What changed in this filing

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Item 1. Financial Statements

2024-11-01 compared with 2024-08-05 · 143 added, 124 removed, 814 unchanged (25% of the section changed)

3 unchanged sentences

(in millions, except per share data)

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Agency securities, at fair value (including pledged securities of $ 62,331 and $ 49,575 , respectively)

7 unchanged sentences

Derivative assets, at fair value 157 185

Receivable for investment securities sold (including pledged securities of $ 1,612 and $0, respectively)

Receivable under reverse repurchase agreements 13,494 11,618

24 unchanged sentences

(in millions, except per share data)

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

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

2024 2023 2024 2023

4 unchanged sentences

Other gain (loss), net:

Loss on sale of investment securities, net ( 115 ) ( 255 ) ( 206 ) ( 336 )

Gain (loss) on sale of investment securities, net 106 ( 534 ) ( 100 ) ( 870 )

Unrealized gain (loss) on investment securities measured at fair value through net income, net 1,742 ( 1,356 ) 1,010 ( 1,125 )

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

Gain (loss) on derivative instruments and other investments, net ( 1,408 ) 1,574 6 2,026

Total other gain (loss), net:

28 unchanged sentences

Shares Amount

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

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

— — — — ( 392 ) — ( 392 )

6 unchanged sentences

Common dividends declared — — — — ( 227 ) — ( 227 )

Balance, September 30, 2023 $ 1,634 648.0 $ 6 $ 14,901 $ ( 8,283 ) $ ( 808 ) $ 7,450

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

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

— — — — 346 — 346

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

Other comprehensive income:

Unrealized gain on available-for-sale securities, net

— — — — — 200 200

3 unchanged sentences

Common dividends declared — — — — ( 295 ) — ( 295 )

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

Balance, September 30, 2024 $ 1,634 844.2 $ 8 $ 16,746 $ ( 8,320 ) $ ( 412 ) $ 9,656

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

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

2 unchanged sentences

Common dividends declared — — — — ( 650 ) — ( 650 )

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

Balance, September 30, 2023 $ 1,634 648.0 $ 6 $ 14,901 $ ( 8,283 ) $ ( 808 ) $ 7,450

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

Net income — — — — 741 — 741

Other comprehensive loss:

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

Other comprehensive income:

Unrealized gain on available-for-sale securities, net — — — — — 105 105

Stock-based compensation, net — 0.9 — 10 — — 10

2 unchanged sentences

Common dividends declared — — — — ( 817 ) — ( 817 )

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

Balance, September 30, 2024 $ 1,634 844.2 $ 8 $ 16,746 $ ( 8,320 ) $ ( 412 ) $ 9,656

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Six Months Ended

Nine Months Ended

September 30,

Operating activities:

Net income $ 395 $ 135

Net income (loss) $ 741 $ ( 257 )

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

6 unchanged sentences

Increase (decrease) in other liabilities ( 697 ) 85

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

Net cash provided by (used in) operating activities 7 ( 87 )

Investing activities:

10 unchanged sentences

Net payments on reverse repurchase agreements ( 1,343 ) ( 1,938 )

Net proceeds from derivative instruments 514 620

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

Net proceeds from (payments on) derivative instruments ( 461 ) 1,515

Net cash used in investing activities ( 16,095 ) ( 16,172 )

Financing activities:

4 unchanged sentences

Cash dividends paid ( 893 ) ( 733 )

Net cash provided by (used in) financing activities 6,614 5,553

Net cash provided by financing activities 16,103 15,807

Net change in cash, cash equivalents and restricted cash 15 ( 452 )

55 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 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.

We did not recognize any loss on available for sale securities through net income that we held as of September 30, 2024 because, as of such date, we neither intended to sell any securities 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 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.

As of September 30, 2024 and December 31, 2023, our investment portfolio consisted of $68.9 billion and $54.8 billion investment securities, at fair value, respectively, $ 4.1 billion and $ 5.4 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 61 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 $ 1 million and $ 66 million as of September 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 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).

As of September 30, 2024 and December 31, 2023, our investment securities had a net unamortized premium balance of $ 0.9 billion and $ 1.2 billion, respectively.

The following tables summarize our investment securities as of September 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.

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Investment Securities Amortized

11 unchanged sentences

Total investment securities $ 69,961 $ 68,937 $ 56,965 $ 54,824

June 30, 2024

September 30, 2024

Agency RMBS Non-Agency 1

28 unchanged sentences

Total securities, at fair value $ 38,042 $ 29,972 $ 30 $ 15 $ 258 $ 620 $ 68,937

Weighted average coupon as of June 30, 2024 3

Weighted average coupon as of September 30, 2024 3

4.81 % 5.13 % 4.51 % 5.28 % 6.68 % 11.20 % 5.01 %

Weighted average yield as of June 30, 2024 4

Weighted average yield as of September 30, 2024 4

4.44 % 4.86 % 4.98 % 6.69 % 7.40 % 8.96 % 4.68 %

30 unchanged sentences

________________________________

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

Non-Agency amounts exclude other mortgage credit investments of $ 61 million and $ 44 million as of September 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.

As of September 30, 2024 and December 31, 2023, Agency RMBS interest-only securities had a par value of $ 319 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

As of September 30, 2024 and December 31, 2023 Agency RMBS interest-only securities have a weighted average coupon of 1.83 % 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 13.2 % and 11.4 % based on forward rates as of September 30, 2024 and December 31, 2023, respectively.

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

September 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 $ 60 million and $ 44 million as of June 30, 2024 and December 31, 2023, respectively.

RMBS excludes other mortgage credit investments of $ 61 million and $ 44 million as of September 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.

1 unchanged sentence

The actual maturities of our Agency and high credit quality non-Agency RMBS are primarily affected by principal prepayments and to a lesser degree the contractual lives of the underlying mortgages and periodic contractual principal repayments.

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

As of 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.

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

As of September 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 13.2 % 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 June 30, 2024 and December 31, 2023 according to their estimated weighted average life classification (dollars in millions):

June 30, 2024 December 31, 2023

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

September 30, 2024 December 31, 2023

Estimated Weighted Average Life of Investment Securities 1

11 unchanged sentences

________________________________

Table excludes other mortgage credit investments of $ 60 million and $ 44 million as of June 30, 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 June 30, 2024 and December 31, 2023 (in millions):

Table excludes other mortgage credit investments of $ 61 million and $ 44 million as of September 30, 2024 and December 31, 2023, respectively.

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

June 30, 2024

September 30, 2024

$ — $ — $ 4,430 $ ( 412 ) $ 4,430 $ ( 412 )

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 six months ended June 30, 2024 and 2023 by investment classification of accounting (in millions):

Three Months Ended June 30,

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, 2024 and 2023 by investment classification of accounting (in millions):

Three Months Ended September 30,

Investment Securities Available-for-Sale

Securities 2,3

Fair Value Option Securities Total Available-for-Sale

Securities 2,3

Fair Value Option Securities Total

6 unchanged sentences

Net gain (loss) on sale of investment securities $ — $ 106 $ 106 $ — $ ( 534 ) $ ( 534 )

Six Months Ended June 30,

Nine Months Ended September 30,

Investment Securities Available-for-Sale

13 unchanged sentences

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

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.

During the three and nine months ended September 30, 2024, we received principal repayments on available-for-sale securities of $ 444 million and $ 882 million, respectively.

During the three and nine months ended September 30, 2023, we received principal repayments on available-for-sale securities of $ 547 million and $ 1.1 billion, 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 June 30, 2024, we had met all margin call requirements.

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

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

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.

As of September 30, 2024 and December 31, 2023, we had $ 66.0 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 June 30, 2024 and December 31, 2023 (dollars in millions):

June 30, 2024 December 31, 2023

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

September 30, 2024 December 31, 2023

Remaining Maturity Repurchase Agreements Weighted

10 unchanged sentences

Total $ 65,979 5.22 % 14 $ 50,426 5.60 % 19

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.

As of September 30, 2024 and December 31, 2023, $ 31.7 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 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 September 30, 2024, we had $ 26.7 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 1 day and a weighted average interest rate of 5.15 %.

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 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").

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 June 30, 2024 and December 31, 2023, respectively.

As of September 30, 2024 and December 31, 2023, 50 % 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 47 % and 43 % of our repurchase agreement funding outstanding as of September 30, 2024 and December 31, 2023, respectively.

Reverse Repurchase Agreements

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.

As of September 30, 2024 and December 31, 2023, we had $13.5 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 $13.0 billion and $10.9 billion, respectively.

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.

As of September 30, 2024 and December 31, 2023, $ 4.1 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 June 30, 2024 and December 31, 2023 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

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

Derivative and Other Hedging Instruments Balance Sheet Location September 30,

Interest rate swaps 1

2 unchanged sentences

TBA and forward settling non-Agency securities Derivative assets, at fair value 49 81

Treasury futures - short Derivative assets, at fair value 3 —

SOFR futures contracts - long Derivative assets, at fair value 7 —

Total derivative assets, at fair value

14 unchanged sentences

________________________________

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

As of September 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 $ 1.4 billion and $ 2.9 billion, respectively.

As of September 30, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was a net asset (liability) of $( 7 ) million and $( 6 ) million, respectively.

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

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

December 31, 2023

10 unchanged sentences

> 7 to ≤ 10 years 12,146 3.51 % 4.96 % 9.0 5,226 3.06 % 5.38 % 9.2

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

Total $ 39,146 1.43 % 4.94 % 4.5 $ 44,476 0.57 % 5.37 % 3.0

________________________________

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

As of September 30, 2024, 82 % and 18 % 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 June 30, 2024

Interest Rate Swaps September 30, 2024

December 31, 2023

6 unchanged sentences

> 1 to ≤ 3 years $ — — % — % 0.0 $ ( 1,000 ) 5.38 % 4.65 % 1.5

Total $ — — % — % 0.0 $ ( 1,000 ) 5.38 % 4.65 % 1.5

________________________________

7 unchanged sentences

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

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

________________________________

5 unchanged sentences

Amount Average Fixed Receive

June 30, 2024

≤ 1 year $ 3 $ 2 18 $ 150 2.98 % 5.0

September 30, 2024

> 1 year ≤ 2 years $ 3 $ 2 15 $ 150 2.98 % 5.0

December 31, 2023

1 unchanged sentence

Treasury Securities 1

June 30, 2024 December 31, 2023

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

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

Treasury securities totaling $(13.0) billion and $(10.9) billion, at fair value, respectively, had a weighted average yield of 3.69 % and 3.64 %, respectively.

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

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

Treasury securities totaling $ 2.6 billion and $ 1.5 billion, at fair value, respectively, had a weighted average yield of 4.06 % and 4.39 %, respectively.

Treasury Futures June 30, 2024 December 31, 2023

Treasury Futures September 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.

June 30, 2024 December 31, 2023

September 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 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 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.

As of September 30, 2024 and December 31, 2023, we held SOFR futures contracts with a long notional position of $ 1.0 billion and $ 0.9 billion, respectively, measured on a two-year swap equivalent basis, with a net carrying value of $( 5 ) million and $( 10 ) million, respectively.

As of September 30, 2024 and December 31, 2023, we held centrally cleared credit default swaps ("CDS") with a notional value of $ 96 million and $ 95 million, respectively, that reference the Markit CDX Investment Grade or High Yield Grade Index, maturing in June 2029 and December 2028, respectively.

Under the terms of these contracts, we make fixed periodic payments equal to 1% per annum of the notional value and we are entitled to receive payments in the event of qualifying credit events.

As of September 30, 2024 and December 31, 2023, the credit default swaps had a market value of $( 7 ) million and $( 6 ) million, respectively, and a 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 six months ended June 30, 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 nine months ended September 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 June 30, 2024:

Three months ended September 30, 2024:

TBA securities, net $ 5,511 27,804 ( 29,151 ) $ 4,164 $ 98

Interest rate swaps - payer $ 48,696 25 ( 9,575 ) $ 39,146 ( 1,036 )

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

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

3 unchanged sentences

Treasury futures contracts - short position $ ( 41 ) ( 41 ) 41 $ ( 41 ) ( 17 )

Three months ended June 30, 2023:

Three months ended September 30, 2023:

TBA securities, net $ 10,289 35,448 ( 43,386 ) $ 2,351 $ ( 148 )

6 unchanged sentences

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

Six months ended June 30, 2024:

Nine months ended September 30, 2024:

TBA securities, net $ 5,332 89,717 ( 90,885 ) $ 4,164 $ 11

7 unchanged sentences

Treasury futures contracts - short position $ ( 6,429 ) ( 4,007 ) 10,395 $ ( 41 ) 258

Six months ended June 30, 2023:

Nine months ended September 30, 2023:

TBA securities, net $ 19,050 138,448 ( 155,147 ) $ 2,351 $ ( 172 )

8 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 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.

Additionally, as of September 30, 2024 and December 31, 2023, we held SOFR futures contracts with a long notional position of $ 1.0 billion and $ 0.9 billion, respectively, measured on a two-year swap equivalent basis.

For the three and nine months ended September 30, 2024, we recognized a gain of $ 36 million and $ 23 million, respectively, and for the three and nine months ended September 30, 2023, we recognized a loss of and $( 6 ) million and $( 25 ) 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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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 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.

As of September 30, 2024, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 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 September 30, 2024, 7 % 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 June 30, 2024 and December 31, 2023 (in millions):

June 30, 2024

September 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 $ 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.

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 June 30, 2024 and December 31, 2023 (in millions).

Includes $ 37 million and $ 42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 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 .

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2

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________________________________

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.

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

Includes $ 37 million and $ 42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2024 and December 31, 2023, respectively.

Excludes $ 33 million and $ 397 million of repledged U.S.

Treasury securities received as collateral from counterparties as of September 30, 2024 and December 31, 2023, respectively.

Assets Pledged from Counterparties

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

As of September 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).

September 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 June 30, 2024 and December 31, 2023 (in millions):

Offsetting of Financial and Derivative Assets

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Financial Instruments Collateral Received 2

June 30, 2024

September 30, 2024

Interest rate swap and swaption agreements, at fair value 1

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Financial Instruments Collateral Pledged 2

June 30, 2024

September 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 June 30, 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 September 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.

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

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

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TBA securities — 49 — — 81 —

SOFR Futures 7 — — — — —

Treasury futures

Total $ 2,580 $ 69,084 $ — $ 1,540 $ 55,009 $ —

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________________________________

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.

As of September 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 $ 1.4 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 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.

As of September 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 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.

As of September 30, 2024 and December 31, 2023, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 61 million and $ 44 million, respectively.

Net Income (Loss) Per Common Share

Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time and performance-based restricted stock units ("RSUs") outstanding for the period granted under our long-term incentive program to employees and non-employee Board of Directors.

Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per common share.

Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time- and performance-based restricted stock units ("RSUs") that were outstanding during the period, which were granted under our long-term incentive program to employees and non-employee members of the Board of Directors.

Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless doing so would reduce a loss or increase income per common share.

Our potential common stock equivalents consist of unvested time- and performance-based RSUs.

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

Three Months Ended June 30, Six Months Ended

Three Months Ended September 30, Nine Months Ended

September 30,

2024 2023 2024 2023

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Net income (loss) per common share - diluted $ 0.39 $ ( 0.68 ) $ 0.86 $ ( 0.58 )

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.

For the three and nine months ended September 30, 2023, 1.3 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 including them 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 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.

As of September 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 September 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 June 30, 2024 (dollars and shares in millions):

The following table includes a summary of preferred stock depositary shares issued and outstanding as of September 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 and D per annum dividend rates represent the rates in effect as of June 30, 2024.

The Series C and D per annum dividend rates represent the rates in effect as of September 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”).

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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 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.

During the three and nine months ended September 30, 2024, we sold 78.1 million and 149.0 million shares, respectively, of our common stock under the sales agreements for proceeds of $ 781 million and $ 1,456 million, respectively, or $ 10.00 and $ 9.78 per common share, respectively, net of offering costs.

As of September 30, 2024, shares of our common stock with an aggregate offering price of $ 189 million remained authorized for issuance under this program through December 31, 2025.

Subsequent Events for additional information regarding our At-the-Market Offering Program.

Accumulated Other Comprehensive Income (Loss)

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

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

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Accumulated Other Comprehensive Income (Loss) 2024 2023 2024 2023

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Ending Balance $ ( 412 ) $ ( 808 ) $ ( 412 ) $ ( 808 )

Subsequent Events

At-the-Market Offering Program

During October 2024, we entered into amendments to the agreements with the sales agents that govern our At-the-Market Offering Program (see Note 9.

Stockholders' Equity).

Pursuant to these amendments and the prospectus supplement filed in connection with the amendments, we may 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 $ 1.5 billion from and after the date of the amendment through December 31, 2025.

Common Stock Repurchase Program

We have maintained a stock repurchase plan that enables us to repurchase shares of our common stock from time to time.

We intend to repurchase shares under the stock repurchase program only when the repurchase price is less than our then-current estimate of tangible net book value per common share.

Our existing stock repurchase plan, which had $1 billion in remaining capacity, was due to expire on December 31, 2024.

During October 2024, our Board of Directors terminated this stock repurchase plan and replaced it with a new plan authorizing us to repurchase up to $ 1 billion of common stock through December 31, 2026.

Under the new plan, we may repurchase shares in the 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 Exchange Act.

Our stock repurchase program may be limited or terminated at any time without prior notice.

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