What changed in this filing

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Item 1. Financial Statements

2022-11-07 compared with 2022-08-04 · 161 added, 142 removed, 769 unchanged (28% of the section changed)

3 unchanged sentences

(in millions, except per share data)

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Agency securities, at fair value (including pledged securities of $ 37,886 and $ 47,601 , respectively)

18 unchanged sentences

Obligation to return securities borrowed under reverse repurchase agreements, at fair value 7,469 9,697

Accounts payable and other liabilities 803 400

Other liabilities 837 400

Total liabilities 51,302 57,858

Stockholders' equity:

Preferred Stock - aggregate liquidation preference of $ 1,538

Preferred Stock - aggregate liquidation preference of $ 1,688 and $1,538

Common stock - $ 0.01 par value;

10 unchanged sentences

(in millions, except per share data)

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

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

2022 2021 2022 2021

6 unchanged sentences

Unrealized loss on investment securities measured at fair value through net income, net ( 1,738 ) ( 141 ) ( 5,257 ) ( 1,124 )

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

Gain on derivative instruments and other securities, net 1,474 101 4,474 922

Total other loss, net:

7 unchanged sentences

Net income (loss) $ ( 666 ) $ 212 $ ( 1,751 ) $ 776

Unrealized loss on investment securities measured at fair value through other comprehensive loss, net ( 245 ) ( 77 ) ( 736 ) ( 314 )

Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net ( 372 ) 6 ( 1,108 ) ( 308 )

Comprehensive income (loss) ( 1,038 ) 218 ( 2,859 ) 468

18 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 )

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

Net income — — — — 212 — 212

Other comprehensive income:

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

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

1 unchanged sentence

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

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

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

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

Net income — — — — ( 434 ) — ( 434 )

Net loss — — — — ( 666 ) — ( 666 )

Other comprehensive loss:

1 unchanged sentence

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

Issuance of common stock — 4.1 — 50 — — 50

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

Issuance of preferred stock, net of offering cost 145 — — — — — 145

Issuance of common stock, net of offering cost — 28.6 1 288 — — 289

Preferred dividends declared — — — — ( 26 ) — ( 26 )

Common dividends declared — — — — ( 192 ) — ( 192 )

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

Balance, September 30, 2022 $ 1,634 551.3 $ 6 $ 13,999 $ ( 7,610 ) $ ( 807 ) $ 7,222

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

6 unchanged sentences

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

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

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

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

Issuance of preferred stock, net of offering cost 145 — — — — — 145

Issuance of common stock, net of offering cost — 32.7 1 338 — — 339

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

1 unchanged sentence

Common dividends declared — — — — ( 569 ) — ( 569 )

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

Balance, September 30, 2022 $ 1,634 551.3 $ 6 $ 13,999 $ ( 7,610 ) $ ( 807 ) $ 7,222

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Six Months Ended

Nine Months Ended

September 30,

Operating activities:

6 unchanged sentences

Gain on derivative instruments and other securities, net ( 4,474 ) ( 922 )

(Increase) decrease in other assets 21 ( 52 )

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

Increase in other assets ( 59 ) ( 33 )

Increase (decrease) in other liabilities 138 ( 19 )

Net cash provided by operating activities 919 1,164

10 unchanged sentences

Treasury securities 16,584 15,261

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

Net proceeds from reverse repurchase agreements 2,966 2,129

Net proceeds from derivative instruments 3,754 918

4 unchanged sentences

Payments on debt of consolidated variable interest entities ( 19 ) ( 39 )

Proceeds from common stock issuances 50 —

Net proceeds from preferred stock issuance 145 —

Net proceeds from common stock issuances 339 —

Payments for common stock repurchases ( 51 ) ( 239 )

169 unchanged sentences

Investment Securities

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

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

$ 43.6 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 $( 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.

Our net TBA position and forward settling non-Agency securities are reported at their net carrying value totaling $( 1.2 ) billion and $( 44 ) million as of September 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 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).

As of September 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 September 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.

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Investment Securities Amortized

7 unchanged sentences

Non-Agency RMBS 1

254 222 325 329

CMBS 651 621 505 514

1 unchanged sentence

Total investment securities $ 49,162 $ 43,592 $ 53,628 $ 54,421

June 30, 2022

September 30, 2022

Agency RMBS Non-Agency 1

28 unchanged sentences

Total securities, at fair value $ 29,861 $ 12,025 $ 3 $ 222 $ 621 $ 860 $ 43,592

Weighted average coupon as of June 30, 2022

Weighted average coupon as of September 30, 2022

3.51 % 3.63 % 4.67 % 3.80 % 5.06 % 6.93 % 3.63 %

Weighted average yield as of June 30, 2022 1

Weighted average yield as of September 30, 2022 2

2.98 % 3.09 % 2.56 % 4.13 % 5.91 % 7.76 % 3.14 %

________________________________

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

Amount excludes mortgage credit investment fund limited partnership interest totaling approximately $ 27 million, as of September 30, 2022, reported in non-Agency securities on the accompanying consolidated balance sheets.

Incorporates a weighted average future constant prepayment rate assumption of 7.0 % based on forward rates as of September 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 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

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

September 30, 2022 December 31, 2021

CRT and Non-Agency Security Credit Ratings 1

CRT RMBS CMBS CRT RMBS CMBS

CMBS CRT RMBS CMBS

AAA $ — $ 129 $ 190 $ — $ 164 $ 10

8 unchanged sentences

Represents the lowest of Standard and Poor's ("S&P"), Moody's, Fitch, DBRS, Kroll Bond Rating Agency ("KBRA") and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date.

RMBS excludes mortgage credit investment fund limited partnership interest totaling approximately $ 27 million, as of September 30, 2022, reported in non-Agency securities on the accompanying consolidated balance sheets.

Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards.

2 unchanged sentences

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

As of 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.

As of September 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 7.0 % 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 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

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

September 30, 2022 December 31, 2021

Estimated Weighted Average Life of Investment Securities 1

Fair Value Amortized

Cost Weighted

8 unchanged sentences

$ 43,592 $ 49,162 3.63 % 3.14 % $ 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 June 30, 2022 and December 31, 2021 (in millions):

________________________________

Table excludes mortgage credit investment fund limited partnership interest totaling approximately $ 27 million, as of September 30, 2022, reported in non-Agency securities on the accompanying consolidated balance sheets.

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

June 30, 2022

September 30, 2022

$ 6,175 $ ( 807 ) $ 5 $ ( 1 ) $ 6,180 $ ( 808 )

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 and six months ended June 30, 2022 and 2021 by investment classification of accounting (in millions):

Three Months Ended June 30,

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

Three Months Ended September 30,

Investment Securities Available-for-Sale

8 unchanged sentences

Net gain (loss) on sale of investment securities $ — $ ( 560 ) $ ( 560 ) $ 4 $ ( 9 ) $ ( 5 )

Six Months Ended June 30,

Nine Months Ended September 30,

Investment Securities Available-for-Sale

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

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

For additional information regarding our pledged assets, please refer to Note 7.

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.

As of September 30, 2022 and December 31, 2021, we had $ 40.3 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 June 30, 2022 and December 31, 2021 (dollars in millions):

June 30, 2022 December 31, 2021

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

September 30, 2022 December 31, 2021

Remaining Maturity Repurchase Agreements Weighted

11 unchanged sentences

Total $ 40,306 2.84 % 34 $ 47,381 0.15 % 63

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 September 30, 2022 and December 31, 2021, $ 10.9 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 September 30, 2022, we had $ 2.8 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 3.10 %.

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 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").

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 June 30, 2022 and December 31, 2021, respectively.

As of September 30, 2022 and December 31, 2021, 50 % 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 48 % and 42 % of our repurchase agreement funding outstanding as of September 30, 2022 and December 31, 2021, respectively.

Reverse Repurchase Agreements

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.

As of September 30, 2022 and December 31, 2021, we had $7.6 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 $7.4 billion and $9.7 billion, respectively.

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.

As of September 30, 2022 and December 31, 2021, $ 1.7 billion and $ 3.0 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

6 unchanged sentences

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

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

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

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

Derivative and Other Hedging Instruments Balance Sheet Location September 30,

Interest rate swaps 1

4 unchanged sentences

Total derivative assets, at fair value

Interest rate swaps 1

Derivative liabilities, at fair value $ — $ —

TBA and forward settling non-Agency securities Derivative liabilities, at fair value ( 1,214 ) ( 71 )

10 unchanged sentences

________________________________

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.

As of September 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 $ 5.3 billion and $ 1.6 billion, respectively.

As of September 30, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $ 1 million.

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 June 30, 2022 and December 31, 2021 (dollars in millions):

June 30, 2022 December 31, 2021

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

September 30, 2022 December 31, 2021

Pay Fixed / Receive Variable Interest Rate Swaps Notional

8 unchanged sentences

Total $ 47,125 0.21 % 3.00 % 3.5 $ 51,225 0.20 % 0.05 % 4.0

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

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

December 31, 2021

7 unchanged sentences

Amount Average Fixed Pay

June 30, 2022

September 30, 2022

≤ 1 year $ 23 $ 163 6 $ 1,350 2.02 % 9.5

> 1 year ≤ 2 years 46 194 20 2,050 2.46 % 10.0

> 2 year ≤ 3 years 26 90 26 1,300 2.32 % 10.0

Total $ 69 $ 357 14 $ 3,400 2.28 % 9.8

5 unchanged sentences

________________________________

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 September 30, 2022 and December 31, 2021, ≤ 1 year notional amount includes $ 0 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 September 30, 2022, 100% and —% 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.

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

Treasury Securities September 30, 2022 December 31, 2021

Maturity Face Amount Long/(Short) Cost Basis 1

3 unchanged sentences

10 years ( 5,071 ) ( 5,095 ) ( 4,137 ) ( 7,590 ) ( 7,593 ) ( 7,727 )

20 years ( 552 ) ( 500 ) ( 500 ) — — —

Treasury securities $ ( 7,423 ) $ ( 7,399 ) $ ( 6,256 ) $ ( 9,118 ) $ ( 9,117 ) $ ( 9,226 )

________________________________

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

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

Treasury securities totaling $(7.5) billion and $(9.7) billion, at fair value, respectively, had a weighted average yield of 1.82 % and 1.56 %, respectively.

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

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

Treasury securities totaling $ 1.2 billion and $ 0.5 billion, at fair value, respectively, had a weighted average yield of 3.61 % and 1.18 %, respectively.

Treasury Futures June 30, 2022 December 31, 2021

Treasury Futures September 30, 2022 December 31, 2021

Maturity Notional

10 unchanged sentences

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

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

TBA Securities by Coupon 2

5 unchanged sentences

≤ 2.5% $ — $ — $ — $ — $ 2,039 $ 2,056 $ 2,059 $ 3

105 104 104 — — — — —

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

3 unchanged sentences

12,907 12,986 12,383 ( 603 ) — — — —

( 81 ) ( 24 ) ( 78 ) ( 54 ) 581 611 611 —

2,838 2,928 2,797 ( 131 ) — — — —

12,492 12,502 12,581 79 — — — —

Total 30-Year TBA securities, net 18,919 19,116 17,902 ( 1,214 ) 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 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.

As of September 30, 2022, we had $ 290 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 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.

As of September 30, 2022, the CDS had a market value of $ 1 million, 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 and six months ended June 30, 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 nine months ended September 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 June 30, 2022:

Three months ended September 30, 2022:

TBA securities, net $ 15,927 78,067 ( 75,075 ) $ 18,919 $ ( 1,192 )

6 unchanged sentences

Treasury futures contracts - short position $ ( 8,105 ) ( 11,241 ) 8,463 $ ( 10,883 ) 483

Three months ended June 30, 2021:

Three months ended September 30, 2021:

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

Forward settling non-Agency securities $ 300 750 ( 600 ) $ 450 3

Interest rate swaps - payer $ 49,725 500 ( 500 ) $ 49,725 57

3 unchanged sentences

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

Six months ended June 30, 2022:

Nine months ended September 30, 2022:

TBA securities, net $ 26,673 228,904 ( 236,658 ) $ 18,919 $ ( 3,030 )

7 unchanged sentences

Treasury futures contracts - short position $ ( 1,500 ) ( 26,466 ) 17,083 $ ( 10,883 ) 818

Six months ended June 30, 2021:

Nine months ended September 30, 2021:

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

Forward settling non-Agency securities $ — 1,050 ( 600 ) $ 450 3

Interest rate swaps - payer $ 43,225 7,500 ( 1,000 ) $ 49,725 781

5 unchanged sentences

Amounts exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Other Assets and Other Liabilities

The following tables summarize other assets and other liabilities as of September 30, 2022 and December 31, 2021 (in millions):

Other Assets September 30, 2022 December 31, 2021

Interest receivable $ 147 $ 130

Receivable for unsettled transactions 184 180

Venture capital investments 52 95

Total other assets $ 408 $ 414

Other Liabilities September 30, 2022 December 31, 2021

Interest payable $ 43 $ 43

Cash pledged from counterparties 634 336

Payable for unsettled transactions 95 —

Total other liabilities $ 837 $ 400

Pledged Assets

11 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 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.

As of September 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 September 30, 2022, approximately 7 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

Assets Pledged to Counterparties

The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of June 30, 2022 and December 31, 2021 (in millions):

June 30, 2022

September 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 $ 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 $ 51 million and $ 81 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 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 June 30, 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 .

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

9 unchanged sentences

________________________________

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.

Includes $ 51 million and $ 81 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2022 and December 31, 2021, respectively.

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

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

Assets Pledged from Counterparties

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

As of September 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).

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

As of September 30, 2022 and December 31, 2021, amounts include $7.4 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 June 30, 2022 and December 31, 2021 (in millions):

Offsetting of Financial and Derivative Assets

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Financial Instruments Collateral Received 2

June 30, 2022

September 30, 2022

Interest rate swap and swaption agreements, at fair value 1

$ 430 $ — $ 430 $ — $ ( 350 ) $ 80

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

96 — 96 ( 96 ) — —

Receivable under reverse repurchase agreements 7,577 — 7,577 ( 5,768 ) ( 1,809 ) —

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Financial Instruments Collateral Pledged 2

June 30, 2022

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

September 30, 2022

TBA securities, at fair value 1

$ 1,214 $ — $ 1,214 $ — $ ( 1,214 ) $ —

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Fair Value Measurements

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of June 30, 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 September 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.

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

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

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Treasury futures

421 — — — — —

Total $ 1,634 $ 44,048 $ — $ 471 $ 54,738 $ —

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Treasury securities borrowed under reverse repurchase agreements 7,469 — — 9,697 — —

Interest rate swaps 1

Credit default swaps 1

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Treasury futures

33 — — 15 — —

Total $ 7,476 $ 1,312 $ — $ 9,712 $ 197 $ —

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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.

As of September 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 $ 5.3 billion and $ 1.6 billion, respectively, based on "Level 2" inputs.

As of September 30, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $ 1 million 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 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 our repurchase agreements approximated cost as of September 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 June 30, Six Months Ended June 30,

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

2022 2021 2022 2021

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Net income (loss) per common share - diluted $ ( 1.31 ) $ 0.35 $ ( 3.47 ) $ 1.32

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.

For the three and nine months ended September 30, 2022, 1.1 million and 1.1 million, respectively, of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.

Stockholders' Equity

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

As of June 30, 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.

As of September 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 September 30, 2022, an additional 6,900 shares were designated as 7.75 % Series G Fixed-Rate-Reset Cumulative Redeemable Preferred Stock (referred to as "Series G Preferred Stock").

As of September 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.

As of September 30, 2022, an additional 6,000 shares of Series G Preferred Stock 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 June 30, 2022 (dollars and shares in millions):

Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock 1

Date Depositary

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

Cumulative Redeemable Preferred Stock 1

Issue Date Depositary

Outstanding Carrying

Value Aggregate

Liquidation Preference Fixed

Rate Optional

Fixed-to-Floating

Date Floating

Series C August 22, 2017 13.0 315 325 7.000 % October 15, 2022 October 15, 2022 3M LIBOR + 5.111%

Series D March 6, 2019 9.4 227 235 6.875 % April 15, 2024 April 15, 2024 3M LIBOR + 4.332%

Series E October 3, 2019 16.1 390 403 6.500 % October 15, 2024 October 15, 2024 3M LIBOR + 4.993%

Series F February 11, 2020 23.0 557 575 6.125 % April 15, 2025 April 15, 2025 3M LIBOR + 4.697%

Liquidation Preference Per Annum Dividend

Rate First Optional

Redemption Date / Conversion Date 2

Fixed-to-Floating Rate:

Series C August 22, 2017 13.0 $ 315 $ 325 7.000 % October 15, 2022 3M LIBOR + 5.111%

Series D March 6, 2019 9.4 227 235 6.875 % April 15, 2024 3M LIBOR + 4.332%

Series E October 3, 2019 16.1 390 403 6.500 % October 15, 2024 3M LIBOR + 4.993%

Series F February 11, 2020 23.0 557 575 6.125 % April 15, 2025 3M LIBOR + 4.697%

Fixed-Rate-Reset:

Series G September 14, 2022 6.0 145 150 7.750 % October 15, 2027 5 YR US Treasury Rate + 4.39%

Total 67.5 $ 1,634 $ 1,688

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Fixed-to-floating rate redeemable preferred stock accrue dividends at an annual fixed rate of the $25.00 liquidation preference per depositary share from the issuance date up to, but not including, the fixed-to-floating rate conversion date;

thereafter, dividends will accrue on a floating rate basis equal to 3-month LIBOR plus a fixed spread.

Preferred stock accrue dividends at an initial annual fixed rate of the $25.00 liquidation preference per depositary share from the issuance date up to, but not including, the fixed-to-floating rate or fixed-rate-reset conversion date;

thereafter, dividends will accrue on a floating rate or fixed-rate-reset basis equal to the conversion rate plus a fixed spread.

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.

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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.

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.

During the three and nine months ended September 30, 2022, we sold 28.6 million and 32.7 million shares, respectively, of our common stock under the sales agreements for proceeds of $ 289 million and $ 339 million, respectively, or $ 10.10 and $ 10.36 per common share, respectively, net of offering costs.

As of September 30, 2022, shares of our common stock with an aggregate offering price of $ 0.9 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").

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.

During the nine months ended September 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 September 30, 2022, shares of our common stock with an aggregate repurchase price of $ 0.9 billion remained authorized for repurchase through December 31, 2022.

(See Note 11.

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

Accumulated Other Comprehensive Income (Loss)

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

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

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

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

Accumulated Other Comprehensive Income (Loss) 2022 2021 2022 2021

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Ending Balance $ ( 807 ) $ 411 $ ( 807 ) $ 411

Subsequent Event

Common Stock Repurchase Program

During October 2022, our Board of Directors terminated our existing stock repurchase plan (see Note 10.

Stockholders' Equity) that was due to expire on December 31, 2022 and replaced it with a new plan authorizing us to repurchase up to $ 1 billion of common stock through December 31, 2024.

Under the new plan, we may repurchase shares in the open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act.

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

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

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

What changed 10-Q

Item 1. Financial Statements