What changed in this filing

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Item 1. Financial Statements

2023-05-08 compared with 2022-11-07 · 166 added, 245 removed, 685 unchanged (38% of the section changed)

3 unchanged sentences

(in millions, except per share data)

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Agency securities, at fair value (including pledged securities of $ 41,852 and $ 35,800 , respectively)

2 unchanged sentences

Credit risk transfer securities, at fair value (including pledged securities of $ 747 and $ 703 , respectively)

Non-Agency securities, at fair value (including pledged securities of $ 775 and $ 571 , respectively)

Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $ 457 and $ 605 , respectively)

Treasury securities, at fair value (including pledged securities of $ 6,481 and $ 353 , respectively)

22 unchanged sentences

Retained deficit ( 7,674 ) ( 7,284 )

Accumulated other comprehensive income ( 807 ) 301

Accumulated other comprehensive income (loss) ( 530 ) ( 672 )

Total stockholders' equity 7,792 7,870

4 unchanged sentences

(in millions, except per share data)

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

2022 2021 2022 2021

Three Months Ended March 31,

Interest income:

3 unchanged sentences

Other gain (loss), net:

Gain (loss) on sale of investment securities, net ( 560 ) ( 5 ) ( 1,848 ) 7

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

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

Loss on sale of investment securities, net ( 81 ) ( 342 )

Unrealized gain (loss) on investment securities measured at fair value through net income, net 594 ( 2,532 )

Gain (loss) on derivative instruments and other investments, net ( 544 ) 1,796

Total other loss, net:

3 unchanged sentences

Total operating expense 22 21

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

Net loss ( 151 ) ( 651 )

Dividends on preferred stock 30 25

Net income (loss) available (attributable) to common stockholders $ ( 692 ) $ 187 $ ( 1,827 ) $ 701

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

Net loss attributable to common stockholders $ ( 181 ) $ ( 676 )

Net loss $ ( 151 ) $ ( 651 )

Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net 142 ( 491 )

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

Comprehensive loss ( 9 ) ( 1,142 )

Dividends on preferred stock

Comprehensive income (loss) available (attributable) to common stockholders $ ( 1,064 ) $ 193 $ ( 2,935 ) $ 393

Comprehensive loss attributable to common stockholders $ ( 39 ) $ ( 1,167 )

Weighted average number of common shares outstanding - basic

528.7 526.7 526.4 529.0

Weighted average number of common shares outstanding - diluted

528.7 528.6 526.4 530.8

Net income (loss) per common share - basic $ ( 1.31 ) $ 0.36 $ ( 3.47 ) $ 1.33

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

Net loss per common share - basic $ ( 0.31 ) $ ( 1.29 )

Net loss per common share - diluted $ ( 0.31 ) $ ( 1.29 )

Dividends declared per common share $ 0.36 $ 0.36

9 unchanged sentences

Shares Amount

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

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

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

Net loss — — — — ( 666 ) — ( 666 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 372 ) ( 372 )

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

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

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

Net income — — — — 776 — 776

— — — — ( 651 ) — ( 651 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

— — — — — ( 491 ) ( 491 )

Stock-based compensation, net — 1.1 — ( 6 ) — — ( 6 )

Repurchase of common stock — ( 15.0 ) — ( 239 ) — — ( 239 )

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

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

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

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

Balance, December 31, 2022 $ 1,634 574.6 $ 6 $ 14,186 $ ( 7,284 ) $ ( 672 ) $ 7,870

Net loss — — — — ( 1,751 ) — ( 1,751 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 1,108 ) ( 1,108 )

— — — — ( 151 ) — ( 151 )

Other comprehensive income:

Unrealized gain on available-for-sale securities, net

— — — — — 142 142

Stock-based compensation, net — 0.8 — ( 1 ) — — ( 1 )

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 )

Issuance of common stock — 17.1 — 171 — — 171

Preferred dividends declared — — — — ( 30 ) — ( 30 )

Common dividends declared — — — — ( 209 ) — ( 209 )

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

Balance, March 31, 2023 $ 1,634 592.5 $ 6 $ 14,356 $ ( 7,674 ) $ ( 530 ) $ 7,792

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Nine Months Ended

September 30,

Three Months Ended

Operating activities:

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

Net loss $ ( 151 ) $ ( 651 )

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

1 unchanged sentence

Stock-based compensation, net ( 1 ) ( 6 )

(Gain) loss on sale of investment securities, net 1,848 ( 7 )

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

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

Increase in other assets ( 59 ) ( 33 )

Increase (decrease) in other liabilities 138 ( 19 )

Loss on sale of investment securities, net 81 342

Unrealized (gain) loss on investment securities measured at fair value through net income, net ( 594 ) 2,532

(Gain) loss on derivative instruments and other securities, net 544 ( 1,796 )

(Increase) decrease in other assets ( 42 ) 20

Increase in other liabilities 69 8

Net cash provided by operating activities 26 371

10 unchanged sentences

Treasury securities 4,329 6,066

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

Net proceeds from derivative instruments 3,754 918

Net cash provided by investing activities 8,020 4,715

Net payments on reverse repurchase agreements ( 2,201 ) ( 169 )

Net proceeds from (payments on) derivative instruments ( 28 ) 1,784

Net cash (used in) provided by investing activities ( 11,571 ) 3,081

Financing activities:

2 unchanged sentences

Payments on debt of consolidated variable interest entities ( 5 ) ( 7 )

Net proceeds from preferred stock issuance 145 —

Net proceeds from common stock issuances 171 —

Payments for common stock repurchases ( 51 ) ( 239 )

Cash dividends paid ( 238 ) ( 213 )

Net cash used in financing activities ( 7,302 ) ( 6,758 )

Net cash provided by (used in) financing activities 12,050 ( 2,886 )

Net change in cash, cash equivalents and restricted cash 505 566

58 unchanged sentences

We review the prepayment speeds estimated by the third-party service for reasonableness with consideration given to both historical prepayment speeds and current market conditions.

If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape, such as during periods of elevated market uncertainty or unique market conditions, we may make adjustments to the models.

If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape we may make adjustments to the models.

We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments.

5 unchanged sentences

Repurchase Agreements

We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with financial institutions.

Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the transferred

assets at a future date.

We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with our lending counterparties.

Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the securities at a

We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments.

49 unchanged sentences

We account for TBA dollar roll transactions as a series of derivative transactions.

Treasury securities

Treasury securities and US Treasury futures contracts

Treasury securities and U.S.

Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio.

We borrow U.S.

Treasury securities under reverse repurchase agreements to cover short sales of U.S.

Treasury securities.

We enter into short-sales of U.S.

Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market.

We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying U.S.

Treasury security as of the reporting date.

Treasury futures contracts are standardized contracts that obligate us to sell or buy U.S.

Treasury securities for future delivery.

Gains and losses associated with U.S.

13 unchanged sentences

The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument.

We typically obtain price estimates from multiple third-party pricing sources, such as pricing services and dealers, or, if applicable, the registered clearing exchange.

We typically obtain price estimates from multiple third-party pricing sources, such as pricing services and dealers, or, if applicable, from the registered clearing exchange.

We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity.

20 unchanged sentences

Investment Securities

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;

$ 17.9 billion and $ 27.1 billion net TBA securities, at fair value, respectively;

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 $( 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 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.

September 30, 2022 December 31, 2021

As of March 31, 2023 and December 31, 2022, our investment portfolio consisted of $ 46.4 billion and $ 40.9 billion investment securities, at fair value, respectively, and $ 10.4 billion and $ 18.6 billion net TBA securities, at fair value, respectively.

Our TBA position is reported at its net carrying value totaling $ 10 million and $ 167 million as of March 31, 2023 and December 31, 2022, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets.

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

As of March 31, 2023 and December 31, 2022, our investment securities had a net unamortized premium balance of $ 1.5 billion and $ 1.5 billion, respectively.

The following tables summarize our investment securities as of March 31, 2023 and December 31, 2022, excluding TBA securities and other mortgage credit investments (dollars in millions).

Details of our TBA securities are included in Note 5.

As of March 31, 2023 and December 31, 2022, we had other mortgage credit investments of $ 25 million, which we account for under the equity method of accounting.

March 31, 2023 December 31, 2022

Investment Securities Amortized

7 unchanged sentences

Non-Agency RMBS 1

254 222 325 329

CMBS 484 452 605 567

1 unchanged sentence

Total investment securities $ 49,575 $ 46,339 $ 44,880 $ 40,904

September 30, 2022

March 31, 2023

Agency RMBS Non-Agency 1

28 unchanged sentences

Total securities, at fair value $ 29,772 $ 15,290 $ 3 $ 53 $ 452 $ 769 $ 46,339

Weighted average coupon as of September 30, 2022

Weighted average coupon as of March 31, 2023

3.96 % 4.21 % 4.65 % 4.74 % 6.44 % 9.13 % 4.15 %

Weighted average yield as of September 30, 2022 2

Weighted average yield as of March 31, 2023 2

3.33 % 3.70 % 2.63 % 4.59 % 5.84 % 7.91 % 3.55 %

________________________________

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.

Amount excludes other mortgage credit investments of $ 25 million as of March 31, 2023.

Incorporates a weighted average future constant prepayment rate assumption of 10.0 % based on forward rates as of March 31, 2023.

December 31, 2022

29 unchanged sentences

________________________________

Amount excludes other mortgage credit investments of $ 25 million as of December 31, 2022.

Incorporates a weighted average future constant prepayment rate assumption of 7.4 % based on forward rates as of December 31, 2022.

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

As of March 31, 2023 and December 31, 2022, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

March 31, 2023 December 31, 2022

CRT and Non-Agency Security Credit Ratings 1

CMBS CRT RMBS CMBS

CMBS CRT RMBS 2

AAA $ — $ — $ 140 $ — $ 9 $ 184

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.

RMBS excludes other mortgage credit investments of $ 25 million as of March 31, 2023 and December 31, 2022.

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 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.

As of March 31, 2023 and December 31, 2022, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 10.0 % and 7.4 %, 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 September 30, 2022 and December 31, 2021 according to their estimated weighted average life classification (dollars in millions):

September 30, 2022 December 31, 2021

The following table summarizes our investments as of March 31, 2023 and December 31, 2022 according to their estimated weighted average life classification (dollars in millions):

March 31, 2023 December 31, 2022

Estimated Weighted Average Life of Investment Securities 1

11 unchanged sentences

________________________________

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.

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

Table excludes other mortgage credit investments of $ 25 million as of March 31, 2023 and December 31, 2022.

The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2023 and December 31, 2022 (in millions):

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

September 30, 2022

March 31, 2023

$ 765 $ ( 43 ) $ 4,862 $ ( 487 ) $ 5,627 $ ( 530 )

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 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

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ 3 $ ( 5,901 ) $ ( 5,898 ) $ ( 309 ) $ ( 9,285 ) $ ( 9,594 )

Proceeds from investment securities sold 1

( 3 ) 5,341 5,338 313 9,276 9,589

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

Gross gain on sale of investment securities $ — $ 4 $ 4 $ 4 $ 63 $ 67

Gross loss on sale of investment securities — ( 564 ) ( 564 ) — ( 72 ) ( 72 )

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

Nine Months Ended September 30,

The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2023 and 2022 by investment classification of accounting (in millions):

Three Months Ended March 31,

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

As of March 31, 2023, we had met all margin call requirements.

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

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.

As of March 31, 2023 and December 31, 2022, we had $ 48.4 billion and $ 36.3 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S.

Treasury securities.

The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis.

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

September 30, 2022 December 31, 2021

The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis or subject to a tri-party repo agreement.

Our repurchase agreements with original maturities greater than one year may have floating interest rates

based on an index plus or minus a fixed spread.

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2023 and December 31, 2022 (dollars in millions):

March 31, 2023 December 31, 2022

Remaining Maturity Repurchase Agreements Weighted

6 unchanged sentences

> 9 to ≤ 12 months 201 5.32 % 325 — — % —

> 9 to ≤ 12 months — — % — 1,362 0.23 % 307

Total Agency repo 41,930 4.81 % 18 35,907 4.31 % 23

2 unchanged sentences

Total $ 48,384 4.82 % 16 $ 36,262 4.31 % 22

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 March 31, 2023 and December 31, 2022, $ 12.1 billion and $ 9.6 billion, respectively, of our Agency repurchase agreements and all of our U.S.

Treasury repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand.

As of March 31, 2023, we had $ 7.5 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 4.94 %.

As of December 31, 2022, we had $ 6.4 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 4 days and a weighted average interest rate of 4.38 %.

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.

As of March 31, 2023 and December 31, 2022, 42 % and 49 %, 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 38 % and 48 % of our repurchase agreement funding outstanding as of March 31, 2023 and December 31, 2022, respectively.

Reverse Repurchase Agreements

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.

As of March 31, 2023 and December 31, 2022, we had $8.9 billion and $6.6 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S.

Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $8.9 billion and $6.5 billion, respectively.

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.

As of March 31, 2023 and December 31, 2022, $ 2.3 billion and $ 1.5 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

We hedge a portion of our interest rate risk primarily utilizing interest rate swaps, interest rate swaptions, U.S.

For the periods presented, our interest rate based hedges primarily consisted of interest rate swaps, interest rate swaptions, U.S.

Treasury securities and U.S.

Treasury futures contracts.

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

securities market.

We also utilized forward contracts, primarily consisting of TBA securities, for the purchase and sale of investment securities.

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

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

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

Derivative and Other Hedging Instruments Balance Sheet Location September 30,

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2023 and December 31, 2022 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location March 31,

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 ( 115 ) ( 99 )

Treasury futures - short Derivative liabilities, at fair value ( 209 ) —

SOFR futures contracts - long Derivative liabilities, at fair value ( 2 ) —

Credit default swaps 1

8 unchanged sentences

________________________________

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

September 30, 2022 December 31, 2021

Pay Fixed / Receive Variable Interest Rate Swaps Notional

As of March 31, 2023 and December 31, 2022, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $ 3.7 billion and $ 4.5 billion, respectively.

As of March 31, 2023 and December 31, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 5 ) million and $( 2 ) million, respectively.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2023 and December 31, 2022 (dollars in millions):

Pay Fixed / Receive Variable Interest Rate Swaps March 31, 2023 December 31, 2022

Yeats to Maturity Notional

Amount Average

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> 5 to ≤ 7 years 4,975 0.46 % 4.86 % 6.0 5,625 0.85 % 4.30 % 6.1

> 7 to ≤ 10 years 5,550 2.52 % 4.87 % 9.1 3,650 1.60 % 4.31 % 8.4

> 10 years 350 3.33 % 4.87 % 14.9 500 3.54 % 4.30 % 10.0

Total $ 48,925 0.47 % 4.86 % 3.3 $ 47,825 0.37 % 4.31 % 3.2

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

December 31, 2021

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

SOFR 82 % 81 %

4 unchanged sentences

Months to Current Option

Expiration Date 1

Expiration Date Notional

Amount Average Fixed Pay

September 30, 2022

March 31, 2023

≤ 1 year $ 26 $ 67 10 $ 1,100 2.57 % 10.0

4 unchanged sentences

> 1 year ≤ 2 years 39 148 18 1,750 2.52 % 10.0

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

Total $ 65 $ 293 13 $ 3,050 2.32 % 9.8

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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.

Treasury Securities September 30, 2022 December 31, 2021

Maturity Face Amount Long/(Short) Cost Basis 1

Fair Value Face Amount Long/(Short) Cost Basis 1

5 years $ ( 830 ) $ ( 834 ) $ ( 786 ) $ ( 310 ) $ ( 306 ) $ ( 293 )

7 years ( 970 ) ( 970 ) ( 833 ) ( 1,218 ) ( 1,218 ) ( 1,206 )

Receive index references SOFR.

Treasury Securities 1

March 31, 2023 December 31, 2022

Years to Maturity Face Amount Long/(Short) Cost Basis Fair Value Face Amount Long/(Short) Cost Basis Fair Value

≤ 5 years $ 5,477 $ 5,509 $ 5,553 $ 356 $ 354 $ 353

> 5 year ≤ 7 years ( 1,279 ) ( 1,298 ) ( 1,093 ) ( 745 ) ( 747 ) ( 658 )

> 7 year ≤ 10 years ( 5,929 ) ( 5,717 ) ( 5,568 ) ( 5,532 ) ( 5,225 ) ( 4,823 )

> 10 years ( 1,095 ) ( 1,109 ) ( 1,119 ) ( 1,095 ) ( 1,048 ) ( 1,053 )

1 unchanged sentence

________________________________

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

As of March 31, 2023 and December 31, 2022, short U.S.

Treasury securities totaling $(8.9) billion and $(6.5) billion, at fair value, respectively, had a weighted average yield of 2.95 % and 2.80 %, respectively.

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

As of March 31, 2023 and December 31, 2022, long U.S.

Treasury securities totaling $ 6.6 billion and $ 0.4 billion, at fair value, respectively, had a weighted average yield of 3.78 % and 3.86 %, respectively.

Treasury Futures September 30, 2022 December 31, 2021

Maturity Notional

Treasury Futures March 31, 2023 December 31, 2022

Years to Maturity Notional

Long (Short) Cost

2 unchanged sentences

Value Net Carrying Value 1

5 years $ ( 1,082 ) $ ( 1,204 ) $ ( 1,163 ) $ 41 $ — $ — $ — $ —

> 5 year ≤ 7 years $ ( 4,554 ) $ ( 5,088 ) $ ( 5,234 ) $ ( 146 ) $ ( 7,498 ) $ ( 8,463 ) $ ( 8,420 ) $ 43

> 7 year ≤ 10 years ( 655 ) ( 768 ) ( 793 ) ( 25 ) ( 901 ) ( 1,070 ) ( 1,065 ) 5

> 10 years ( 691 ) ( 869 ) ( 907 ) ( 38 ) ( 814 ) ( 1,028 ) ( 1,020 ) 8

4 unchanged sentences

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

September 30, 2022 December 31, 2021

TBA Securities by Coupon 2

March 31, 2023 December 31, 2022

TBA Securities by Coupon Notional

Long (Short) Cost

4 unchanged sentences

≤ 2.5% ( 163 ) ( 143 ) ( 136 ) 7 737 626 619 ( 7 )

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

30-Year TBA securities:

3.0% - 4.0% 567 524 538 14 1,856 1,681 1,679 ( 2 )

9,992 10,004 9,993 ( 11 ) 16,457 16,100 16,276 176

12,907 12,986 12,383 ( 603 ) — — — —

Total 30-Year TBA securities, net 10,396 10,385 10,395 10 19,050 18,407 18,574 167

2 unchanged sentences

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

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

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 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.

As of March 31, 2023 and December 31, 2022, we had $ 425 million and $ 215 million, respectively, notional value of centrally cleared credit default swaps ("CDS") outstanding that reference the Markit CDX Investment Grade Index, maturing in June 2028 and June 2027, respectively.

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

As of March 31, 2023 and December 31, 2022, the CDS had a market value of $( 5 ) million and $( 2 ) million, respectively, and a net carrying value of zero dollars, respectively, net of variation margin settlements.

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.

As of March 31, 2023, we had $ 539 million notional value of 3-month SOFR futures contracts (long position) with maturities between September 2023 and March 2025, a market value of $ 515 million and net carrying value of $( 2 ) million.

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 nine months ended September 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 months ended March 31, 2023 and 2022 (in millions):

Derivative and Other Hedging Instruments Beginning

4 unchanged sentences

on Derivative Instruments and Other Securities, Net 1

Three months ended September 30, 2022:

Three months ended March 31, 2023:

TBA securities, net $ 19,050 60,147 ( 68,801 ) $ 10,396 $ 112

2 unchanged sentences

Payer swaptions $ 3,050 — ( 1,450 ) $ 1,600 ( 66 )

Receiver swaptions $ ( 150 ) — 150 $ — —

Treasury securities - short position $ ( 7,373 ) ( 2,949 ) 936 $ ( 9,386 ) ( 157 )

1 unchanged sentence

Treasury futures contracts - short position $ ( 9,213 ) ( 7,215 ) 10,528 $ ( 5,900 ) ( 235 )

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

Payer swaptions $ 11,450 3,000 ( 1,500 ) $ 12,950 28

Treasury securities - short position $ ( 10,893 ) ( 1,443 ) 3,498 $ ( 8,838 ) ( 11 )

Treasury securities - long position $ 397 4,098 ( 3,846 ) $ 649 ( 8 )

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

Nine months ended September 30, 2022:

SOFR futures contracts - long position $ — 539 — $ 539 ( 3 )

Three months ended March 31, 2022:

TBA securities, net $ 26,673 78,634 ( 85,700 ) $ 19,607 $ ( 1,234 )

3 unchanged sentences

Payer swaptions $ 13,000 1,500 ( 4,250 ) $ 10,250 363

Receiver swaptions $ — ( 150 ) 150 $ — —

Treasury securities - short position $ ( 9,590 ) ( 4,133 ) 2,861 $ ( 10,862 ) 605

1 unchanged sentence

Treasury futures contracts - short position $ ( 1,500 ) ( 6,870 ) 2,985 $ ( 5,385 ) 196

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

Payer swaptions $ 10,400 7,250 ( 4,700 ) $ 12,950 102

Treasury securities - short position $ ( 11,287 ) ( 9,289 ) 11,738 $ ( 8,838 ) 463

Treasury securities - long position $ — 6,749 ( 6,100 ) $ 649 ( 19 )

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

________________________________

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

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

Pledged Assets

14 unchanged sentences

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 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.

As of March 31, 2023, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 4 % of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables).

As of March 31, 2023, less than 8 % 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 September 30, 2022 and December 31, 2021 (in millions):

September 30, 2022

The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2023 and December 31, 2022 (in millions):

March 31, 2023

Assets Pledged to Counterparties 1

17 unchanged sentences

Treasury securities - fair value

1,084 — 208 1,292

Accrued interest on pledged securities

3 unchanged sentences

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

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 $ 48 million and $ 49 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2023 and December 31, 2022, 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 September 30, 2022 and December 31, 2021 (in millions).

The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of March 31, 2023 and December 31, 2022 (in millions).

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

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

9 unchanged sentences

________________________________

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.

Includes $ 48 million and $ 49 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2023 and December 31, 2022, respectively.

Excludes $ 11 million of repledged mortgage-backed securities received as collateral from counterparties as of March 31, 2023.

Assets Pledged from Counterparties

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

As of March 31, 2023 and December 31, 2022, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

March 31, 2023 December 31, 2022

Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total

4 unchanged sentences

________________________________

As of September 30, 2022 and December 31, 2021, amounts include $7.4 billion and $9.7 billion, respectively, of U.S.

As of March 31, 2023 and December 31, 2022, amounts include $8.9 billion and $6.5 billion, respectively, of U.S.

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

3 unchanged sentences

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

The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2023 and December 31, 2022 (in millions):

Offsetting of Financial and Derivative Assets

2 unchanged sentences

Financial Instruments Collateral Received 2

September 30, 2022

March 31, 2023

Interest rate swap and swaption agreements, at fair value 1

$ 104 $ — $ 104 $ — $ ( 104 ) $ —

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

125 — 125 ( 115 ) — 10

Receivable under reverse repurchase agreements 8,929 — 8,929 ( 8,760 ) ( 169 ) —

11 unchanged sentences

Financial Instruments Collateral Pledged 2

September 30, 2022

March 31, 2023

TBA securities, at fair value 1

3 unchanged sentences

December 31, 2022

TBA securities, at fair value 1

$ 99 $ — $ 99 $ ( 99 ) $ — $ —

Repurchase agreements 36,262 — 36,262 ( 4,007 ) ( 32,255 ) —

7 unchanged sentences

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 September 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 March 31, 2023 and December 31, 2022, 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.

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

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

11 unchanged sentences

— 104 — — 293 —

TBA and forward settling securities — — — — 27 —

TBA securities — 125 — — 266 —

Treasury futures

421 — — — — —

Total $ 6,642 $ 46,568 $ — $ 409 $ 41,465 $ —

3 unchanged sentences

Credit default swaps 1

TBA and forward settling securities — 1,214 — — 71 —

TBA securities — 115 — — 99 —

Treasury futures 209 — — — — —

SOFR Futures 2 — — — — —

Total $ 9,080 $ 207 $ — $ 6,534 $ 194 $ —

________________________________

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.

As of March 31, 2023 and December 31, 2022, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $ 3.7 billion and $ 4.5 billion, respectively, based on "Level 2" inputs.

See Notes 2 and 5 for additional details.

Excluded from the table above are financial instruments presented in our consolidated financial statements at cost.

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

Excluded from the table above are financial instruments reported at cost and other mortgage credit investments reported under the equity method of accounting in our consolidated financial statements.

As of March 31, 2023 and December 31, 2022, the fair value of our repurchase agreements approximated cost, 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.

We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs.

As of March 31, 2023 and December 31, 2022, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 25 million.

Net Income (Loss) Per Common Share

3 unchanged sentences

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 September 30, Nine Months Ended September 30,

2022 2021 2022 2021

Three Months Ended March 31,

Weighted average number of common shares issued and outstanding 577.6 522.6

6 unchanged sentences

Net income (loss) per common share - diluted $ ( 0.31 ) $ ( 1.29 )

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.

For the three months ended March 31, 2023 and 2022, 1.2 million and 1.4 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

1 unchanged sentence

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 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.

As of March 31, 2023 and December 31, 2022, 13,800 , 10,350 , 16,100 , 23,000 and 6,900 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, 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 7.75 % Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E, F and G Preferred Stock", respectively).

As of March 31, 2023 and December 31, 2022, 13,000 , 9,400 , 16,100 , 23,000 and 6,000 shares of Series C, D, E, F and G Preferred Stock, respectively, were issued and outstanding.

Each share of preferred stock is represented by 1,000 depositary shares.

5 unchanged sentences

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

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

The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2023 (dollars and shares in millions):

Cumulative Redeemable Preferred Stock 1

3 unchanged sentences

Liquidation Preference Per Annum Dividend

Rate First Optional

First Optional

Redemption Date / Conversion Date 3

10 unchanged sentences

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

The Series C per annum dividend rate represents the dividend rate in effect as of March 31, 2023.

This rate resets quarterly in accordance with the certificate of designations for such series.

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.

Commencing on July 15, 2023, the Series C will accrue at a floating rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 5.111%, per annum.

At the conclusion of the Series D, E, and F fixed rate period ("conversion date") the preferred stock dividend will accrue at a floating rate equal to a LIBOR replacement benchmark rate plus any benchmark spread adjustment determined in accordance with the Adjustable Interest Rate (LIBOR) Act, plus a spread of 4.332%, 4.993% and 4.697%, respectively, per annum.

At-the-Market Offering Program

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

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.

During the three months ended March 31, 2023, we sold 17.1 million shares of our common stock under the sales agreements for proceeds of $ 171 million, or $ 9.95 per common share, net of offering costs.

As of March 31, 2023, shares of our common stock with an aggregate offering price of $ 0.5 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 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.)

As of March 31, 2023, shares of our common stock with an aggregate repurchase price of $ 1 billion remained authorized for repurchase through December 31, 2024.

Accumulated Other Comprehensive Income (Loss)

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,

The following table summarizes changes to accumulated OCI for the three months ended March 31, 2023 and 2022 (in millions):

Three Months Ended March 31,

Accumulated Other Comprehensive Income (Loss) 2023 2022

1 unchanged sentence

OCI before reclassifications

( 372 ) 10 ( 1,132 ) ( 272 )

Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net 24 —

Ending Balance $ ( 530 ) $ ( 190 )

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