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Item 8. Financial Statements and Supplementary Data

2025-02-21 compared with 2024-02-22 · 124 added, 126 removed, 1035 unchanged (19% of the section changed)

19 unchanged sentences

Report of Independent Registered Public Accounting Firm

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

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

Opinion on Internal Control over Financial Reporting

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Report of Independent Registered Public Accounting Firm

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

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

Opinion on the Financial Statements

44 unchanged sentences

Derivative assets, at fair value 205 185

Receivable for investment securities sold (including pledged securities of $0 and $ 119 , respectively)

Receivable under reverse repurchase agreements 17,137 11,618

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Interest expense 2,931 2,287 625

Net interest income ( 246 ) 965 1,286

Net interest income (expense) 18 ( 246 ) 965

Other gain (loss), net:

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Stock-based compensation, net — 1.1 — 2 — — 2

Issuance of preferred stock 145 — — — — — 145

Issuance of common stock — 56.0 1 525 — — 526

Repurchase of common stock — ( 4.7 ) — ( 51 ) — — ( 51 )

2 unchanged sentences

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

Net loss — — — — ( 1,190 ) — ( 1,190 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 973 ) ( 973 )

Net income — — — — 155 — 155

Other comprehensive income:

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

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

Issuance of preferred stock 145 — — — — — 145

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

Repurchase of common stock — ( 4.7 ) — ( 51 ) — — ( 51 )

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

2 unchanged sentences

Net income — — — — 863 — 863

Other comprehensive income:

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

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net — — — — — ( 74 ) ( 74 )

Stock-based compensation, net — 1.0 — 18 — — 18

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Increase (decrease) in other liabilities ( 701 ) 904 69

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

Net cash provided by (used in) operating activities 86 ( 118 ) 1,013

Investing activities:

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Net proceeds from derivative instruments 803 989 2,907

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

Net cash provided by (used in) investing activities ( 11,169 ) ( 14,672 ) 11,188

Financing activities:

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however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair value in net income as a component of other gain (loss).

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

We did not recognize any loss on available for sale securities through net income that we held as of December 31, 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.

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

We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments.

Pursuant to ASC Topic 860, Transfers and Servicing , we account for

repurchase agreements as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest.

We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement

and we receive the related principal and interest payments.

Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase agreements as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest.

Our repurchase agreements typically have maturities of less than one year.

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The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

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

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

If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid.

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The pricing sources utilize various valuation approaches, including market and income approaches.

For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for forward contracts in the TBA market of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate.

For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for TBA securities having the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate.

For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value.

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Goodwill is not subject to amortization but must be tested for impairment at least annually and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred.

If a qualitative analysis indicates that there may be an

impairment, a quantitative analysis is performed.

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

If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed.

The quantitative analysis requires that we compare the carrying value of the

identified reporting unit comprising the goodwill to the reporting unit's fair value.

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

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December 31, 2024

Agency RMBS Non-Agency 1

Investment Securities Fannie Mae Freddie Mac Ginnie

Mae RMBS CMBS CRT Total

December 31, 2023

Investment Securities Agency RMBS RMBS CMBS CRT Total Agency RMBS RMBS CMBS CRT Total

Available-for-sale securities:

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Total securities, at fair value $ 65,464 $ 15 $ 236 $ 633 $ 66,348 $ 53,794 $ 34 $ 273 $ 723 $ 54,824

Weighted average coupon as of December 31, 2023

________________________________

Weighted average yield as of December 31, 2023 2

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

December 31, 2022

Agency RMBS Non-Agency 1

Investment Securities Fannie

Mae Freddie Mac Ginnie

Mae RMBS CMBS CRT Total

Available-for-sale securities:

$ 4,696 $ 1,535 $ 1 $ — $ — $ — $ 6,232

Unamortized discount

( 1 ) — — — — — ( 1 )

Unamortized premium

275 93 — — — — 368

Amortized cost 4,970 1,628 1 — — — 6,599

Gross unrealized gains

— — — — — — —

Gross unrealized losses

( 500 ) ( 172 ) — — — — ( 672 )

Total available-for-sale securities, at fair value 4,470 1,456 1 — — — 5,927

Securities remeasured at fair value through earnings:

Par value 24,231 11,444 2 112 609 773 37,171

Unamortized discount ( 61 ) ( 37 ) — ( 4 ) ( 8 ) ( 6 ) ( 116 )

Unamortized premium 855 352 — 3 4 12 1,226

Amortized cost 25,025 11,759 2 111 605 779 38,281

Gross unrealized gains 13 8 — — — 8 29

Gross unrealized losses ( 2,307 ) ( 937 ) — ( 21 ) ( 38 ) ( 30 ) ( 3,333 )

Total securities remeasured at fair value through earnings 22,731 10,830 2 90 567 757 34,977

Total securities, at fair value $ 27,201 $ 12,286 $ 3 $ 90 $ 567 $ 757 $ 40,904

Weighted average coupon as of December 31, 2022

3.79 % 3.92 % 4.66 % 4.52 % 6.06 % 8.48 % 3.94 %

Weighted average yield as of December 31, 2022 2

3.17 % 3.41 % 2.58 % 4.34 % 6.02 % 7.93 % 3.37 %

________________________________

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

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

Non-Agency amounts exclude other mortgage credit investments of $ 64 million and $ 44 million as of December 31, 2024 and 2023, respectively.

Par value excludes interest-only securities.

As of December 31, 2024 and 2023, Agency RMBS interest-only securities had a par value of $ 307 million and $ 336 million, respectively, and non-Agency interest-only securities had a par value of $ 93 million and $ 98 million, respectively.

The following table presents the Company's Agency RMBS portfolio by issuing GSE or U.S.

Government agency at fair value as of December 31, 2024 and 2023 (in millions):

Investment Type 2024

Fannie Mae $ 35,220 $ 33,119

Freddie Mac 30,216 20,393

Ginnie Mae 28 282

Total $ 65,464 $ 53,794

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

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

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

During fiscal years 2024, 2023 and 2022, we received principal repayments on available-for-sale securities of $ 0.6 billion, $ 0.7 billion and $ 1.5 billion, respectively.

Repurchase Agreements and Reverse Repurchase Agreements

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> 1 to ≤ 3 months 3,782 4.68 % 39 7,933 5.55 % 64

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

Investment Securities Repo 59,362 4.76 % 11 48,879 5.60 % 19

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Treasury futures - short Derivative assets, at fair value 83 —

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

Total derivative assets, at fair value

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As of December 31, 2024 and 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 $ 2.3 billion and $ 2.9 billion, respectively.

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

As of 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 $( 6 ) million.

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

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Amount Average

Variable Receive

(Years) Notional

Amount Average

≤ 1 years $ 13,750 0.14 % 5.37 % 0.4 $ 5,250 0.03 % 4.30 % 0.7

Variable Receive

≤ 1 year $ 8,500 0.14 % 4.42 % 0.5 $ 13,750 0.14 % 5.37 % 0.4

> 1 to ≤ 3 years 10,550 0.22 % 4.45 % 1.8 15,800 0.17 % 5.36 % 2.0

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> 7 to ≤ 10 years 12,646 3.52 % 4.49 % 8.8 5,226 3.06 % 5.38 % 9.2

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

Total $ 39,646 1.46 % 4.46 % 4.4 $ 44,476 0.57 % 5.37 % 3.0

________________________________

December 31, 2023 amounts are net of $ 1 billion receive fixed interest rate swaps.

Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount)

SOFR 80 % 81 %

OIS 20 % 19 %

Total 100 % 100 %

As of December 31, 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 December 31, 2024

December 31, 2023

Years to Maturity Notional

Amount Average

Fixed Receive

(Years) Notional

Amount Average

Fixed Receive

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

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Pay index references SOFR.

Payer Swaptions Option Underlying Payer Swap

Current Option Expiration Date Cost Basis Fair Value Average

Months to Current Option

Expiration Date Cost Basis Fair Value Average

Months to Option

Expiration Date Notional

Amount Average Fixed Pay

December 31, 2023

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

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

December 31, 2022

≤ 1 year $ 26 $ 145 6 $ 1,300 2.04 % 9.4

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

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

December 31, 2024 ≤ 1 year $ 23 $ 38 5 $ 2,000 4.16 % 10.0

December 31, 2023 ≤ 1 year $ 28 $ 86 5 $ 1,250 2.61 % 10.0

________________________________

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Receiver Swaptions Option Underlying Receiver Swap

Current Option Expiration Date Cost Basis Fair Value Average

Months to Current Option

Expiration Date

Cost Basis Fair Value Average

Months to Option

Expiration Date Notional

Amount Average Fixed Receive

December 31, 2023

≤ 1 year $ 3 $ 3 24 $ 150 2.98 % 5.0

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

December 31, 2024 ≤ 1 year $ 3 $ 1 11 $ 150 2.98 % 5.0

December 31, 2023 ≤ 1 year $ 3 $ 3 24 $ 150 2.98 % 5.0

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Pay index references SOFR.

Treasury Securities 1

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

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

As of December 31, 2023 and 2022, we had $ 95 million and $ 215 million, respectively, notional value of centrally cleared credit default swaps ("CDS") outstanding that reference the Markit CDX Investment Grade or High Yield Grade Index, maturing in December 2028 and June 2027, respectively.

Under the terms of our CDS, we pay fixed periodic payments equal to 1% per annum of the notional value and we are entitled to receive payments for qualified credit events.

As of December 31, 2023 and 2022, the CDS had a market value of $( 6 ) million and $( 2 ) million, respectively, and a net carrying value of zero dollars, net of variation margin settlements.

Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the CDS asset or liability.

As of December 31, 2024 and 2023, we held SOFR futures contracts with a long notional position of $ 1.2 billion and $ 0.9 billion, respectively, measured on a two-year swap equivalent basis, with a net carrying value of $( 7 ) million and $( 10 ) million, respectively.

As of December 31, 2023, we held centrally cleared credit default swaps ("CDS") with a notional value of $ 95 million that referenced the Markit CDX Investment Grade or High Yield Grade Index, maturing in December 2028.

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

As of December 31, 2023, the credit default swaps had a market value of $( 6 ) million and a carrying value of zero dollars, net of variation margin settlements.

Pursuant to rules governing central clearing activities, we recognized 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

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TBA securities, net $ 5,332 123,959 ( 122,336 ) $ 6,955 $ ( 123 )

Forward settling non-Agency securities $ — — — $ — —

Interest rate swaps - payer $ 44,476 12,095 ( 16,925 ) $ 39,646 1,020

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

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

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

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

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

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

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

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

Receiver swaptions $ — ( 150 ) 150 $ — —

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

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

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

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

Additionally, as of December 31, 2024 and 2023, we held SOFR futures contracts with a long notional position of $ 1.2 billion and $ 0.9 billion, respectively, measured on a two-year swap equivalent basis.

For fiscal years December 31, 2024 and 2023, we recognized a gain (loss) of $ 13 million and $( 10 ) 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

Our funding agreements require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries.

fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries.

Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract.

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

As of December 31, 2024, 9 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

Assets Pledged to Counterparties

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Treasury securities - fair value

1,865 — 62 1,927

Accrued interest on pledged securities

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> 2 and ≤ 3 months 146 149 — 5,524 5,947 19

> 3 months — — — 1,739 1,870 6

Total $ 62,168 $ 64,882 $ 279 $ 52,072 $ 53,934 $ 217

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

Agency securities - fair value $ — $ — $ 17 $ 17 $ — $ — $ — $ —

Treasury securities - fair value 16,885 — — 16,885 11,667 — 306 11,973

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— 22 — — 15 —

— 39 — — 89 —

TBA securities — 61 — — 81 —

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As of December 31, 2024 and 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 $ 2.3 billion and $ 2.9 billion, respectively, based on "Level 2" inputs.

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

As of December 31, 2024 and 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was a net asset (liability) of $ 0 million and $( 6 ) million, respectively, based on "Level 2" inputs.

See Notes 2 and 5 for additional details.

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

As of December 31, 2023 and 2022, the fair

value of our repurchase agreements approximated cost, as the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market.

As of December 31, 2024 and 2023, the fair value of our repurchase agreements approximated cost, given their short-term nature (less than one year) and 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.

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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 ("the Board").

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.

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Net income (loss) per common share - diluted $ 0.93 $ 0.05 $ ( 2.41 )

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

For the year ended December 31, 2022, 1.1 million of potentially dilutive unvested time- and performance-based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because including them would have been anti-dilutive for the period.

Stockholders' Equity

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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 December 31, 2023.

The Series C dividend accrues at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 5.111 %, per annum, resetting quarterly in accordance with the certificate of designations for such series and the Adjustable Interest Rate (LIBOR) Act of 2021 (the “LIBOR 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, D and E per annum dividend rates represent the rates in effect as of December 31, 2024.

The Series C, D and E dividends accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus spreads of 5.111 %, 4.332 % and 4.993 %, 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 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 4.697 % 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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At-the-Market Offering Program

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

We are authorized by our Board 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.

The following table includes a summary of shares of our common stock sold under the sales agreements during fiscal years 2024, 2023 and 2022 (in millions, except for per share data).

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

As of December 31, 2024, shares of our common stock with an aggregate offering price of $ 1.2 billion remained authorized for issuance under this program through December 31, 2025.

2 unchanged sentences

Fiscal Year 2023 $ 9.14 118.8 $ 1,085

Fiscal Year 2022 $ 9.39 56.0 $ 526

Common Stock Repurchase Program

We are authorized by our Board of Directors to repurchase shares of our common stock in open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the "Exchange Act").

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

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

We are authorized by our Board to repurchase shares of our common stock in open market, through privately negotiated transactions, or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended.

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

During fiscal years 2023 and 2024, we did not repurchase shares under this program.

As of December 31, 2024, shares of our common stock with an aggregate repurchase price of $ 1.0 billion remained authorized for repurchase through December 31, 2026.

2 unchanged sentences

Fiscal Year 2022 $ 10.78 4.7 $ 51

Fiscal Year 2021 2

$ 15.96 17.7 $ 281

________________________________

Average price paid per share includes transaction costs.

Includes December 2020 share repurchases that settled in January 2021 totaling $ 24 million, or 1.6 million shares.

Distributions to Stockholders

23 unchanged sentences

Fiscal year 2023 $ 896 $ 1.440000

Fiscal year 2022 $ 775 $ 1.440000

________________________________

26 unchanged sentences

Fiscal year 2023 $ 1.560000 $ 1.560000 $ — $ — $ — $ 1.560000

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

________________________________

8 unchanged sentences

Ending Balance $ ( 591 ) $ ( 517 ) $ ( 672 )

Segment Reporting

Our investment portfolio consists primarily of Agency RMBS, and we fund our investments primarily through collateralized borrowings structured as repurchase agreements.

As part of our operations, we are exposed to market risks, including interest rate, prepayment, extension, spread, and credit risks.

Our portfolio is managed as a whole, with investment and hedging decisions assessed collectively by the Chief Operating Decision Maker (CODM).

The CODM, represented by our Chief Executive Officer with the support of our Executive Management Committee, allocates resources and evaluates financial performance by considering the market risks identified above.

The CODM also considers factors such as total assets and repurchase agreements outstanding, as reported on the consolidated balance sheet;

our TBA position, as disclosed in Note 5.

Derivative and Other Hedging Instruments ;

our ability to hedge certain risks;

and our intention to qualify as a REIT.

Consequently, the Company operates as a single reportable segment, as reflected in the accompanying consolidated financial statements and notes.

The CODM assesses performance using comprehensive income (loss), as reported on the consolidated statement of comprehensive income (loss).

Comprehensive income (loss) is a key determinant of the Company’s economic return, calculated as the change in tangible stockholders’ equity attributable to common stockholders plus common stock dividends declared, divided by the prior period’s tangible stockholders’ equity attributable to common stockholders.

This measure is used to monitor actual results, benchmark performance against peers, and inform management’s compensation.

Additionally, the CODM also evaluates consolidated expense information, including interest expense, compensation and benefits, and other operating expenses, as significant metrics in decision-making.

Stock-Based Compensation

During fiscal years 2024, 2023 and 2022, we granted RSU awards to employees with a grant date fair value of $ 10 million, $ 11 million and $ 8 million, respectively, which generally vest annually over a three-year period, and we granted RSU awards to independent directors of $ 1.2 million, $ 1.2 million and $ 1.0 million, respectively, which vest at the end of a one-year period from grant date.

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

period provided that specified performance criteria are met.

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

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

11 unchanged sentences

The following tables summarizes awards under our 2016 Equity Plan for fiscal years 2024, 2023 and 2022:

RSU Awards RSU Awards Weighted Average Grant Date Fair Value 1

RSU Awards RSU Awards 1

Weighted Average Grant Date Fair Value 2

Weighted Average Vest Date Fair Value

10 unchanged sentences

( 703,557 ) $ 12.28 $ 9.88

( 4,312 ) $ 13.43 $ —

Unvested balance as of December 31, 2023 2,044,081 $ 9.79 $ —

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________________________________

There were no forfeitures of awards during the fiscal years 2023 and 2024.

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

PSU Awards PSUs

at Target Performance Level Weighted Average Grant Date Fair Value 1

at Target Performance Level 1

Weighted Average Grant Date Fair Value 2

Weighted Average Vest Date Fair Value

3 unchanged sentences

279,484 $ — $ —

Performance adjustment - base grant 2

( 938,540 ) $ 13.02 $ 13.85

Performance adjustment - accrued PSU dividend equivalents 2

70,953 $ — $ —

( 466,224 ) $ 12.86 $ 16.52

( 13,826 ) $ 15.54 $ —

Unvested balance as of December 31, 2022 4

2,380,575 $ 12.87 $ —

950,840 $ 10.59 $ —

Accrued PSU dividend equivalents

402,368 $ — $ —

Performance adjustment - March 2021 base grant ( 210,425 ) $ 15.96 $ —

Performance adjustment - accrued PSU dividend equivalents 3

( 87,375 ) $ — $ —

( 699,128 ) $ 14.18 $ 11.48

Unvested balance as of December 31, 2023 2,736,855 $ 10.03 $ —

2 unchanged sentences

489,216 $ — $ —

Performance adjustment - base grant 2

Performance adjustment - March 2022 base grant 3

( 142,273 ) $ 12.99 $ —

5 unchanged sentences

_______________________

There were no forfeitures of awards during the periods presented.

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

9 unchanged sentences

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

What changed 10-K

Item 8. Financial Statements and Supplementary Data