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Item 8. Financial Statements and Supplementary Data

2024-02-22 compared with 2023-02-27 · 158 added, 133 removed, 1003 unchanged (22% of the section changed)

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Our management also prepared the related financial information included in this Annual Report on Form 10-K and is responsible for its accuracy and consistency with the consolidated financial statements.

The consolidated financial statements as of December 31, 2022 and 2021 and fiscal years 2022, 2021 and 2020 have been audited by Ernst & Young LLP, an independent registered public accounting firm, who conducted their audit in accordance with the standards of the Public Company Accounting Oversight Board (United States).

The independent registered public accounting firm's responsibility is to express an opinion on these consolidated financial statements based on their audit.

The consolidated financial statements as of December 31, 2023 and 2022 and for fiscal years 2023, 2022 and 2021 have been audited by Ernst & Young LLP, an independent registered public accounting firm, who conducted their audit in accordance with the standards of the Public Company Accounting Oversight Board (United States).

The independent registered public accounting firm's responsibility is to express an opinion on these consolidated financial statements based on their audits.

For further information refer to the Ernst & Young LLP (PCAOB ID:

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Report of Independent Registered Public Accounting Firm

The Board of Directors and Stockholders of AGNC Investment Corp.

The Stockholders and the Board of Directors of AGNC Investment Corp.

Opinion on Internal Control over Financial Reporting

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(the Company) maintained, in all material respects, effective internal control over financial reporting as of December 31, 2023, based on the COSO criteria .

We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated balance sheets of the Company as of December 31, 2022 and 2021, and the related consolidated statements of comprehensive income, stockholders’ equity, and cash flows for each of the three years in the period ended December 31, 2022, and the related notes, and our report dated February 24, 2023 expressed an unqualified opinion thereon.

We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated balance sheets of the Company as of December 31, 2023 and 2022, the related consolidated statements of comprehensive income, stockholders’ equity, and cash flows for each of the three years in the period ended December 31, 2023, and the related notes, and our report dated February 22, 2024 expressed an unqualified opinion thereon.

Basis for Opinion

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Report of Independent Registered Public Accounting Firm

The Board of Directors and Stockholders of AGNC Investment Corp.

The Stockholders and the Board of Directors of AGNC Investment Corp.

Opinion on the Financial Statements

We have audited the accompanying consolidated balance sheets of AGNC Investment Corp.

(the Company) as of December 31, 2022 and 2021, and the related consolidated statements of comprehensive income, stockholders' equity, and cash flows for each of the three years in the period ended December 31, 2022, and the related notes (collectively referred to as the “consolidated financial statements”).

(the Company) as of December 31, 2023 and 2022, the related consolidated statements of comprehensive income, stockholders' equity, and cash flows for each of the three years in the period ended December 31, 2023, and the related notes (collectively referred to as the “consolidated financial statements”).

In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Company at December 31, 2023 and 2022, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2023, in conformity with U.S.

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Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements.

Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statement.

Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that our audits provide a reasonable basis for our opinion.

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Stockholders' equity:

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

Preferred Stock - aggregate liquidation preference of $ 1,688

Common stock - $ 0.01 par value;

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Retained deficit ( 8,148 ) ( 7,284 )

Accumulated other comprehensive income (loss) ( 672 ) 301

Accumulated other comprehensive loss ( 517 ) ( 672 )

Total stockholders' equity 8,257 7,870

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Other gain (loss), net:

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

Loss on sale of investment securities, net ( 1,567 ) ( 2,916 ) ( 57 )

Unrealized gain (loss) on investment securities measured at fair value through net income, net 1,678 ( 3,795 ) ( 1,502 )

Gain (loss) on derivative instruments and other investments, net 4,630 1,110 ( 2,463 )

Total other loss, net:

Gain on derivative instruments and other investments, net 386 4,630 1,110

Total other gain (loss), net:

497 ( 2,081 ) ( 449 )

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

Net loss — — — — ( 266 ) — ( 266 )

Other comprehensive income:

Unrealized gain on available-for-sale securities, net — — — — — 622 622

Stock-based compensation, net — 0.1 — 18 — — 18

Issuance of preferred stock 557 — — — — — 557

Issuance of common stock — 26.7 1 438 — — 439

Repurchase of common stock — ( 28.2 ) ( 1 ) ( 377 ) — — ( 378 )

Preferred dividends declared — — — — ( 96 ) — ( 96 )

Common dividends declared — — — — ( 858 ) — ( 858 )

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

Net income — — — — 749 — 749

— — — — 749 — 749

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

— — — — — ( 418 ) ( 418 )

Stock-based compensation, net — 0.4 — 19 — — 19

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

Net income — — — — 155 — 155

Other comprehensive income:

Unrealized gain on available-for-sale securities, net — — — — — 155 155

Stock-based compensation, net — 0.9 — 11 — — 11

Issuance of common stock — 118.8 1 1,084 — — 1,085

Preferred dividends declared — — — — ( 123 ) — ( 123 )

Common dividends declared — — — — ( 896 ) — ( 896 )

Balance, December 31, 2023 $ 1,634 694.3 $ 7 $ 15,281 $ ( 8,148 ) $ ( 517 ) $ 8,257

See accompanying notes to consolidated financial statements.

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Stock-based compensation, net 11 2 19

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

Loss on sale of investment securities, net 1,567 2,916 57

Unrealized (gain) loss on investment securities measured at fair value through net income, net ( 1,678 ) 3,795 1,502

(Gain) loss on derivative instruments and other securities, net ( 4,630 ) ( 1,110 ) 2,463

Gain on derivative instruments and other securities, net ( 386 ) ( 4,630 ) ( 1,110 )

(Increase) decrease in other assets ( 892 ) 38 ( 29 )

Increase (decrease) in other liabilities 904 69 ( 17 )

Net cash provided by operating activities 1,013 1,540 1,747

Net cash (used in) provided by operating activities ( 118 ) 1,013 1,540

Investing activities:

Purchases of Agency mortgage-backed securities ( 32,216 ) ( 26,842 ) ( 45,345 )

Purchases of credit risk transfer and non-Agency securities ( 1,173 ) ( 2,031 ) ( 765 )

Purchases of credit risk transfer and non-Agency securities and other mortgage credit investments ( 364 ) ( 1,173 ) ( 2,031 )

Proceeds from sale of Agency mortgage-backed securities 13,608 25,978 34,595

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Net proceeds from (payments on) reverse repurchase agreements ( 4,510 ) 4,001 1,272

Net proceeds from (payments on) derivative instruments 2,907 1,045 ( 1,834 )

Net cash provided by investing activities 11,188 3,836 36,525

Net proceeds from derivative instruments 989 2,907 1,045

Net cash (used in) provided by investing activities ( 14,672 ) 11,188 3,836

Financing activities:

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Cash dividends paid ( 1,005 ) ( 869 ) ( 860 )

Net cash used in financing activities ( 11,392 ) ( 6,175 ) ( 37,230 )

Net cash provided by (used in) financing activities 14,227 ( 11,392 ) ( 6,175 )

Net change in cash, cash equivalents and restricted cash ( 563 ) 809 ( 799 )

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Cash, cash equivalents and restricted cash at end of period $ 1,771 $ 2,334 $ 1,525

Reconciliation of cash, cash equivalents and restricted cash end of period:

Cash and cash equivalents $ 518 $ 1,018 $ 998

Restricted cash 1,253 1,316 527

Total cash, cash equivalents and restricted cash, end of period $ 1,771 $ 2,334 $ 1,525

Supplemental disclosure to cash flow information:

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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 are internally managed with the principal objective of generating favorable long-term stockholder returns with a substantial yield component.

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

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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).

As of December 31, 2023, we did not intend to sell available-for-sale securities in an unrealized loss position and it was not more likely than not that we would be required to sell such securities before recovery of their amortized cost basis.

Since all of our available-for-sale designated securities consist of Agency RMBS, we do not have an allowance for credit losses.

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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 assets at a future date.

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

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.

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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.

Net cash receipts from and payments on our 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

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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 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 TBA market 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.

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The quantitative analysis requires that we compare the carrying value of the identified reporting unit comprising the goodwill to the reporting unit's fair value.

If the reporting units' carrying value is greater than its fair value, an impairment charge is recognized to the extent the carrying amount of the reporting unit exceeds its fair value.

During each of the three fiscal years ended December 31, 2022, we did not recognize a goodwill impairment charge.

If the reporting unit's carrying value is greater than its fair value, an impairment charge is recognized to the extent the carrying amount of the reporting unit exceeds its fair value.

During the three fiscal years ended December 31, 2023, we did not recognize a goodwill impairment charge.

Stock-Based Compensation

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Investment Securities

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

$ 40.9 billion and $ 54.4 billion investment securities, at fair value, respectively;

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

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

Our net TBA position and forward settling non-Agency securities are reported at their net carrying value totaling $ 0.2 billion and $( 44 ) million as of December 31, 2022 and 2021, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets.

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

As of December 31, 2023 and 2022, our investment portfolio consisted of $54.8 billion and $40.9 billion investment securities, at fair value, respectively, $ 5.4 billion and $ 18.6 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 44 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 $ 66 million and $ 167 million as of December 31, 2023 and 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 December 31, 2023 and 2022, our investment securities had a net unamortized premium balance of $ 1.2 billion and $ 1.5 billion, respectively.

The following tables summarize our investment securities as of December 31, 2022 and 2021, excluding TBA and forward settling securities and other mortgage credit investments (dollars in millions).

Details of our TBA and forward settling securities are included in Note 5.

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

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

Details of our TBA securities are included in Note 5.

December 31, 2023 December 31, 2022

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Interest-only and principal-only strips 67 61 77 70

Multifamily 161 162 — —

Total Agency RMBS 55,937 53,794 43,385 39,490

Non-Agency RMBS 1

111 90 325 329

CMBS 303 273 605 567

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4.22 % 4.53 % 5.16 % 4.92 % 7.04 % 8.87 % 4.41 %

________________________________

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.

December 31, 2022

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________________________________

Incorporates a weighted average future constant prepayment rate assumption of 10.9 % based on forward rates as of December 31, 2021.

Non-Agency amounts exclude other mortgage credit investments of $ 44 million and $ 25 million as of December 31, 2023 and December 31, 2022, respectively.

Incorporates a weighted average future constant prepayment rate assumption of 11.4 % and 7.4 % based on forward rates as of December 31, 2023 and December 31, 2022, respectively.

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

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CRT and Non-Agency Security Credit Ratings 1

CMBS CRT RMBS CMBS

CMBS CRT RMBS 2

AAA $ — $ 1 $ 9 $ — $ 9 $ 184

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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 December 31, 2022.

RMBS excludes other mortgage credit investments of $ 44 million and $ 25 million as of December 31, 2023 and 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.

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________________________________

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

Table excludes other mortgage credit investments of $ 44 million and $ 25 million as of December 31, 2023 and 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 December 31, 2023 and 2022 (in millions):

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Investment Securities Available-for-Sale

Securities 2,3

Fair Value Option Securities Total Available-for-Sale

Securities 2,3

Fair Value Option Securities Total Available-for-Sale

Securities 2,3

Fair Value Option Securities Total

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See Note 9 for a summary of changes in accumulated OCI.

During fiscal years 2023, 2022 and 2021, we received principal repayments on available-for-sale securities of $ 704 million, $ 1,501 million and $ 3,574 million, respectively.

Repurchase Agreements and Reverse Repurchase Agreements

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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 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 December 31, 2023 and 2022 (dollars in millions):

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Rate Weighted

Investment securities repo

≤ 1 month $ 40,946 5.61 % 11 $ 26,712 4.42 % 12

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> 3 to ≤ 6 months — — % — 1,433 1.42 % 141

> 6 to ≤ 9 months — — % — 2,445 0.21 % 264

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

Total Agency repo 35,907 4.31 % 23 46,911 0.15 % 63

Investment securities repo 48,879 5.60 % 19 35,907 4.31 % 23

Treasury repo:

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Total $ 50,426 5.60 % 19 $ 36,262 4.31 % 22

As of December 31, 2022 and 2021, $ 9.6 billion and $ 0.8 billion, respectively, of our Agency repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand.

As of December 31, 2023 and 2022, $ 16.7 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 December 31, 2023, we had $ 8.8 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 5.54 %.

As of 2021, we had $ 9.8 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 3 days and a weighted average interest rate of 0.08 %.

As of 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 December 31, 2023 and 2022, 48 % and 49 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").

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Total derivative assets, at fair value

Interest rate swaps 1

Derivative liabilities, at fair value $ ( 1 ) $ —

TBA and forward settling non-Agency securities Derivative liabilities, at fair value ( 15 ) ( 99 )

Treasury futures - short Derivative liabilities, at fair value ( 336 ) —

SOFR futures contracts - long Derivative liabilities, at fair value ( 10 ) —

Credit default swaps 1

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As of December 31, 2023 and 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 $ 2.9 billion and $ 4.5 billion, respectively.

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

We did not have credit default swaps outstanding as of December 31, 2021.

As of December 31, 2023 and 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 6 ) million and $( 2 ) million, respectively.

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

December 31, 2022 December 31, 2021

Pay Fixed / Receive Variable Interest Rate Swaps Notional

Pay Fixed / Receive Variable Interest Rate Swaps December 31, 2023 1

December 31, 2022

Years to Maturity Notional

Amount Average

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> 5 to ≤ 7 years 3,900 0.92 % 5.37 % 6.2 5,625 0.85 % 4.30 % 6.1

> 7 to ≤ 10 years 5,226 3.06 % 5.38 % 9.2 3,650 1.60 % 4.31 % 8.4

> 10 years — — % — % 0.0 500 3.54 % 4.30 % 10.0

Total $ 43,476 0.68 % 5.35 % 3.0 $ 47,825 0.37 % 4.31 % 3.2

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December 31, 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)

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Months to Current Option

Expiration Date 1

Expiration Date Notional

Amount Average Fixed Pay

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≤ 1 year $ 28 $ 86 5 $ 1,250 2.61 % 10.0

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

Total $ 28 $ 86 5 $ 1,250 2.61 % 10.0

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

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

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

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As of December 31, 2021, ≤ 1 year notional amount includes $ 700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.

As of December 31, 2022, 100% of the underlying swap receive rates were tied to SOFR.

As of December 31, 2021, 95% and 5% of the underlying swap receive rates were tied to SOFR and 3-Month LIBOR, respectively.

Receive index references SOFR.

Receiver Swaptions Option Underlying Receiver Swap

Current Option Expiration Date Cost Basis Fair Value Average

Months to Current Option

Expiration Date Notional

Amount Average Fixed Receive

December 31, 2023

≤ 1 year $ 3 $ 3 24 $ 150 2.98 % 5.0

As of December 31, 2022, we had no receiver swaptions outstanding.

Treasury Securities 1

December 31, 2023 December 31, 2022

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

5 years $ 356 $ 354 $ 353 $ ( 310 ) $ ( 306 ) $ ( 293 )

7 years ( 545 ) ( 545 ) ( 473 ) ( 1,218 ) ( 1,218 ) ( 1,206 )

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

≤ 5 years $ 1,408 $ 1,419 $ 1,454 $ 356 $ 354 $ 353

> 5 year ≤ 7 years ( 818 ) ( 821 ) ( 703 ) ( 745 ) ( 747 ) ( 658 )

> 7 year ≤ 10 years ( 8,649 ) ( 8,277 ) ( 8,187 ) ( 5,532 ) ( 5,225 ) ( 4,823 )

> 10 years ( 1,796 ) ( 1,796 ) ( 1,918 ) ( 1,095 ) ( 1,048 ) ( 1,053 )

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Treasury Futures December 31, 2023 December 31, 2022

Maturity Notional

Years to Maturity Notional

Long (Short) Cost

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Value Net Carrying Value 1

10 years $ ( 8,399 ) $ ( 9,533 ) $ ( 9,485 ) $ 48 $ ( 1,500 ) $ ( 1,942 ) $ ( 1,957 ) $ ( 15 )

> 5 year ≤ 7 years $ ( 2,714 ) $ ( 2,961 ) $ ( 3,064 ) $ ( 103 ) $ ( 7,498 ) $ ( 8,463 ) $ ( 8,420 ) $ 43

> 7 year ≤ 10 years ( 2,924 ) ( 3,294 ) ( 3,451 ) ( 157 ) ( 901 ) ( 1,070 ) ( 1,065 ) 5

> 10 years ( 791 ) ( 913 ) ( 989 ) ( 76 ) ( 814 ) ( 1,028 ) ( 1,020 ) 8

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December 31, 2023 December 31, 2022

TBA Securities by Coupon 2

TBA Securities by Coupon Notional

Long (Short) Cost

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4.0% — — — — 585 550 550 —

4.5% 363 343 352 9 2,382 2,248 2,295 47

5.0% 1,717 1,704 1,704 — 8,343 8,197 8,231 34

5.5% 2,034 2,014 2,047 33 5,576 5,504 5,591 87

6.0% 20 10 21 11 139 134 142 8

≥ 6.5% 1,137 1,152 1,164 12 17 17 17 —

Total 30-Year TBA securities, net 5,242 5,199 5,263 64 19,050 18,407 18,574 167

2 unchanged sentences

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

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

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

As of December 31, 2023, we had a two-year swap equivalent SOFR futures contract long notional position of $ 0.9 billion, with a net carrying value of $( 10 ) million.

As of December 31, 2023 and 2022, we had $ 95 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 December 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 December 31, 2022, the CDS had a market value of $( 2 ) million, and a carrying value of zero dollars, net of variation margin settlements.

As of December 31, 2023 and 2022, the CDS had a market value of $( 6 ) 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.

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TBA securities, net $ 19,050 164,465 ( 178,183 ) $ 5,332 $ 49

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

Interest rate swaps - payer $ 47,825 5,746 ( 9,095 ) $ 44,476 666

Credit default swaps - CDX IG - buy protection $ — ( 5,835 ) 5,620 $ ( 215 ) 21

Interest rate swaps - receiver $ — ( 1,000 ) — $ ( 1,000 ) 4

Credit default swaps - buy protection $ ( 215 ) ( 1,322 ) 1,441 $ ( 96 ) ( 13 )

Payer swaptions $ 3,050 — ( 1,800 ) $ 1,250 ( 21 )

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Interest rate swaps - payer $ 51,225 5,895 ( 9,295 ) $ 47,825 4,400

Credit default swaps - buy protection $ — ( 5,835 ) 5,620 $ ( 215 ) 21

Payer swaptions $ 13,000 1,750 ( 11,700 ) $ 3,050 857

Receiver swaptions $ — ( 150 ) 150 $ — —

Treasury securities - short position $ ( 9,590 ) ( 15,548 ) 17,765 $ ( 7,373 ) 1,482

3 unchanged sentences

TBA securities, net $ 30,364 352,658 ( 356,349 ) $ 26,673 $ ( 552 )

Forward settling non-Agency securities $ — 1,800 ( 1,350 ) $ 450 5

Interest rate swaps - payer $ 43,225 9,000 ( 1,000 ) $ 51,225 1,117

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

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, as of December 31, 2023, we had SOFR futures contracts, measured on a two-year swap equivalent basis, of $ 0.9 billion.

For fiscal year 2023, we recognized a loss of $( 10 ) million on our SOFR futures position in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Pledged Assets

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As of December 31, 2023, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 3 % of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables).

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

As of December 31, 2023, less than 7 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

Assets Pledged to Counterparties

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Repurchase Agreements 2

VIEs Derivative Agreements and Other 3

VIEs Derivative Agreements and Other Total

Agency RMBS - fair value $ 49,602 $ 121 $ 15 $ 49,738

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Treasury securities - fair value

1,865 — 62 1,927

Accrued interest on pledged securities

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Repurchase Agreements 2

VIEs Derivative Agreements and Other 3

VIEs Derivative Agreements and Other Total

Agency RMBS - fair value $ 35,765 $ 144 $ 203 $ 36,112

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Treasury securities - fair value

1,084 — 208 1,292

Accrued interest on pledged securities

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Includes $ 42 million and $ 49 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2023 and 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 December 31, 2023 and 2022 (in millions).

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Pledged Securities Accrued

≤ 30 days $ 27,525 $ 30,168 $ 94 $ 24,548 $ 24,075 $ 61

> 30 and ≤ 60 days 7,922 8,680 27 7,869 7,735 19

> 60 and ≤ 90 days 240 252 — 7,006 6,906 16

> 90 days 1,739 1,870 6 9,073 9,036 21

≤ 1 month $ 43,701 $ 44,918 $ 188 $ 27,525 $ 30,168 $ 94

> 1 and ≤ 2 months 2,847 3,069 10 7,922 8,680 27

> 2 and ≤ 3 months 5,524 5,947 19 240 252 —

> 3 months — — — 1,739 1,870 6

Total $ 52,072 $ 53,934 $ 217 $ 37,426 $ 40,970 $ 127

1 unchanged sentence

Includes $ 42 million and $ 49 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2023 and 2022, respectively.

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

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

Excludes $ 397 million of repledged U.S.

Treasury securities received as collateral from counterparties as of December 31, 2023.

Assets Pledged from Counterparties

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— 89 49 138 46 296 6 348

46 296 6 348 — 303 7 310

Total $ 11,667 $ 89 $ 355 $ 12,111 $ 6,618 $ 296 $ 34 $ 6,948

________________________________

As of December 31, 2022 and 2021, amounts include $6.5 billion and $9.7 billion, respectively, of U.S.

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

Treasury securities.

Offsetting Assets and Liabilities

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$ 104 $ — $ 104 $ — $ ( 89 ) $ 15

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

TBA securities, at fair value 1

80 — 80 ( 15 ) ( 65 ) —

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December 31, 2022

TBA securities, at fair value 1

$ 99 $ — $ 99 $ ( 99 ) $ — $ —

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

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— 89 — — 293 —

TBA and forward settling securities — 266 — — 27 —

TBA securities — 81 — — 266 —

Treasury futures

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Treasury securities borrowed under reverse repurchase agreements 10,894 — — 6,534 — —

Interest rate swaps 1

Credit default swaps 1

TBA and forward settling securities — 99 — — 71 —

TBA securities — 15 — — 99 —

Treasury futures 336 — — — — —

SOFR Futures 10 — — — — —

Total $ 11,240 $ 96 $ — $ 6,534 $ 194 $ —

1 unchanged sentence

As of December 31, 2023 and 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 $ 2.9 billion and $ 4.5 billion, respectively, based on "Level 2" inputs.

As of December 31, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 2 ) million based on "Level 2" inputs.

We did not have credit default swaps outstanding as of December 31, 2021.

As of December 31, 2023 and 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 6 ) 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 December 31, 2022 and 2021, 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 December 31, 2023 and 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 December 31, 2022, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 25 million.

As of December 31, 2023 and 2022, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 44 million and $ 25 million, respectively.

Net Income (Loss) Per Common Share

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Net income (loss) per common share - diluted $ 0.05 $ ( 2.41 ) $ 1.22

For fiscal years 2022 and 2020, 1.1 million and 1.1 million, respectively, of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.

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

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 December 31, 2022 and 2021, 13,800 , 10,350 , 16,100 and 23,000 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E and F Preferred Stock", respectively).

As of December 31, 2022, an additional 6,900 shares were designated as 7.75 % Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock (referred to as "Series G Preferred Stock").

As of December 31, 2022 and 2021, 13,000 , 9,400 , 16,100 and 23,000 shares of Series C, D, E and F Preferred Stock, respectively, were issued and outstanding.

As of December 31, 2022, an additional 6,000 shares of Series G Preferred Stock were issued and outstanding.

As of December 31, 2023 and 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 December 31, 2023 and 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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Fixed-to-Floating Rate:

Series C August 22, 2017 13.0 $ 315 $ 325 9.190 % 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 10.775 % 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 December 31, 2023.

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

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.

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During fiscal year 2021 we did not issue shares under this program.

As of December 31, 2022, shares of our common stock with an aggregate offering price of $ 0.7 billion remained authorized for issuance under this program through June 11, 2024.

As of December 31, 2023, shares of our common stock with an aggregate offering price of $ 0.9 billion remained authorized for issuance under this program through December 31, 2024.

ATM Offerings Average Price Received Per Share, Net Shares Net Proceeds

4 unchanged sentences

The following table includes a summary of shares of our common stock repurchased during fiscal years 2022 and 2021 (in millions, except for per share data).

During fiscal year 2023 we did not repurchase shares under this program.

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

4 unchanged sentences

$ 15.96 17.7 $ 281

Fiscal Year 2020 $ 13.33 28.2 $ 378

________________________________

25 unchanged sentences

Fiscal year 2022 $ 775 $ 1.440000

Fiscal year 2021 $ 757 $ 1.440000

________________________________

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Tax Characterization 1

Fiscal Tax Year Distribution Rate 1

Tax Year Distribution Rate 1

Ordinary Dividend Per Share Qualified Dividends Capital Gain Dividend Per Share Non-Dividend Distributions Section 199A Dividend

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Fiscal year 2021 $ 1.531250 $ 0.299004 $ — $ 0.083809 $ 1.148438 $ 0.299004

Series G Preferred Stock

Fiscal year 2023 $ 2.104360 $ 2.104360 $ — $ — $ — $ 2.104360

1 unchanged sentence

Fiscal year 2022 $ 1.440000 $ 0.669420 $ — $ — $ 0.770580 $ 0.669420

Fiscal year 2021 $ 1.320000 $ 0.095930 $ — $ 0.026889 $ 1.197181 $ 0.095930

________________________________

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During fiscal years 2023, 2022 and 2021, we granted RSU awards to employees with a grant date fair value of $ 11 million, $ 8 million and $ 8 million, respectively, which generally vest annually over a three-year period, and we granted RSU awards to independent directors of $ 1.2 million, $ 1.0 million and $ 0.9 million, respectively, which vest at the end of a one-year period from grant date.

We also granted PSU awards to employees which generally vest at the end of a three-year period provided that specified performance criteria are met.

The performance criteria are based on a formula tied to our achievement of long-term economic returns consisting of the change in tangible net book value and dividends paid per common share on an absolute basis

and relative to a select group of our peers.

We also granted PSU awards to employees which generally vest at the end of a three-year

period provided that specified performance criteria are met.

The fair value of the PSU awards granted during fiscal years 2023, 2022 and 2021 as of the grant date was $ 10 million, $ 11 million and $ 10 million, respectively, assuming the target levels of performance are achieved.

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Compensation expense for PSU awards is based on our estimate of the probability that the performance criteria for PSU awards will be achieved and, if applicable, includes a cumulative effect adjustment for changes in our estimate from the prior year period.

As of December 31, 2023, we estimate that 66.4 % of target for PSU awards granted in fiscal year 2021 will vest based on actual performance achieved through the end of the performance measurement period and that 50 % and 100 % of target will vest for PSU awards granted in fiscal years 2022 and 2023, respectively, based on our estimate of the probability that the performance criteria for these awards will be achieved.

As of December 31, 2023, we had $ 17 million of unrecognized expense related to stock-based awards that we expect to recognize over a weighted average period of 1.8 years.

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( 466,224 ) $ 12.86 $ 16.52

( 13,826 ) $ 15.54 $ —

Unvested balance as of December 31, 2021 2,212,660 $ 14.52 $ —

2 unchanged sentences

279,484 $ — $ —

Performance adjustment - base grant 3

( 938,540 ) $ 13.02 $ 13.85

Performance adjustment - accrued PSU dividend equivalents 3

70,953 $ — $ —

( 466,224 ) $ 12.86 $ 16.52

( 13,826 ) $ 15.54 $ —

Unvested balance as of December 31, 2022 2,380,575 $ 12.87 $ —

2 unchanged sentences

402,368 $ — $ —

Performance adjustment - base grant 2

( 210,425 ) $ 15.96 $ —

Performance adjustment - accrued PSU dividend equivalents 2

( 87,375 ) $ — $ —

( 699,128 ) $ 14.18 $ 11.48

Unvested balance as of December 31, 2023 3

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Accrued PSU award dividend equivalents have a weighted average grant date fair value of $0.

This amount assumes target levels of performance are achieved for outstanding unvested PSU awards.

The actual number of PSUs that vest will vary within a range of 0% to 200% of the target based on the actual performance achieved relative to the targets.

Performance adjustments reflect adjustments for actual performance achieved relative to target.

Performance adjustments reflect adjustments for actual performance achieved relative to target, measured at the end of the performance period.

The unvested balance as of December 31, 2023 assumes actual performance achievement of 66.4 % of target for PSU awards granted in fiscal year 2021 that are scheduled to vest in fiscal year 2024 and target levels of performance (100%) for PSU awards granted in fiscal years 2022 and 2023.

The actual number of PSUs that will vest for the 2022 and 2023 PSU awards will vary within a range of 0% to 200% of the target based on the actual performance achieved relative to the targets.

As of December 31, 2023, we estimate that 50 % and 100 % of the 2022 and 2023 PSU awards, respectively, will vest based on our estimate of the probability that the performance criteria for the awards will be achieved.

We did not incur an income tax liability for the years ended December 31, 2022 and 2021 and we do not expect to incur an income tax liability for the year ended December 31, 2023.

4 unchanged sentences

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

What changed 10-K

Item 8. Financial Statements and Supplementary Data