What changed in this filing

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Item 1. Financial Statements

2025-05-02 compared with 2024-11-01 · 154 added, 262 removed, 695 unchanged (37% of the section changed)

3 unchanged sentences

(in millions, except per share data)

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

Agency securities, at fair value (including pledged securities of $ 63,275 and $ 59,952 , respectively)

34 unchanged sentences

(in millions, except per share data)

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

2024 2023 2024 2023

Three Months Ended March 31,

Interest income:

3 unchanged sentences

Other gain (loss), net:

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

Loss on sale of investment securities, net ( 245 ) ( 91 )

Unrealized gain (loss) on investment securities measured at fair value through net income, net 1,183 ( 471 )

1 unchanged sentence

Total other gain (loss), net:

440 ( 316 ) 916 31

Compensation and benefits 19 16

1 unchanged sentence

Total operating expense 28 24

Net income (loss) 346 ( 392 ) 741 ( 257 )

Net income 50 443

Dividends on preferred stock 35 31

Net income (loss) available (attributable) to common stockholders $ 313 $ ( 423 ) $ 645 $ ( 349 )

Net income (loss) $ 346 $ ( 392 ) $ 741 $ ( 257 )

Net income available to common stockholders $ 15 $ 412

Net income $ 50 $ 443

Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net 93 ( 77 )

Comprehensive income (loss) 546 ( 605 ) 846 ( 393 )

Comprehensive income 143 366

Dividends on preferred stock

Comprehensive income (loss) available (attributable) to common stockholders $ 513 $ ( 636 ) $ 750 $ ( 485 )

Comprehensive income available to common stockholders $ 108 $ 335

Weighted average number of common shares outstanding - basic

807.2 622.0 750.0 600.2

Weighted average number of common shares outstanding - diluted

810.1 622.0 752.3 600.2

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

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

Net income per common share - basic $ 0.02 $ 0.59

Net income per common share - diluted $ 0.02 $ 0.59

Dividends declared per common share $ 0.36 $ 0.36

9 unchanged sentences

Shares Amount

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

— — — — ( 392 ) — ( 392 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

— — — — — ( 213 ) ( 213 )

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

Issuance of common stock — 44.7 — 432 — — 432

Preferred dividends declared — — — — ( 31 ) — ( 31 )

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

— — — — 346 — 346

Other comprehensive income:

Unrealized gain on available-for-sale securities, net

— — — — — 200 200

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

Issuance of common stock — 78.1 — 781 — — 781

Preferred dividends declared — — — — ( 33 ) — ( 33 )

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

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

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

Net loss — — — — ( 257 ) — ( 257 )

Net income — — — — 443 — 443

Other comprehensive loss:

4 unchanged sentences

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

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

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

Balance, December 31, 2024 $ 1,634 897.4 $ 9 $ 17,264 $ ( 8,554 ) $ ( 591 ) $ 9,762

6 unchanged sentences

Common dividends declared — — — — ( 333 ) — ( 333 )

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

Balance, March 31, 2025 $ 1,634 949.0 $ 9 $ 17,769 $ ( 8,872 ) $ ( 498 ) $ 10,042

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Nine Months Ended

September 30,

Three Months Ended

Operating activities:

Net income (loss) $ 741 $ ( 257 )

Net income $ 50 $ 443

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 ( 1,183 ) 471

Gain on derivative instruments and other securities, net ( 6 ) ( 2,026 )

(Gain) loss on derivative instruments and other securities, net 1,019 ( 1,059 )

(Increase) decrease in other assets ( 17 ) 797

Increase (decrease) in other liabilities 43 ( 759 )

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

Net cash provided by operating activities 192 20

Investing activities:

11 unchanged sentences

Net proceeds from (payments on) derivative instruments ( 582 ) 389

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

Net cash provided by (used in) investing activities ( 5,727 ) 582

Financing activities:

4 unchanged sentences

Cash dividends paid ( 363 ) ( 282 )

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

Net cash provided by (used in) financing activities 5,482 ( 500 )

Net change in cash, cash equivalents and restricted cash ( 53 ) 102

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 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.

We did not recognize any loss on available for sale securities through net income that we held as of March 31, 2025 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 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.

As of March 31, 2025 and December 31, 2024, our investment portfolio consisted of $71.3 billion and $66.3 billion investment securities, at fair value, respectively, $ 7.5 billion and $ 6.9 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 63 million and $ 64 million, respectively, which we account for under the equity method of accounting.

Our TBA position is reported at its net carrying value totaling $ 44 million and $( 26 ) million as of March 31, 2025 and December 31, 2024, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets.

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

As of September 30, 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).

As of March 31, 2025 and December 31, 2024, our investment securities had a net unamortized premium balance of $ 1.0 billion and $ 1.0 billion, respectively.

The following tables summarize our investment securities as of March 31, 2025 and December 31, 2024, excluding TBA securities and other mortgage credit investments (dollars in millions).

Details of our TBA securities are included in Note 5.

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

Investment Securities Amortized

11 unchanged sentences

Total investment securities $ 73,148 $ 71,325 $ 69,446 $ 66,348

September 30, 2024

Agency RMBS Non-Agency 1

Investment Securities Fannie Mae Freddie Mac Ginnie

Mae RMBS CMBS CRT Total

March 31, 2025

December 31, 2024

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

Available-for-sale securities:

25 unchanged sentences

Total securities, at fair value $ 70,458 $ 15 $ 212 $ 640 $ 71,325 $ 65,464 $ 15 $ 236 $ 633 $ 66,348

Weighted average coupon as of September 30, 2024 3

________________________________

Weighted average yield as of September 30, 2024 4

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

December 31, 2023

Agency RMBS Non-Agency 1

Investment Securities Fannie

Mae Freddie Mac Ginnie

Mae RMBS CMBS CRT Total

Available-for-sale securities:

$ 3,881 $ 1,152 $ 1 $ — $ — $ — $ 5,034

Unamortized discount

( 1 ) — — — — — ( 1 )

Unamortized premium

227 73 — — — — 300

Amortized cost 4,107 1,225 1 — — — 5,333

Gross unrealized gains

— — — — — — —

Gross unrealized losses

( 392 ) ( 125 ) — — — — ( 517 )

Total available-for-sale securities, at fair value 3,715 1,100 1 — — — 4,816

Securities remeasured at fair value through earnings:

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

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

Unamortized premium 702 376 — 2 3 12 1,095

Amortized cost 30,504 19,820 280 43 303 682 51,632

Gross unrealized gains 170 111 1 — 2 41 325

Gross unrealized losses ( 1,270 ) ( 638 ) — ( 9 ) ( 32 ) — ( 1,949 )

Total securities remeasured at fair value through earnings 29,404 19,293 281 34 273 723 50,008

Total securities, at fair value $ 33,119 $ 20,393 $ 282 $ 34 $ 273 $ 723 $ 54,824

Weighted average coupon as of December 31, 2023 3

4.68 % 4.90 % 4.94 % 4.61 % 7.27 % 10.45 % 4.85 %

Weighted average yield as of December 31, 2023 4

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

________________________________

Non-Agency amounts exclude other mortgage credit investments of $ 61 million and $ 44 million as of September 30, 2024 and December 31, 2023, respectively.

Non-Agency amounts exclude other mortgage credit investments of $ 63 million and $ 64 million as of March 31, 2025 and December 31, 2024, respectively.

Par value excludes interest-only securities.

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 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

As of March 31, 2025 and December 31, 2024, Agency RMBS interest-only securities had a par value of $ 1,975 million and $ 307 million, respectively, and non-Agency interest-only securities had a par value of $ 93 million and $ 93 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 March 31, 2025 and December 31, 2024 (in millions):

Investment Type March 31, 2025

December 31, 2024

Fannie Mae $ 36,757 $ 35,220

Freddie Mac 33,672 30,216

Ginnie Mae 29 28

Total $ 70,458 $ 65,464

As of March 31, 2025 and December 31, 2024, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

March 31, 2025 December 31, 2024

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 $ 61 million and $ 44 million as of September 30, 2024 and December 31, 2023, respectively.

RMBS excludes other mortgage credit investments of $ 63 million and $ 64 million as of March 31, 2025 and December 31, 2024, 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

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.

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, 2025 and December 31, 2024, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 8.3 % and 7.7 %, respectively.

Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs.

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

September 30, 2024 December 31, 2023

The following table summarizes our investments as of March 31, 2025 and December 31, 2024 according to their estimated weighted average life classification (dollars in millions):

March 31, 2025 December 31, 2024

Estimated Weighted Average Life of Investment Securities 1

11 unchanged sentences

________________________________

Table excludes other mortgage credit investments of $ 61 million and $ 44 million as of September 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 September 30, 2024 and December 31, 2023 (in millions):

Table excludes other mortgage credit investments of $ 63 million and $ 64 million as of March 31, 2025 and December 31, 2024, 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, 2025 and December 31, 2024 (in millions):

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

September 30, 2024

March 31, 2025

$ — $ — $ 4,057 $ ( 499 ) $ 4,057 $ ( 499 )

2 unchanged sentences

Gains and Losses on Sale of Investment Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and nine months ended September 30, 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

Investment securities sold, at cost $ — $ ( 4,805 ) $ ( 4,805 ) $ — $ ( 3,175 ) $ ( 3,175 )

Proceeds from investment securities sold 1

— 4,911 4,911 — 2,641 2,641

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

Gross gain on sale of investment securities $ — $ 106 $ 106 $ — $ 4 $ 4

Gross loss on sale of investment securities — — — — ( 538 ) ( 538 )

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

Nine Months Ended September 30,

The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2025 and 2024 by investment classification of accounting (in millions):

Three Months Ended March 31,

Investment Securities Available-for-Sale

13 unchanged sentences

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

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.

During the three months ended March 31, 2025 and 2024, we received principal repayments on available-for-sale securities of $ 134 million and $ 143 million, respectively.

Repurchase Agreements and Reverse Repurchase Agreements

3 unchanged sentences

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

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

As of March 31, 2025, we had met all margin call requirements.

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

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.

As of March 31, 2025 and December 31, 2024, we had $ 66.1 billion and $ 60.8 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S.

Treasury securities.

The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis or subject to a tri-party repo agreement.

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

September 30, 2024 December 31, 2023

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2025 and December 31, 2024 (dollars in millions):

March 31, 2025 December 31, 2024

Remaining Maturity Repurchase Agreements Weighted

6 unchanged sentences

> 3 to ≤ 6 months 1,271 4.43 % 112 — — % —

> 9 to ≤ 12 months 528 4.42 % 298 — — % —

Investment Securities Repo 63,250 4.47 % 19 59,362 4.76 % 11

2 unchanged sentences

Total $ 66,138 4.47 % 18 $ 60,798 4.76 % 11

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.

As of March 31, 2025 and December 31, 2024, $ 25.7 billion and $ 25.4 billion, respectively, of our investment securities repurchase agreements and $ 2.2 billion of our U.S.

Treasury repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand.

As of September 30, 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 March 31, 2025, we had $ 17.5 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 4.42 %.

As of December 31, 2024, we had $ 17.3 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 2 days and a weighted average interest rate of 4.61 %.

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.

As of March 31, 2025 and December 31, 2024, 49 % and 50 %, 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 47 % of our repurchase agreement funding outstanding as of March 31, 2025 and December 31, 2024, respectively.

Reverse Repurchase Agreements

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.

As of March 31, 2025 and December 31, 2024, we had $17.6 billion and $17.1 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 $17.2 billion and $16.7 billion, respectively.

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.

As of March 31, 2025 and December 31, 2024, $ 4.1 billion and $ 3.9 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

5 unchanged sentences

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

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

Derivative and Other Hedging Instruments Balance Sheet Location September 30,

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2025 and December 31, 2024 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location March 31,

Interest rate swaps 1

10 unchanged sentences

SOFR futures contracts - long Derivative liabilities, at fair value — ( 7 )

Credit default swaps 1

Derivative liabilities, at fair value — —

Total derivative liabilities, at fair value

6 unchanged sentences

________________________________

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

As of March 31, 2025 and December 31, 2024, 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 $ 2.3 billion, respectively.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2025 and December 31, 2024 (dollars in millions):

Pay Fixed / Receive Variable Interest Rate Swaps March 31, 2025

December 31, 2024

5 unchanged sentences

Variable Receive

≤ 1 years $ 7,750 0.13 % 4.90 % 0.8 $ 13,750 0.14 % 5.37 % 0.4

≤ 1 year $ 9,250 0.15 % 4.38 % 0.3 $ 8,500 0.14 % 4.42 % 0.5

> 1 to ≤ 3 years 9,800 0.21 % 4.39 % 1.6 10,550 0.22 % 4.45 % 1.8

4 unchanged sentences

________________________________

As of September 30, 2024, 82 % and 18 % of notional amount receive index references SOFR and OIS, respectively.

As of March 31, 2025, 85 % and 15 % of notional amount receive index references SOFR and OIS, respectively.

As of December 31, 2024, 82 % and 18 % of notional amount receive index references SOFR and OIS, respectively.

Receive Fixed / Pay Variable

Interest Rate Swaps September 30, 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

________________________________

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

March 31, 2025 ≤ 1 year $ 34 $ 16 10 $ 2,000 4.59 % 10.0

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

________________________________

1 unchanged sentence

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

September 30, 2024

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

December 31, 2023

≤ 1 year $ 3 $ 3 24 $ 150 2.98 % 5.0

March 31, 2025 ≤ 1 year $ 3 $ 1 8 $ 150 2.98 % 5.0

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

________________________________

Pay index references SOFR.

Treasury Securities 1

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

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

5 unchanged sentences

________________________________

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

As of March 31, 2025 and December 31, 2024, short U.S.

Treasury securities totaling $(17.2) billion and $(16.7) billion, at fair value, respectively, had a weighted average yield of 4.06 % and 3.85 %, respectively.

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

As of March 31, 2025 and December 31, 2024, long U.S.

Treasury securities totaling $ 3.3 billion and $ 1.6 billion, at fair value, respectively, had a weighted average yield of 4.42 % and 4.27 %, respectively.

Treasury Futures September 30, 2024 December 31, 2023

Treasury Futures March 31, 2025 December 31, 2024

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.

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

TBA Securities by Coupon Notional

5 unchanged sentences

≤ 3.0% 50 41 38 ( 3 ) ( 586 ) ( 504 ) ( 497 ) 7

Total 15-Year TBA securities — — — — 90 89 91 2

30-Year TBA securities:

3.5% 200 181 180 ( 1 ) — 2 — ( 2 )

5 unchanged sentences

≥ 6.5% 164 168 168 — 499 508 509 1

≥ 6.5% 524 539 540 1 1,137 1,152 1,164 12

Total 30-Year TBA securities, net 4,164 4,067 4,068 1 5,242 5,199 5,263 64

Total TBA securities, net $ 7,811 $ 7,429 $ 7,473 $ 44 $ 6,955 $ 6,887 $ 6,861 $ ( 26 )

1 unchanged sentence

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

As of September 30, 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.

As of March 31, 2025 and December 31, 2024, we held SOFR futures contracts with a long notional position of $ 1.2 billion and $ 1.2 billion, respectively, measured on a two-year swap equivalent basis, with a net carrying value of $ 6 million and $( 7 ) million, respectively.

Gain (Loss) From Derivative Instruments and Other Securities, Net

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and nine months ended September 30, 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 months ended March 31, 2025 and 2024 (in millions):

Derivative and Other Hedging Instruments Beginning

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on Derivative Instruments and Other Securities, Net 1

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 )

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

Receiver swaptions $ ( 150 ) — — $ ( 150 ) 1

Treasury securities - short position $ ( 13,999 ) ( 3,983 ) 4,759 $ ( 13,223 ) ( 509 )

Treasury securities - long position $ 2,427 4,349 ( 4,248 ) $ 2,528 36

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

Three months ended September 30, 2023:

Three months ended March 31, 2025:

TBA securities, net $ 6,955 27,967 ( 27,111 ) $ 7,811 $ 77

Interest rate swaps - payer $ 39,646 8,150 — $ 47,796 ( 569 )

Interest rate swaps - receive, net $ ( 1,000 ) — — $ ( 1,000 ) ( 6 )

Credit default swaps - buy protection $ ( 710 ) ( 297 ) 836 $ ( 171 ) —

Payer swaptions $ 2,000 1,500 ( 1,500 ) $ 2,000 ( 19 )

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

Treasury securities - short position $ ( 17,792 ) ( 3,821 ) 3,977 $ ( 17,636 ) ( 460 )

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Treasury futures contracts - short position $ ( 4,373 ) ( 1,441 ) 4,291 $ ( 1,523 ) ( 100 )

Nine months ended September 30, 2024:

Three months ended March 31, 2024:

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

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

Nine months ended September 30, 2023:

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

Interest rate swaps - payer $ 47,825 5,396 ( 7,825 ) $ 45,396 1,387

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

Credit default swaps - buy protection $ ( 215 ) ( 1,292 ) 1,336 $ ( 171 ) ( 8 )

Payer swaptions $ 3,050 — ( 1,700 ) $ 1,350 49

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

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

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

________________________________

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 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.

Additionally, as of March 31, 2025 and 2024, we held SOFR futures contracts with a long notional position of $ 1.2 billion and $0.7 billion, respectively, measured on a two-year swap equivalent basis.

For the three months ended March 31, 2025 and 2024, we recognized a gain (loss) of $ 10 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

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government agencies, and we monitor our positions with individual counterparties.

In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments as and when due to us under the terms of our derivative agreements.

In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to

such counterparty and may not receive payments as and when due to us under the terms of our derivative agreements.

In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract.

However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark-to-market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.

As of September 30, 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.

As of March 31, 2025, 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 March 31, 2025, 8 % of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

Assets Pledged to Counterparties

The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of September 30, 2024 and December 31, 2023 (in millions):

September 30, 2024

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, 2025 and December 31, 2024 (in millions):

March 31, 2025

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 $ 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.

The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of September 30, 2024 and December 31, 2023 (in millions).

Includes $ 33 million and $ 33 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2025 and December 31, 2024, 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, 2025 and December 31, 2024 (in millions).

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

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

Securities Pledged by Remaining Maturity of Repurchase Agreements 1

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________________________________

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.

Includes $ 33 million and $ 33 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2025 and December 31, 2024, respectively.

Assets Pledged from Counterparties

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

As of March 31, 2025 and December 31, 2024, 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, 2025 December 31, 2024

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

The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2025 and December 31, 2024 (in millions):

Offsetting of Financial and Derivative Assets

2 unchanged sentences

Financial Instruments Collateral Received 2

September 30, 2024

March 31, 2025

Interest rate swap and swaption agreements, at fair value 1

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Financial Instruments Collateral Pledged 2

September 30, 2024

March 31, 2025

Interest rate swap agreements, at fair value 1

$ 3 $ — $ 3 $ — $ ( 3 ) $ —

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 September 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 March 31, 2025 and December 31, 2024, based on their categorization within the valuation hierarchy (in millions).

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

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

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

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Interest rate swaps 1

Credit default swaps 1

TBA securities — 28 — — 87 —

3 unchanged sentences

________________________________

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.

As of March 31, 2025 and December 31, 2024, 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 $ 2.3 billion, respectively, based on "Level 2" inputs.

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

As of September 30, 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 March 31, 2025 and December 31, 2024, 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.

We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs.

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.

As of March 31, 2025 and December 31, 2024, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 63 million and $ 64 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") 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.

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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 September 30, Nine Months Ended

September 30,

2024 2023 2024 2023

Three Months Ended March 31,

Weighted average number of common shares issued and outstanding 916.1 700.1

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Weighted average number of common shares outstanding - diluted 921.9 704.2

Net income (loss) available (attributable) to common stockholders $ 313 $ ( 423 ) $ 645 $ ( 349 )

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

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

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.

Net income available to common stockholders $ 15 $ 412

Net income per common share - basic $ 0.02 $ 0.59

Net income per common share - diluted $ 0.02 $ 0.59

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 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.

As of March 31, 2025 and December 31, 2024, 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, 2025 and December 31, 2024, 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 September 30, 2024 (dollars and shares in millions):

The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2025 (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 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”).

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.

The Series C, D and E per annum dividend rates represent the rates in effect as of March 31, 2025.

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.

1 unchanged sentence

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.

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 nine months ended September 30, 2024 and 2023 (in millions):

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 issued under the sales agreements during the three months ended March 31, 2025 and 2024 (in millions, except for per share data).

As of March 31, 2025, shares of our common stock with an aggregate offering price of $ 0.7 billion remained authorized for issuance under this program through December 31, 2025.

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

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

Three months ended:

September 30,

Nine Months Ended

September 30,

March 31, 2025

March 31, 2024

Accumulated Other Comprehensive Income (Loss)

The following table summarizes changes to accumulated OCI for the three months ended March 31, 2025 and 2024 (in millions):

Three Months Ended March 31,

Accumulated Other Comprehensive Income (Loss) 2025 2024

Beginning Balance $ ( 591 ) $ ( 517 )

OCI before reclassifications

200 ( 213 ) 105 ( 184 )

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

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

Ending Balance $ ( 498 ) $ ( 594 )

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.

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, each computed on a per common share basis.

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.

Subsequent Event

In April 2025, we filed a prospectus supplement and entered into agreements with sales agents to establish a new At-the-Market Offering Program (see Note 9.

Stockholders' Equity) pursuant to which 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 prospectus supplement through December 31, 2026.

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