What changed in this filing

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Item 1. Financial Statements

2023-08-03 compared with 2023-05-08 · 185 added, 123 removed, 728 unchanged (30% of the section changed)

3 unchanged sentences

(in millions, except per share data)

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Agency securities, at fair value (including pledged securities of $ 41,185 and $ 35,800 , respectively)

10 unchanged sentences

Goodwill 526 526

Other assets 236 247

Other assets (including pledged securities of $ 298 and $0, respectively)

Total assets $ 60,518 $ 51,748

21 unchanged sentences

(in millions, except per share data)

Three Months Ended March 31,

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

2023 2022 2023 2022

Interest income:

5 unchanged sentences

Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 363 ) ( 987 ) 231 ( 3,519 )

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

Total other loss, net:

Gain on derivative instruments and other investments, net 996 1,204 452 3,000

Total other gain (loss), net:

378 ( 729 ) 347 ( 1,807 )

2 unchanged sentences

Total operating expense 23 20 45 41

Net loss ( 151 ) ( 651 )

Net income (loss) 286 ( 434 ) 135 ( 1,085 )

Dividends on preferred stock 31 25 61 50

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

Net loss $ ( 151 ) $ ( 651 )

Net income (loss) available (attributable) to common stockholders $ 255 $ ( 459 ) $ 74 $ ( 1,135 )

Net income (loss) $ 286 $ ( 434 ) $ 135 $ ( 1,085 )

Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net ( 65 ) ( 245 ) 77 ( 736 )

Comprehensive loss ( 9 ) ( 1,142 )

Comprehensive income (loss) 221 ( 679 ) 212 ( 1,821 )

Dividends on preferred stock

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

Comprehensive income (loss) available (attributable) to common stockholders $ 190 $ ( 704 ) $ 151 $ ( 1,871 )

Weighted average number of common shares outstanding - basic

598.8 526.2 589.1 525.3

Weighted average number of common shares outstanding - diluted

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

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

599.7 526.2 590.1 525.3

Net income (loss) per common share - basic $ 0.43 $ ( 0.87 ) $ 0.13 $ ( 2.16 )

Net income (loss) per common share - diluted $ 0.43 $ ( 0.87 ) $ 0.13 $ ( 2.16 )

Dividends declared per common share $ 0.36 $ 0.36 $ 0.72 $ 0.72

9 unchanged sentences

Shares Amount

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

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

— — — — ( 434 ) — ( 434 )

3 unchanged sentences

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

Issuance of common stock — 4.1 — 50 — — 50

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

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

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

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

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

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

— — — — 286 — 286

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

— — — — — ( 65 ) ( 65 )

Stock-based compensation, net — 0.1 — 4 — — 4

Issuance of common stock — 10.7 — 106 — — 106

Preferred dividends declared — — — — ( 31 ) — ( 31 )

Common dividends declared — — — — ( 214 ) — ( 214 )

Balance, June 30, 2023 $ 1,634 603.3 $ 6 $ 14,466 $ ( 7,633 ) $ ( 595 ) $ 7,878

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

Net loss — — — — ( 1,085 ) — ( 1,085 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 736 ) ( 736 )

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

Issuance of common stock — 4.1 — 50 — — 50

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

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

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

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

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

Net income — — — — 135 — 135

Other comprehensive income:

Unrealized gain on available-for-sale securities, net — — — — — 77 77

— — — — — 142 142

Stock-based compensation, net — 0.9 — 3 — — 3

2 unchanged sentences

Common dividends declared — — — — ( 423 ) — ( 423 )

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

Balance, June 30, 2023 $ 1,634 603.3 $ 6 $ 14,466 $ ( 7,633 ) $ ( 595 ) $ 7,878

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Three Months Ended

Six Months Ended

Operating activities:

Net loss $ ( 151 ) $ ( 651 )

Net income (loss) $ 135 $ ( 1,085 )

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

3 unchanged sentences

Unrealized (gain) loss on investment securities measured at fair value through net income, net ( 231 ) 3,519

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

Gain on derivative instruments and other securities, net ( 452 ) ( 3,000 )

(Increase) decrease in other assets ( 36 ) 21

Increase in other liabilities 45 30

Net cash provided by operating activities 26 371

Net cash (used in) provided by operating activities ( 35 ) 693

Investing activities:

9 unchanged sentences

Treasury securities 18,628 11,151

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

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

Net proceeds from (payments on) reverse repurchase agreements ( 1,156 ) 2,055

Net proceeds from derivative instruments 620 2,242

Net cash (used in) provided by investing activities ( 6,229 ) 4,691

174 unchanged sentences

Investment Securities

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.

As of June 30, 2023 and December 31, 2022, our investment portfolio consisted of $ 47.8 billion and $ 40.9 billion investment securities, at fair value, respectively, and $ 10.2 billion and $ 18.6 billion net TBA securities, at fair value, respectively.

Our TBA position is reported at its net carrying value totaling $( 92 ) million and $ 167 million as of June 30, 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).

As of June 30, 2023 and December 31, 2022, our investment securities had a net unamortized premium balance of $ 1.4 billion and $ 1.5 billion, respectively.

The following tables summarize our investment securities as of June 30, 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

As of June 30, 2023 and December 31, 2022, we had other mortgage credit investments of $ 28 million and $ 25 million, respectively, which we account for under the equity method of accounting.

June 30, 2023 December 31, 2022

Investment Securities Amortized

10 unchanged sentences

Total investment securities $ 51,406 $ 47,739 $ 44,880 $ 40,904

March 31, 2023

June 30, 2023

Agency RMBS Non-Agency 1

28 unchanged sentences

Total securities, at fair value $ 30,926 $ 15,744 $ 33 $ 43 $ 282 $ 711 $ 47,739

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 March 31, 2023 2

Weighted average coupon as of June 30, 2023

4.17 % 4.36 % 4.51 % 4.90 % 6.90 % 9.83 % 4.33 %

Weighted average yield as of June 30, 2023 2

3.60 % 3.89 % 4.85 % 4.65 % 6.48 % 8.76 % 3.78 %

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 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

Non-Agency amounts exclude other mortgage credit investments of $ 28 million and $ 25 million as of June 30, 2023 and December 31, 2022, respectively.

Incorporates a weighted average future constant prepayment rate assumption of 9.8 % and 7.4 % based on forward rates as of June 30, 2023 and December 31, 2022, respectively.

As of June 30, 2023 and December 31, 2022, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

June 30, 2023 December 31, 2022

CRT and Non-Agency Security Credit Ratings 1

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

RMBS excludes other mortgage credit investments of $ 28 million and $ 25 million as of June 30, 2023 and December 31, 2022, respectively.

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 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.

As of June 30, 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 9.8 % 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 March 31, 2023 and December 31, 2022 according to their estimated weighted average life classification (dollars in millions):

March 31, 2023 December 31, 2022

The following table summarizes our investments as of June 30, 2023 and December 31, 2022 according to their estimated weighted average life classification (dollars in millions):

June 30, 2023 December 31, 2022

Estimated Weighted Average Life of Investment Securities 1

11 unchanged sentences

________________________________

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):

Table excludes other mortgage credit investments of $ 28 million and $ 25 million as of June 30, 2023 and December 31, 2022, respectively.

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

March 31, 2023

June 30, 2023

$ 23 $ ( 1 ) $ 5,129 $ ( 594 ) $ 5,152 $ ( 595 )

2 unchanged sentences

Gains and Losses on Sale of Investment Securities

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

Three Months Ended March 31,

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2023 and 2022 by investment classification of accounting (in millions):

Three Months Ended June 30,

Investment Securities Available-for-Sale

8 unchanged sentences

Net gain (loss) on sale of investment securities $ ( 24 ) $ ( 231 ) $ ( 255 ) $ ( 24 ) $ ( 922 ) $ ( 946 )

Six Months Ended June 30,

Investment Securities Available-for-Sale

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ ( 418 ) $ ( 3,793 ) $ ( 4,211 ) $ ( 603 ) $ ( 15,457 ) $ ( 16,060 )

Proceeds from investment securities sold 1

370 3,505 3,875 579 14,193 14,772

Net gain (loss) on sale of investment securities $ ( 48 ) $ ( 288 ) $ ( 336 ) $ ( 24 ) $ ( 1,264 ) $ ( 1,288 )

Gross gain on sale of investment securities $ — $ 11 $ 11 $ 2 $ 4 $ 6

Gross loss on sale of investment securities ( 48 ) ( 299 ) ( 347 ) ( 26 ) ( 1,268 ) ( 1,294 )

Net gain (loss) on sale of investment securities $ ( 48 ) $ ( 288 ) $ ( 336 ) $ ( 24 ) $ ( 1,264 ) $ ( 1,288 )

________________________________

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

5 unchanged sentences

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

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

As of June 30, 2023, we had met all margin call requirements.

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

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.

As of June 30, 2023 and December 31, 2022, we had $ 42.0 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 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

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2023 and December 31, 2022 (dollars in millions):

June 30, 2023 December 31, 2022

Remaining Maturity Repurchase Agreements Weighted

10 unchanged sentences

Total $ 42,029 5.23 % 15 $ 36,262 4.31 % 22

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.

As of June 30, 2023 and December 31, 2022, $ 12.6 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 June 30, 2023, we had $ 11.7 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 5.19 %.

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 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.

As of June 30, 2023 and December 31, 2022, 47 % 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 43 % and 48 % of our repurchase agreement funding outstanding as of June 30, 2023 and December 31, 2022, respectively.

Reverse Repurchase Agreements

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.

As of June 30, 2023 and December 31, 2022, we had $8.0 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 $8.0 billion and $6.5 billion, respectively.

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.

As of June 30, 2023 and December 31, 2022, $ 2.7 billion and $ 1.5 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

5 unchanged sentences

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

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

Derivative and Other Hedging Instruments Balance Sheet Location March 31,

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of June 30, 2023 and December 31, 2022 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

Interest rate swaps 1

19 unchanged sentences

________________________________

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

As of June 30, 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 $ 5.1 billion and $ 4.5 billion, respectively.

As of June 30, 2023 and December 31, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 11 ) million and $( 2 ) million, respectively.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2023 and December 31, 2022 (dollars in millions):

Pay Fixed / Receive Variable Interest Rate Swaps June 30, 2023 1

December 31, 2022

Yeats to Maturity Notional

9 unchanged sentences

Total $ 47,726 0.55 % 5.08 % 3.1 $ 47,825 0.37 % 4.31 % 3.2

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

________________________________

June 30, 2023 amounts are net of $ 1 billion receive fixed interest rate swaps.

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

SOFR 81 % 81 %

6 unchanged sentences

Amount Average Fixed Pay

March 31, 2023

June 30, 2023

≤ 1 year $ 26 $ 86 7 $ 1,100 2.57 % 10.0

8 unchanged sentences

Treasury Securities 1

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

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

5 unchanged sentences

________________________________

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

As of June 30, 2023 and December 31, 2022, short U.S.

Treasury securities totaling $(8.0) billion and $(6.5) billion, at fair value, respectively, had a weighted average yield of 3.17 % and 2.80 %, respectively.

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

As of June 30, 2023 and December 31, 2022, long U.S.

Treasury securities totaling $ 1.5 billion and $ 0.4 billion, at fair value, respectively, had a weighted average yield of 3.72 % and 3.86 %, respectively.

Treasury Futures March 31, 2023 December 31, 2022

Treasury Futures June 30, 2023 December 31, 2022

Years to Maturity Notional

11 unchanged sentences

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

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

TBA Securities by Coupon Notional

5 unchanged sentences

$ 390 $ 389 $ 387 $ ( 2 ) $ — $ — $ — $ —

Total 15-Year TBA securities 390 389 387 ( 2 ) — — — —

30-Year TBA securities:

≤ 2.5% ( 251 ) ( 202 ) ( 200 ) 2 737 626 619 ( 7 )

3.0% - 4.0% 9 9 8 ( 1 ) 1,856 1,681 1,679 ( 2 )

10,141 10,124 10,033 ( 91 ) 16,457 16,100 16,276 176

Total 30-Year TBA securities, net 9,899 9,931 9,841 ( 90 ) 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.

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.

As of June 30, 2023, we had a two-year swap equivalent SOFR futures contract long notional position of $ 1,334 million, with a net carrying value of $( 19 ) million.

As of June 30, 2023 and December 31, 2022, we had $ 710 million and $ 215 million, respectively, notional value of centrally cleared credit default swaps ("CDS") outstanding that reference the Markit CDX Investment Grade or High Yield 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.

As of June 30, 2023 and December 31, 2022, the CDS had a market value of $( 11 ) million and $( 2 ) million, respectively, and a net carrying value of zero dollars, 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 months ended March 31, 2023 and 2022 (in millions):

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 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 March 31, 2023:

Three months ended June 30, 2023:

TBA securities, net $ 10,396 42,853 ( 42,960 ) $ 10,289 $ ( 136 )

Interest rate swaps - payer $ 48,925 476 ( 675 ) $ 48,726 860

Credit default swaps - CDX IG - buy protection $ ( 215 ) ( 710 ) 500 $ ( 425 ) ( 3 )

Interest rate swaps - receiver $ — ( 1,000 ) — $ ( 1,000 ) ( 3 )

Credit default swaps - buy protection $ ( 425 ) ( 285 ) — $ ( 710 ) ( 5 )

Payer swaptions $ 1,600 — — $ 1,600 26

2 unchanged sentences

Treasury futures contracts - short position $ ( 5,900 ) ( 5,900 ) 5,900 $ ( 5,900 ) 212

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

Three months ended March 31, 2022:

Two-year swap equivalent SOFR futures contracts - long position $ 272 1,062 — $ 1,334 ( 16 )

Three months ended June 30, 2022:

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

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

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

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

Receiver Swpations $ — ( 150 ) — $ ( 150 ) —

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

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

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

Six months ended June 30, 2023:

TBA securities, net $ 19,050 103,000 ( 111,761 ) $ 10,289 $ ( 24 )

Interest rate swaps - payer $ 47,825 3,476 ( 2,575 ) $ 48,726 625

Interest rate swaps - receiver $ — ( 1,000 ) — $ ( 1,000 ) ( 3 )

Credit default swaps - buy protection $ ( 215 ) ( 995 ) 500 $ ( 710 ) ( 8 )

Payer swaptions $ 3,050 — ( 1,450 ) $ 1,600 ( 40 )

Treasury securities - short position $ ( 7,373 ) ( 9,802 ) 8,548 $ ( 8,627 ) 77

Treasury securities - long position $ 357 10,287 ( 9,101 ) $ 1,543 ( 55 )

Treasury futures contracts - short position $ ( 9,213 ) ( 13,115 ) 16,428 $ ( 5,900 ) ( 23 )

Two-year swap equivalent SOFR futures contracts - long position $ — 1,334 — $ 1,334 ( 19 )

Six months ended June 30, 2022:

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

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

Interest rate swaps - payer $ 51,225 2,970 ( 4,260 ) $ 49,935 2,771

Credit default swaps - CDX IG - buy protection $ — ( 5,470 ) 2,860 $ ( 2,610 ) —

Credit default swaps - buy protection $ — ( 5,470 ) 5,255 $ ( 215 ) 21

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

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

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

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

As of 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.

As of June 30, 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 June 30, 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 March 31, 2023 and December 31, 2022 (in millions):

March 31, 2023

June 30, 2023

Assets Pledged to Counterparties 1

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

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 $ 45 million and $ 49 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 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 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 .

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

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________________________________

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.

Includes $ 45 million and $ 49 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2023 and December 31, 2022, respectively.

Excludes $ 2 million of repledged mortgage-backed securities received as collateral from counterparties as of June 30, 2023.

Assets Pledged from Counterparties

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

As of June 30, 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).

June 30, 2023 December 31, 2022

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

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________________________________

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

As of June 30, 2023 and December 31, 2022, amounts include $8.0 billion and $6.5 billion, respectively, of U.S.

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

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We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets.

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

Offsetting of Financial and Derivative Assets

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Financial Instruments Collateral Received 2

March 31, 2023

June 30, 2023

Interest rate swap and swaption agreements, at fair value 1

$ 132 $ — $ 132 $ — $ ( 131 ) $ 1

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

TBA securities, at fair value 1

5 — 5 ( 5 ) — —

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Financial Instruments Collateral Pledged 2

March 31, 2023

June 30, 2023

TBA securities, at fair value 1

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Fair Value Measurements

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2023 and December 31, 2022, based on their categorization within the valuation hierarchy (in millions).

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

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

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

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Treasury futures

97 — — 56 — —

Total $ 1,620 $ 47,876 $ — $ 409 $ 41,465 $ —

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________________________________

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.

As of June 30, 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 $ 5.1 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 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.

As of June 30, 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.

As of June 30, 2023 and December 31, 2022, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 28 million and $ 25 million, respectively.

Net Income (Loss) Per Common Share

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The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated (shares and dollars in millions):

Three Months Ended March 31,

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

2023 2022 2023 2022

Weighted average number of common shares issued and outstanding 597.1 524.7 587.4 523.7

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Net income (loss) per common share - diluted $ 0.43 $ ( 0.87 ) $ 0.13 $ ( 2.16 )

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.

For the three and six months ended June 30, 2022, 0.9 million and 1.1 million, respectively, of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.

Stockholders' Equity

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

As of 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.

As of June 30, 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 June 30, 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.

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

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

The following table includes a summary of preferred stock depositary shares issued and outstanding as of June 30, 2023 (dollars and shares in millions):

Cumulative Redeemable Preferred Stock 1

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Fixed-to-Floating Rate:

Series C August 22, 2017 13.0 $ 315 $ 325 9.941 % October 15, 2022 3M LIBOR + 5.111 %

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

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

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

Series C August 22, 2017 13.0 $ 315 $ 325 10.371 % October 15, 2022

Series D March 6, 2019 9.4 227 235 6.875 % April 15, 2024

Series E October 3, 2019 16.1 390 403 6.500 % October 15, 2024

Series F February 11, 2020 23.0 557 575 6.125 % April 15, 2025

Fixed-Rate Reset:

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

Series G September 14, 2022 6.0 145 150 7.750 % October 15, 2027

Total 67.5 $ 1,634 $ 1,688

________________________________

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

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

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

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.

The Series C per annum dividend rate represents the dividend rate in effect as of June 30, 2023.

The Series C dividend accrues at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 5.111 %, per annum, resetting quarterly in accordance with the certificate of designations for such series and the Adjustable Interest Rate (LIBOR) Act of 2021 (the “LIBOR Act”).

At the conclusion of the fixed rate period (the conversion date) for each of the Series D, E, and F Preferred Stock, the dividend for such series

will accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 4.332 %, 4.993 % and 4.697 %, respectively, per annum, resetting quarterly in accordance with the certificate of designations for such series and the LIBOR Act.

At the conclusion of the fixed rate period for the Series G Preferred Stock, the dividend will accrue at a floating rate equal to the 5-Year US Treasury rate, plus a spread of 4.39 %, per annum and will reset 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 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.

During the three and six months ended June 30, 2023, we sold 10.7 million and 27.8 million shares, respectively, of our common stock under the sales agreements for proceeds of $ 106 million and $ 277 million, respectively, or $ 9.86 and $ 9.92 per common share, respectively, net of offering costs.

As of June 30, 2023, shares of our common stock with an aggregate offering price of $ 0.4 billion remained authorized for issuance under this program through June 11, 2024.

Common Stock Repurchase Program

We are authorized by our Board of Directors to repurchase shares of our common stock in open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the "Exchange Act").

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

As of June 30, 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 months ended March 31, 2023 and 2022 (in millions):

Three Months Ended March 31,

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2023 and 2022 (in millions):

Three Months Ended

Six Months Ended

Accumulated Other Comprehensive Income (Loss) 2023 2022 2023 2022

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OCI before reclassifications

( 89 ) ( 269 ) 29 ( 760 )

Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net 24 24 48 24

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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-Q

Item 1. Financial Statements