What changed in this filing

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Item 1. Financial Statements

2025-08-01 compared with 2025-05-02 · 190 added, 130 removed, 719 unchanged (31% of the section changed)

3 unchanged sentences

(in millions, except per share data)

March 31, 2025 December 31, 2024

June 30, 2025 December 31, 2024

Agency securities, at fair value (including pledged securities of $ 67,375 and $ 59,952 , respectively)

34 unchanged sentences

(in millions, except per share data)

Three Months Ended March 31,

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

2025 2024 2025 2024

Interest income:

7 unchanged sentences

Total other gain (loss), net:

( 274 ) ( 21 ) ( 355 ) 476

Compensation and benefits 18 15 37 31

1 unchanged sentence

Total operating expense 28 24 56 48

Net income 50 443

Net income (loss) ( 140 ) ( 48 ) ( 90 ) 395

Dividends on preferred stock 38 32 73 63

Net income available to common stockholders $ 15 $ 412

Net income $ 50 $ 443

Net income (loss) available (attributable) to common stockholders $ ( 178 ) $ ( 80 ) $ ( 163 ) $ 332

Net income (loss) $ ( 140 ) $ ( 48 ) $ ( 90 ) $ 395

Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net 48 ( 18 ) 141 ( 95 )

Comprehensive income 143 366

Comprehensive income (loss) ( 92 ) ( 66 ) 51 300

Dividends on preferred stock

Comprehensive income available to common stockholders $ 108 $ 335

Comprehensive income (loss) available (attributable) to common stockholders $ ( 130 ) $ ( 98 ) $ ( 22 ) $ 237

Weighted average number of common shares outstanding - basic

1,017.3 740.0 968.0 721.1

Weighted average number of common shares outstanding - diluted

Net income per common share - basic $ 0.02 $ 0.59

Net income per common share - diluted $ 0.02 $ 0.59

1,017.3 740.0 968.0 723.0

Net income (loss) per common share - basic $ ( 0.17 ) $ ( 0.11 ) $ ( 0.17 ) $ 0.46

Net income (loss) per common share - diluted $ ( 0.17 ) $ ( 0.11 ) $ ( 0.17 ) $ 0.46

Dividends declared per common share $ 0.36 $ 0.36 $ 0.72 $ 0.72

9 unchanged sentences

Shares Amount

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

Net income — — — — 443 — 443

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

— — — — ( 48 ) — ( 48 )

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

— — — — — ( 18 ) ( 18 )

Stock-based compensation, net — — — 6 — — 6

2 unchanged sentences

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

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

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

— — — — ( 140 ) — ( 140 )

Other comprehensive income:

Unrealized gain on available-for-sale securities, net

— — — — — 48 48

Stock-based compensation, net — 0.1 — 8 — — 8

Issuance of common stock — 92.6 1 798 — — 799

Preferred dividends declared — — — — ( 38 ) — ( 38 )

Common dividends declared — — — — ( 372 ) — ( 372 )

Balance, June 30, 2025 $ 1,634 1,041.7 $ 10 $ 18,575 $ ( 9,422 ) $ ( 450 ) $ 10,347

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

Net income — — — — 395 — 395

Other comprehensive loss:

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

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

Issuance of common stock — 70.9 1 674 — — 675

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

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

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

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

Net loss — — — — ( 90 ) — ( 90 )

Other comprehensive income:

4 unchanged sentences

Common dividends declared — — — — ( 705 ) — ( 705 )

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

Balance, June 30, 2025 $ 1,634 1,041.7 $ 10 $ 18,575 $ ( 9,422 ) $ ( 450 ) $ 10,347

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Three Months Ended

Six Months Ended

Operating activities:

Net income $ 50 $ 443

Net income (loss) $ ( 90 ) $ 395

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

67 unchanged sentences

Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").

CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors.

CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential and multi-family mortgage loans from the GSEs and/or third parties to private investors.

Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S.

Government agency;

rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool

of loans exceed certain thresholds.

By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.

rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a

related pool of loans exceed certain thresholds.

By reducing the principal amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.

Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank.

10 unchanged sentences

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

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

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

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We borrow securities to cover short sales of U.S.

Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below).

Treasury securities through reverse repurchase transactions (see Derivative Instruments below).

We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date.

90 unchanged sentences

Investment Securities

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.

As of June 30, 2025 and December 31, 2024, our investment portfolio consisted of $74.0 billion and $66.3 billion investment securities, at fair value, respectively, $ 8.3 billion and $ 6.9 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 66 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 $ 101 million and $( 26 ) million as of June 30, 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 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).

As of June 30, 2025 and December 31, 2024, our investment securities had a net unamortized premium balance of $ 0.9 billion and $ 1.0 billion, respectively.

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

March 31, 2025 December 31, 2024

June 30, 2025 December 31, 2024

Investment Securities Amortized

11 unchanged sentences

Total investment securities $ 75,484 $ 73,979 $ 69,446 $ 66,348

March 31, 2025

June 30, 2025

December 31, 2024

28 unchanged sentences

________________________________

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

Non-Agency amounts exclude other mortgage credit investments of $ 66 million and $ 64 million as of June 30, 2025 and December 31, 2024, respectively.

Par value excludes interest-only securities.

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.

As of June 30, 2025 and December 31, 2024, Agency RMBS interest-only securities had a par value of $ 3,015 million and $ 307 million, respectively, and non-Agency interest-only securities had a par value of $ 17 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

Government agency at fair value as of June 30, 2025 and December 31, 2024 (in millions):

Investment Type June 30,

Fannie Mae $ 39,245 $ 35,220

2 unchanged sentences

Total $ 73,323 $ 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

As of June 30, 2025 and December 31, 2024, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

June 30, 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 $ 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.

RMBS excludes other mortgage credit investments of $ 66 million and $ 64 million as of June 30, 2025 and December 31, 2024, respectively.

Our CRT securities primarily reference the performance of single- and multi-family mortgage loans underlying Agency RMBS and CMBS issued by Fannie Mae or Freddie Mac, which are subject to the respective agency’s underwriting standards.

The remainder of our CRT holdings reference single-family loans originated and issued by third-party market participants and may not be subject to the same standards.

The actual maturities of our investment securities are generally shorter than their stated contractual maturities.

1 unchanged sentence

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.

As of June 30, 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 7.8 % 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 March 31, 2025 and December 31, 2024 according to their estimated weighted average life classification (dollars in millions):

March 31, 2025 December 31, 2024

The following table summarizes our investments as of June 30, 2025 and December 31, 2024 according to their estimated weighted average life classification (dollars in millions):

June 30, 2025 December 31, 2024

Estimated Weighted Average Life of Investment Securities 1

11 unchanged sentences

________________________________

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):

Table excludes other mortgage credit investments of $ 66 million and $ 64 million as of June 30, 2025 and December 31, 2024, respectively.

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

March 31, 2025

June 30, 2025

$ — $ — $ 3,849 $ ( 450 ) $ 3,849 $ ( 450 )

2 unchanged sentences

Gains and Losses on Sale of Investment Securities

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

Three Months Ended March 31,

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2025 and 2024 by investment classification of accounting (in millions):

Three Months Ended June 30,

Investment Securities Available-for-Sale

10 unchanged sentences

Net gain (loss) on sale of investment securities $ ( 14 ) $ ( 163 ) $ ( 177 ) $ — $ ( 115 ) $ ( 115 )

Six Months Ended June 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 $ ( 109 ) $ ( 12,904 ) $ ( 13,013 ) $ — $ ( 6,595 ) $ ( 6,595 )

Proceeds from investment securities sold 1

95 12,496 12,591 — 6,389 6,389

Net gain (loss) on sale of investment securities $ ( 14 ) $ ( 408 ) $ ( 422 ) $ — $ ( 206 ) $ ( 206 )

Gross gain on sale of investment securities $ — $ 33 $ 33 $ — $ 20 $ 20

Gross loss on sale of investment securities ( 14 ) ( 441 ) ( 455 ) — ( 226 ) ( 226 )

Net gain (loss) on sale of investment securities $ ( 14 ) $ ( 408 ) $ ( 422 ) $ — $ ( 206 ) $ ( 206 )

________________________________

Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.

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

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.

During the six months ended June 30, 2025 and 2024, we received principal repayments on available-for-sale securities of $ 273 million and $ 438 million, respectively.

Repurchase Agreements and Reverse Repurchase Agreements

3 unchanged sentences

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

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

As of June 30, 2025, we had met all margin call requirements.

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

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.

As of June 30, 2025 and December 31, 2024, we had $ 69.2 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 March 31, 2025 and December 31, 2024 (dollars in millions):

March 31, 2025 December 31, 2024

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

party repo agreement.

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2025 and December 31, 2024 (dollars in millions):

June 30, 2025 December 31, 2024

Remaining Maturity Repurchase Agreements Weighted

6 unchanged sentences

> 6 to ≤ 9 months 528 4.42 % 207 — — % —

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

Investment Securities Repo 65,992 4.49 % 16 59,362 4.76 % 11

2 unchanged sentences

Total $ 69,153 4.49 % 16 $ 60,798 4.76 % 11

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.

As of June 30, 2025 and December 31, 2024, $ 25.9 billion and $ 25.4 billion, respectively, of our investment securities repurchase agreements and $ 2.1 billion and $ 1.4 billion, respectively, of our U.S.

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

As of March 31, 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 June 30, 2025, we had $ 18.5 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 7 days and a weighted average interest rate of 4.46 %.

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 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.

As of June 30, 2025 and December 31, 2024, 50 % 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 48 % and 47 % of our repurchase agreement funding outstanding as of June 30, 2025 and December 31, 2024, respectively.

Reverse Repurchase Agreements

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.

As of June 30, 2025 and December 31, 2024, we had $21.4 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 $21.3 billion and $16.7 billion, respectively.

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.

As of June 30, 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

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

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

Derivative and Other Hedging Instruments Balance Sheet Location March 31,

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of June 30, 2025 and December 31, 2024 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

Interest rate swaps 1

18 unchanged sentences

________________________________

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

As of June 30, 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 $ 0.9 billion and $ 2.3 billion, respectively.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2025 and December 31, 2024 (dollars in millions):

Pay Fixed / Receive Variable Interest Rate Swaps June 30, 2025

December 31, 2024

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________________________________

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

As of June 30, 2025, 92 % and 8 % 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.

4 unchanged sentences

Amount Average Fixed Pay

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

June 30, 2025 ≤ 1 year $ 34 $ 8 7 $ 2,000 4.59 % 10.0

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

7 unchanged sentences

Amount Average Fixed Receive

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

June 30, 2025 ≤ 1 year $ 3 $ 1 5 $ 150 2.98 % 5.0

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

2 unchanged sentences

Treasury Securities 1

March 31, 2025 December 31, 2024

June 30, 2025 December 31, 2024

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

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

As of June 30, 2025 and December 31, 2024, short U.S.

Treasury securities totaling $(21.3) billion and $(16.7) billion, at fair value, respectively, had a weighted average yield of 4.17 % and 3.85 %, respectively.

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

As of June 30, 2025 and December 31, 2024, long U.S.

Treasury securities totaling $ 3.6 billion and $ 1.6 billion, at fair value, respectively, had a weighted average yield of 4.10 % and 4.27 %, respectively.

Treasury Futures March 31, 2025 December 31, 2024

Treasury Futures June 30, 2025 December 31, 2024

Years to Maturity Notional

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

March 31, 2025 December 31, 2024

June 30, 2025 December 31, 2024

TBA Securities by Coupon Notional

5 unchanged sentences

4.5% $ 200 $ 200 $ 201 $ 1 $ — $ — $ — $ —

Total 15-Year TBA securities 200 200 201 1 — — — —

30-Year TBA securities:

≤ 3.0% 333 266 272 6 ( 586 ) ( 504 ) ( 497 ) 7

5 unchanged sentences

6.0% 3,283 3,319 3,331 12 2,033 2,036 2,044 8

≥ 6.5% 689 705 711 6 499 508 509 1

Total 30-Year TBA securities, net 8,207 7,962 8,062 100 6,955 6,887 6,861 ( 26 )

Total TBA securities, net $ 8,407 $ 8,162 $ 8,263 $ 101 $ 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 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.

As of June 30, 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 $ 8 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 months ended March 31, 2025 and 2024 (in millions):

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

Derivative and Other Hedging Instruments Beginning

4 unchanged sentences

on Derivative Instruments and Other Securities, Net 1

Three months ended March 31, 2025:

Three months ended June 30, 2025:

TBA securities, net $ 7,811 35,699 ( 35,103 ) $ 8,407 $ 11

5 unchanged sentences

Treasury futures contracts - short position $ ( 1,523 ) ( 4,014 ) 3,573 $ ( 1,964 ) 4

Three months ended March 31, 2024:

Three months ended June 30, 2024:

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

2 unchanged sentences

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

Receiver Swaptions $ ( 150 ) — — $ ( 150 ) —

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

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

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

Six months ended June 30, 2025:

TBA securities, net $ 6,955 63,666 ( 62,214 ) $ 8,407 $ 88

Interest rate swaps - payer $ 39,646 10,750 ( 5,300 ) $ 45,096 ( 805 )

Payer swaptions $ 2,000 1,500 ( 1,500 ) $ 2,000 ( 28 )

3 unchanged sentences

Treasury futures contracts - short position $ ( 4,373 ) ( 5,455 ) 7,864 $ ( 1,964 ) ( 96 )

Six months ended June 30, 2024:

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

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

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

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

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

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

Treasury securities - short position $ ( 11,347 ) ( 6,264 ) 3,612 $ ( 13,999 ) 501

Treasury securities - long position $ 1,492 3,341 ( 2,406 ) $ 2,427 ( 55 )

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

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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 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.

Additionally, as of June 30, 2025 and 2024, we held SOFR futures contracts with a long notional position of $ 1.2 billion and $0.6 billion, respectively, measured on a two-year swap equivalent basis.

For the three and six months ended June 30, 2025, we recognized a gain of $ 3 million and $ 13 million, respectively, and for the three and six months ended June 30, 2024 we recognized a loss of $( 3 ) million and $( 13 ) 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.

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.

We are typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value.

Our brokerage and custody agreements and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits.

If we breach our collateral requirements, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral.

Our counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities.

This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value.

Our agreements do not specify the haircut;

rather, haircuts are determined on an individual transaction basis.

Consequently, our funding agreements and derivative contracts expose us to credit risk relating to potential losses that could be recognized if our counterparties fail to perform their obligations under such agreements.

We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses and U.S.

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

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

As of March 31, 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.

Our funding agreements require us to fully collateralize our obligations based on our counterparties' collateral requirements and their determination of the fair value of the securities pledged, which fluctuates with changes in interest rates, credit spreads, liquidity, and overall market conditions.

Bilateral funding agreements typically include a "haircut," or discount applied to the market value of pledged collateral, which reflects the risk characteristics of the underlying securities.

Haircuts are determined on a transaction-specific basis and are not contractually fixed under the applicable Master Repurchase Agreement.

Margin requirements for centrally cleared repurchase agreements executed through the Fixed Income Clearing Corporation ("FICC") are determined in accordance with the FICC's clearing rules.

These include an initial margin requirement, calculated daily using a Value-at-Risk ("VaR") model, which takes into account any offsetting risk sensitivities of positions such as repos and reverse repos and is intended to protect the FICC against potential future exposure from a member default.

The FICC also imposes variation margin based on amounts borrowed plus accrued interest, adjusted daily for fluctuations in collateral value, which is intended to cover our current repo exposure.

Initial margin posted to the FICC may also be mutualized, meaning it can be used to absorb losses from the default of another clearing member, subject to applicable caps and withdrawal provisions.

We are also required to post collateral under our derivative agreements.

These agreements typically require the posting of initial margin at inception and the daily exchange of variation margin as market values change.

Initial margin for derivatives is generally based on counterparty risk models, including VaR-based approaches, and is intended to cover potential future exposure in the event of a default.

Variation margin reflects current exposure and serves to settle gains and losses on a daily basis.

Our funding and derivative agreements expose us to credit risk in the event a counterparty fails to perform its obligations.

We seek to mitigate this risk by limiting our counterparties to regulated financial institutions, registered clearinghouses, and U.S.

government agencies with acceptable credit ratings, and by monitoring exposures to individual counterparties.

In the event of a counterparty default, we may experience delays or losses in recovering pledged collateral or receiving payments due.

We believe the credit risk associated with centrally cleared transactions is limited by the clearinghouses' daily margin practices, mutualized loss protections, designations as systemically important financial market utilities, and other risk management safeguards.

As of June 30, 2025, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the FICC, 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 June 30, 2025, 10 % of our tangible stockholders' equity was at risk with the FICC.

Assets Pledged to Counterparties

The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2025 and December 31, 2024 (in millions):

March 31, 2025

June 30, 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 $ 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).

Includes $ 32 million and $ 33 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2025 and December 31, 2024, respectively.

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

March 31, 2025 December 31, 2024

June 30, 2025 December 31, 2024

Securities Pledged by Remaining Maturity of Repurchase Agreements 1

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________________________________

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.

Includes $ 32 million and $ 33 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of June 30, 2025 and December 31, 2024, respectively.

Assets Pledged from Counterparties

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

As of June 30, 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).

June 30, 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 March 31, 2025 and December 31, 2024 (in millions):

Offsetting of Financial and Derivative Assets

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Financial Instruments Collateral Received 2

March 31, 2025

June 30, 2025

Interest rate swap and swaption agreements, at fair value 1

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Financial Instruments Collateral Pledged 2

March 31, 2025

June 30, 2025

Interest rate swap agreements, at fair value 1

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Fair Value Measurements

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2025 and December 31, 2024, based on their categorization within the valuation hierarchy (in millions).

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

March 31, 2025 December 31, 2024

June 30, 2025 December 31, 2024

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

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Interest rate swaps 1

— 17 — — 39 —

TBA securities — 138 — — 61 —

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________________________________

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.

As of June 30, 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 $ 0.9 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 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.

As of June 30, 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 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.

As of June 30, 2025 and December 31, 2024, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 66 million and $ 64 million, respectively.

Net Income (Loss) Per Common Share

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

Three Months Ended March 31,

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

2025 2024 2025 2024

Weighted average number of common shares issued and outstanding 1,015.6 737.9 966.1 719.0

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Weighted average number of common shares outstanding - diluted 1,017.3 740.0 968.0 723.0

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

Net income (loss) available (attributable) to common stockholders $ ( 178 ) $ ( 80 ) $ ( 163 ) $ 332

Net income (loss) per common share - basic $ ( 0.17 ) $ ( 0.11 ) $ ( 0.17 ) $ 0.46

Net income (loss) per common share - diluted $ ( 0.17 ) $ ( 0.11 ) $ ( 0.17 ) $ 0.46

For the three months ended June 30, 2025 and 2024, 2.3 million and 1.9 million, respectively, and, for the six months ended June 30, 2025, 3.0 million of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because to do so would have been anti-dilutive for the period.

Stockholders' Equity

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

As of March 31, 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.

As of June 30, 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 June 30, 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 March 31, 2025 (dollars and shares in millions):

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

The Series C, D, E and F per annum dividend rates represent the rates in effect as of June 30, 2025.

The Series C, D, E and F dividends accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus spreads of 5.111 %, 4.332 %, 4.993 % and 4.697 %, 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 for the Series G Preferred Stock, the dividend will accrue at a floating rate equal to the 5-Year US Treasury rate plus a spread of 4.39 % per annum and will reset in accordance with the certificate of designations for such series.

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We are authorized by our Board 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.

The following table includes a summary of shares of our common stock issued under the sales agreements during the three and six months ended June 30, 2025 and 2024 (in millions, except for per share data).

As of June 30, 2025, shares of our common stock with an aggregate offering price of $ 1.3 billion remained authorized for issuance under this program through December 31, 2026.

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

Three months ended:

March 31, 2025

March 31, 2024

June 30, 2025

June 30, 2024

Six months ended:

June 30, 2025

June 30, 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,

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2025 and 2024 (in millions):

Three Months Ended

Six Months Ended

Accumulated Other Comprehensive Income (Loss) 2025 2024 2025 2024

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OCI before reclassifications

34 ( 18 ) 127 ( 95 )

Net (gain) loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net 14 — 14 —

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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