 unchanged sentences

$ 45,401 $ 48,862 3.35 % 2.85 % $ 54,421 $ 53,628 3.08 % 2.43 %

The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2022 and December 31, 2021 (in millions):

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

March 31, 2022

June 30, 2022

$ 6,803 $ ( 437 ) $ — $ — $ 6,803 $ ( 437 )

2 unchanged sentences

Gains and Losses on Sale of Investment Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2022 and 2021 by investment classification of accounting (in millions):

Three Months Ended March 31,

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2022 and 2021 by investment classification of accounting (in millions):

Three Months Ended June 30,

Investment Securities Available-for-Sale

8 unchanged sentences

Net gain (loss) on sale of investment securities $ ( 24 ) $ ( 922 ) $ ( 946 ) $ 14 $ 11 $ 25

Six Months Ended June 30,

Investment Securities Available-for-Sale

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ ( 603 ) $ ( 15,457 ) $ ( 16,060 ) $ ( 4,644 ) $ ( 14,523 ) $ ( 19,167 )

Proceeds from investment securities sold 1

579 14,193 14,772 4,676 14,503 19,179

Net gain (loss) on sale of investment securities $ ( 24 ) $ ( 1,264 ) $ ( 1,288 ) $ 32 $ ( 20 ) $ 12

Gross gain on sale of investment securities $ 2 $ 4 $ 6 $ 32 $ 97 $ 129

Gross loss on sale of investment securities ( 26 ) ( 1,268 ) ( 1,294 ) — ( 117 ) ( 117 )

Net gain (loss) on sale of investment securities $ ( 24 ) $ ( 1,264 ) $ ( 1,288 ) $ 32 $ ( 20 ) $ 12

________________________________

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

5 unchanged sentences

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

As of March 31, 2022, we had met all margin call requirements.

As of June 30, 2022, we had met all margin call requirements.

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

As of March 31, 2022 and December 31, 2021, we had $ 44.7 billion and $ 47.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S.

As of June 30, 2022 and December 31, 2021, we had $ 43.2 billion and $ 47.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S.

Treasury securities.

1 unchanged sentence

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

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2022 and December 31, 2021 (dollars in millions):

March 31, 2022 December 31, 2021

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2022 and December 31, 2021 (dollars in millions):

June 30, 2022 December 31, 2021

Remaining Maturity Repurchase Agreements Weighted

7 unchanged sentences

> 9 to ≤ 12 months 1,432 1.42 % 325 1,362 0.23 % 307

> 12 to ≤ 24 months 750 0.94 % 456 — — % —

Total Agency repo 41,299 1.25 % 46 46,911 0.15 % 63

2 unchanged sentences

Total $ 43,153 1.26 % 44 $ 47,381 0.15 % 63

As of March 31, 2022 and December 31, 2021, $ 8.7 billion and $ 0.8 billion, respectively, of our Agency repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand.

As of March 31, 2022, we had $ 5.9 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 0.39 %.

As of June 30, 2022 and December 31, 2021, $ 6.8 billion and $ 0.8 billion, respectively, of our Agency repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand.

As of June 30, 2022, we had $ 5.5 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 1.58 %.

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 March 31, 2022 and December 31, 2021, 43 % and 43 %, 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 41 % and 42 % of our repurchase agreement funding outstanding as of March 31, 2022 and December 31, 2021, respectively.

As of June 30, 2022 and December 31, 2021, 43 % and 43 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").

Reverse Repurchase Agreements

As of March 31, 2022 and December 31, 2021, we had $10.6 billion and $10.5 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S.

As of June 30, 2022 and December 31, 2021, we had $8.4 billion and $10.5 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 $8.3 billion and $9.7 billion, respectively.

As of March 31, 2022 and December 31, 2021, $ 2.6 billion and $ 3.0 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

As of June 30, 2022 and December 31, 2021, $ 2.4 billion and $ 3.0 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

2 unchanged sentences

Treasury futures contracts.

We utilize TBA securities primarily as a means of investing in the Agency securities market.

We utilize TBA securities primarily as a means of investing in the Agency

securities market.

For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 2.

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

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2022 and December 31, 2021 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location March 31,

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of June 30, 2022 and December 31, 2021 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

Interest rate swaps 1

18 unchanged sentences

________________________________

As of March 31, 2022 and December 31, 2021, 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 $ 3.5 billion and $ 1.6 billion, respectively.

As of March 31, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 42 ) million.

As of June 30, 2022 and December 31, 2021, 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 $ 4.3 billion and $ 1.6 billion, respectively.

As of June 30, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $ 39 thousand.

We did not have credit default swaps outstanding as of December 31, 2021.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2022 and December 31, 2021 (dollars in millions):

March 31, 2022 December 31, 2021

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2022 and December 31, 2021 (dollars in millions):

June 30, 2022 December 31, 2021

Pay Fixed / Receive Variable Interest Rate Swaps Notional

8 unchanged sentences

Total $ 49,935 0.28 % 1.51 % 3.9 $ 51,225 0.20 % 0.05 % 4.0

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

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

December 31, 2021

2 unchanged sentences

Total 100 % 100 %

Swaptions Option Underlying Payer Swap

Payer Swaptions Option Underlying Payer Swap

Current Option Expiration Date Cost Basis Fair Value Average

2 unchanged sentences

Amount Average Fixed Pay

March 31, 2022

June 30, 2022

≤ 1 year $ 35 $ 90 6 $ 1,600 2.14 % 7.3

8 unchanged sentences

________________________________

As of March 31, 2022 and December 31, 2021, ≤ 1 year notional amount includes $ 700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.

As of March 31, 2022, 93% and 7% of the underlying swap receive rates were tied to SOFR and 3-Month LIBOR, respectively.

As of June 30, 2022 and December 31, 2021, ≤ 1 year notional amount includes $ 250 million and $ 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, 2022, 96% and 4% of the underlying swap receive rates were tied to SOFR and 3-Month LIBOR, respectively.

As of December 31, December 31, 2021, 95% and 5% of the underlying swap receive rates were tied to SOFR and 3-Month LIBOR, respectively.

Treasury Securities March 31, 2022 December 31, 2021

Receiver Swaptions Option Underlying Receiver Swap

Current Option Expiration Date Cost Basis Fair Value Average

Months to Current Option

Expiration Date Notional

Amount Average Fixed Receive

June 30, 2022

≤ 1 year $ 2 $ 2 11 $ 150 2.11 % 10.0

As of December 31, 2021, we had no receiver swaptions outstanding.

Treasury Securities June 30, 2022 December 31, 2021

Maturity Face Amount Long/(Short) Cost Basis 1

5 unchanged sentences

________________________________

As of March 31, 2022 and December 31, 2021, short U.S.

As of June 30, 2022 and December 31, 2021, short U.S.

Treasury securities totaling $(8.3) billion and $(9.7) billion, at fair value, respectively, had a weighted average yield of 1.70 % and 1.56 %, respectively.

As of March 31, 2022 and December 31, 2021, long U.S.

As of June 30, 2022 and December 31, 2021, long U.S.

Treasury securities totaling $ 1.9 billion and $ 0.5 billion, at fair value, respectively, had a weighted average yield of 3.13 % and 1.18 %, respectively.

Treasury Futures March 31, 2022 December 31, 2021

Treasury Futures June 30, 2022 December 31, 2021

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.

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

TBA Securities by Coupon 2

6 unchanged sentences

105 104 104 — — — — —

116 118 118 — — — — —

Total 15-Year TBA securities 105 104 104 — 2,039 2,056 2,059 3

5 unchanged sentences

2,838 2,928 2,797 ( 131 ) — — — —

12,492 12,502 12,581 79 — — — —

Total 30-Year TBA securities, net 15,822 15,897 15,789 ( 108 ) 24,634 25,128 25,081 ( 47 )

3 unchanged sentences

Table excludes forward settling non-Agency securities totaling $ 0.4 billion fair value and $ 0.2 million net carrying value as of December 31, 2021.

As of March 31, 2022, we had $ 2.6 billion notional value of centrally cleared credit default swaps ("CDS") outstanding that reference the Markit CDX Investment Grade Index, maturing in June 2027.

As of June 30, 2022, we had $ 215 million notional value of centrally cleared credit default swaps ("CDS") outstanding that reference the Markit CDX Investment Grade Index, maturing in June 2027.

Under the terms of our CDS, we pay fixed periodic payments equal to 1% of the notional value and we are entitled to receive payments for qualified credit events.

As of March 31, 2022, the CDS had an amortized cost basis of $( 35 ) million, a market value of $( 42 ) million, and a carrying value of zero dollars, net of variation margin settlements posted by us.

As of June 30, 2022, the CDS had an amortized cost basis of $( 3 ) million, a market value of $ 39 thousand, and a carrying value of zero dollars net of variation margin settlements posted to us.

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

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

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three months ended March 31, 2022 and 2021 (in millions):

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2022 and 2021 (in millions):

Derivative and Other Hedging Instruments Beginning

4 unchanged sentences

on Derivative Instruments and Other Securities, Net 1

Three months ended March 31, 2022:

Three months ended June 30, 2022:

TBA securities, net $ 19,607 72,203 ( 75,883 ) $ 15,927 $ ( 604 )

Interest rate swaps - payer $ 51,125 570 ( 1,760 ) $ 49,935 814

Credit default swaps - CDX IG - buy protection $ ( 2,610 ) — 2,395 $ ( 215 ) 21

Payer swaptions $ 10,250 250 ( 3,700 ) $ 6,800 309

Receiver swaptions $ — ( 150 ) — $ ( 150 ) —

Treasury securities - short position $ ( 10,862 ) ( 2,775 ) 4,394 $ ( 9,243 ) 483

Treasury securities - long position $ 703 3,325 ( 2,126 ) $ 1,902 25

Treasury futures contracts - short position $ ( 5,385 ) ( 8,355 ) 5,635 $ ( 8,105 ) 139

Three months ended June 30, 2021:

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

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

Payer swaptions $ 13,150 — ( 1,700 ) $ 11,450 ( 313 )

Treasury securities - short position $ ( 15,527 ) ( 585 ) 5,219 $ ( 10,893 ) ( 333 )

Treasury securities - long position $ — 1,336 ( 939 ) $ 397 ( 1 )

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

Six months ended June 30, 2022:

TBA securities, net $ 26,673 150,837 ( 161,583 ) $ 15,927 $ ( 1,838 )

Forward settling non-Agency securities $ 450 — ( 450 ) $ — —

2 unchanged sentences

Payer swaptions $ 13,000 1,750 ( 7,950 ) $ 6,800 672

Receiver swaptions $ — ( 150 ) — $ ( 150 ) —

Treasury securities - short position $ ( 9,590 ) ( 6,908 ) 7,255 $ ( 9,243 ) 1,088

1 unchanged sentence

Treasury futures contracts - short position $ ( 1,500 ) ( 15,225 ) 8,620 $ ( 8,105 ) 335

Three months ended March 31, 2021:

Six months ended June 30, 2021:

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

19 unchanged sentences

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

In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments as and when due to us under the terms of our derivative agreements.

In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to

such counterparty and may not receive payments as and when due to us under the terms of our derivative agreements.

In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract.

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

As of March 31, 2022, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 2 % of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables).

As of March 31, 2022, approximately 8 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

As of June 30, 2022, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 3 % of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables).

As of June 30, 2022, approximately 10 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

Assets Pledged to Counterparties

The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2022 and December 31, 2021 (in millions):

March 31, 2022

June 30, 2022

Assets Pledged to Counterparties 1

23 unchanged sentences

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

Includes $ 68 million and $ 81 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2022 and December 31, 2021, respectively.

Includes $ 60 million and $ 81 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2022 and December 31, 2021, respectively.

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 March 31, 2022 and December 31, 2021 (in millions).

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

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

9 unchanged sentences

________________________________

Includes $ 68 million and $ 81 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2022 and December 31, 2021, respectively.

Excludes $ 0.2 billion of repledged U.S.

Treasury securities received as collateral from counterparties as of March 31, 2022.

Includes $ 60 million and $ 81 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2022 and December 31, 2021, respectively.

Excludes $ 0.1 billion and $ 0.6 billion of repledged U.S.

Treasury securities received as collateral from counterparties as of June 30, 2022 and December 31, 2021, respectively.

Assets Pledged from Counterparties

As of March 31, 2022 and December 31, 2021, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

March 31, 2022 December 31, 2021

As of June 30, 2022 and December 31, 2021, 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, 2022 December 31, 2021

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 March 31, 2022 and December 31, 2021, amounts include $10.3 billion and $9.7 billion, respectively, of U.S.

As of June 30, 2022 and December 31, 2021, amounts include $8.3 billion and $9.7 billion, respectively, of U.S.

Treasury securities received from counterparties that 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 March 31, 2022 and December 31, 2021 (in millions):

Offsetting of Financial and Derivative Assets

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Financial Instruments Collateral Received 2

March 31, 2022

June 30, 2022

Interest rate swap and swaption agreements, at fair value 1

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Financial Instruments Collateral Pledged 2

March 31, 2022

June 30, 2022

TBA and forward settling non-Agency securities, at fair value 1

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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 March 31, 2022 and December 31, 2021, based on their categorization within the valuation hierarchy (in millions).

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of June 30, 2022 and December 31, 2021, based on their categorization within the valuation hierarchy (in millions).

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

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

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

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Treasury futures

138 — — — — —

Total $ 1,910 $ 45,909 $ — $ 471 $ 54,738 $ —

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Treasury futures

33 — — 15 — —

Total $ 8,298 $ 311 $ — $ 9,712 $ 197 $ —

________________________________

As of March 31, 2022 and December 31, 2021, 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 $ 3.5 billion and $ 1.6 billion, respectively, based on "Level 2" inputs.

As of March 31, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 42 ) million based on "Level 2" inputs.

As of June 30, 2022 and December 31, 2021, 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 $ 4.3 billion and $ 1.6 billion, respectively, based on "Level 2" inputs.

As of June 30, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $ 39 thousand based on "Level 2" inputs.

We did not have credit default swaps outstanding as of December 31, 2021.

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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 March 31, 2022 and December 31, 2021, as the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market.

The fair value of our repurchase agreements approximated cost as of June 30, 2022 and December 31, 2021, 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 such dates due to their short duration.

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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 March 31,

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

2022 2021 2022 2021

Weighted average number of common shares issued and outstanding 524.7 524.9 523.7 528.7

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Net income (loss) per common share - diluted $ ( 0.87 ) $ ( 0.83 ) $ ( 2.16 ) $ 0.97

For the three months ended March 31, 2022, 1.4 million of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.

For the three and six months ended June 30, 2022, 0.9 million and 1.1 million, respectively, and for the three months ended June 30, 2021 1.7 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 March 31, 2022 and December 31, 2021, 13,800 , 10,350 , 16,100 and 23,000 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively).

As of March 31, 2022 and December 31, 2021, 13,000 , 9,400 , 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding.

As of June 30, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, 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.

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

The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2022 (dollars and shares in millions):

The following table includes a summary of preferred stock depositary shares issued and outstanding as of June 30, 2022 (dollars and shares in millions):

Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1

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

As of March 31, 2022, 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 three months ended March 31, 2022.

During the three and six months ended June 30, 2022, we sold 4.1 million shares of our common stock under the sales agreements for proceeds of $ 50 million, or $ 12.19 per common share, net of offering costs.

As of June 30, 2022, shares of our common stock with an aggregate offering price of $ 1.20 billion remained authorized for issuance under this program through June 11, 2024.

Common Stock Repurchase Program

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").

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

We did not repurchase shares under the program during the three months ended March 31, 2022.

During the three and six months ended June 30, 2022, we repurchased 4.7 million shares, or $ 51 million, of our common stock for an average repurchase price of $ 10.78 per common share, inclusive of transaction costs.

As of June 30, 2022, shares of our common stock with an aggregate repurchase price of $ 907 million remained authorized for repurchase through December 31, 2022.

Accumulated Other Comprehensive Income (Loss)

The following table summarizes changes to accumulated OCI for the three months ended March 31, 2022 and 2021 (in millions):

Three Months Ended March 31,

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2022 and 2021 (in millions):

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

Accumulated Other Comprehensive Income (Loss) 2022 2021 2022 2021

5 unchanged sentences

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