What changed in this filing

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Item 1. Financial Statements

2024-08-05 compared with 2024-05-07 · 164 added, 106 removed, 774 unchanged (26% of the section changed)

3 unchanged sentences

(in millions, except per share data)

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

Agency securities, at fair value (including pledged securities of $ 54,999 and $ 49,575 , respectively)

7 unchanged sentences

Derivative assets, at fair value 131 185

Receivable for investment securities sold (including pledged securities of $ 5 and $0, respectively)

Receivable under reverse repurchase agreements 13,662 11,618

24 unchanged sentences

(in millions, except per share data)

Three Months Ended March 31,

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

2024 2023 2024 2023

Interest income:

5 unchanged sentences

Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 261 ) ( 363 ) ( 732 ) 231

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

Gain on derivative instruments and other investments, net 355 996 1,414 452

Total other gain (loss), net:

( 21 ) 378 476 347

Compensation and benefits 15 14 31 28

10 unchanged sentences

Weighted average number of common shares outstanding - basic

740.0 598.8 721.1 589.1

Weighted average number of common shares outstanding - diluted

740.0 599.7 723.0 590.1

Net income (loss) per common share - basic $ ( 0.11 ) $ 0.43 $ 0.46 $ 0.13

11 unchanged sentences

Shares Amount

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

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

— — — — 286 — 286

Other comprehensive income:

Unrealized gain on available-for-sale securities, net

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

— — — — — ( 65 ) ( 65 )

3 unchanged sentences

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

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

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

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

— — — — ( 48 ) — ( 48 )

6 unchanged sentences

Common dividends declared — — — — ( 268 ) — ( 268 )

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

Balance, June 30, 2024 $ 1,634 766.1 $ 8 $ 15,960 $ ( 8,338 ) $ ( 612 ) $ 8,652

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

Net income — — — — 135 — 135

Other comprehensive income:

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

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

Issuance of common stock — 27.8 — 277 — — 277

Preferred dividends declared — — — — ( 61 ) — ( 61 )

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

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

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

Net income — — — — 395 — 395

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 95 ) ( 95 )

Stock-based compensation, net — 0.9 — 5 — — 5

Issuance of common stock — 70.9 1 674 — — 675

Preferred dividends declared — — — — ( 63 ) — ( 63 )

Common dividends declared — — — — ( 522 ) — ( 522 )

Balance, June 30, 2024 $ 1,634 766.1 $ 8 $ 15,960 $ ( 8,338 ) $ ( 612 ) $ 8,652

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Three Months Ended

Six Months Ended

Operating activities:

Net income (loss) $ 443 $ ( 151 )

Net income $ 395 $ 135

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

3 unchanged sentences

Unrealized (gain) loss on investment securities measured at fair value through net income, net 732 ( 231 )

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

Gain on derivative instruments and other securities, net ( 1,414 ) ( 452 )

(Increase) decrease in other assets 760 ( 36 )

Increase (decrease) in other liabilities ( 749 ) 45

Net cash provided by operating activities 20 26

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

Investing activities:

10 unchanged sentences

Net payments on reverse repurchase agreements ( 1,702 ) ( 1,156 )

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

Net proceeds from derivative instruments 514 620

Net cash provided by (used in) investing activities ( 6,479 ) ( 6,229 )

63 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.

We did not recognize any loss on available for sale securities through net income that we held as of June 30, 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.

114 unchanged sentences

Investment Securities

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.

As of June 30, 2024 and December 31, 2023, our investment portfolio consisted of $60.6 billion and $54.8 billion investment securities, at fair value, respectively, $ 5.3 billion and $ 5.4 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 60 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 $ 30 million and $ 66 million as of June 30, 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 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).

As of June 30, 2024 and December 31, 2023, our investment securities had a net unamortized premium balance of $ 1.1 billion and $1.2 billion, respectively.

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

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

Investment Securities Amortized

11 unchanged sentences

Total investment securities $ 63,599 $ 60,632 $ 56,965 $ 54,824

March 31, 2024

June 30, 2024

Agency RMBS Non-Agency 1

28 unchanged sentences

Total securities, at fair value $ 34,621 $ 25,041 $ 30 $ 14 $ 243 $ 683 $ 60,632

Weighted average coupon as of March 31, 2024

Weighted average coupon as of June 30, 2024 3

4.83 % 5.11 % 4.51 % 5.31 % 6.69 % 11.04 % 5.01 %

Weighted average yield as of March 31, 2024 2

Weighted average yield as of June 30, 2024 4

4.45 % 4.88 % 4.90 % 6.67 % 7.06 % 9.77 % 4.70 %

17 unchanged sentences

Securities remeasured at fair value through earnings:

Par value 29,910 19,503 283 44 307 679 50,726

29,910 19,503 283 44 307 679 50,726

Unamortized discount ( 108 ) ( 59 ) ( 3 ) ( 3 ) ( 7 ) ( 9 ) ( 189 )

10 unchanged sentences

________________________________

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

Non-Agency amounts exclude other mortgage credit investments of $ 60 million and $ 44 million as of June 30, 2024 and December 31, 2023, respectively.

Par value excludes interest-only securities.

As of June 30, 2024 and December 31, 2023, Agency RMBS interest-only securities had a par value of $ 331 million and $ 336 million, respectively, and non-Agency interest-only securities had a par value of $ 97 million and $ 98 million, respectively.

Weighted average coupon excludes interest-only and principle-only securities.

As of June 30, 2024 and December 31, 2023 Agency RMBS interest-only securities have a weighted average coupon of 1.81 % and 1.77 %, respectively, and non-Agency interest-only securities had a weighted average coupon of 0.81 % and 0.71 %, respectively.

Incorporates a weighted average future constant prepayment rate assumption of 9.2 % and 11.4 % based on forward rates as of June 30, 2024 and December 31, 2023, respectively.

As of June 30, 2024 and December 31, 2023, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

June 30, 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 $ 59 million and $ 44 million as of March 31, 2024 and December 31, 2023, respectively.

RMBS excludes other mortgage credit investments of $ 60 million and $ 44 million as of June 30, 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 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.

As of June 30, 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 9.2 % 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 March 31, 2024 and December 31, 2023 according to their estimated weighted average life classification (dollars in millions):

March 31, 2024 December 31, 2023

The following table summarizes our investments as of June 30, 2024 and December 31, 2023 according to their estimated weighted average life classification (dollars in millions):

June 30, 2024 December 31, 2023

Estimated Weighted Average Life of Investment Securities 1

11 unchanged sentences

________________________________

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):

Table excludes other mortgage credit investments of $ 60 million and $ 44 million as of June 30, 2024 and December 31, 2023, respectively.

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

March 31, 2024

June 30, 2024

$ — $ — $ 4,393 $ ( 612 ) $ 4,393 $ ( 612 )

2 unchanged sentences

Gains and Losses on Sale of Investment Securities

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

Three Months Ended March 31,

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2024 and 2023 by investment classification of accounting (in millions):

Three Months Ended June 30,

Investment Securities Available-for-Sale

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ — $ ( 1,377 ) $ ( 1,377 ) $ ( 216 ) $ ( 2,121 ) $ ( 2,337 )

Proceeds from investment securities sold 1

— 1,262 1,262 192 1,890 2,082

Net gain (loss) on sale of investment securities $ — $ ( 115 ) $ ( 115 ) $ ( 24 ) $ ( 231 ) $ ( 255 )

Gross gain on sale of investment securities $ — $ 10 $ 10 $ — $ 10 $ 10

Gross loss on sale of investment securities — ( 125 ) ( 125 ) ( 24 ) ( 241 ) ( 265 )

Net gain (loss) on sale of investment securities $ — $ ( 115 ) $ ( 115 ) $ ( 24 ) $ ( 231 ) $ ( 255 )

Six Months Ended June 30,

Investment Securities Available-for-Sale

Securities 2,3

12 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.

During the three and six months ended June 30, 2024, we received principal repayments on available-for-sale securities of $ 295 million and $ 438 million, respectively.

During the three and six months ended June 30, 2023, we received principal repayments on available-for-sale securities of $ 370 million and $ 549 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 March 31, 2024, we had met all margin call requirements.

As of June 30, 2024, we had met all margin call requirements.

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

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.

As of June 30, 2024 and December 31, 2023, we had $ 56.9 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 March 31, 2024 and December 31, 2023 (dollars in millions):

March 31, 2024 December 31, 2023

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2024 and December 31, 2023 (dollars in millions):

June 30, 2024 December 31, 2023

Remaining Maturity Repurchase Agreements Weighted

10 unchanged sentences

Total $ 56,947 5.50 % 26 $ 50,426 5.60 % 19

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.

As of June 30, 2024 and December 31, 2023, $ 22.5 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 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 June 30, 2024, we had $ 14.3 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 5.47 %.

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 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.

As of June 30, 2024 and December 31, 2023, 47 % and 48 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES").

Reverse Repurchase Agreements

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.

As of June 30, 2024 and December 31, 2023, we had $13.7 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 $13.2 billion and $10.9 billion, respectively.

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.

As of June 30, 2024 and December 31, 2023, $ 3.4 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 March 31, 2024 and December 31, 2023 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location March 31,

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of June 30, 2024 and December 31, 2023 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

Interest rate swaps 1

18 unchanged sentences

________________________________

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

As of June 30, 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 $ 2.7 billion and $ 2.9 billion, respectively.

As of June 30, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $( 6 ) million and $( 6 ) million, respectively.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2024 and December 31, 2023 (dollars in millions):

Pay Fixed / Receive Variable Interest Rate Swaps June 30, 2024

December 31, 2023

10 unchanged sentences

> 7 to ≤ 10 years 13,646 3.59 % 5.33 % 9.3 5,226 3.06 % 5.38 % 9.2

> 10 years 50 3.94 % 5.33 % 12.0 — — % — % 0.0

Total $ 48,696 1.43 % 5.33 % 4.4 $ 44,476 0.57 % 5.37 % 3.0

________________________________

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.

As of June 30, 2024, 86 % and 14 % of notional amount receive index references SOFR and OIS, respectively.

As of 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

Interest Rate Swaps June 30, 2024

December 31, 2023

24 unchanged sentences

Amount Average Fixed Receive

March 31, 2024

June 30, 2024

≤ 1 year $ 3 $ 2 18 $ 150 2.98 % 5.0

2 unchanged sentences

Treasury Securities 1

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

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

5 unchanged sentences

________________________________

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

As of June 30, 2024 and December 31, 2023, short U.S.

Treasury securities totaling $(13.2) billion and $(10.9) billion, at fair value, respectively, had a weighted average yield of 3.80 % and 3.64 %, respectively.

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

As of June 30, 2024 and December 31, 2023, long U.S.

Treasury securities totaling $ 2.4 billion and $ 1.5 billion, at fair value, respectively, had a weighted average yield of 4.51 % and 4.39 %, respectively.

Treasury Futures March 31, 2024 December 31, 2023

Treasury Futures June 30, 2024 December 31, 2023

Years to Maturity Notional

11 unchanged sentences

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

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

TBA Securities by Coupon Notional

19 unchanged sentences

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

As of March 31, 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.

As of June 30, 2024 and December 31, 2023, we had a two-year swap equivalent SOFR futures contract long notional position of $ 0.6 billion and $ 0.9 billion, respectively, with a net carrying value of $( 18 ) million and $( 10 ) million, respectively.

As of June 30, 2024 and December 31, 2023, we had $ 96 million and $ 95 million notional value, respectively, 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 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.

As of June 30, 2024 and December 31, 2023, the CDS had a market value of $( 6 ) million 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 months ended March 31, 2024 and 2023 (in millions):

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 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 March 31, 2024:

Three months ended June 30, 2024:

TBA securities, net $ 8,651 36,523 ( 39,663 ) $ 5,511 $ ( 29 )

2 unchanged sentences

Credit default swaps - buy protection $ ( 96 ) ( 96 ) 96 $ ( 96 ) —

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

Treasury securities - short position $ ( 12,807 ) ( 3,163 ) 1,971 $ ( 13,999 ) 163

Treasury securities - long position $ 1,815 1,672 ( 1,060 ) $ 2,427 ( 12 )

Treasury futures contracts - short position $ ( 3,039 ) ( 582 ) 3,580 $ ( 41 ) 89

Three months ended June 30, 2023:

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

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

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

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

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

Treasury securities - short position $ ( 9,386 ) ( 6,853 ) 7,612 $ ( 8,627 ) 234

Treasury securities - long position $ 6,560 2,841 ( 7,858 ) $ 1,543 ( 130 )

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

Six months ended June 30, 2024:

TBA securities, net $ 5,332 61,913 ( 61,734 ) $ 5,511 $ ( 87 )

Interest rate swaps - payer $ 44,476 11,570 ( 7,350 ) $ 48,696 837

Interest rate swaps - receiver $ ( 1,000 ) — 1,000 $ — ( 9 )

Credit default swaps - buy protection $ ( 96 ) ( 96 ) 96 $ ( 96 ) ( 3 )

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

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

2 unchanged sentences

Treasury futures contracts - short position $ ( 6,429 ) ( 3,966 ) 10,354 $ ( 41 ) 275

Three months ended March 31, 2023:

Six months ended June 30, 2023:

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

Interest rate swaps - payer $ 47,825 3,476 ( 2,575 ) $ 48,726 628

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

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

5 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, 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.

Additionally, as of June 30, 2024 and December 31, 2023, we had SOFR futures contracts, measured on a two-year swap equivalent basis, of $ 0.6 billion and $ 0.9 billion, respectively.

For the three and six months ended June 30, 2024, we recognized a loss of $( 3 ) million and $( 13 ) million, respectively, and for the three and six months ended June 30, 2023, we recognized a loss of and $( 16 ) million and $( 19 ) 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

11 unchanged sentences

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 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.

As of June 30, 2024, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was 2 % of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables).

As of June 30, 2024, 6 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

Assets Pledged to Counterparties

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

March 31, 2024

June 30, 2024

Assets Pledged to Counterparties 1

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

Includes $ 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).

Includes $ 36 million and $ 42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2024 and December 31, 2023, respectively.

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

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

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________________________________

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.

Includes $ 36 million and $ 42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2024 and December 31, 2023, respectively.

Excludes $ 397 million of repledged U.S.

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Assets Pledged from Counterparties

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

As of June 30, 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).

June 30, 2024 December 31, 2023

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

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

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

Offsetting of Financial and Derivative Assets

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Financial Instruments Collateral Received 2

March 31, 2024

June 30, 2024

Interest rate swap and swaption agreements, at fair value 1

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Financial Instruments Collateral Pledged 2

March 31, 2024

June 30, 2024

TBA securities, at fair value 1

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Fair Value Measurements

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

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

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

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

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________________________________

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.

As of June 30, 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 $ 2.7 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 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.

As of June 30, 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 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.

As of June 30, 2024 and December 31, 2023, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 60 million and $ 44 million, respectively.

Net Income (Loss) Per Common Share

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

Three Months Ended

Three Months Ended June 30, Six Months Ended

2024 2023 2024 2023

Weighted average number of common shares issued and outstanding 737.9 597.1 719.0 587.4

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Net income (loss) per common share - diluted $ ( 0.11 ) $ 0.43 $ 0.46 $ 0.13

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.

For the three months ended June 30, 2024 1.9 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 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.

As of June 30, 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 June 30, 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.

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

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

The following table includes a summary of preferred stock depositary shares issued and outstanding as of June 30, 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 March 31, 2024.

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.

The Series C and D per annum dividend rates represent the rates in effect as of June 30, 2024.

The Series C and D dividends accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 5.111 % and 4.332 %, respectively, 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 the Series 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 4.993 % 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.

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

During the three months ended March 31, 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.

During the three and six months ended June 30, 2024, we sold 45.8 million and 70.9 million shares, respectively, of our common stock under the sales agreements for proceeds of $ 434 million and $ 675 million, respectively, or $ 9.49 and $ 9.53 per common share, respectively, net of offering costs.

As of June 30, 2024, shares of our common stock with an aggregate offering price of $ 1.0 billion remained authorized for issuance under this program through December 31, 2025.

Accumulated Other Comprehensive Income (Loss)

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

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2024 and 2023 (in millions):

Three Months Ended

Six Months Ended

Accumulated Other Comprehensive Income (Loss) 2024 2023 2024 2023

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OCI before reclassifications

( 18 ) ( 89 ) ( 95 ) 29

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

1 unchanged sentence

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