What changed in this filing

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Item 1. Financial Statements

2024-05-07 compared with 2023-11-06 · 169 added, 205 removed, 711 unchanged (34% of the section changed)

3 unchanged sentences

(in millions, except per share data)

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Agency securities, at fair value (including pledged securities of $ 48,461 and $ 49,575 , respectively)

27 unchanged sentences

Retained deficit ( 7,990 ) ( 8,148 )

Accumulated other comprehensive income (loss) ( 808 ) ( 672 )

Accumulated other comprehensive loss ( 594 ) ( 517 )

Total stockholders' equity 8,578 8,257

4 unchanged sentences

(in millions, except per share data)

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

2023 2022 2023 2022

Three Months Ended March 31,

Interest income:

1 unchanged sentence

Interest expense 672 449

Net interest income ( 53 ) 177 ( 220 ) 940

Net interest income (expense) ( 30 ) ( 98 )

Other gain (loss), net:

Loss on sale of investment securities, net ( 91 ) ( 81 )

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

Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 471 ) 594

Gain (loss) on derivative instruments and other investments, net 1,059 ( 544 )

Total other gain (loss), net:

( 316 ) ( 824 ) 31 ( 2,631 )

Compensation and benefits 16 14

1 unchanged sentence

Total operating expense 24 22

Net loss ( 392 ) ( 666 ) ( 257 ) ( 1,751 )

Net income (loss) 443 ( 151 )

Dividends on preferred stock 31 30

Net income (loss) available (attributable) to common stockholders $ 412 $ ( 181 )

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 )

Net income (loss) $ 443 $ ( 151 )

Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net ( 77 ) 142

Comprehensive income (loss) 366 ( 9 )

Dividends on preferred stock

Comprehensive loss attributable to common stockholders $ ( 636 ) $ ( 1,064 ) $ ( 485 ) $ ( 2,935 )

Comprehensive income (loss) available (attributable) to common stockholders $ 335 $ ( 39 )

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 $ 0.59 $ ( 0.31 )

11 unchanged sentences

Shares Amount

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

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

— — — — ( 151 ) — ( 151 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

Other comprehensive income:

Unrealized gain on available-for-sale securities, net

— — — — — 142 142

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

Issuance of preferred stock, net of offering cost 145 — — — — — 145

Issuance of common stock — 17.1 — 171 — — 171

1 unchanged sentence

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

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

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

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

— — — — 443 — 443

6 unchanged sentences

Common dividends declared — — — — ( 254 ) — ( 254 )

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

Balance, March 31, 2024 $ 1,634 720.3 $ 7 $ 15,521 $ ( 7,990 ) $ ( 594 ) $ 8,578

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Nine Months Ended

September 30,

Three Months Ended

Operating activities:

Net loss $ ( 257 ) $ ( 1,751 )

Net income (loss) $ 443 $ ( 151 )

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

2 unchanged sentences

Loss on sale of investment securities, net 91 81

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

Unrealized (gain) loss on investment securities measured at fair value through net income, net 471 ( 594 )

(Gain) loss on derivative instruments and other securities, net ( 1,059 ) 544

(Increase) decrease in other assets 797 ( 42 )

Increase (decrease) in other liabilities ( 759 ) 69

Net cash provided by operating activities 20 26

Investing activities:

9 unchanged sentences

Treasury securities 4,446 4,329

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

Net payments on reverse repurchase agreements ( 644 ) ( 2,201 )

Net proceeds from (payments on) derivative instruments 389 ( 28 )

Net cash provided by (used in) investing activities 582 ( 11,571 )

Financing activities:

2 unchanged sentences

Payments on debt of consolidated variable interest entities ( 4 ) ( 5 )

Net proceeds from preferred stock issuances — 145

Net proceeds from common stock issuances 241 171

Payments for common stock repurchases — ( 51 )

Cash dividends paid ( 282 ) ( 238 )

3 unchanged sentences

Cash, cash equivalents and restricted cash at end of period $ 1,873 $ 2,839

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

Cash and cash equivalents $ 505 $ 975

Restricted cash 1,368 1,864

Total cash, cash equivalents and restricted cash, end of period $ 1,873 $ 2,839

See accompanying notes to consolidated financial statements.

16 unchanged sentences

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.

14 unchanged sentences

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.

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.

11 unchanged sentences

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).

We did not recognize any loss on available for sale securities through net income that we held as of March 31, 2024 because, as of such date, we did not intend to sell any of them in an unrealized loss position nor was it 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.

11 unchanged sentences

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.

1 unchanged sentence

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

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.

23 unchanged sentences

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

12 unchanged sentences

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

If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium 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.

32 unchanged sentences

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

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

We typically obtain price estimates from multiple third-

party pricing sources, such as pricing services and dealers, or, if applicable, from the registered clearing exchange.

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

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.

would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price.

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 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.

3 unchanged sentences

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 TBA securities having 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.

10 unchanged sentences

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.

As of March 31, 2024 and December 31, 2023, our investment portfolio consisted of $54.8 billion investment securities, at fair value, $ 8.4 billion and $ 5.4 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 59 million and $ 44 million, respectively, which we account for under the equity method of accounting.

Our TBA position is reported at its net carrying value totaling $ 43 million and $ 66 million as of March 31, 2024 and December 31, 2023, 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.

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).

As of March 31, 2024 and December 31, 2023, our investment securities had a net unamortized premium balance of $ 1.2 billion.

The following tables summarize our investment securities as of March 31, 2024 and December 31, 2023, 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

March 31, 2024 December 31, 2023

Investment Securities Amortized

5 unchanged sentences

Interest-only and principal-only strips 65 58 67 61

Multifamily 75 75 161 162

Total Agency RMBS 56,447 53,729 55,937 53,794

3 unchanged sentences

Total investment securities $ 57,464 $ 54,776 $ 56,965 $ 54,824

September 30, 2023

March 31, 2024

Agency RMBS Non-Agency 1

28 unchanged sentences

Total securities, at fair value $ 31,634 $ 22,054 $ 41 $ 14 $ 280 $ 753 $ 54,776

Weighted average coupon as of September 30, 2023

Weighted average coupon as of March 31, 2024

4.73 % 5.02 % 4.63 % 6.19 % 7.28 % 10.72 % 4.93 %

Weighted average yield as of September 30, 2023 2

Weighted average yield as of March 31, 2024 2

4.27 % 4.70 % 4.96 % 6.34 % 7.42 % 9.47 % 4.52 %

30 unchanged sentences

________________________________

Non-Agency amounts exclude other mortgage credit investments of $ 45 million and $ 25 million as of September 30, 2023 and December 31, 2022, respectively.

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

Non-Agency amounts exclude other mortgage credit investments of $ 59 million and $ 44 million as of March 31, 2024 and December 31, 2023, respectively.

Incorporates a weighted average future constant prepayment rate assumption of 10.4 % and 11.4 % based on forward rates as of March 31, 2024 and December 31, 2023, respectively.

As of March 31, 2024 and December 31, 2023, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

March 31, 2024 December 31, 2023

CRT and Non-Agency Security Credit Ratings 1

10 unchanged sentences

Represents the lowest of Standard and Poor's ("S&P"), Moody's, Fitch, DBRS, Kroll Bond Rating Agency ("KBRA") and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date.

RMBS excludes other mortgage credit investments of $ 45 million and $ 25 million as of September 30, 2023 and December 31, 2022, respectively.

RMBS excludes other mortgage credit investments of $ 59 million and $ 44 million as of March 31, 2024 and December 31, 2023, respectively.

Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards.

2 unchanged sentences

The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates.

As of 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.

As of March 31, 2024 and December 31, 2023, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 10.4 % and 11.4 %, 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):

September 30, 2023 December 31, 2022

The following table summarizes our investments as of March 31, 2024 and December 31, 2023 according to their estimated weighted average life classification (dollars in millions):

March 31, 2024 December 31, 2023

Estimated Weighted Average Life of Investment Securities 1

11 unchanged sentences

________________________________

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):

Table excludes other mortgage credit investments of $ 59 million and $ 44 million as of March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023 (in millions):

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

September 30, 2023

March 31, 2024

$ — $ — $ 4,569 $ ( 594 ) $ 4,569 $ ( 594 )

2 unchanged sentences

Gains and Losses on Sale of Investment Securities

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

Three Months Ended September 30,

Investment Securities Available-for-Sale

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ — $ ( 3,175 ) $ ( 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,

The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2024 and 2023 by investment classification of accounting (in millions):

Three Months Ended March 31,

Investment Securities Available-for-Sale

Securities 2,3

Fair Value Option Securities Total Available-for-Sale

Securities 2,3

Fair Value Option Securities Total

9 unchanged sentences

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

During the three months ended March 31, 2024 and 2023, we received principal repayments on available-for-sale securities of $ 143 million and $ 179 million, respectively.

Repurchase Agreements and Reverse Repurchase Agreements

3 unchanged sentences

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

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

As of March 31, 2024, 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.

As of March 31, 2024 and December 31, 2023, we had $ 50.0 billion and $ 50.4 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

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2024 and December 31, 2023 (dollars in millions):

March 31, 2024 December 31, 2023

Remaining Maturity Repurchase Agreements Weighted

10 unchanged sentences

Total $ 49,971 5.46 % 21 $ 50,426 5.60 % 19

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.

As of March 31, 2024 and December 31, 2023, $ 16.9 billion and $ 16.7 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 March 31, 2024, we had $ 10.4 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 5.46 %.

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 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.

As of March 31, 2024 and December 31, 2023, 46 % and 48 %, 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 42 % and 43 % of our repurchase agreement funding outstanding as of March 31, 2024 and December 31, 2023, 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.

As of March 31, 2024 and December 31, 2023, we had $12.4 billion and $11.6 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 $12.1 billion and $10.9 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.

As of March 31, 2024 and December 31, 2023, $ 3.0 billion and $ 3.1 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

5 unchanged sentences

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

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

Derivative and Other Hedging Instruments Balance Sheet Location September 30,

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2024 and December 31, 2023 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location March 31,

Interest rate swaps 1

2 unchanged sentences

TBA and forward settling non-Agency securities Derivative assets, at fair value 58 81

Treasury futures - short Derivative assets, at fair value 215 56

Total derivative assets, at fair value

2 unchanged sentences

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

Treasury futures - short Derivative liabilities, at fair value ( 34 ) ( 336 )

SOFR futures contracts - long Derivative liabilities, at fair value ( 16 ) ( 10 )

9 unchanged sentences

________________________________

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

As of March 31, 2024 and December 31, 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $ 3.0 billion and $ 2.9 billion, respectively.

As of March 31, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 7 ) million and $( 6 ) million, respectively.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2024 and December 31, 2023 (dollars in millions):

Pay Fixed / Receive Variable Interest Rate Swaps March 31, 2024 1

December 31, 2023

1 unchanged sentence

Amount Average

Variable Receive

(Years) Notional

Amount Average

Variable Receive

≤ 1 years $ 8,500 0.06 % 5.34 % 0.4 $ 13,750 0.14 % 5.37 % 0.4

3 unchanged sentences

> 7 to ≤ 10 years 8,896 3.28 % 5.34 % 9.3 5,226 3.06 % 5.38 % 9.2

> 10 years 850 3.12 % 5.31 % 13.2 500 3.54 % 4.30 % 10.0

Total $ 44,396 0.97 % 5.34 % 3.8 $ 44,476 0.57 % 5.37 % 3.0

________________________________

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,

SOFR 80 % 81 %

OIS 20 % 19 %

As of March 31, 2024, notional amount includes forward starting swaps of $ 1.0 billion with an average forward start date of 0.2 years.

Average fixed pay rate includes forward starting swaps.

Excluding forward starting swaps, the average fixed pay rate was 0.90 % as of March 31, 2024.

As of March 31, 2024 and December 31, 2023, 80 % and 20 % of notional amount receive index references SOFR and OIS, respectively.

Receive Fixed / Pay Variable

Interest Rate Swaps March 31, 2024

December 31, 2023

Years to Maturity Notional

Amount Average

Fixed Receive

(Years) Notional

Amount Average

Fixed Receive

> 1 to ≤ 3 years $ ( 1,000 ) 5.34 % 4.65 % 1.3 ( 1,000 ) 5.38 % 4.65 % 1.5

Total $ ( 1,000 ) 5.34 % 4.65 % 1.3 $ ( 1,000 ) 5.38 % 4.65 % 1.5

________________________________

Pay index references SOFR.

Payer Swaptions Option Underlying Payer Swap

3 unchanged sentences

Amount Average Fixed Pay

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, 2023

≤ 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

1 unchanged sentence

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

March 31, 2024

≤ 1 year $ 3 $ 2 21 $ 150 2.98 % 5.0

December 31, 2023

≤ 1 year $ 3 $ 3 24 $ 150 2.98 % 5.0

Treasury Securities 1

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

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

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________________________________

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

As of March 31, 2024 and December 31, 2023, short U.S.

Treasury securities totaling $(12.1) billion and $(10.9) billion, at fair value, respectively, had a weighted average yield of 3.69 % and 3.64 %, respectively.

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

As of March 31, 2024 and December 31, 2023, long U.S.

Treasury securities totaling $ 1.8 billion and $ 1.5 billion, at fair value, respectively, had a weighted average yield of 4.37 % and 4.39 %, respectively.

Treasury Futures September 30, 2023 December 31, 2022

Treasury Futures March 31, 2024 December 31, 2023

Years to Maturity Notional

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

TBA Securities by Coupon Notional

11 unchanged sentences

4.5% 1,715 1,631 1,636 5 363 343 352 9

5.0% 5,040 4,907 4,932 25 1,717 1,704 1,704 —

5.5% 2,874 2,861 2,872 11 2,034 2,014 2,047 33

6.0% ( 2,107 ) ( 2,125 ) ( 2,128 ) ( 3 ) 20 10 21 11

≥ 6.5% 934 949 952 3 1,137 1,152 1,164 12

Total 30-Year TBA securities, net 8,561 8,316 8,358 42 5,242 5,199 5,263 64

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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.

As of March 31, 2024 and December 31, 2023, we had a two-year swap equivalent SOFR futures contract long notional position of $ 0.7 billion and $0.9 billion, respectively, with a net carrying value of $( 16 ) million and $( 10 ) million, respectively.

As of March 31, 2024 and December 31, 2023, we had $ 95 million 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.

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.

As of March 31, 2024 and December 31, 2023, the CDS had a market value of $( 7 ) million and $( 6 ) 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):

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three months ended March 31, 2024 and 2023 (in millions):

Derivative and Other Hedging Instruments Beginning

4 unchanged sentences

on Derivative Instruments and Other Securities, Net 1

Three months ended September 30, 2023:

Three months ended March 31, 2024:

TBA securities, net $ 5,332 25,390 ( 22,071 ) $ 8,651 $ ( 58 )

3 unchanged sentences

Payer swaptions $ 1,250 — ( 1,250 ) $ — 33

Treasury securities - short position $ ( 8,627 ) ( 5,668 ) 4,161 $ ( 10,134 ) 537

Treasury securities - long position $ 1,543 1,499 ( 2,782 ) $ 260 ( 20 )

Treasury futures contracts - short position $ ( 5,900 ) ( 10,070 ) 7,001 $ ( 8,969 ) 412

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 ) —

2 unchanged sentences

Treasury futures contracts - short position $ ( 6,429 ) ( 3,384 ) 6,774 $ ( 3,039 ) 186

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

Treasury securities - short position $ ( 7,373 ) ( 15,470 ) 12,709 $ ( 10,134 ) 614

Treasury securities - long position $ 357 11,786 ( 11,883 ) $ 260 ( 75 )

Treasury futures contracts - short position $ ( 9,213 ) ( 23,185 ) 23,429 $ ( 8,969 ) 389

Nine months ended September 30, 2022:

Three months ended March 31, 2023:

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

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

Interest rate swaps - payer $ 47,825 3,000 ( 1,900 ) $ 48,925 ( 232 )

1 unchanged sentence

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

Receiver swaptions $ — ( 150 ) 150 $ — —

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

3 unchanged sentences

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.

Additionally, as of March 31, 2024 and December 31, 2023, we had SOFR futures contracts, measured on a two-year swap equivalent basis, of $ 0.7 billion and $0.9 billion, respectively.

For the three months ended March 31, 2024 and 2023, we recognized a loss of $( 10 ) million and $(3) million, respectively, on our SOFR futures contracts in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Pledged Assets

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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

broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits.

Our brokerage and custody agreements and the clearing organizations utilized by our wholly-owned captive 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.

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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 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.

As of March 31, 2024, 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 March 31, 2024, 5 % 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

The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2024 and December 31, 2023 (in millions):

March 31, 2024

Assets Pledged to Counterparties 1

5 unchanged sentences

Treasury securities - fair value

1,825 — — 1,825

Accrued interest on pledged securities

9 unchanged sentences

Treasury securities - fair value

1,865 — 62 1,927

Accrued interest on pledged securities

3 unchanged sentences

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

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.

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).

Includes $ 39 million and $ 42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2024 and December 31, 2023, respectively.

The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of March 31, 2024 and December 31, 2023 (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

March 31, 2024 December 31, 2023

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

9 unchanged sentences

________________________________

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.

Includes $ 39 million and $ 42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2024 and December 31, 2023, respectively.

Excludes $ 397 million of repledged U.S.

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

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

As of March 31, 2024 and December 31, 2023, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

March 31, 2024 December 31, 2023

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

Agency securities - fair value $ — $ — $ 68 $ 68 $ — $ — $ — $ —

Treasury securities - fair value 12,352 — 20 12,372 11,667 — 306 11,973

4 unchanged sentences

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

The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of September 30, 2023 and December 31, 2022 (in millions):

The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2024 and December 31, 2023 (in millions):

Offsetting of Financial and Derivative Assets

2 unchanged sentences

Financial Instruments Collateral Received 2

September 30, 2023

March 31, 2024

Interest rate swap and swaption agreements, at fair value 1

15 unchanged sentences

Financial Instruments Collateral Pledged 2

September 30, 2023

March 31, 2024

TBA securities, at fair value 1

14 unchanged sentences

Fair Value Measurements

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of September 30, 2023 and December 31, 2022, based on their categorization within the valuation hierarchy (in millions).

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2024 and December 31, 2023, based on their categorization within the valuation hierarchy (in millions).

There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

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

12 unchanged sentences

TBA securities — 58 — — 81 —

Treasury futures

215 — — 56 — —

Total $ 1,836 $ 54,860 $ — $ 1,540 $ 55,009 $ —

2 unchanged sentences

Treasury securities borrowed under reverse repurchase agreements 12,115 — — 10,894 — —

Interest rate swaps 1

Credit default swaps 1

4 unchanged sentences

________________________________

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 March 31, 2024 and December 31, 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $ 3.0 billion and $ 2.9 billion, respectively, based on "Level 2" inputs.

See Notes 2 and 5 for additional details.

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

As of 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.

As of March 31, 2024 and December 31, 2023, 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.

As of March 31, 2024 and December 31, 2023, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 59 million and $ 44 million, respectively.

Net Income (Loss) Per Common Share

3 unchanged sentences

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

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

2023 2022 2023 2022

Three Months Ended

Weighted average number of common shares issued and outstanding 700.1 577.6

6 unchanged sentences

Net income (loss) per common share - diluted $ 0.59 $ ( 0.31 )

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.

For the three months ended March 31, 2023 1.2 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

1 unchanged sentence

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

As of September 30, 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.

As of March 31, 2024 and December 31, 2023, 13,800 , 10,350 , 16,100 , 23,000 and 6,900 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 7.75 % Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E, F and G Preferred Stock", respectively).

As of March 31, 2024 and December 31, 2023, 13,000 , 9,400 , 16,100 , 23,000 and 6,000 shares of Series C, D, E, F and G Preferred Stock, respectively, were issued and outstanding.

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

5 unchanged sentences

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

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

The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2024 (dollars and shares in millions):

Cumulative Redeemable Preferred Stock 1

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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 September 30, 2023.

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

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.

The Series C per annum dividend rate represents the dividend rate in effect as of March 31, 2024.

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.

2 unchanged sentences

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.

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.

During the three months ended March 31, 2024, we sold 25.1 million shares, of our common stock under the sales agreements for proceeds of $ 241 million, or $ 9.61 per common share, respectively, net of offering costs.

As of March 31, 2024, shares of our common stock with an aggregate offering price of $ 0.6 billion remained authorized for issuance under this program 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):

The following table summarizes changes to accumulated OCI for the three months ended March 31, 2024 and 2023 (in millions):

Three Months Ended

September 30,

Nine Months Ended

September 30,

Accumulated Other Comprehensive Income (Loss) 2024 2023

1 unchanged sentence

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 — 24

Ending Balance $ ( 594 ) $ ( 530 )

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.

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

What changed 10-Q

Item 1. Financial Statements