AGNC Investment Corp. 10-Q

Item 1. Financial Statements AGNC INVESTMENT CORP. CONSOLIDATED BALANCE SHEETS (in millions, except per share data) September 30, 2023 December 31, 2022 (Unaudited) Assets: Agency securities, at fair value (including pledged securities of $ 52,250 and $ 35,800 , respectively) $ 55,758 $ 39,346 Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) 120 144 Credit risk transfer securities, at fair value (including pledged securities of $ 709 and $ 703 , respectively) 736 757 Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $ 253 and $ 605 , respectively) 353 682 U.S. Treasury securities, at fair value (including pledged securities of $ 246 and $ 353 , respectively) 246 353 Cash and cash equivalents 493 1,018 Restricted cash 1,389 1,316 Derivative assets, at fair value 413 617 Receivable for investment securities sold (including pledged securities of $ 273 and $ 119 , respectively) 311 120 Receivable under reverse repurchase agreements 8,900 6,622 Goodwill 526 526 Other assets 746 247 Total assets $ 69,991 $ 51,748 Liabilities: Repurchase agreements $ 52,107 $ 36,262 Debt of consolidated variable interest entities, at fair value 80 95 Payable for investment securities purchased 701 302 Derivative liabilities, at fair value 80 99 Dividends payable 109 100 Obligation to return securities borrowed under reverse repurchase agreements, at fair value 9,022 6,534 Other liabilities 442 486 Total liabilities 62,541 43,878 Stockholders' equity: Preferred Stock - aggregate liquidation preference of $ 1,688 1,634 1,634 Common stock - $ 0.01 par value; 1,500 shares authorized; 648.0 and 574.6 shares issued and outstanding, respectively 6 6 Additional paid-in capital 14,901 14,186 Retained deficit ( 8,283 ) ( 7,284 ) Accumulated other comprehensive income (loss) ( 808 ) ( 672 ) Total stockholders' equity 7,450 7,870 Total liabilities and stockholders' equity $ 69,991 $ 51,748 See accompanying notes to consolidated financial statements. 2 AGNC INVESTMENT CORP. CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) (in millions, except per share data) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Interest income: Interest income $ 593 $ 373 $ 1,401 $ 1,243 Interest expense 646 196 1,621 303 Net interest income ( 53 ) 177 ( 220 ) 940 Other gain (loss), net: Loss on sale of investment securities, net ( 534 ) ( 560 ) ( 870 ) ( 1,848 ) Unrealized loss on investment securities measured at fair value through net income, net ( 1,356 ) ( 1,738 ) ( 1,125 ) ( 5,257 ) Gain on derivative instruments and other investments, net 1,574 1,474 2,026 4,474 Total other gain (loss), net: ( 316 ) ( 824 ) 31 ( 2,631 ) Expenses: Compensation and benefits 14 11 42 36 Other operating expense 9 8 26 24 Total operating expense 23 19 68 60 Net loss ( 392 ) ( 666 ) ( 257 ) ( 1,751 ) Dividends on preferred stock 31 26 92 76 Net income (loss) available (attributable) to common stockholders $ ( 423 ) $ ( 692 ) $ ( 349 ) $ ( 1,827 ) Net loss $ ( 392 ) $ ( 666 ) $ ( 257 ) $ ( 1,751 ) Unrealized loss on investment securities measured at fair value through other comprehensive loss, net ( 213 ) ( 372 ) ( 136 ) ( 1,108 ) Comprehensive loss ( 605 ) ( 1,038 ) ( 393 ) ( 2,859 ) Dividends on preferred stock 31 26 92 76 Comprehensive loss attributable to common stockholders $ ( 636 ) $ ( 1,064 ) $ ( 485 ) $ ( 2,935 ) Weighted average number of common shares outstanding - basic 622.0 528.7 600.2 526.4 Weighted average number of common shares outstanding - diluted 622.0 528.7 600.2 526.4 Net income (loss) per common share - basic $ ( 0.68 ) $ ( 1.31 ) $ ( 0.58 ) $ ( 3.47 ) Net income (loss) per common share - diluted $ ( 0.68 ) $ ( 1.31 ) $ ( 0.58 ) $ ( 3.47 ) Dividends declared per common share $ 0.36 $ 0.36 $ 1.08 $ 1.08 See accompanying notes to consolidated financial statements. 3 AGNC INVESTMENT CORP. CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) (in millions) Preferred Stock Common Stock Additional Paid-in Capital Retained Deficit Accumulated Other Comprehensive Income (Loss) Total Shares Amount 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 — 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, June 30, 2023 $ 1,634 603.3 $ 6 $ 14,466 $ ( 7,633 ) $ ( 595 ) $ 7,878 Net loss — — — — ( 392 ) — ( 392 ) Other comprehensive loss: Unrealized loss on available-for-sale securities, net — — — — — ( 213 ) ( 213 ) Stock-based compensation, net — — — 3 — — 3 Issuance of common stock — 44.7 — 432 — — 432 Preferred dividends declared — — — — ( 31 ) — ( 31 ) Common dividends declared — — — — ( 227 ) — ( 227 ) Balance, September 30, 2023 $ 1,634 648.0 $ 6 $ 14,901 $ ( 8,283 ) $ ( 808 ) $ 7,450 Balance, December 31, 2021 $ 1,489 522.2 $ 5 $ 13,710 $ ( 5,214 ) $ 301 $ 10,291 Net loss — — — — ( 1,751 ) — ( 1,751 ) Other comprehensive loss: Unrealized loss on available-for-sale securities, net — — — — — ( 1,108 ) ( 1,108 ) Stock-based compensation, net — 1.1 — 2 — — 2 Issuance of preferred stock 145 — — — — — 145 Issuance of common stock — 32.7 1 338 — — 339 Repurchase of common stock — ( 4.7 ) — ( 51 ) — — ( 51 ) Preferred dividends declared — — — — ( 76 ) — ( 76 ) Common dividends declared — — — — ( 569 ) — ( 569 ) Balance, September 30, 2022 $ 1,634 551.3 $ 6 $ 13,999 $ ( 7,610 ) $ ( 807 ) $ 7,222 Balance, December 31, 2022 $ 1,634 574.6 $ 6 $ 14,186 $ ( 7,284 ) $ ( 672 ) $ 7,870 Net loss — — — — ( 257 ) — ( 257 ) Other comprehensive loss: Unrealized loss on available-for-sale securities, net — — — — — ( 136 ) ( 136 ) Stock-based compensation, net — 0.9 — 6 — — 6 Issuance of common stock — 72.5 — 709 — — 709 Preferred dividends declared — — — — ( 92 ) — ( 92 ) Common dividends declared — — — — ( 650 ) — ( 650 ) Balance, September 30, 2023 $ 1,634 648.0 $ 6 $ 14,901 $ ( 8,283 ) $ ( 808 ) $ 7,450 See accompanying notes to consolidated financial statements. 4 AGNC INVESTMENT CORP. CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) (in millions) Nine Months Ended September 30, 2023 2022 Operating activities: Net loss $ ( 257 ) $ ( 1,751 ) Adjustments to reconcile net income (loss) to net cash provided by operating activities: Amortization of premiums and discounts on mortgage-backed securities, net 185 ( 42 ) Stock-based compensation, net 6 2 Loss on sale of investment securities, net 870 1,848 Unrealized loss on investment securities measured at fair value through net income, net 1,125 5,257 Gain on derivative instruments and other securities, net ( 2,026 ) ( 4,474 ) Increase in other assets ( 75 ) ( 59 ) Increase in other liabilities 85 138 Net cash (used in) provided by operating activities ( 87 ) 919 Investing activities: Purchases of Agency mortgage-backed securities ( 27,386 ) ( 20,847 ) Purchases of credit risk transfer and non-Agency securities and other mortgage credit investments ( 299 ) ( 1,132 ) Proceeds from sale of Agency mortgage-backed securities 5,675 18,100 Proceeds from sale of credit risk transfer and non-Agency securities 650 841 Principal collections on Agency mortgage-backed securities 3,158 5,514 Principal collections on credit risk transfer and non-Agency securities 56 186 Payments on U.S. Treasury securities ( 24,576 ) ( 17,946 ) Proceeds from U.S. Treasury securities 26,973 16,584 Net proceeds from (payments on) reverse repurchase agreements ( 1,938 ) 2,966 Net proceeds from derivative instruments 1,515 3,754 Net cash (used in) provided by investing activities ( 16,172 ) 8,020 Financing activities: Proceeds from repurchase arrangements 2,590,724 1,749,235 Payments on repurchase agreements ( 2,574,879 ) ( 1,756,310 ) Payments on debt of consolidated variable interest entities ( 14 ) ( 19 ) Net proceeds from preferred stock issuances — 145 Net proceeds from common stock issuances 709 339 Payments for common stock repurchases — ( 51 ) Cash dividends paid ( 733 ) ( 641 ) Net cash provided by (used in) financing activities 15,807 ( 7,302 ) Net change in cash, cash equivalents and restricted cash ( 452 ) 1,637 Cash, cash equivalents and restricted cash at beginning of period 2,334 1,525 Cash, cash equivalents and restricted cash at end of period $ 1,882 $ 3,162 See accompanying notes to consolidated financial statements. 5 AGNC INVESTMENT CORP. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) Note 1. Organization AGNC Investment Corp. (referred throughout this report as the "Company," "we," "us" and "our") was organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC." We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency residential mortgage-backed securities ("Agency RMBS") for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise ("GSE") or a U.S. Government agency. We also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency, and other assets related to the housing, mortgage or real estate markets. We fund our investments primarily through collateralized borrowings structured as repurchase agreements. We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code"). As a REIT, we are required to distribute annually 90 % of our taxable income, and we will generally not be subject to U.S. federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100 % of our taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year. We are internally managed with the principal objective of providing our stockholders with favorable long-term returns on a risk-adjusted basis through attractive monthly dividends. We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities. Note 2. Summary of Significant Accounting Policies Basis of Presentation Our accompanying consolidated financial statements and related notes have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2022. The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of consolidated financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year. Investment Securities Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae"). CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans. 6 Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, over-collateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS. All of our securities are reported at fair value on our consolidated balance sheet. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for securities pursuant to ASC Topic 825, Financial Instruments . Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"), whereas unrealized gains and losses on securities for which we elected the fair value option, or are classified as trading, are reported in net income through other gain (loss). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments. We generally recognize gains or losses through net income on available-for-sale securities only if the security is sold; however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair value in net income as a component of other gain (loss). Since all of our available-for-sale designated securities consist of Agency RMBS, we do not have an allowance for credit losses. We have not recognized impairment losses on our available-for-sale securities through net income for the periods presented in our consolidated financial statements. Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments, using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, primary to secondary mortgage rate spreads, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. 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 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. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date through the reporting date. At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates, collateral call provisions, and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment adjusted for credit impairments, if any. Repurchase Agreements 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 7 future date. 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. Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase agreements as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year. Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less. Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS. We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. Interest rate swap agreements We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the Secured Overnight Financing Rate ("SOFR") and Overnight Index Swap Rate ("OIS"). Our interest rate swaps typically have terms from one to 10 years. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange. The initial margin amount is intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability. Interest rate swaptions We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our interest rate swaption agreements are not subject to central clearing. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium 8 paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent of interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. U.S. Treasury securities and US Treasury futures contracts We use U.S. 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 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. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Fair Value Measurements We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date. We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: • Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date. • Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated. The majority of our financial instruments are classified as Level 2 inputs. 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, 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. We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities and for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation procedures and our market knowledge and expertise that the price is significantly different from what observable market data 9 would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price. The following is a description of the valuation methodologies used for financial instruments measured at fair value on a recurring basis classified as Level 2 inputs. These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of these markets and the similarity of our instruments to those actively traded enable our pricing sources and us to utilize the observed quoted prices as a basis for formulating fair value measurements. Investment securities - are valued based on prices obtained from multiple third-party pricing sources. The pricing sources utilize various valuation approaches, including market and income approaches. For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities. TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity. Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve. Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any. U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs. Recent Accounting Pronouncements We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption. Note 3. Investment Securities As of September 30, 2023 and December 31, 2022, our investment portfolio consisted of $56.9 billion and $40.9 billion investment securities, at fair value, respectively, $ 2.4 billion and $ 18.6 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 45 million and $ 25 million, respectively, which we account for under the equity method of accounting. Our TBA position is reported at its net carrying value totaling $( 31 ) million and $ 167 million as of September 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 September 30, 2023 and December 31, 2022, our investment securities had a net unamortized premium balance of $ 1.1 billion and $ 1.5 billion, respectively. 10 The following tables summarize our investment securities as of September 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. September 30, 2023 December 31, 2022 Investment Securities Amortized Cost Fair Value Amortized Cost Fair Value Agency RMBS: Fixed rate $ 60,601 $ 55,408 $ 43,046 $ 39,169 Adjustable rate 298 288 126 122 CMO 133 123 136 129 Interest-only and principal-only strips 70 59 77 70 Total Agency RMBS 61,102 55,878 43,385 39,490 Non-Agency RMBS 1 54 40 111 90 CMBS 298 268 605 567 CRT securities 702 736 779 757 Total investment securities $ 62,156 $ 56,922 $ 44,880 $ 40,904 September 30, 2023 Agency RMBS Non-Agency 1 Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 4,066 $ 1,224 $ 1 $ — $ — $ — $ 5,291 Unamortized discount ( 1 ) — — — — — ( 1 ) Unamortized premium 223 71 — — — — 294 Amortized cost 4,288 1,295 1 — — — 5,584 Gross unrealized gains — — — — — — — Gross unrealized losses ( 616 ) ( 192 ) — — — — ( 808 ) Total available-for-sale securities, at fair value 3,672 1,103 1 — — — 4,776 Securities remeasured at fair value through earnings: Par value 34,333 20,318 33 56 304 699 55,743 Unamortized discount ( 212 ) ( 100 ) ( 1 ) ( 3 ) ( 7 ) ( 9 ) ( 332 ) Unamortized premium 769 378 — 1 1 12 1,161 Amortized cost 34,890 20,596 32 54 298 702 56,572 Gross unrealized gains 1 1 — — 2 35 39 Gross unrealized losses ( 2,900 ) ( 1,516 ) ( 2 ) ( 14 ) ( 32 ) ( 1 ) ( 4,465 ) Total securities remeasured at fair value through earnings 31,991 19,081 30 40 268 736 52,146 Total securities, at fair value $ 35,663 $ 20,184 $ 31 $ 40 $ 268 $ 736 $ 56,922 Weighted average coupon as of September 30, 2023 4.58 % 4.77 % 4.51 % 4.87 % 7.03 % 10.28 % 4.73 % Weighted average yield as of September 30, 2023 2 4.20 % 4.47 % 4.83 % 4.68 % 7.12 % 9.58 % 4.37 % 11 December 31, 2022 Agency RMBS Non-Agency 1 Investment Securities Fannie Mae Freddie Mac Ginnie Mae RMBS CMBS CRT Total Available-for-sale securities: Par value $ 4,696 $ 1,535 $ 1 $ — $ — $ — $ 6,232 Unamortized discount ( 1 ) — — — — — ( 1 ) Unamortized premium 275 93 — — — — 368 Amortized cost 4,970 1,628 1 — — — 6,599 Gross unrealized gains — — — — — — — Gross unrealized losses ( 500 ) ( 172 ) — — — — ( 672 ) Total available-for-sale securities, at fair value 4,470 1,456 1 — — — 5,927 Securities remeasured at fair value through earnings: Par value 24,231 11,444 2 112 609 773 37,171 Unamortized discount ( 61 ) ( 37 ) — ( 4 ) ( 8 ) ( 6 ) ( 116 ) Unamortized premium 855 352 — 3 4 12 1,226 Amortized cost 25,025 11,759 2 111 605 779 38,281 Gross unrealized gains 13 8 — — — 8 29 Gross unrealized losses ( 2,307 ) ( 937 ) — ( 21 ) ( 38 ) ( 30 ) ( 3,333 ) Total securities remeasured at fair value through earnings 22,731 10,830 2 90 567 757 34,977 Total securities, at fair value $ 27,201 $ 12,286 $ 3 $ 90 $ 567 $ 757 $ 40,904 Weighted average coupon as of December 31, 2022 3.79 % 3.92 % 4.66 % 4.52 % 6.06 % 8.48 % 3.94 % Weighted average yield as of December 31, 2022 2 3.17 % 3.41 % 2.58 % 4.34 % 6.02 % 7.93 % 3.37 % ________________________________ 1. Non-Agency amounts exclude other mortgage credit investments of $ 45 million and $ 25 million as of September 30, 2023 and December 31, 2022, respectively. 2. Incorporates a weighted average future constant prepayment rate assumption of 8.3 % and 7.4 % based on forward rates as of September 30, 2023 and December 31, 2022, respectively. As of September 30, 2023 and December 31, 2022, our investments in CRT and non-Agency securities had the following credit ratings (in millions): September 30, 2023 December 31, 2022 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS 2 CMBS CRT RMBS 2 CMBS AAA $ — $ — $ 9 $ — $ 9 $ 184 AA — 2 32 2 3 117 A 10 4 34 16 13 38 BBB 92 16 48 91 40 65 BB 236 7 78 299 13 91 B 31 2 49 72 2 58 Not Rated 367 9 18 277 10 14 Total $ 736 $ 40 $ 268 $ 757 $ 90 $ 567 ________________________________ 1. 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. 2. RMBS excludes other mortgage credit investments of $ 45 million and $ 25 million as of September 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. The actual maturities of our investment securities are generally shorter than their stated contractual maturities. The actual maturities of our Agency and high credit quality non-Agency RMBS are primarily affected by principal prepayments and to a lesser degree the contractual lives of the underlying mortgages and periodic contractual principal repayments. 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, 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 8.3 % 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, 2023 and December 31, 2022 according to their estimated weighted average life classification (dollars in millions): 12 September 30, 2023 December 31, 2022 Estimated Weighted Average Life of Investment Securities 1 Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield ≤ 3 years $ 451 $ 481 6.20 % 5.75 % $ 512 $ 537 5.19 % 4.66 % > 3 years and ≤ 5 years 1,710 1,835 4.97 % 4.16 % 2,643 2,824 4.57 % 3.79 % > 5 years and ≤10 years 49,139 53,782 4.70 % 4.32 % 30,958 33,985 3.96 % 3.30 % > 10 years 5,622 6,058 4.81 % 4.76 % 6,791 7,534 3.56 % 3.43 % Total $ 56,922 $ 62,156 4.73 % 4.37 % $ 40,904 $ 44,880 3.94 % 3.37 % ________________________________ 1. Table excludes other mortgage credit investments of $ 45 million and $ 25 million as of September 30, 2023 and December 31, 2022, respectively. 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, 2023 and December 31, 2022 (in millions): Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss September 30, 2023 $ — $ — $ 4,755 $ ( 808 ) $ 4,755 $ ( 808 ) December 31, 2022 $ 5,846 $ ( 665 ) $ 52 $ ( 7 ) $ 5,898 $ ( 672 ) 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, 2023 and 2022 by investment classification of accounting (in millions): Three Months Ended September 30, 2023 2022 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ — $ ( 3,175 ) $ ( 3,175 ) $ 3 $ ( 5,901 ) $ ( 5,898 ) Proceeds from investment securities sold 1 — 2,641 2,641 ( 3 ) 5,341 5,338 Net gain (loss) on sale of investment securities $ — $ ( 534 ) $ ( 534 ) $ — $ ( 560 ) $ ( 560 ) Gross gain on sale of investment securities $ — $ 4 $ 4 $ — $ 4 $ 4 Gross loss on sale of investment securities — ( 538 ) ( 538 ) — ( 564 ) ( 564 ) Net gain (loss) on sale of investment securities $ — $ ( 534 ) $ ( 534 ) $ — $ ( 560 ) $ ( 560 ) Nine Months Ended September 30, 2023 2022 Investment Securities Available-for-Sale Securities 2 Fair Value Option Securities Total Available-for-Sale Securities 2 Fair Value Option Securities Total Investment securities sold, at cost $ ( 418 ) $ ( 6,968 ) $ ( 7,386 ) $ ( 600 ) $ ( 21,358 ) $ ( 21,958 ) Proceeds from investment securities sold 1 370 6,146 6,516 576 19,534 20,110 Net gain (loss) on sale of investment securities $ ( 48 ) $ ( 822 ) $ ( 870 ) $ ( 24 ) $ ( 1,824 ) $ ( 1,848 ) Gross gain on sale of investment securities $ — $ 15 $ 15 $ 2 $ 8 $ 10 Gross loss on sale of investment securities ( 48 ) ( 837 ) ( 885 ) ( 26 ) ( 1,832 ) ( 1,858 ) Net gain (loss) on sale of investment securities $ ( 48 ) $ ( 822 ) $ ( 870 ) $ ( 24 ) $ ( 1,824 ) $ ( 1,848 ) ________________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. 2. See Note 9 for a summary of changes in accumulated OCI. 13 Note 4. Repurchase Agreements and Reverse Repurchase Agreements Repurchase Agreements We pledge our securities as collateral under our borrowings structured as repurchase agreements with financial institutions. Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. 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, 2023, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6. As of September 30, 2023 and December 31, 2022, we had $ 52.1 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. The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of September 30, 2023 and December 31, 2022 (dollars in millions): September 30, 2023 December 31, 2022 Remaining Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Investment securities repo ≤ 1 month $ 43,439 5.46 % 11 $ 26,712 4.42 % 12 > 1 to ≤ 3 months 8,211 5.50 % 42 7,762 4.48 % 38 > 3 to ≤ 6 months 201 5.32 % 142 1,433 1.42 % 141 Investment securities repo 51,851 5.47 % 16 35,907 4.31 % 23 U.S. Treasury repo: ≤ 1 month 256 5.41 % 2 355 4.37 % 3 Total $ 52,107 5.47 % 16 $ 36,262 4.31 % 22 As of September 30, 2023 and December 31, 2022, $ 17.4 billion and $ 9.6 billion, respectively, of our investment securities 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 September 30, 2023, we had $ 13.6 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 5.42 %. 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, 2023 and December 31, 2022, 46 % 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 September 30, 2023 and December 31, 2022, respectively. Reverse Repurchase Agreements As of September 30, 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 $9.0 billion and $6.5 billion, respectively. As of September 30, 2023 and December 31, 2022, $ 3.0 billion and $ 1.5 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES. Note 5. Derivative and Other Hedging Instruments 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 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. 14 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, 2023 and December 31, 2022 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location September 30, 2023 December 31, 2022 Interest rate swaps 1 Derivative assets, at fair value $ — $ 2 Swaptions Derivative assets, at fair value 174 293 TBA and forward settling non-Agency securities Derivative assets, at fair value 24 266 U.S. Treasury futures - short Derivative assets, at fair value 215 56 Total derivative assets, at fair value $ 413 $ 617 Interest rate swaps 1 Derivative liabilities, at fair value $ — $ — TBA and forward settling non-Agency securities Derivative liabilities, at fair value ( 55 ) ( 99 ) SOFR futures contracts - long Derivative liabilities, at fair value ( 25 ) — Credit default swaps 1 Derivative liabilities, at fair value — — Total derivative liabilities, at fair value $ ( 80 ) $ ( 99 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 246 $ 353 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value ( 9,022 ) ( 6,534 ) Total U.S. Treasury securities, net at fair value $ ( 8,776 ) $ ( 6,181 ) ________________________________ 1. As of September 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 $ 4.2 billion and $ 4.5 billion, respectively. As of September 30, 2023 and December 31, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 2 ) million and $( 2 ) million, respectively. The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of September 30, 2023 and December 31, 2022 (dollars in millions): Pay Fixed / Receive Variable Interest Rate Swaps September 30, 2023 1 December 31, 2022 Years to Maturity Notional Amount Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) Notional Amount Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) ≤ 1 years $ 13,750 0.14 % 5.31 % 0.7 $ 5,250 0.03 % 4.30 % 0.7 > 1 to ≤ 3 years 14,300 0.48 % 5.28 % 2.2 22,250 0.14 % 4.31 % 1.9 > 3 to ≤ 5 years 6,300 0.24 % 5.31 % 4.1 10,550 0.22 % 4.31 % 3.8 > 5 to ≤ 7 years 3,650 0.69 % 5.31 % 6.4 5,625 0.85 % 4.30 % 6.1 > 7 to ≤ 10 years 5,546 3.22 % 5.31 % 9.4 3,650 1.60 % 4.31 % 8.4 > 10 years 850 3.12 % 5.31 % 13.2 500 3.54 % 4.30 % 10.0 Total $ 44,396 0.74 % 5.30 % 3.5 $ 47,825 0.37 % 4.31 % 3.2 ________________________________ 1. September 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) September 30, 2023 December 31, 2022 SOFR 80 % 81 % OIS 20 % 19 % Total 100 % 100 % 15 Payer Swaptions Option Underlying Payer Swap Current Option Expiration Date Cost Basis Fair Value Average Months to Current Option Expiration Date Notional Amount Average Fixed Pay Rate 1 Average Term (Years) September 30, 2023 ≤ 1 year $ 30 $ 174 7 $ 1,350 2.57 % 10.0 Total $ 30 $ 174 7 $ 1,350 2.57 % 10.0 December 31, 2022 ≤ 1 year $ 26 $ 145 6 $ 1,300 2.04 % 9.4 > 1 year ≤ 2 years 39 148 18 1,750 2.52 % 10.0 Total $ 65 $ 293 13 $ 3,050 2.32 % 9.8 ________________________________ 1. Receive index references SOFR. U.S. Treasury Securities 1 September 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 years $ ( 845 ) $ ( 839 ) $ ( 819 ) $ 356 $ 354 $ 353 > 5 year ≤ 7 years ( 818 ) ( 821 ) ( 667 ) ( 745 ) ( 747 ) ( 658 ) > 7 year ≤ 10 years ( 7,181 ) ( 6,904 ) ( 6,329 ) ( 5,532 ) ( 5,225 ) ( 4,823 ) > 10 years ( 1,030 ) ( 1,013 ) ( 961 ) ( 1,095 ) ( 1,048 ) ( 1,053 ) Total U.S. Treasury securities $ ( 9,874 ) $ ( 9,577 ) $ ( 8,776 ) $ ( 7,016 ) $ ( 6,666 ) $ ( 6,181 ) ________________________________ 1. As of September 30, 2023 and December 31, 2022, short U.S. Treasury securities totaling $(9.0) billion and $(6.5) billion, at fair value, respectively, had a weighted average yield of 3.40 % and 2.80 %, respectively. As of September 30, 2023 and December 31, 2022, long U.S. Treasury securities totaling $ 0.2 billion and $ 0.4 billion, at fair value, respectively, had a weighted average yield of 3.64 % and 3.86 %, respectively. U.S. Treasury Futures September 30, 2023 December 31, 2022 Years to Maturity Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 > 5 year ≤ 7 years $ ( 5,054 ) $ ( 5,557 ) $ ( 5,462 ) $ 95 $ ( 7,498 ) $ ( 8,463 ) $ ( 8,420 ) $ 43 > 7 year ≤ 10 years ( 2,824 ) ( 3,226 ) ( 3,151 ) 75 ( 901 ) ( 1,070 ) ( 1,065 ) 5 > 10 years ( 1,091 ) ( 1,287 ) ( 1,242 ) 45 ( 814 ) ( 1,028 ) ( 1,020 ) 8 Total U.S. Treasury futures $ ( 8,969 ) $ ( 10,070 ) $ ( 9,855 ) $ 215 $ ( 9,213 ) $ ( 10,561 ) $ ( 10,505 ) $ 56 ________________________________ 1. 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 U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. 16 September 30, 2023 December 31, 2022 TBA Securities by Coupon Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 15-Year TBA securities: ≥ 4.5% $ 90 $ 89 $ 87 $ ( 2 ) $ — $ — $ — $ — Total 15-Year TBA securities 90 89 87 ( 2 ) — — — — 30-Year TBA securities: ≤ 2.5% 13 10 10 — 737 626 619 ( 7 ) 3.0% - 4.0% ( 247 ) ( 232 ) ( 221 ) 11 1,856 1,681 1,679 ( 2 ) 4.5% - 5.5% 430 467 446 ( 21 ) 16,301 15,949 16,117 168 ≥ 6.0% 2,065 2,073 2,054 ( 19 ) 156 151 159 8 Total 30-Year TBA securities, net 2,261 2,318 2,289 ( 29 ) 19,050 18,407 18,574 167 Total TBA securities, net $ 2,351 $ 2,407 $ 2,376 $ ( 31 ) $ 19,050 $ 18,407 $ 18,574 $ 167 ________________________________ 1. 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 September 30, 2023, we had a two-year swap equivalent SOFR futures contract long notional position of $ 1.1 billion, with a net carrying value of $( 25 ) million. As of September 30, 2023 and December 31, 2022, we had $ 171 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 September 30, 2023 and December 31, 2022, the CDS had a market value of $( 2 ) 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. 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, 2023 and 2022 (in millions): Derivative and Other Hedging Instruments Beginning Notional Amount Additions Settlement, Termination, Expiration or Exercise Ending Notional Amount Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Three months ended September 30, 2023: TBA securities, net $ 10,289 35,448 ( 43,386 ) $ 2,351 $ ( 148 ) Interest rate swaps - payer $ 48,726 1,920 ( 5,250 ) $ 45,396 759 Interest rate swaps - receiver $ ( 1,000 ) — — $ ( 1,000 ) ( 6 ) Credit default swaps - buy protection $ ( 710 ) ( 297 ) 836 $ ( 171 ) — Payer swaptions $ 1,600 — ( 250 ) $ 1,350 89 U.S. Treasury securities - short position $ ( 8,627 ) ( 5,668 ) 4,161 $ ( 10,134 ) 537 U.S. Treasury securities - long position $ 1,543 1,499 ( 2,782 ) $ 260 ( 20 ) U.S. Treasury futures contracts - short position $ ( 5,900 ) ( 10,070 ) 7,001 $ ( 8,969 ) 412 $ 1,623 17 Three months ended September 30, 2022: TBA securities, net $ 15,927 78,067 ( 75,075 ) $ 18,919 $ ( 1,192 ) Interest rate swaps - payer $ 49,935 — ( 2,810 ) $ 47,125 1,464 Credit default swaps - buy protection $ ( 215 ) ( 365 ) 290 $ ( 290 ) — Payer swaptions $ 6,800 — ( 3,400 ) $ 3,400 194 Receiver Swaptions $ ( 150 ) — 150 $ — — U.S. Treasury securities - short position $ ( 9,243 ) ( 2,696 ) 3,192 $ ( 8,747 ) 532 U.S. Treasury securities - long position $ 1,902 2,149 ( 2,727 ) $ 1,324 ( 3 ) U.S. Treasury futures contracts - short position $ ( 8,105 ) ( 11,241 ) 8,463 $ ( 10,883 ) 483 $ 1,478 Nine months ended September 30, 2023: TBA securities, net $ 19,050 138,448 ( 155,147 ) $ 2,351 $ ( 172 ) Interest rate swaps - payer $ 47,825 5,396 ( 7,825 ) $ 45,396 1,387 Interest rate swaps - receiver $ — ( 1,000 ) — $ ( 1,000 ) ( 9 ) Credit default swaps - buy protection $ ( 215 ) ( 1,292 ) 1,336 $ ( 171 ) ( 8 ) Payer swaptions $ 3,050 — ( 1,700 ) $ 1,350 49 U.S. Treasury securities - short position $ ( 7,373 ) ( 15,470 ) 12,709 $ ( 10,134 ) 614 U.S. Treasury securities - long position $ 357 11,786 ( 11,883 ) $ 260 ( 75 ) U.S. Treasury futures contracts - short position $ ( 9,213 ) ( 23,185 ) 23,429 $ ( 8,969 ) 389 $ 2,175 Nine months ended September 30, 2022: TBA securities, net $ 26,673 228,904 ( 236,658 ) $ 18,919 $ ( 3,030 ) Forward settling non-Agency securities $ 450 — ( 450 ) $ — — Interest rate swaps - payer $ 51,225 2,970 ( 7,070 ) $ 47,125 4,235 Credit default swaps - buy protection $ — ( 5,835 ) 5,545 $ ( 290 ) 21 Payer swaptions $ 13,000 1,750 ( 11,350 ) $ 3,400 866 Receiver swaptions $ — ( 150 ) 150 $ — — U.S. Treasury securities - short position $ ( 9,590 ) ( 9,604 ) 10,447 $ ( 8,747 ) 1,620 U.S. Treasury securities - long position $ 472 7,725 ( 6,873 ) $ 1,324 ( 32 ) U.S. Treasury futures contracts - short position $ ( 1,500 ) ( 26,466 ) 17,083 $ ( 10,883 ) 818 $ 4,498 ________________________________ 1. 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. Additionally, during the three months ended September 30, 2023, our SOFR futures contracts position, measured on a two-year swap equivalent basis, decreased from a long notional position of $ 1.3 billion as of June 30, 2023 to $ 1.1 billion as of September 30, 2023. As of December 31, 2022, we did not have SOFR futures outstanding. For the three and nine months ended September 30, 2023, we recognized a loss of $( 6 ) million and $( 25 ) million, respectively, on our SOFR futures position in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Note 6. Pledged Assets Our funding agreements require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract. We are typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value. Our brokerage and custody agreements and the clearing organizations utilized by our wholly-owned captive 18 broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits. If we breach our collateral requirements, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral. Our counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value. Our agreements do not specify the haircut; rather, haircuts are determined on an individual transaction basis. Consequently, our funding agreements and derivative contracts expose us to credit risk relating to potential losses that could be recognized if our counterparties fail to perform their obligations under such agreements. We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses and U.S. government agencies, and we monitor our positions with individual counterparties. In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments as and when due to us under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark-to-market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default. As of September 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 September 30, 2023, less than 12 % 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, 2023 and December 31, 2022 (in millions): September 30, 2023 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements and Other Total Agency RMBS - fair value $ 52,519 $ 120 $ 44 $ 52,683 CRT - fair value 709 — — 709 Non-Agency - fair value 253 — — 253 U.S. Treasury securities - fair value 246 — — 246 Accrued interest on pledged securities 222 — — 222 Restricted cash 317 — 1,072 1,389 Total $ 54,266 $ 120 $ 1,116 $ 55,502 December 31, 2022 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements and Other Total Agency RMBS - fair value $ 35,765 $ 144 $ 203 $ 36,112 CRT - fair value 703 — — 703 Non-Agency - fair value 605 — — 605 U.S. Treasury securities - fair value 353 — — 353 Accrued interest on pledged securities 127 1 — 128 Restricted cash 211 — 1,105 1,316 Total $ 37,764 $ 145 $ 1,308 $ 39,217 ________________________________ 1. Includes repledged assets received as collateral from counterparties and securities sold but not yet settled. 2. Includes $ 40 million and $ 49 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2023 and December 31, 2022, respectively. 19 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, 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, 2023 December 31, 2022 Securities Pledged by Remaining Maturity of Repurchase Agreements 1 Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities ≤ 1 month $ 44,339 $ 48,381 $ 184 $ 27,525 $ 30,168 $ 94 > 1 and ≤ 2 months 8,505 9,246 35 7,922 8,680 27 > 2 and ≤ 3 months 631 689 2 240 252 — > 3 months 252 301 1 1,739 1,870 6 Total $ 53,727 $ 58,617 $ 222 $ 37,426 $ 40,970 $ 127 ________________________________ 1. Includes $ 40 million and $ 49 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2023 and December 31, 2022, respectively. Assets Pledged from Counterparties As of September 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). September 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 U.S. Treasury securities - fair value $ 8,783 $ — $ 1 $ 8,784 $ 6,572 $ — $ 28 $ 6,600 Cash 22 178 — 200 46 296 6 348 Total $ 8,805 $ 178 $ 1 $ 8,984 $ 6,618 $ 296 $ 34 $ 6,948 Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. 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, 2023 and December 31, 2022 (in millions): 20 Offsetting of Financial and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Received 2 September 30, 2023 Interest rate swap and swaption agreements, at fair value 1 $ 174 $ — $ 174 $ — $ ( 174 ) $ — TBA securities, at fair value 1 24 — 24 ( 24 ) — — Receivable under reverse repurchase agreements 8,900 — 8,900 ( 6,087 ) ( 2,806 ) 7 Total $ 9,098 $ — $ 9,098 $ ( 6,111 ) $ ( 2,980 ) $ 7 December 31, 2022 Interest rate swap and swaption agreements, at fair value 1 $ 295 $ — $ 295 $ — $ ( 293 ) $ 2 TBA securities, at fair value 1 266 — 266 ( 99 ) ( 167 ) — Receivable under reverse repurchase agreements 6,622 — 6,622 ( 4,007 ) ( 2,610 ) 5 Total $ 7,183 $ — $ 7,183 $ ( 4,106 ) $ ( 3,070 ) $ 7 Offsetting of Financial and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Pledged 2 September 30, 2023 TBA securities, at fair value 1 $ 55 $ — $ 55 $ ( 24 ) $ ( 31 ) $ — Repurchase agreements 52,107 — 52,107 ( 6,087 ) ( 46,020 ) — Total $ 52,162 $ — $ 52,162 $ ( 6,111 ) $ ( 46,051 ) $ — December 31, 2022 TBA securities, at fair value 1 $ 99 $ — $ 99 $ ( 99 ) $ — $ — Repurchase agreements 36,262 — 36,262 ( 4,007 ) ( 32,255 ) — Total $ 36,361 $ — $ 36,361 $ ( 4,106 ) $ ( 32,255 ) $ — ________________________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities pledged / received as collateral, at fair value. Amounts include repledged collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. Note 7. 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, 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. 21 September 30, 2023 December 31, 2022 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 55,758 $ — $ — $ 39,346 $ — Agency securities transferred to consolidated VIEs — 120 — — 144 — Credit risk transfer securities — 736 — — 757 — Non-Agency securities — 308 — — 657 — U.S. Treasury securities 246 — — 353 — — Interest rate swaps 1 — — — — 2 — Swaptions — 174 — — 293 — TBA securities — 24 — — 266 — U.S. Treasury futures 215 — — 56 — — Total $ 461 $ 57,120 $ — $ 409 $ 41,465 $ — Liabilities: Debt of consolidated VIEs $ — $ 80 $ — $ — $ 95 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 9,022 — — 6,534 — — Credit default swaps 1 — — — — — — TBA securities — 55 — — 99 — U.S. Treasury futures — — — — — — SOFR Futures 25 — — — — — Total $ 9,047 $ 135 $ — $ 6,534 $ 194 $ — ________________________________ 1. As of September 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 $ 4.2 billion and $ 4.5 billion, respectively, based on "Level 2" inputs. As of September 30, 2023 and December 31, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 2 ) million and $( 2 ) million, 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 September 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 September 30, 2023 and December 31, 2022, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 45 million and $ 25 million, respectively. Note 8. Net Income (Loss) Per Common Share Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time and performance-based restricted stock units ("RSUs") outstanding for the period granted under our long-term incentive program to employees and non-employee Board of Directors. Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per common share. Our potential common stock equivalents consist of unvested time and performance-based RSUs. 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): 22 Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Weighted average number of common shares issued and outstanding 620.2 527.2 598.4 524.8 Weighted average number of fully vested restricted stock units outstanding 1.8 1.5 1.8 1.6 Weighted average number of common shares outstanding - basic 622.0 528.7 600.2 526.4 Weighted average number of dilutive unvested restricted stock units outstanding — — — — Weighted average number of common shares outstanding - diluted 622.0 528.7 600.2 526.4 Net income (loss) available (attributable) to common stockholders $ ( 423 ) $ ( 692 ) $ ( 349 ) $ ( 1,827 ) Net income (loss) per common share - basic $ ( 0.68 ) $ ( 1.31 ) $ ( 0.58 ) $ ( 3.47 ) Net income (loss) per common share - diluted $ ( 0.68 ) $ ( 1.31 ) $ ( 0.58 ) $ ( 3.47 ) For the three months ended September 30, 2023 and 2022, 1.3 million and 1.1 million, respectively, and, for the nine months ended September 30, 2023 and 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. Note 9. Stockholders' Equity Preferred Stock 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, 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 September 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. Each share of preferred stock has a liquidation preference of $25,000 per share ($25 per depositary share). Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Our preferred stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and each series of preferred stock ranks on parity with one another. Under certain circumstances upon a change of control, our preferred stock is convertible to shares of our common stock. Holders of our preferred stock and depositary shares underlying our preferred stock have no voting rights, except under limited conditions. 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, 2023 (dollars and shares in millions): Cumulative Redeemable Preferred Stock 1 Issue Date Depositary Shares Issued and Outstanding Carrying Value Aggregate Liquidation Preference Per Annum Dividend Rate 2,3 First Optional Redemption Date / Conversion Date 3,4 Fixed-to-Floating Rate: Series C August 22, 2017 13.0 $ 315 $ 325 10.683 % 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 Total 67.5 $ 1,634 $ 1,688 ________________________________ 1. 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. 2. The Series C per annum dividend rate represents the dividend rate in effect as of September 30, 2023. 3. 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 23 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. 4. 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. 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, 2023, we sold 44.7 million and 72.6 million shares, respectively, of our common stock under the sales agreements for proceeds of $ 432 million and $ 709 million, respectively, or $ 9.67 and $ 9.77 per common share, respectively, net of offering costs. As of September 30, 2023, shares of our common stock with an aggregate offering price of $ 5 million remained authorized for issuance under this program through June 11, 2024. See Note 10. Subsequent Event for additional information regarding our at-the-market offering program. 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 September 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 and nine months ended September 30, 2023 and 2022 (in millions): Three Months Ended September 30, Nine Months Ended September 30, Accumulated Other Comprehensive Income (Loss) 2023 2022 2023 2022 Beginning Balance $ ( 595 ) $ ( 435 ) $ ( 672 ) $ 301 OCI before reclassifications ( 213 ) ( 372 ) ( 184 ) ( 1,132 ) Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net — — 48 24 Ending Balance $ ( 808 ) $ ( 807 ) $ ( 808 ) $ ( 807 ) Note 10. Subsequent Event At-the-Market Offering Program During October 2023, we established a new at-the-market offering program (see Note 9. Stockholders' Equity). Our Board of Directors authorized us 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 of $ 1.25 billion through December 31, 2024. 24