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Item 7. Management’s Discussion and Analysis

2023-02-27 compared with 2022-02-23 · 153 added, 155 removed, 559 unchanged (36% of the section changed)

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Management's Discussion and Analysis of Financial Condition and Results of Operations ("MD&A") is designed to provide a reader of AGNC Investment Corp.'s consolidated financial statements with a narrative from the perspective of management and should be read in conjunction with the consolidated financial statements and accompanying notes included in this Annual Report on Form 10-K.

Our MD&A is presented in six sections:

Our MD&A is presented in the following sections:

• Executive Overview

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Government agency.

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.

We are internally managed with the principal objective of providing our stockholders with favorable long-term returns on a risk-adjusted basis through attractive monthly dividends.

We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities.

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Trends and Recent Market Impacts

Since the onset of the COVID-19 financial crisis in March 2020, the Federal Reserve and the U.S.

Government have provided unprecedented amounts of monetary and fiscal stimulus in support of sustained economic growth.

In response, the U.S.

economy, as measured by gross domestic product, grew 5.7% in 2021, the fastest full-year pace in nearly 40 years.

equity markets also benefited, with the S&P 500 index reaching a series of record highs throughout 2021.

As part of its monetary policy response, the Fed doubled the size of its balance sheet from the start of the crisis to nearly $9 trillion as of December 31, 2021, through the acquisition of U.S.

Treasuries and Agency RMBS.

The Fed’s holdings of Agency RMBS totaled $2.6 trillion as of December 31, 2021, representing almost a third of all outstanding Agency RMBS, as compared to approximately 20% at the start of the crisis.

In the fourth quarter of 2021, however, with annual inflation measures running well above its 2% target and the labor market showing signs of full employment, the Fed communicated that it would soon end its incremental monthly asset purchases and begin tightening monetary policy conditions.

Accordingly, the Fed is expected to begin raising the Federal Funds rate in March 2022 and has signaled that these rate hikes could occur at an aggressive pace.

The Fed is also expected to reduce its holdings of U.S.

Treasury securities and Agency RMBS by a predetermined monthly amount soon after raising the Federal Funds rate.

This shift by the Fed led to a notable increase in short and intermediate-term rates, with the two and five-year Treasury rates increasing 61 and 90 basis points over the year, respectively, while the longer end of the yield curve, despite material intra-year volatility, experienced more modest increases, with the 10 and 30-year Treasury rates rising 59 and 25 basis points, respectively.

Against the backdrop of the anticipated reduction in the Fed’s balance sheet coupled with the expectation of greater mortgage supply in 2022, Agency RMBS spreads to benchmark interest rates widened over the course of 2021, particularly in the second and fourth quarters.

As a result, our economic return on tangible common equity for fiscal year 2021

was 2.9%, comprised of $1.44 in dividends declared per common share and a $0.96 decline in tangible net book value per common share.

We expect Agency RMBS spreads to continue to widen and for challenging market conditions to persist in 2022, as the Fed increases short term rates and reduces its holdings of Agency RMBS.

Given this outlook, we expect to continue to maintain a more defensive portfolio position characterized by lower leverage and significant interest rate hedge protection.

As of December 31, 2021, our "at risk" leverage was 7.7x our tangible equity, below our normal historical operating levels.

Our hedge ratio was 101%, indicating that the notional amount of our interest rate hedges exceeded our mortgage borrowings.

Our duration gap, which is a measure of the difference between the interest rate sensitivity of our assets and liabilities, inclusive of our interest rate hedges, was 0.1 years.

Additionally, our unencumbered cash and Agency RMBS totaled $4.9 billion, or 50% of our tangible equity, as of December 31, 2021, which excludes unencumbered credit assets and assets held at our captive broker-dealer subsidiary, BES.

Wider spreads cause a decline in our tangible net book value, and we may experience increased volatility in our tangible net book value over the near term as the Agency RMBS market reprices to expectations regarding the normalization of Fed monetary policy.

Over the longer run, however, wider Agency RMBS spreads improve the expected return on new investments and are beneficial to our business.

We believe we are well positioned for the current environment and have the capacity and flexibility to take advantage of more attractive investment opportunities as they arise.

For fiscal year 2021, AGNC’s comprehensive income available to common stockholders totaled $231 million, or $0.44 per common share, compared to $260 million, or $0.47 per common share, for fiscal year 2020.

Our average "at risk" leverage, which includes our net TBA position, declined to 7.7x tangible equity for the year, compared to 8.5x for the prior year.

Despite the decline in our "at risk" leverage, our net spread and dollar roll income, excluding estimated catch-up premium amortization, a non-GAAP measure, increased to $3.02 per common share for the year, compared to $2.70 per common share for 2020, due primarily to favorable funding and stable hedge costs throughout the year.

Net spread and dollar roll income also benefited from attractive TBA dollar roll opportunities, with TBA dollar roll implied funding rates remaining well below comparable repo funding during the year.

As a result, we increased our average dollar roll position to approximately 35% of our investment portfolio for the year, compared to 23% for the prior year and well above typical levels prior to the start of the crisis.

As the Fed ends its monthly incremental asset purchases and begins to reduce the size of its balance sheet, we expect a corresponding decline in implied dollar roll financing to levels more consistent with historical averages.

Additionally, with the Fed set to begin raising the Federal Funds rate in March 2022, we anticipate similar increases in repo rates.

However, given our large hedge position, with interest rate swaps covering nearly 70% of our repo and TBA funding liabilities, we anticipate that these rate increases will have a more muted impact on our total cost of funds.

Lastly, during fiscal year 2021, our portfolio experienced elevated rates of prepayment as compared to pre-crisis levels driven by historically low mortgage rates.

For 2021, our Agency RMBS, which excludes our lower coupon holdings held in TBA form, repaid at 23.1% CPR, compared to 19.9% for 2020 and 11.4% for 2019.

Quantitative tightening measures by the Fed typically lead to higher mortgage rates and slower rates of prepayments, which should be beneficial to returns on our higher coupon RMBS holdings and new investments.

However, multiple factors can impact longer-term rates, as a consequence, this may not be case during the forthcoming quantitative tightening cycle.

For information regarding non-GAAP financial measures, including reconciliations to the most comparable GAAP measure, and information regarding our average implied TBA dollar roll financing for fiscal years 2021, 2020 and 2019, please refer to Results of Operations included in this MD&A below.

For further discussion regarding the sensitivity of our tangible net book value to changes in interest rates and mortgage spreads, please refer to Item 7A.

Financial markets experienced broad-based weakness in 2022.

Persistently high inflation, coupled with macroeconomic and monetary policy uncertainty, led to a sharp decline in investor sentiment and a significant repricing in the fixed income markets.

Interest rates across the yield curve moved materially higher, as the Federal Reserve (the "Fed") raised the Federal Funds rate 425 basis points, and the yield on the 10-year U.S.

Treasury security increased nearly 250 basis points for the year, resulting in the worst annual total return for these bonds in decades.

The sharp increase in U.S.

Treasury yields drove mortgage rates to their highest level in twenty years, and, similar to the 10-year U.S.

Treasury, the total return for the unlevered Bloomberg U.S.

MBS Index, which tracks the performance of fixed-rate Agency RMBS, was -12% for the year, its worst annual performance since the Index's inception in 1976.

Agency RMBS often initially underperform other fixed income products during significant market downturns.

Investors typically sell Agency RMBS holdings prior to other less liquid fixed income asset classes to meet cash needs and redemption obligations during market disruptions and liquidity events.

This dynamic caused Agency RMBS to significantly underperform interest rate hedges and other fixed income assets during the year.

As a result, Agency RMBS spreads to benchmark interest rates across the coupon stack reached historically wide levels.

This spread widening was the primary driver of AGNC’s total comprehensive income (loss) per diluted common share of $(4.22) for fiscal year 2022, compared to $0.44 for fiscal year 2021, and economic return (loss) on tangible net book value per common share of (28.4)% for fiscal year 2022, compared to 2.9% for fiscal year 2021, comprised of dividends declared per common share and the decline in our tangible net book value per common share.

Net spread and dollar roll income, excluding "catch-up" amortization, (a non-GAAP measure) per diluted common share was $3.11 for fiscal year 2022, compared to $3.02 for fiscal year 2021, as higher asset yields and our pay-fixed/receive-variable interest rate swap portfolio offset rising repo funding costs and moderating TBA dollar roll income during the year.

Given the challenging market conditions, we prioritized risk management throughout 2022, characterized by a large interest rate hedge position and lower leverage relative to historical levels.

For the year, our interest rate hedge ratio averaged approximately 118% of our Agency repurchase agreements and net TBA position.

Our average "at risk" leverage ratio for the year was 7.8x our tangible stockholders' equity and, despite the decline in our stockholders' equity, was only slightly higher than 7.7x for fiscal year 2021, due to the combination of asset sales, portfolio runoff and capital markets transactions.

As of December 31, 2022, our interest rate hedge ratio was 124% of our funding liabilities and our "at risk" leverage ratio was 7.4x tangible equity.

Our liquidity position remained within normal operating levels during the year as a percentage of our stockholders' equity.

As of December 31, 2022, our unencumbered cash and Agency RMBS totaled $4.3 billion, or 59% of our tangible stockholders' equity, and unencumbered credit securities totaled $100 million.

While 2022 was a difficult year for investors in all asset classes, the challenging conditions in the fixed income markets peaked in September and October 2022 when monetary policy and macro-economic uncertainty was at its highest point.

A positive shift in market sentiment began to take hold in November 2022, which we believe marked the beginning of the recovery of the Agency RMBS market.

Although market shifts typically evolve over time and are not linear, we believe that the longer-term outlook for Agency RMBS has improved substantially.

Our favorable outlook is based on several positive dynamics.

First, we expect Agency RMBS spreads to benchmark interest rates to remain wider than historical standards as the Fed’s outsized ownership of Agency RMBS gradually diminishes.

Second, we expect the demand for Agency RMBS to outpace supply, even without Fed asset purchases.

Higher interest rates and a slower housing market will likely limit the supply of new mortgages, while lower refinance activity should limit runoff of the Fed’s portfolio.

Third, we expect that interest rate volatility will decline as the Fed slows the pace of interest rate hikes and the tightening of monetary conditions reaches an inflection point.

Collectively, these factors create a favorable macroeconomic backdrop for Agency RMBS investors and could prove durable over the intermediate to long-term.

We believe AGNC is well-positioned with our tangible net book value "at risk" leverage at the lower end of our historical operating range and a conservative hedge profile to take advantage of favorable investment opportunities as they arise.

For information regarding non-GAAP financial measures, including reconciliations to the most comparable GAAP measure please refer to Results of Operations included in this MD&A below.

For information regarding the sensitivity of our tangible net book value per common share to changes in interest rates and mortgage spreads, please refer to Item 7A.

Quantitative and Qualitative Disclosures about Market Risk in this form 10-K.

Market Information

The following table summarizes interest rates and prices of generic fixed rate Agency RMBS as of each date presented below:

The following table summarizes benchmark interest rates and prices of generic fixed rate Agency RMBS as of each date presented below:

Interest Rate/Security Price 1

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4.5% $107.19 $103.73 $100.51 $95.21 $96.59 -$10.60

5.0% $109.22 $105.13 $102.17 $97.39 $98.80 -$10.42

5.5% $111.77 $105.72 $103.87 $99.46 $100.47 -$11.30

6.0% $109.25 $106.56 $104.63 $101.61 $101.69 -$7.56

15-Year Fixed Rate Agency Price:

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Interest rates were obtained from Bloomberg.

The following table summarizes mortgage rates and credit spreads as of each date presented below:

The following table summarizes mortgage and credit spreads as of each date presented below:

Mortgage Rate/Credit Spread Dec.

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Mortgage Rate:

30-Year Agency Current Coupon Yield to 5-Year U.S.

Treasury Spread 81 103 134 159 138 +57

30-Year Agency Current Coupon Yield 2.07% 3.49% 4.38% 5.68% 5.39% +332 bps

30-Year Mortgage Rate 3.27% 4.90% 5.83% 7.06% 6.66% +339 bps

30-Year Agency Current Coupon 1.34% 2.04% 1.83% 1.97% 2.07% +73 bps

30-Year Primary to Secondary Spread 1.53% 1.23% 1.30% 1.21% 1.20% -33 bps

Credit Spread (in bps):

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________________________________

30-Year Mortgage rates are sourced from Bloomberg;

30-Year Current Coupon rates represent current coupon rates for new production Agency RMBS sourced from Bloomberg;

and the 30-Year Primary to Secondary Spreads represent the 30-Year Mortgage Rate and 30-Year Agency Current Coupon rate spread differential as of each date.

CRT and CMBS spreads are averages of JP Morgan, Bank of America and Wells Fargo.

CRT spreads are discount margins.

CMBS spreads are spreads to the swap curve.

CDX spreads are sourced from JP Morgan.

30-Year Current Coupon Yield represents yield on new production Agency RMBS.

30-Year Current Coupon Yield and 30-Year Mortgage Rate are sourced from Bloomberg.

CRT and CDX spreads sourced from JP Morgan.

CMBS spreads are the average of spreads sourced from JP Morgan and Wells Fargo.

FINANCIAL CONDITION

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$18.6 billion and $27.1 billion net TBA securities, at fair value, respectively;

and $0.4 billion and zero forward settling non-Agency securities, at fair value, respectively.

The following table is a summary of our investment portfolio as of December 31, 2021 and 2020 (dollars in millions):

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

The following table is a summary of our investment securities as of December 31, 2022 and 2021 (dollars in millions):

December 31, 2022 December 31, 2021

Investment Portfolio (Includes TBAs) Amortized Cost Fair Value Average Coupon % Amortized Cost Fair Value Average Coupon %

Investment Securities (Includes TBAs) 2

Amortized Cost Fair Value Average Coupon % Amortized Cost Fair Value Average Coupon %

Fixed rate Agency RMBS and TBA securities:

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Adjustable rate Agency RMBS 126 122 3.72 % — % 45 47 2.23 % — %

Multifamily — — — % — % 17 19 3.31 % — %

CMO Agency RMBS:

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CRT 779 757 8.48 % 1 % 955 974 3.74 % 1 %

Total investment portfolio $ 81,250 $ 81,999 2.85 % 100 % $ 94,905 $ 97,893 2.91 % 100 %

Total investment securities $ 63,287 $ 59,478 4.18 % 100 % $ 81,250 $ 81,999 2.85 % 100 %

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For further details of our TBA securities refer to Note 5 of our Consolidated Financial Statements in this Form 10-K.

Includes $0.4 billion of forward settling non-Agency securities.

Table excludes other mortgage credit investments of $25 million as of December 31, 2022 accounted for under the equity method of accounting.

December 31, 2021 balance includes $0.4 billion of forward settling non-Agency securities reported in derivative assets/(liabilities) on the accompanying consolidated balance sheets.

TBA and forward settling securities are recorded as derivative instruments in our accompanying consolidated financial statements, and our TBA dollar roll transactions represent a form of off-balance sheet financing.

As of December 31, 2021 and 2020, our TBA position and forward settling securities had a net carrying value of $(44) million and $275 million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.

As of December 31, 2022 and 2021, our TBA position and forward settling securities had a net carrying value of $0.2 billion and $(44) million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.

The net carrying value represents the difference between the fair value of the underlying security in the TBA contract or forward purchase agreement and the price to be paid or received for the underlying security.

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Cost Fair Value Specified Pool % 1

Weighted Average Coupon Amortized

Cost Basis Weighted Average Projected

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≥ 4.5% 3 3 3 97% 4.55% 102.4% 2.65% 144 17%

3.0% 806 818 848 99% 101.5% 3.55% 2.46% 55 15%

3.5% 869 887 924 100% 102.0% 4.03% 2.73% 52 18%

≥ 4.0% 462 475 494 92% 102.9% 4.61% 2.88% 50 19%

Total ≤ 15-year 1,673 1,718 1,597 98% 3.25% 102.7% 2.47% 55 11%

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≥ 4.5% 87 92 86 99% 4.50% 105.1% 3.18% 74 12%

3.5% 169 172 181 81% 101.8% 4.05% 2.95% 101 13%

≥ 4.0% 209 218 229 96% 104.1% 4.74% 3.08% 61 15%

Total 20-year:

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≥ 4.5% 31,649 31,731 31,293 30% 4.96% 102.9% 4.31% 20 8%

3.5% 8,531 8,917 9,200 86% 104.5% 4.05% 2.59% 83 12%

4.0% 8,696 9,146 9,495 92% 105.2% 4.51% 2.81% 65 15%

≥ 4.5% 4,606 4,881 5,084 97% 106.0% 5.02% 3.06% 53 16%

Total 30-year 57,441 58,134 54,781 46% 4.20% 103.5% 3.33% 42 7%

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As of December 31, 2022, lower balance specified pools had a weighted average original loan balance of $123,000 and $140,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 138% for 15-year and 30-year securities, respectively.

WAC represents the weighted average coupon of the underlying collateral.

Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2022.

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Cost Fair Value Specified Pool % 1

Weighted Average Coupon Amortized

Cost Basis Weighted Average Projected

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≥ 4.5% 5 5 5 97% 4.61% 102.8% 2.67% 133 21%

3.0% 1,168 1,186 1,248 94% 101.5% 3.55% 2.46% 44 16%

3.5% 1,249 1,275 1,356 100% 102.1% 4.03% 2.75% 40 18%

≥ 4.0% 788 810 851 92% 102.8% 4.63% 2.92% 47 19%

Total ≤ 15-year 4,547 4,626 4,711 55% 2.57% 102.5% 2.44% 49 16%

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≥ 4.5% 110 116 121 100% 4.51% 104.7% 3.13% 63 16%

3.0% 48 50 52 98% 103.0% 3.78% 2.10% 17 19%

3.5% 226 230 246 81% 101.6% 4.05% 2.93% 89 18%

≥ 4.0% 296 307 327 96% 103.6% 4.73% 3.05% 48 20%

Total 20-year:

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≥ 4.5% 4,606 4,881 5,084 97% 4.53% 106.0% 3.06% 53 16%

3.5% 12,913 13,428 14,151 88% 104.0% 4.07% 2.48% 66 17%

4.0% 14,245 14,847 15,734 92% 104.2% 4.51% 2.81% 52 19%

≥ 4.5% 8,417 8,838 9,434 98% 105.0% 5.01% 3.04% 38 21%

Total 30-year 70,059 72,156 72,776 40% 2.87% 103.5% 2.36% 38 11%

71,882 74,600 77,162 48% 104.3% 4.17% 2.43% 42 18%

Total fixed rate $ 76,490 $ 78,730 $ 79,429 41% 2.84% 103.5% 2.34% 38 11%

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As of December 31, 2021, lower balance specified pools had a weighted average original loan balance of $119,000 and $117,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 127% and 138% for 15-year and 30-year securities, respectively.

WAC represents the weighted average coupon of the underlying collateral.

Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2021.

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The effective yield on our Agency RMBS and non-Agency securities of high credit quality is highly impacted by our estimate of future prepayments.

We accrue interest income based on the outstanding principal amount and contractual terms of these securities, and we amortize or accrete premiums and discounts associated with our purchase of these securities into interest income over their projected lives, taking into account scheduled contractual payments and estimated prepayments, using the effective interest method.

We accrue interest income based on the outstanding principal amount and contractual terms of these securities, and we amortize or accrete premiums and discounts associated with our purchase of these securities into interest income over their projected lives, incorporating scheduled contractual payments and estimated prepayments, using the effective interest method.

The weighted average cost basis of our securities as of December 31, 2022 was 103.4% of par value;

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Future prepayment rates are difficult to predict, and we rely on a third-party service provider and our experience and analysis of historical and current market data to arrive at what we believe to be reasonable estimates.

Our third-party service

provider estimates prepayment rates over the remaining life of our securities using models that incorporate the forward yield curve, current mortgage rates, mortgage rates on the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors.

Our third-party service provider estimates prepayment rates over the remaining life of our securities using models that incorporate the forward yield curve, current mortgage rates, mortgage rates on the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors.

We review the estimated prepayment rates for reasonableness, giving consideration to historical prepayment rates, current market conditions and other factors we believe are likely to impact the rate of prepayments on our portfolio, and based on our judgment we may adjust the third-party estimates.

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If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield from inception through the reporting date.

We commonly refer to this adjustment as "catch-up" premium amortization or expense.

We commonly refer to this adjustment as "catch-up" premium amortization cost/benefit.

The most significant factor impacting prepayment rates on our securities is changes to long-term interest rates.

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Non-GAAP Financial Measures

In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "economic interest income," "economic interest expense," "net spread and dollar roll income," "net spread and dollar roll income, excluding 'catch-up' premium amortization," "estimated taxable income" and the related per common share measures and certain financial metrics derived from such non-GAAP information, such as "cost of funds" and "net interest spread."

"Economic interest income" is measured as interest income (GAAP measure), adjusted (i) to exclude "catch-up" premium amortization associated with changes in CPR estimates and (ii) to include TBA dollar roll implied interest income.

stockholders," "estimated taxable income (loss)" and the related per common share measures and certain financial metrics derived from such non-GAAP information.

"Economic interest income" is measured as interest income (GAAP measure), adjusted to (i) exclude retrospective "catch-up" adjustments to premium amortization cost associated with changes in projected CPR estimates and (ii) include TBA dollar roll implied interest income.

"Economic interest expense" is measured as interest expense (GAAP measure) adjusted to include TBA dollar roll implied interest expense/benefit and interest rate swap periodic cost/income.

"Net spread and dollar roll income, excluding "catch-up" premium amortization" includes (i) the components of economic interest income and economic interest expense and other interest and dividend income (referred to as "adjusted net interest and dollar roll income"), less (ii) total operating expenses (GAAP measure).

"Net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common stockholders" is measured as comprehensive income (loss) available (attributable) to common stockholders (GAAP measure) adjusted to:

(i) exclude gains/losses on investment securities recognized through net income and other comprehensive income and gains/losses on derivative instruments and other securities (GAAP measures) and (ii) include interest rate swap periodic income/cost, TBA dollar roll income and other miscellaneous interest income/expense.

As defined "Net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common stockholders" includes (i) the components of "economic interest income" and "economic interest expense", plus (ii) other miscellaneous interest income/expense, and less (iii) total operating expenses and dividends on preferred stock (GAAP measures).

By providing such measures, in addition to the related GAAP measures, we believe we give greater transparency into the information used by our management in its financial and operational decision-making.

We also believe it is important for users of our financial information to consider information related to our current financial performance without the effects of certain measures and one-time events that are not necessarily indicative of our current investment portfolio performance and operations.

Specifically, in the case of "adjusted net interest and dollar roll income," we believe the inclusion of TBA dollar roll income is meaningful as TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements.

Similarly, we believe that the inclusion of periodic interest rate swap settlements in "economic interest expense" is meaningful as interest rate swaps are the primary instrument we use to economically hedge against fluctuations in our borrowing costs and it is more indicative of our total cost of funds than interest expense alone.

In the case of "economic interest income" and "net spread and dollar roll income, excluding 'catch-up' premium amortization," we believe the exclusion of "catch-up" adjustments to premium amortization cost or benefit is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future

prepayment expectations and, therefore, exclusion of such cost or benefit is more indicative of the current earnings potential of our investment portfolio.

In the case of estimated taxable income, we believe it is meaningful information because it directly relates to the amount of dividends that we are required to distribute to maintain our REIT qualification status.

Specifically, in the case "net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common stockholders" and components of such measure, "economic interest income" and "economic interest expense," we believe the inclusion of TBA dollar roll income is meaningful as TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements.

Similarly, we believe that the inclusion of periodic interest rate swap settlements is meaningful as interest rate swaps are the primary instrument we use to economically hedge against fluctuations in our borrowing costs and it is more indicative of our total cost of funds than interest expense alone.

Additionally, we believe the exclusion of "catch-up" premium amortization adjustments is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such adjustments is more indicative of the current earnings potential of our investment portfolio.

In the case of "estimated taxable income (loss)", we believe it is meaningful information because it directly relates to the amount of dividends that we are required to distribute to maintain our REIT qualification status.

However, because such measures are incomplete measures of our financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP.

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Balance Sheet Data 2022

Investment securities, at fair value $ 54,421 $ 66,414 $ 100,442

Investment securities, at fair value of $40,904, $54,421, $66,414, respectively, and other mortgage credit investments $ 40,929 $ 54,421 $ 66,414

Total assets $ 51,748 $ 68,149 $ 81,817

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Dividends on preferred stock 105 100 96

Issuance cost of redeemed preferred stock — — 6

Net income (loss) available (attributable) to common stockholders $ (1,295) $ 649 $ (362)

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Other comprehensive income (loss), net (973) (418) 622

Comprehensive income 331 356 1,728

Comprehensive income (loss) (2,163) 331 356

Dividends on preferred stock 105 100 96

Issuance cost of redeemed preferred stock — — 6

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

Comprehensive income (loss) available (attributable) to common stockholders $ (2,268) $ 231 $ 260

Weighted average number of common shares outstanding - basic 537.0 528.1 551.6

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Economic Interest Income and Asset Yields

The following table summarizes our economic interest income (a non-GAAP measure) for fiscal years 2021, 2020 and 2019, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" premium amortization adjustments for the cumulative effect from prior reporting periods of changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions):

Fiscal Year 2021 Fiscal Year 2020 Fiscal Year 2019

The following table summarizes our economic interest income (a non-GAAP measure) for fiscal years 2022, 2021 and 2020, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" premium amortization adjustments for the cumulative effect from prior reporting periods due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions):

2022 2021 2020

Amount Yield Amount Yield Amount Yield

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3.88 % 1.51 % 0.92 %

________________________________

Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.

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The combined asset yield is calculated on a weighted average basis based on our average investment and TBA balances outstanding during the period and their respective yields.

The principal elements impacting our economic interest income are the size of our average investment portfolio and the yield on our securities.

The principal elements impacting our economic interest income are the average size of our investment portfolio and the average yield on our securities.

The following table includes a summary of the estimated impact of each of these elements on our economic interest income for fiscal years 2022 and 2021 compared to the prior year period (in millions):

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Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ (548) $ (222) $ (326)

Our average investment portfolio, inclusive of TBAs (at cost), decreased 10% and 8% for fiscal years 2021 and 2020, respectively, primarily due to reductions in our targeted operating leverage.

The decrease in the average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, of 38 and 70 basis points for fiscal years 2021 and 2020, respectively, was largely the result of changes in asset composition and lower prevailing yields on new asset purchases.

Our average investment portfolio, inclusive of TBAs (at cost), decreased 18% and 10% for fiscal years 2022 and 2021, respectively, primarily due to declines in stockholders' equity.

The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 88 basis points for fiscal year 2022.

The increase was due to the combination of a higher average coupon on our portfolio as a result of portfolio repositioning up in coupon during the year and slower CPR projections due to higher interest rates.

For fiscal year 2021, our average yield decreased 38 basis points due to a lower average coupon and faster CPR projections.

Our primary measure of leverage is our tangible net book value "at risk" leverage ratio, which is measured as the sum of our repurchase agreements and other debt used to fund our investment securities and net TBA and forward settling securities position (at cost) (together referred to as "mortgage borrowings") and our net receivable/payable for unsettled investment securities, divided by our total stockholders' equity adjusted to exclude goodwill.

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Economic Interest Expense and Aggregate Cost of Funds

The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for fiscal years 2021, 2020 and 2019 (dollars in millions), which includes the combination of interest expense on Agency repurchase agreements and other debt (GAAP measure), implied financing cost (benefit) of our TBA securities and interest rate swap periodic cost:

Fiscal Year 2021 Fiscal Year 2020 Fiscal Year 2019

The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for fiscal years 2022, 2021 and 2020 (dollars in millions), which includes the combination of interest expense on Agency repurchase agreements and other debt (GAAP measure), implied financing cost (benefit) of our TBA securities and interest rate swap periodic cost (benefit):

2022 2021 2020

Economic Interest Expense and Aggregate Cost of Funds 1

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228 1.08 % (128) (0.42) % (60) (0.27) %

Economic interest expense (benefit) - before interest rate swap periodic cost, net 4

Economic interest expense - before interest rate swap periodic cost (income), net 4

853 1.35 % (53) (0.06) % 614 0.67 %

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(598) (0.95) % 60 0.07 % 48 0.05 %

Total economic interest expense (benefit) (non-GAAP measure) $ 7 0.01 % $ 662 0.72 % $ 1,959 2.02 %

Total economic interest expense (non-GAAP measure) $ 255 0.40 % $ 7 0.01 % $ 662 0.72 %

________________________________

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The combined cost of funds for total mortgage borrowings outstanding, before interest rate swap costs, is calculated on a weighted average basis based on average repo, other debt and TBA balances outstanding during the period and their respective cost of funds.

Interest rate swap periodic cost is measured as a percent of average mortgage borrowings outstanding for the period.

Interest rate swap periodic income/cost is measured as a percent of average mortgage borrowings outstanding for the period.

The principal elements impacting our economic interest expense are (i) the size of our average mortgage borrowings and interest rate swap portfolio outstanding during the period, (ii) the average interest rate on our mortgage borrowings and (iii) the average net interest rate paid/received on our interest rate swaps.

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TBA dollar roll income - implied interest benefit/expense 356 40 316

Interest rate swap periodic cost 12 (1) 13

Interest rate swap periodic income/cost (658) 1 (659)

Total change in economic interest benefit/expense $ 248 $ 28 $ 220

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TBA dollar roll income - implied interest benefit/expense (68) (24) (44)

Interest rate swap periodic cost 450 87 363

Interest rate swap periodic income/cost 12 (1) 13

Total change in economic interest benefit/expense $ (655) $ (214) $ (441)

Our average mortgage borrowings, inclusive of TBAs, decreased 12% and 5% for fiscal years 2021 and 2020, respectively, due to reductions in our targeted operating leverage.

The decline in the average interest rate on our mortgage borrowings for fiscal years 2021 and 2020 of 73 and 177 basis points, respectively, was due to the combination of lower short-term interest rates and favorable funding opportunities in the TBA dollar roll market.

The change in our interest rate swap periodic cost for fiscal years 2021 and 2020 was a function of our average swap balance outstanding and the average fixed rate paid / floating rate received on our interest rate swaps.

Our average mortgage borrowings, inclusive of TBAs, decreased 22% and 12% for fiscal years 2022 and 2021, respectively, due to a decline in our asset base.

The average interest rate on our mortgage borrowings increased 141 basis points

and decreased 73 basis points during fiscal years 2022 and 2021, respectively, primarily as a function of changes in short-term interest rates.

The decrease in our interest rate swap periodic cost for fiscal year 2022 was primarily due to higher receive rates on our pay-fixed swaps.

The modest increase in our interest rate swap periodic cost for fiscal year 2021 was due to lower receive rates, which was partly offset by a decline in our average pay rate.

The following is a summary of our average interest rate swaps outstanding and the related average swap pay and receive rates for fiscal years 2022, 2021 and 2020 (dollars in millions).

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(1.21) % 0.12 % 0.10 %

For fiscal years 2021, 2020 and 2019, we had an average forward starting swap balance of $0.1 billion, $0.8 billion and $3.0 billion, respectively.

For fiscal years 2022, 2021 and 2020, we had an average forward starting swap balance of $48 million, $149 million and $784 million, respectively.

Forward starting interest rate swaps do not impact our economic interest expense and aggregate cost of funds until they commence accruing net interest settlements on their forward start dates.

Including forward starting swaps, our average ratio of interest rate swaps outstanding to our average mortgage borrowings for fiscal years 2021, 2020 and 2019 was 61%, 56% and 70%, respectively.

Net Interest Spread

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Net Spread and Dollar Roll Income

The following table presents a summary of our net spread and dollar roll income, excluding estimated "catch-up" premium amortization, per diluted common share (a non-GAAP financial measure) and a reconciliation to our net interest income (the most comparable GAAP financial measure) for fiscal years 2021, 2020 and 2019 (dollars in millions):

The following table presents a reconciliation of net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders (non-GAAP measure) from comprehensive income (loss) available (attributable) to common stockholders (the most comparable GAAP financial measure) for fiscal years 2022, 2021 and 2020 (dollars in millions):

2022 2021 2020

Net interest income (GAAP measure) $ 1,286 $ 845 $ 693

Comprehensive income (loss) available (attributable) to common stockholders

$ (2,268) $ 231 $ 260

Adjustments to exclude realized and unrealized (gains) losses reported through net income:

Realized (gain) loss on sale of investment securities, net

2,916 57 (1,126)

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

3,795 1,502 (319)

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

(4,630) (1,110) 2,463

Adjustment to exclude unrealized (gain) loss reported through other comprehensive income

Unrealized (gain) loss on available-for-sale securities measure at fair value through other comprehensive income, net

973 418 (622)

Other adjustments

TBA dollar roll income, net 1

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598 (60) (48)

Other interest and dividend income 1

Adjusted net interest and dollar roll income 1,882 1,225 1,203

Operating expense (88) (93) (83)

Net spread and dollar roll income 1,794 1,132 1,120

Dividend on preferred stock 100 96 54

Other interest income, net 1

Net spread and dollar roll income available to common stockholders (non-GAAP measure) 1,914 1,694 1,036

Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 2

(238) (96) 457

Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders (non-GAAP measure) $ 1,676 $ 1,598 $ 1,493

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Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Reported in interest income in our consolidated statements of comprehensive income.

Gain (Loss) on Investment Securities, Net

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Gain (loss) on sale of investment securities, net $ (2,916) $ (57) $ 1,126

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

Unrealized loss on investment securities measured at fair value through net income, net 2

(3,795) (1,502) 319

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

Total gain (loss) on investment securities, net $ (1,977) $ 2,067 $ 3,442

Unrealized loss on investment securities measured at fair value through other comprehensive income, net (973) (418) 622

Total loss on investment securities, net $ (7,684) $ (1,977) $ 2,067

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TBA securities, dollar roll income $ 518 $ 656 $ 425

TBA securities, mark-to-market gain/(loss) (1,208) 1,072 317

TBA securities, mark-to-market loss (3,378) (1,208) 1,072

Forward settling non-Agency securities, mark-to-market gain/(loss) — 5 —

Interest rate swaps, periodic cost/(income) (60) (48) 402

Interest rate swaps, mark-to-market gain/(loss) 1,177 (2,718) (2,047)

Interest rate swaps, periodic cost 598 (60) (48)

Interest rate swaps, mark-to-market gain 3,802 1,177 (2,718)

Credit default swaps - CDX IG - buy protection 21 — —

Payer swaptions 857 23 (156)

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Estimated Taxable Income (Loss)

For the fiscal years 2021, 2020 and 2019, we had estimated taxable income (loss) available (attributable) to common stockholders of $(488) million, $745 million and $620 million, respectively, or $(0.92), $1.35 and $1.15 per diluted common share, respectively.

For fiscal years 2022, 2021 and 2020, we had estimated taxable income (loss) attributed to common stockholders of $353 million, $(488) million and $745 million, respectively, or $0.66, $(0.92) and $1.35 per diluted common share, respectively.

Taxable income for fiscal year 2022 excludes $4.3 billion of capital losses.

Capital losses can be carried forward for up to five years and applied against future capital gains.

We did not incur an income tax liability for fiscal years 2021 and 2020.

As of December 31, 2022, we had distributed all of our estimated taxable income for fiscal year 2022.

Accordingly, we do not expect to incur an income tax liability on our 2022 taxable income.

Income determined under GAAP differs from income determined under U.S.

federal income tax rules because of both temporary and permanent differences in income and expense recognition.

The primary differences are (i) unrealized gains and losses on investment securities and derivative instruments marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized, settled or amortized over the instrument's original term, (ii) timing differences, both temporary and potentially permanent, in the recognition of certain realized gains and losses and (iii) temporary differences related to the amortization of premiums and discounts on investments.

The primary differences are (i) unrealized gains and losses on investment securities and derivative instruments marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized, settled or amortized over the instrument's remaining term, (ii) timing differences, both temporary and potentially permanent, in the recognition of certain realized gains and losses and (iii) temporary differences related to the amortization of premiums and discounts on investments.

Furthermore, our estimated taxable income is subject to potential adjustments up to the time of filing our appropriate tax returns, which occurs after the end of our fiscal year.

The following is a reconciliation of our GAAP net income to our estimated taxable income for fiscal years 2021, 2020 and 2019 (dollars in millions, except per share amounts):

following is a reconciliation of our GAAP net income to our estimated taxable income (loss) for fiscal years 2022, 2021 and 2020 (dollars in millions, except per share amounts):

2022 2021 2020

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Realized gain/loss, net (5,143) (2,363) 1,535

Net capital loss/(utilization of net capital loss carryforward) — (394) 212

Unrealized (gain)/loss, net 1,428 (321) (1,838)

Capital loss/(utilization of capital loss carryforward) 4,328 — (394)

Unrealized loss, net 2,734 1,428 (321)

Other (22) (2) (5)

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REIT taxable income (loss) per common share - diluted $ 0.66 $ (0.92) $ 1.35

Beginning net capital loss carryforward $ — $ 394 $ 182

Increase (decrease) in net capital loss carryforward — (394) 212

Ending net capital loss carryforward $ — $ — $ 394

Ending net capital loss carryforward per common share $ — $ — $ 0.73

Given our taxable loss for fiscal year 2021, we do not expect to incur a tax liability for this period.

We also did not incur income or excise tax liabilities for fiscal years 2020 or 2019 as we distributed all of our taxable income for these periods within the time limits prescribed by the Internal Revenue Code.

Please refer to Note 9 to our Consolidated Financial Statements included in this Form 10-K for a summary of dividends declared on our common and preferred stock during fiscal years 2021, 2020 and 2019.

Beginning capital loss carryforward $ — $ — $ 394

Increase (decrease) in capital loss carryforward 4,328 — (394)

Ending capital loss carryforward $ 4,328 $ — $ —

Ending capital loss carryforward per common share $ 7.53 $ — $ —

LIQUIDITY AND CAPITAL RESOURCES

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Risk Factors and Item 7A.

Quantitative and Qualitative Disclosures of Market Risks sections of this Form 10-K.

Quantitative and Qualitative Disclosures of Market Risks in this Form 10-K.

In assessing our liquidity, we consider a number of factors, including our current leverage, collateral levels, access to capital markets, overall market conditions, and the sensitivity of our tangible net book value over a range of scenarios.

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We attempt to manage the liquidity risk associated with principal pay-downs by monitoring conditions impacting prepayment rates and through asset selection.

As of December 31, 2021, our portfolio largely consisted of lower coupon TBA securities, which are not subject to monthly principal pay-downs, and higher coupon holdings concentrated in high quality, specified Agency RMBS pools, which have a lower risk of prepayment than similar coupon generic Agency RMBS.

Collateral requirements under our derivative agreements are subject to our counterparties' assessment of their maximum risk of loss associated with the derivative instrument measured over a certain period of time, referred to as the initial or minimum margin requirement.

As of December 31, 2022, approximately 31% our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs.

The remainder of our portfolio, primarily consisted of Agency RMBS, which had an average one-year CPR forecast of 5%.

Collateral requirements under our derivative agreements are subject to our counterparties' assessment of their maximum risk of loss associated with the derivative instrument, referred to as the initial or minimum margin requirement, and may be adjusted based on changes in market volatility and other factors.

We are also subject to daily variation margin requirements based on changes in the value of the derivative instrument and/or collateral pledged.

Daily variation margin requirements also entitle us to receive collateral if the value of amounts owed to us under the derivative agreement exceeds the minimum margin requirement.

The collateral requirements under our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC and, if applicable, by our third-party brokerage agreements, which may establish margin levels in excess of the MBSD.

The collateral requirements under our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC.

Collateral levels for interest rate derivative agreements are typically governed by the central clearing exchange and the associated futures commission merchants ("FCMs"), which may establish margin levels in excess of the clearing exchange.

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Haircut levels and minimum margin requirements imposed by our counterparties reduce the amount of our unencumbered assets and limit the amount we can borrow against our investment securities.

During fiscal year 2021, haircuts remained stable.

During the fiscal year 2022, haircuts on our repo funding arrangements remained stable.

As of December 31, 2022, the weighted average haircut on our repurchase agreements was approximately 3.7% of the value of our collateral, compared to 3.8% as of December 31, 2021.

To mitigate the risk of margins calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or sold for cash.

As of December 31, 2021, our unencumbered assets totaled 67% of our tangible net equity, compared to 60% as of December 31, 2020.

The majority of our liquidity is held at AGNC, but we also maintain capital and excess liquidity at Bethesda Securities to meet regulatory standards, satisfy counterparty and clearing organization expectations, and for risk management purposes.

As of December 31, 2021, we had cash and unencumbered Agency RMBS and U.S.

Treasury securities totaling $4.9 billion, or 50% of our tangible equity, which excludes unencumbered CRT and non-Agency securities and assets held at Bethesda Securities, compared to $5.4 billion and 51%, respectively, as of December 31, 2020.

As of December 31, 2022, our unencumbered assets totaled approximately $4.4 billion, or 60% of tangible equity, consisting of $4.3 billion of unencumbered cash and Agency RMBS and $0.1 billion of unencumbered credit assets.

This compares to $6.5 billion of unencumbered assets, or 67% of tangible equity, as of December 31, 2021, consisting of $5.8 billion of unencumbered cash and Agency RMBS and $0.7 billion of unencumbered credit assets.

Counterparty Risk

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We also diversify our funding across multiple counterparties and by region.

As of December 31, 2021, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was approximately 2% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing less than 5% of our tangible stockholders' equity.

As of December 31, 2022, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was approximately 4% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing approximately 7% of our tangible stockholders' equity.

As of December 31, 2022, approximately 6% of our tangible stockholder's equity was at risk with the FICC.

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Treasury market).

The vitality of these markets enables us to sell assets under most market conditions to generate liquidity through direct sales or delivery into TBA contracts, subject to "good delivery" provisions promulgated by the Securities Industry and Financial Markets Association ("SIFMA").

Under certain market conditions, however, we may be unable to realize the full "pay-up" value of our specified pool securities, or the incremental value in excess of equivalent coupon generic Agency RMBS.

Although market conditions fluctuate, the vitality of these markets enables us to sell assets under most conditions to generate liquidity through direct sales or delivery into TBA contracts, subject to "good delivery" provisions promulgated by the Securities Industry and Financial Markets Association ("SIFMA").

Under certain market conditions, however, we may be unable to realize the full carrying value of our securities.

We attempt to manage this risk by maintaining at least a minimum level of securities that trade at or near TBA values that in our estimation enhances our portfolio liquidity across a wide range of market conditions.

Please refer to Trends and Recent Market Impacts of this Management Discussion and Analysis for further information regarding Agency RMBS and TBA market conditions.

Capital Markets

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The availability of equity capital is dependent on market conditions and investor demand for our common and preferred stock.

We will typically not issue common stock when the price of our common stock trades below our tangible net book value or issue preferred equity when its cost exceeds acceptable hurdle rates of return on our equity.

We will typically not issue common stock at times when we believe the capital raised will not be accretive to our tangible net book value or earnings, and we will typically not issue preferred equity when its cost exceeds acceptable hurdle rates of return on our equity.

There can be no assurance that we will be able to raise additional equity capital at any particular time or on any particular terms.

Furthermore, when the trading price of our common stock is less than our estimate of our current tangible net book value per common share, among other conditions, we may repurchase shares of our common stock.

Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-K for further details regarding our recent equity capital transactions.

Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-K for further details regarding our recent equity capital transactions, if any.

OFF-BALANCE SHEET ARRANGEMENTS

As of December 31, 2022, we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes.

Additionally, as of December 31, 2022, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.

FORWARD-LOOKING STATEMENTS

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• changes in U.S.

monetary policy or interest rates, including actions taken by the Fed to normalize monetary policy, to reduce its purchases of Agency RMBS and to address the size of its U.S.

monetary policy or interest rates, including actions taken by the Federal Reserve to normalize monetary policy and to reduce the size of its U.S.

Treasury and Agency RMBS bond portfolio;

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• conditions in the market for Agency RMBS and other mortgage securities;

• the impact of the COVID-19 pandemic and of measures taken in response to the COVID-19 pandemic by various governmental authorities, businesses and other third parties;

• actions by the federal, state, or local governments to stabilize the economy, the housing sector or financial markets;

• changes to laws, regulations, rules or policies that affect U.S.

housing finance activity, the GSE's or the markets for Agency RMBS;

• legislative or regulatory changes that affect our status as a REIT, our exemption from the Investment Company Act of 1940 or the mortgage markets in which we participate;

• other risks discussed under the heading “Risk Factors” herein and in our Annual Report on Form 10-K.

• other risks discussed under Item 1A.

Risk Factors .

Forward-looking statements speak only as of the date made, and we do not assume any duty and do not undertake to update forward-looking statements.

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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 7. Management’s Discussion and Analysis