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Item 2. Management’s Discussion and Analysis

2025-08-01 compared with 2025-05-02 · 218 added, 164 removed, 495 unchanged (44% of the section changed)

Management's Discussion and Analysis of Financial Condition and Results of Operations

Management's Discussion and Analysis of Financial Condition and Results of Operations ("MD&A") is designed to provide a reader of AGNC Investment Corp.'s consolidated financial statements with a narrative from the perspective of management and should be read in conjunction with the consolidated financial statements and accompanying notes included in this Quarterly Report on Form 10-Q for quarterly period ended March 31, 2025.

Our MD&A is presented in the following sections:

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Trends and Recent Market Impacts

Investor sentiment turned decidedly more cautious during the first quarter of 2025, as the potential adverse effects of government policy actions on economic growth and inflation caused increasing macroeconomic and monetary policy uncertainty.

In response, investors initially rotated into high-quality assets—such as U.S.

Treasuries, Agency RMBS, and cash—while reducing exposure to higher-risk assets, including equities and corporate debt.

Fixed income markets posted positive returns across major Bloomberg indices during the quarter, led by Agency RMBS with a total return of 3.1%.

On a hedged basis, Agency RMBS performance was more mixed, as spreads to benchmark rates generally widened, particularly in the lower- and middle-coupon segments.

The 30-year Agency RMBS current coupon spread to a blend of 5- and 10-year Treasury rates widened by eight basis points during the quarter.

Despite the modest spread widening, for the first quarter, AGNC had total comprehensive income of $0.12 per common share and generated an economic return on tangible common equity of 2.4%, consisting of $0.36 in dividends declared per common share and a $0.16 decline in tangible net book value per share.

Shortly after quarter-end in early April, volatility escalated following the administration’s announcement of tariffs that were significantly broader and greater in magnitude than anticipated.

Recession concerns intensified, equity markets entered bear market territory from their February peaks, and interest rate volatility increased markedly.

Over the first nine trading days of April, the 10-year Treasury yield fluctuated by more than 100 basis points—initially declining sharply before reversing

materially higher.

This elevated volatility and uncertainty disrupted typical market correlations, constrained liquidity, and further pressured investor sentiment.

The Agency RMBS market was not immune to these adverse developments and also came under significant pressure.

In early April, the 30-year Agency RMBS current coupon spread to the blended 5- and 10-year Treasury rate widened to 160 basis points—the top of its five-quarter trading range.

Agency RMBS relative performance to swaps was even weaker.

The Agency RMBS current coupon spread to blended swap rates reached an intraday peak of 230 basis points, approaching the high of 235 basis points observed during the COVID-19 crisis.

As of the end of April, these spreads have narrowed somewhat but remain elevated.

AGNC was well-positioned entering this period of market disruption.

Consistent with our disciplined approach to balance sheet management, during the first quarter we maintained our tangible net book value "at risk" leverage within our target range, ending the quarter at 7.5x tangible equity.

We also raised $509 million in common equity through our At-the-Market Offering Program at a material premium to tangible net book value, generating meaningful accretion for common stockholders and further enhancing our liquidity position.

As a result, we concluded the quarter with $6.0 billion in cash and unencumbered Agency RMBS, representing 63% of tangible equity.

While our net asset value was negatively impacted by the widening of mortgage spreads to benchmark interest rates, the implied return potential on our portfolio and new investments have increased commensurately, reflecting these wider spread levels.

At current valuations, we believe Agency RMBS offer compelling return opportunities on both a levered and unlevered basis.

Historical spread behavior supports this view, as mortgage spreads to benchmark rates have not typically remained at these levels for extended periods.

We also view Agency RMBS as an attractive alternative to corporate credit, particularly in the context of a weakening economic outlook.

Accordingly, despite the likelihood of continued macroeconomic uncertainty, our outlook for Agency RMBS remains highly constructive.

On the demand side, we continue to expect that regulatory relief and the potential for more favorable capital requirements will support increased bank demand for Agency RMBS and also benefit the Treasury and swap markets.

At the same time, with mortgage rates in the mid-to-upper 6% range, new issuance of Agency RMBS is expected to remain relatively muted.

During the first quarter, our investment portfolio increased approximately $5 billion to $78.9 billion at quarter-end.

Asset additions were concentrated in pools with favorable prepayment characteristics, while our TBA position was relatively stable, and the weighted average coupon of our holdings remained just over 5.0%.

In line with our asset growth, our interest rate hedge portfolio increased during the quarter to $64.1 billion in notional balance at quarter-end and covered 91% of the outstanding balance of our repurchase agreements used to fund our investment portfolio ("Investment Securities Repo"), TBA position, and other debt, unchanged from December 31, 2024.

Our duration gap, which measures the estimated difference between the interest rate sensitivity of our assets and our liabilities, inclusive of interest rate hedges, was 0.4 years at quarter-end, compared to 0.3 years as of December 31, 2024.

Net spread and dollar roll income (a non-GAAP measure) for the first quarter increased $0.07 to $0.44 per common share, driven by a 21 basis point improvement in our net interest rate spread from the fourth quarter of 2024 to 2.12%.

This improvement reflected higher asset yields, a greater proportion of swap-based hedges, and repo funding that fully reset to prevailing short-term rate levels.

Consistent with lower rates during the quarter, the average projected life CPR for our portfolio increased to 8.3% at quarter-end, from 7.7% as of December 31, 2024.

Actual CPRs averaged 7.0% for the quarter, down from 9.6% in the fourth quarter.

Market Trends

Financial markets experienced significant volatility during the second quarter of 2025 following the Administration's "Liberation Day" tariff announcements in early April and concerns about their potential adverse impact on the economy and monetary policy.

This volatility resulted in a sharp repricing across asset classes, with the yield on the 10-year U.S.

Treasury yield fluctuating by more than 100 basis points and the S&P 500 declining 12% during the first three weeks of April.

While most asset classes recovered and ended the quarter at higher valuation levels, Agency RMBS were a notable exception, with spreads to benchmark rates ending the quarter moderately wider.

Agency RMBS weakness over the second quarter was attributable to multiple factors, including significant rate volatility, relatively weak demand technicals, and the steepening yield curve, which was driven primarily by increases in long-term interest rates.

As a result of this underperformance, AGNC's economic return for the quarter was -1.0%.

Looking ahead, several factors underpin our constructive outlook for Agency RMBS performance:

anticipated bank regulatory reforms that are expected to drive increased bank demand, improved supply dynamics as seasonal pressures subside, and persistently high mortgage rates, which are expected to temper prepayment activity.

Further, mortgage spreads to interest rate benchmarks have continued to stabilize since quarter-end at levels that are both elevated by historical standards and range-bound, a favorable environment for levered and hedged investors in Agency RMBS.

In addition, and perhaps most importantly, statements from key policymakers during the quarter reaffirmed the government's commitment to preserving the credit quality of Agency RMBS and maintaining stability in the mortgage market amid potential GSE reform.

Importantly, the President,

Treasury Secretary, and FHFA Director collectively emphasized a "do no harm" approach to GSE reform and an intent to avoid actions that could put upward pressure on mortgage spreads.

The President specifically stated that the government would maintain the implicit guarantee of the GSEs and, by extension, Agency RMBS in connection with any privatization of the GSEs.

These statements should provide investors greater confidence in the asset class and contribute to tighter mortgage spreads over time.

We believe that these developments—stabilizing spreads at historically wide levels, manageable supply, anticipated regulatory reforms to drive greater bank demand, and the reduced risk of adverse consequences of GSE reform—provide a highly constructive backdrop for Agency RMBS as a fixed income asset class.

Portfolio and Summary Financial Results

For the second quarter, AGNC had a total comprehensive loss of $(0.13) per diluted common share and an economic loss of -1.0% on tangible common equity, comprised of $0.36 in dividends declared per common share and a $(0.44) decrease in tangible net book value per common share.

For the first half of 2025, AGNC had a total comprehensive loss of $(0.02) per diluted common share and an economic return of 1.4%, consisting of $0.72 in dividends per common share and a $(0.60) decrease in tangible net book value per common share.

As a result of our risk management positioning and ample liquidity at the end of the first quarter, AGNC was able to navigate the substantial financial market volatility in April with our portfolio intact.

Capitalizing on the wider spread environment, we also opportunistically raised $799 million of accretive capital through our At-the-Market offering program during the second quarter.

As of June 30, 2025, slightly less than half of the new capital had been deployed, primarily into higher-coupon specified pools with favorable prepayment attributes.

1 Our investment portfolio increased $3.4 billion during the quarter to $82.3 billion as of June 30, 2025.

We concluded the quarter with tangible "at risk" leverage of 7.6x, compared to 7.5x as of March 31, 2025, and a substantial liquidity position of $6.4 billion in unencumbered cash and Agency RMBS, representing 65% of tangible equity, up from 63% as of the first quarter.

Hedge performance varied by instrument during the second quarter, with longer-dated Treasury-based hedges outperforming shorter-term swap-based hedges amid the steepening yield curve.

As of June 30, 2025, our interest rate hedges equaled 89% of the outstanding balance of our repurchase agreements used to fund our investment portfolio ("Investment Securities Repo"), TBA position, and other debt, compared to 91% as of March 31, 2025.

On a duration-dollar (or interest rate sensitivity) basis, interest rate swaps and U.S.

Treasury-based hedges comprised 54% and 46%, respectively, of our hedge portfolio, versus 61% and 39%, respectively, at the end of the first quarter.

Our duration gap, —which measures the estimated difference between the interest rate sensitivity of our assets and liabilities, inclusive of interest rate hedges—was 0.2 years at quarter-end, compared to 0.4 years as of March 31, 2025.

Net spread and dollar roll income (a non-GAAP measure) for the second quarter decreased by $0.06 to $0.38 per common share, primarily due to the timing of capital deployment and moderately higher swap costs.

The average projected life CPR of our portfolio declined to 7.8% at quarter-end from 8.3% as of March 31, 2025, consistent with the steeper yield curve.

Actual CPRs averaged 8.7% for the quarter, up from 7.0% in the first quarter.

For information regarding non-GAAP financial measures, including reconciliations to the most comparable GAAP measure please refer to Results of Operations included in this MD&A below.

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Quantitative and Qualitative Disclosures about Market Risk in this form 10-Q .

________________________________

Specified pools with favorable prepayment attributes include:

(i) specified pools backed by lower balance loans with original loan balances of up to $200K, HARP pools (defined as pools that were issued between May 2009 and December 2018 and backed by 100% refinance loans with original LTVs ≥ 80%), and pools backed by loans 100% originated in New York and Puerto Rico and (ii) other pools backed by loans with credit, loan balances, geographies, occupancy types, and other characteristics that exhibit favorable prepayment behavior.

Market Information

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31, 2024 Mar.

31, 2025 Mar.

31, 2025 June 30, 2025 June 30, 2025

June 30, 2025

Target Federal Funds Rate:

Target Federal Funds Rate - Upper Band

5.50% 5.50% 5.00% 4.50% 4.50% — bps

SOFR Rate 5.34% 5.33% 4.96% 4.49% 4.41% -8 bps

5.50% 5.00% 4.50% 4.50% 4.50% — bps — bps

SOFR Rate 5.33% 4.96% 4.49% 4.41% 4.45% +4 bps -4 bps

SOFR Interest Rate Swap Rate:

4.55% 4.61% 3.44% 4.08% 3.72% -36 bps

3.98% 4.10% 3.25% 4.04% 3.65% -39 bps

3.84% 3.98% 3.32% 4.07% 3.76% -31 bps

3.62% 3.76% 3.30% 3.93% 3.79% -14 bps

4.61% 3.44% 4.08% 3.72% 3.49% -23 bps -59 bps

4.10% 3.25% 4.04% 3.65% 3.43% -22 bps -61 bps

3.98% 3.32% 4.07% 3.76% 3.69% -7 bps -38 bps

3.76% 3.30% 3.93% 3.79% 3.90% +11 bps -3 bps

Treasury Security Rate:

4.62% 4.76% 3.64% 4.24% 3.89% -35 bps

4.21% 4.38% 3.56% 4.38% 3.95% -43 bps

4.20% 4.40% 3.78% 4.57% 4.21% -36 bps

4.34% 4.56% 4.12% 4.78% 4.57% -21 bps

4.76% 3.64% 4.24% 3.89% 3.72% -17 bps -52 bps

4.38% 3.56% 4.38% 3.95% 3.80% -15 bps -58 bps

4.40% 3.78% 4.57% 4.21% 4.23% +2 bps -34 bps

4.56% 4.12% 4.78% 4.57% 4.78% +21 bps — bps

30-Year Fixed Rate Agency Price:

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The following table summarizes mortgage and credit spreads as of each date presented below:

Mortgage Rate/Credit Spread Mar.

31, 2024 June 30, 2024 Sept.

Mortgage Rate/Credit Spread June 30, 2024 Sept.

30, 2024 Dec.

31, 2024 Mar.

31, 2025 Mar.

31, 2025 June 30, 2025 June 30, 2025

June 30, 2025

Mortgage Rate:

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Treasury Spread 149 129 135 143 146 +3 +11

30-Year Agency Current Coupon Yield 5.60% 5.87% 4.96% 5.83% 5.51% -32 bps

30-Year Mortgage Rate 6.74% 6.94% 6.14% 6.86% 6.60% -26 bps

30-Year Agency Current Coupon Yield to 5/10-Year Swap Spread 183 168 177 181 192 +11 +15

30-Year Agency Current Coupon Yield to 3/5/10-Year U.S.

Treasury Spread 143 133 142 150 157 +7 +15

30-Year Agency Current Coupon Yield to 3/5/10-Year Swap Spread 173 167 177 183 197 +14 +20

30-Year Agency Current Coupon Yield 5.87% 4.96% 5.83% 5.51% 5.48% -3 bps -35 bps

30-Year Mortgage Rate 6.94% 6.14% 6.86% 6.60% 6.67% +7 bps -19 bps

Credit Spread (in bps):

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CDX IG 54 53 50 61 51 -10 +1

CDX HY 341 326 310 373 316 -57 +6

________________________________

30-Year Current Coupon Yield represents yield on new production Agency RMBS.

30-Year Current Coupon Yield represents the yield on new production Agency RMBS.

30-Year Current Coupon Yields are sourced from Bloomberg and 30-Year Mortgage Rates are sourced from Clear Blue.

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FINANCIAL CONDITION

As of March 31, 2025 and December 31, 2024, our investment portfolio totaled $78.9 billion and $73.3 billion, respectively, consisting of:

As of June 30, 2025 and December 31, 2024, our investment portfolio totaled $82.3 billion and $73.3 billion, respectively, consisting of:

$73.3 billion and $65.5 billion Agency RMBS, at fair value, respectively;

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and other mortgage credit investments of $66 million and $64 million, respectively, which we account for under the equity method of accounting.

The following table is a summary of our investment securities (including TBA securities) as of March 31, 2025 and December 31, 2024 (dollars in millions):

March 31, 2025 December 31, 2024

The following table is a summary of our investment securities (including TBA securities) as of June 30, 2025 and December 31, 2024 (dollars in millions):

June 30, 2025 December 31, 2024

Investment Securities (Includes TBAs) 1

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________________________________

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

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

TBA securities are presented net of long and short positions.

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TBA securities are recorded as derivative instruments in our accompanying consolidated financial statements, and our TBA dollar roll transactions represent a form of off-balance sheet financing.

As of March 31, 2025 and December 31, 2024, our TBA securities had a net carrying value of $44 million and $(26) million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.

As of June 30, 2025 and December 31, 2024, our TBA securities had a net carrying value of $101 million and $(26) million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.

The net carrying value represents the difference between the fair value of the underlying security in the TBA contract and the price to be paid or received for the underlying security.

As of March 31, 2025 and December 31, 2024, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.87% and 4.77%, respectively.

The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of March 31, 2025 and December 31, 2024 (dollars in millions):

March 31, 2025

As of June 30, 2025 and December 31, 2024, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.92% and 4.77%, respectively.

The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of June 30, 2025 and December 31, 2024 (dollars in millions):

June 30, 2025

Includes Net TBA Position Excludes Net TBA Position

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4.0% 2 3 2 12% 4.00% 100.9% 2.00% 168 43%

4.5% 200 200 202 —% 5.00% 100.6% 2.73% 170 40%

Total ≤ 15-year 277 279 275 26% 4.33% 101.3% 2.01% 107 15%

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Specified pools include pools backed by lower balance loans with original loan balances of up to $200K, HARP pools (defined as pools that were issued between May 2009 and December 2018 and backed by 100% refinance loans with original LTVs ≥ 80%), and pools backed by loans 100% originated in New York and Puerto Rico.

As of March 31, 2025, lower balance specified pools had a weighted average original loan balance of $188,000 and $139,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively.

Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of March 31, 2025.

As of June 30, 2025, lower balance specified pools had a weighted average original loan balance of $188,000 and $140,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively.

Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of June 30, 2025.

December 31, 2024

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________________________________

See Note 1 of preceding table for specified pool composition.

See Note 1 of the preceding table for specified pool composition.

As of December 31, 2024, lower balance specified pools had a weighted average original loan balance of $188,000 and $148,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively.

Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2024.

For additional details regarding our CRT and non-Agency securities, including credit ratings, as of March 31, 2025 and December 31, 2024, please refer to Note 3 of our Consolidated Financial Statements in this Form 10-Q.

For additional details regarding our CRT and non-Agency securities, including credit ratings, as of June 30, 2025 and December 31, 2024, please refer to Note 3 of our Consolidated Financial Statements in this Form 10-Q.

RESULTS OF OPERATIONS

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and (iii) include interest rate swap periodic income/cost, TBA dollar roll income and other interest income/expense.

As defined "Net

spread and dollar roll income available to common stockholders" includes (i) the components of "economic interest income" and "economic interest expense", plus (ii) other interest income/expense, and less (iii) total operating expenses and dividends on preferred stock (GAAP measures).

"Net spread and dollar roll income available to common stockholders" includes (i) the components of "economic interest income" and "economic interest expense", plus (ii) other interest income/expense, and less (iii) total operating expenses and dividends on preferred stock (GAAP measures).

By providing such measures, in addition to the related GAAP measures, we believe we give greater transparency into the information used by our management in its financial and operational decision-making.

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$ 7.81 $ 8.41

Three Months Ended March 31,

Three Months Ended

Six Months Ended

Statement of Comprehensive Income Data (Unaudited)

2025 2024 2025 2024

Interest income $ 830 $ 695 $ 1,676 $ 1,337

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Operating expenses 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

Other comprehensive income (loss), net 48 (18) 141 (95)

Comprehensive income 143 366

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

Dividends on preferred stock 38 32 73 63

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 1,017.3 740.0 968.0 723.0

Net income per common share - basic $ 0.02 $ 0.59

Net income per common share - diluted $ 0.02 $ 0.59

Comprehensive income per common share - basic $ 0.12 $ 0.48

Comprehensive income per common share - diluted $ 0.12 $ 0.48

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

Comprehensive income (loss) per common share - basic $ (0.13) $ (0.13) $ (0.02) $ 0.33

Comprehensive income (loss) per common share - diluted $ (0.13) $ (0.13) $ (0.02) $ 0.33

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

Three Months Ended March 31,

Three Months Ended

Six Months Ended

Other Data (Unaudited) * 2025 2024 2025 2024

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Average tangible net book value "at risk" leverage 5

7.5:1 7.2:1 7.4:1 7.2:1

Tangible net book value "at risk" leverage (as of period end) 6

7.6:1 7.4:1 7.6:1 7.4:1

Economic return on tangible common equity 7

(1.0) % (0.9) % 1.4 % 4.8 %

Expenses % of average total assets - annualized

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Economic Interest Income and Asset Yields

The following table summarizes our economic interest income (a non-GAAP measure) for the three months ended March 31, 2025 and 2024, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" premium amortization adjustments for the cumulative effect from prior reporting periods due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions):

The following table summarizes our economic interest income (a non-GAAP measure) for the three and six months ended June 30, 2025 and 2024, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" premium amortization adjustments for the cumulative effect from prior reporting periods due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions):

Three Months Ended

Amount Yield Amount Yield

Six Months Ended

2025 2024 2025 2024

Amount Yield Amount Yield Amount Yield Amount Yield

Interest income:

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The principal elements impacting our economic interest income are the average size of our investment portfolio and the average yield on our securities.

The following table includes a summary of the estimated impact of each of these elements on our economic interest income for the three months ended March 31, 2025 compared to the prior year period (in millions):

The following table includes a summary of the estimated impact of each of these elements on our economic interest income for the three and six months ended June 30, 2025 compared to the prior year period (in millions):

Impact of Changes in the Principal Elements Impacting Economic Interest Income

Three Months Ended March 31, 2025 vs.

March 31, 2024

Due to Change in Average

Three months ended:

Total Increase /

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Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 199 $ 173 $ 26

Our average investment portfolio (at cost), inclusive of TBAs, increased 24% for the three months ended March 31, 2025, compared to the prior year period, primarily due to an increase in our capital base.

The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 31 basis points for the three months ended March 31, 2025 largely as a result of shifting our asset portfolio from lower coupon holdings toward a greater share of higher coupon, specified pools.

Due to Change in Average

Six months ended:

Total Increase /

(Decrease) Portfolio

Interest Income (GAAP measure) $ 339 $ 262 $ 77

Estimated "catch-up" premium amortization due to change in CPR forecast 15 — 15

Interest income, excluding "catch-up" premium amortization 354 262 92

TBA dollar roll income - implied interest income 81 88 (7)

Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 435 $ 350 $ 85

Our average investment portfolio (at cost), inclusive of TBAs, increased 21% and 23% for the three and six months ended June 30, 2025, respectively, compared to the prior year period, primarily due to an increase in our capital base.

The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 18 and 24 basis points for the three and six months ended June 30, 2025, respectively, largely as a result of shifting our asset portfolio from lower coupon holdings toward a greater share of higher coupon, specified pools.

Our primary measure of leverage is our tangible net book value "at risk" leverage ratio, which is measured as the sum of our repurchase agreements and other debt used to fund our investment securities and net TBA and forward settling securities position (at cost) (together referred to as "mortgage borrowings") and our net receivable/payable for unsettled investment securities, divided by our total stockholders' equity adjusted to exclude goodwill.

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Amount Ending

June 30, 2025 $ 59,469 $ 66,790 $ 66,052 $ 11,996 $ 8,162 7.5:1 7.6:1

March 31, 2025 $ 61,707 $ 63,789 $ 63,312 $ 7,428 $ 7,429 7.3:1 7.5:1

December 31, 2024 $ 59,690 $ 63,759 $ 59,426 $ 5,936 $ 6,887 7.2:1 7.2:1

September 30, 2024 $ 59,322 $ 64,585 $ 63,468 $ 2,650 $ 4,067 7.2:1 7.2:1

June 30, 2024 $ 50,784 $ 55,507 $ 54,682 $ 6,805 $ 5,318 7.2:1 7.4:1

March 31, 2024 $ 48,730 $ 49,894 $ 48,216 $ 6,190 $ 8,405 7.0:1 7.1:1

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Economic Interest Expense and Aggregate Cost of Funds

The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for the three months ended March 31, 2025 and 2024 (dollars in millions), which includes the combination of interest expense on repurchase agreements and other debt used to fund acquisitions of investment securities (GAAP measure), implied financing cost of our TBA securities and interest rate swap periodic income:

The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for the three and six months ended June 30, 2025 and 2024 (dollars in millions), which includes the combination of interest expense on repurchase agreements and other debt used to fund acquisitions of investment securities (GAAP measure), implied financing cost of our TBA securities and interest rate swap periodic income:

Three Months Ended

Six Months Ended

2025 2024 2025 2024

Economic Interest Expense and Aggregate Cost of Funds 1

Amount Cost of Funds Amount Cost of Funds

Amount Cost of Funds Amount Cost of Funds Amount Cost of Funds Amount Cost of Funds

Investment securities repurchase agreement and other debt - interest expense (GAAP measure) $ 668 4.44 % $ 698 5.44 % $ 1,355 4.45 % $ 1,370 5.44 %

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The principal elements impacting our economic interest expense are (i) the size of our average mortgage borrowings and interest rate swap portfolio outstanding during the period, (ii) the average interest rate on our mortgage borrowings and (iii) the average net interest rate paid/received on our interest rate swaps.

The following table includes a summary of the estimated impact of these elements on our economic interest expense for the three months ended March 31, 2025 compared to the prior year period (in millions):

The following table includes a summary of the estimated impact of these elements on our economic interest expense for the three and six months ended June 30, 2025 compared to the prior year period (in millions):

Impact of Changes in the Principal Elements of Economic Interest Expense

Three Months Ended March 31, 2025 vs.

March 31, 2024

Due to Change in Average

Three months ended:

Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate

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Total change in economic interest expense $ 224 $ 180 $ 44

Our average mortgage borrowings, inclusive of TBAs, increased 26% for the three months ended March 31, 2025, consistent with the increase to our average investment portfolio.

The average interest rate on our mortgage borrowings, excluding the impact of interest rate swap periodic income, decreased 100 basis points for the three months ended March 31, 2025 due to lower short-term interest rates.

Interest rate swap periodic income declined for the three months ended March 31, 2025, primarily due to higher pay rates on our pay-fixed swaps—driven by the maturity of lower-cost swaps—and lower receive rates.

The ratio of interest rate swaps outstanding to mortgage borrowings also declined, reflecting a shift towards a higher proportion of U.S.

Due to Change in Average

Six months ended:

Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate

Investment securities repurchase agreement and other debt interest expense $ (15) $ 298 $ (313)

TBA dollar roll income - implied interest benefit/expense 39 85 (46)

Interest rate swap periodic income/cost 455 (10) 465

Total change in economic interest benefit/expense $ 479 $ 373 $ 106

Our average mortgage borrowings, inclusive of TBAs, increased 24% and 25% for the three and six months ended June 30, 2025, respectively, consistent with the increase to our average investment portfolio.

The average interest rate on our mortgage borrowings, excluding the impact of interest rate swap periodic income, decreased 97 and 99 basis points for the three and six months ended June 30, 2025, respectively, due to lower short-term interest rates.

Interest rate swap periodic income declined for the three and six months ended June 30, 2025, primarily due to higher pay rates on our pay-fixed swaps—driven by the maturity of lower-cost swaps—and lower receive rates.

The ratio of interest rate

swaps outstanding to mortgage borrowings also declined, reflecting a moderate decline in the Company's total hedge ratio and a shift towards a higher proportion of U.S.

Treasury-based hedges.

The following is a summary of our interest rate swaps outstanding during the three months ended March 31, 2025 and 2024 (dollars in millions).

The following is a summary of our interest rate swaps outstanding during the three and six months ended June 30, 2025 (dollars in millions).

Amounts exclude forward starting swaps not yet in effect.

Three Months Ended

Six Months Ended

Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding 2025 2024 2025 2024

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Ratio of average interest rate swaps to mortgage borrowings outstanding

64 % 79 % 64 % 79 %

Average interest rate swap pay-fixed rate (excluding forward starting swaps) 1.94 % 1.18 % 1.84 % 1.01 %

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(2.44) % (4.32) % (2.54) % (4.57) %

For the three months ended March 31, 2025 and 2024, we had an average forward starting net pay-fixed rate swap balance of $286 million and $585 million, respectively.

For the three and six months ended June 30, 2025, we had an average forward starting net pay-fixed rate swap balance of $63 million and $173 million, respectively.

For the three and six months ended June 30, 2024, we had an average forward starting net pay-fixed rate swap balance of $2.1 billion and $1.3 billion, respectively.

Forward starting interest rate swaps do not impact our economic interest expense and aggregate cost of funds until they commence accruing net interest settlements on their forward start dates.

Net Interest Spread

The following table presents a summary of our net interest spread (including the impact of TBA dollar roll income, interest rate swaps and excluding "catch-up" premium amortization) for the three months ended March 31, 2025 and 2024:

Three Months Ended

Three Months Ended June 30,

Six Months Ended

Investment and TBA Securities - Net Interest Spread 2025 2024 2025 2024

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Net Spread and Dollar Roll Income

The following table presents a reconciliation of net spread and dollar roll income available to common stockholders (non-GAAP measure) from comprehensive income (loss) available (attributable) to common stockholders (the most comparable GAAP financial measure) for the three months ended March 31, 2025 and 2024 (dollars in millions):

Three Months Ended

Comprehensive income available to common stockholders

The following table presents a reconciliation of net spread and dollar roll income available to common stockholders (non-GAAP measure) from comprehensive income (loss) available (attributable) to common stockholders (the most comparable GAAP financial measure) for the three and six months ended June 30, 2025 and 2024 (dollars in millions):

Three Months Ended June 30,

Six Months Ended

2025 2024 2025 2024

Comprehensive income (loss) available (attributable) to common stockholders

$ (130) $ (98) $ (22) $ 237

Adjustments to exclude realized and unrealized (gains) losses reported through net income:

Realized loss on sale of investment securities, net

177 115 422 206

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

(270) 261 (1,453) 732

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

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Unrealized (gain) loss on available-for-sale securities measure at fair value through other comprehensive income, net

(48) 18 (141) 95

Other adjustments:

Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 1

Estimated "catch-up" premium amortization benefit due to change in CPR forecast 1

(11) (14) (9) (24)

TBA dollar roll income, net 2

Interest rate swap periodic income, net 2

Interest rate swap periodic income (cost), net 2

282 494 575 1,030

Other interest income (expense), net 2,3

(3) (32) (14) (67)

Net spread and dollar roll income available to common stockholders (non-GAAP measure) 388 394 791 800

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Gain (Loss) on Investment Securities, Net

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

Three Months Ended

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

Three Months Ended June 30,

Six Months Ended

Gain (Loss) on Investment Securities, Net 1

2025 2024 2025 2024

Loss on sale of investment securities, net $ (177) $ (115) $ (422) $ (206)

Unrealized gain (loss) on investment securities measured at fair value through net income, net 2

270 (261) 1,453 (732)

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

48 (18) 141 (95)

Total gain (loss) on investment securities, net

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

The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three months ended March 31, 2025 and 2024 (in millions):

Three Months Ended

The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three and six months ended June 30, 2025 and 2024 (in millions):

Three Months Ended June 30,

Six Months Ended

2025 2024 2025 2024

TBA securities, dollar roll income $ 24 $ 5 $ 47 $ 5

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Other interest income (expense)

(3) (32) (14) (67)

Other gain (loss) 2 — (5) 2

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Our leverage will vary depending on market conditions and our assessment of relative risks and returns, but we generally expect our leverage to be between six and twelve times the amount of our tangible stockholders' equity, measured as the sum of our total mortgage borrowings and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders' equity adjusted to exclude goodwill.

Our tangible net book value "at risk" leverage ratio was 7.5x and 7.2x as of March 31, 2025 and December 31, 2024, respectively.

The following table includes a summary of our mortgage borrowings outstanding as of March 31, 2025 and December 31, 2024 (dollars in millions).

Our tangible net book value "at risk" leverage ratio was 7.6x and 7.2x as of June 30, 2025 and December 31, 2024, respectively.

The following table includes a summary of our mortgage borrowings outstanding as of June 30, 2025 and December 31, 2024 (dollars in millions).

For additional details of our mortgage borrowings refer to Notes 2, 4 and 5 to our Consolidated Financial Statements in this Form 10-Q.

March 31, 2025 December 31, 2024

June 30, 2025 December 31, 2024

Mortgage Borrowings Amount % Amount %

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E xcludes U.S.

Treasury repurchase agreements totaling $2.9 billion and $1.4 billion as of March 31, 2025 and December 31, 2024, respectively.

As of March 31, 2025 and December 31, 2024, 47% and 47%, respectively, of our total repurchase agreements, including 49% and 49% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service.

Our primary financing sources are collateralized borrowings structured as repurchase agreements.

We enter into repurchase agreements, or "repo," through bi-lateral arrangements with financial institutions and independent dealers.

We also enter into third-party repurchase agreements through our wholly-owned registered broker-dealer subsidiary, Bethesda Securities, LLC, such as tri-party repo offered through the FICC's GCF Repo service.

We manage our repurchase agreement funding position through a variety of methods, including diversification of counterparties, maintaining a suitable maturity profile and utilization of interest rate hedging strategies.

We also use TBA dollar roll transactions as a means of synthetically financing Agency RMBS.

The terms and conditions of our repurchase agreements are determined on a transaction-by-transaction basis when each such borrowing is initiated or renewed and, in the case of GCF Repo, by the prevailing margin requirements calculated by the FICC, which acts as the central counterparty.

The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an assessed discount, referred to as a "haircut," that reflects the underlying risk of the specific collateral and protects the counterparty against a change in its value.

Interest rates are generally fixed based on prevailing rates corresponding to the term of the borrowing.

None of our repo counterparties are obligated to renew or otherwise enter into new borrowings at the conclusion of our existing borrowings.

The use of TBA dollar roll transactions increases our funding diversification, expands our available pool of assets, and increases our overall liquidity position, as TBA contracts typically have lower implied haircuts relative to Agency RMBS pools funded with repo financing.

TBA dollar roll transactions may also have a lower implied cost of funds than comparable repo funded transactions (referred to as "dollar roll specialness") offering incremental return potential.

However, if it were to become uneconomical to roll our TBA contracts into future months it may be necessary to take physical delivery of the underlying securities and fund those assets with cash or other financing sources, which could reduce our liquidity position.

Treasury repurchase agreements totaling $3.2 billion and $1.4 billion as of June 30, 2025 and December 31, 2024, respectively.

As of June 30, 2025 and December 31, 2024, 48% and 47%, respectively, of our total repurchase agreements, including 50% and 49% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service.

We primarily finance our assets through collateralized borrowings structured as repurchase agreements (“repo”).

We enter into these agreements on a bilateral basis with financial institutions and independent dealers, as well as through tri-party and centrally cleared repo platforms—such as the FICC’s GCF Repo service—accessed through our wholly owned, registered broker-dealer subsidiary, Bethesda Securities, LLC.

We manage our repo funding through counterparty diversification, maintaining a suitable maturity profile, interest rate hedging, and other strategies.

In addition to repo, we also utilize TBA dollar roll transactions to synthetically finance Agency RMBS.

The terms of bilateral repurchase agreements are established on a transaction-by-transaction basis at the time each borrowing is initiated or renewed and are governed by the provisions of a Master Repurchase Agreement.

For GCF Repo transactions, the terms and conditions are set by the FICC's clearing rules and applicable operating procedures.

Each of our repurchase agreements requires that borrowed amounts be subject to collateralization requirements, and interest rates are generally fixed and reflect prevailing market rates for the specified borrowing term and collateral type.

Our repurchase agreement counterparties are not obligated to renew or enter into new borrowings upon the maturity of existing agreements.

TBA dollar roll transactions enhance our funding diversification, expand our available pool of assets, and improve our liquidity position by typically requiring lower collateral than Agency RMBS financed with repo.

These transactions may also benefit from lower implied costs, or "specialness." However, if rolling TBA contracts into future months becomes uneconomical, we may need to take physical delivery of the underlying securities and fund those securities with other sources, potentially reducing our liquidity position.

Collateral Requirements and Unencumbered Assets

Amounts available to be borrowed under our repurchase agreements are dependent upon prevailing interest rates, the lender’s "haircut" requirements and collateral value.

Each of these elements may fluctuate with changes in interest rates, credit quality and liquidity conditions within the financial markets.

To help manage the adverse impact of interest rate changes on our borrowings, we utilize an interest rate risk management strategy involving the use of derivative financial instruments.

In particular, we attempt to mitigate the risk of the cost of our short-term funding liabilities increasing at a faster rate than the earnings of our long-term fixed rate assets during a period of rising interest rates.

The collateral requirements, or haircut levels, under our repo agreements are typically determined on an individual transaction basis or by the prevailing requirements established by the FICC for GCF tri-party repo.

Consequently, haircut levels and minimum margin requirements can change over time and may increase during periods of elevated market volatility.

If the fair value of our collateral declines, our counterparties will typically require that we post additional collateral to re-establish the agreed-upon collateral levels, referred to as "margin calls." Similarly, if the estimated fair value of our investment securities increases, we may request that counterparties release collateral back to us.

Our counterparties typically have the sole discretion to determine the value of pledged collateral but are required to act in good faith in making determinations of value.

Our agreements generally provide that in the event of a margin call, collateral must be posted on the same business day, subject to notice requirements.

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

The value of Agency RMBS collateral is impacted by market factors and is reduced by monthly principal pay-downs on the underlying mortgage pools.

Fannie Mae and Freddie Mac publish monthly security pay-down factors for their mortgage pools on the fifth day after month-end, but do not remit payment to security holders until generally the 25th day after month-end.

Bi-lateral repo counterparties assess margin to account for the reduction in value of Agency collateral when factors are released.

The FICC assesses margin on the last day of each month, prior to the factor release date, based on its internally projected pay-down rates (referred to as the "blackout period exposure adjustment" or "blackout margin").

On the factor release date, the blackout margin is released and collateralization requirements are adjusted to actual factor data.

Due to the timing difference between associated margin calls and our receipt of principal pay-downs, our liquidity is temporarily reduced each month for principal repayments.

We attempt to manage the liquidity risk associated with principal pay-downs by monitoring conditions impacting prepayment rates and through asset selection.

As of March 31, 2025, approximately 9% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs.

The remainder of our portfolio primarily consisted of Agency RMBS, which had an average one-year CPR forecast of 8% as of March 31, 2025.

Collateral requirements under our derivative agreements are subject to our counterparties' assessment of their maximum risk of loss associated with the derivative instrument, referred to as the initial or minimum margin requirement, and may be adjusted based on changes in market volatility and other factors.

We are also subject to daily variation margin requirements based on changes in the value of the derivative instrument and/or collateral pledged.

Daily variation margin requirements also entitle us to receive collateral if the value of amounts owed to us under the derivative agreement exceeds the minimum margin requirement.

The collateral requirements under our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC.

Collateral levels for interest rate derivative agreements are typically governed by the central clearing exchange and the associated futures commission merchants ("FCMs"), which may establish margin levels in excess of the clearing exchange.

Collateral levels for interest rate derivative agreements not subject to central clearing are established by the counterparty financial institution.

Haircut levels and minimum margin requirements imposed by our counterparties reduce the amount of our unencumbered assets and limit the amount we can borrow against our investment securities.

During the three months ended March 31, 2025, haircuts on our repo funding arrangements remained stable.

As of March 31, 2025, the weighted average haircut on our repurchase agreements was approximately 3.0% of the value of our collateral, compared to 3.2% as of December 31, 2024.

Borrowing capacity under our repurchase agreements is influenced by counterparty margin requirements, collateral values, interest rates and counterparties’ willingness and ability to lend.

These factors can change over time in response to interest rate movements, overall market liquidity, shifts in credit quality and changes in bank regulatory requirements.

Centrally cleared repo capacity also depends on Bethesda Securities’ satisfying membership and regulatory requirements and maintaining its risk exposure within limits established by the FICC.

Haircuts for bilateral repurchase agreements are determined on a transaction-specific basis.

A haircut is a discount applied to the market value of pledged collateral to protect the counterparty against potential declines in its value.

Margin requirements for GCF Repo are set by the FICC.

These include an initial margin requirement, calculated daily using a Value-at-Risk (“VaR”) model, which evaluates Bethesda Securities’ net exposure to the FICC, taking into account the offsetting risk sensitivities of positions such as repos and reverse repos.

Initial margin is designed to protect the FICC against potential future exposure from a member default and may also be used to cover losses arising from the default of other clearing members, subject to assessments from the loss mutualization waterfall and applicable caps and withdrawal provisions set pursuant to FICC rules.

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

Margin thresholds may increase during periods of elevated market volatility, causing an adverse change in our liquidity position.

When collateral values decline, counterparties typically issue margin calls requiring us to post additional collateral to restore the required collateralization level.

Conversely, if the value of pledged securities rises, we may request the return of excess collateral.

Collateral values are determined by our counterparties, who are required to act in good faith.

Margin calls are typically due on the same business day, subject to notice provisions.

As of June 30, 2025, we were in compliance with all margin requirements.

Fannie Mae and Freddie Mac publish monthly pay-down factors on the fifth business day following month-end, and repo counterparties typically reduce the values they assign to Agency RMBS collateral to account for the pay-down factor data, even though principal payments on Agency RMBS are generally not received until the 25th calendar day following month-end.

Bilateral repo counterparties make this adjustment at the time Fannie Mae and Freddie Mac publish the pay-down factors.

In contrast, the FICC assesses margin on the last business day of each month—prior to the factor release—using internally projected pay-down rates.

This estimate-based collateral adjustment is referred to as the "blackout period exposure adjustment" or "blackout margin." On the factor release date, the FICC releases the blackout margin and updates collateral requirements to reflect the actual factor data.

The timing difference between margin calls related to principal pay-downs and our receipt of the corresponding cash flows temporarily reduces our available liquidity each month.

We manage this liquidity risk by monitoring factors that influence prepayment activity and through disciplined asset selection.

As of June 30, 2025, approximately 10% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs.

The remainder of our portfolio, primarily consisting of Agency RMBS, had an average one-year CPR forecast of 8%.

Collateral requirements under our derivative agreements are typically subject to initial and variation margin requirements, similar to those for centrally cleared repo transactions, and may be adjusted based on changes in the value of the derivative agreements, collateral values, market volatility, and other factors.

Collateral requirements for our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC.

Collateral levels for interest rate swap agreements are established by the central clearing exchange and the associated futures commission merchants ("FCMs"), which may impose margin requirements in excess of the clearing exchange.

Non-centrally cleared derivative collateral requirements are set by the counterparty financial institution.

Haircut levels and initial or minimum margin requirements reduce the amount of our unencumbered assets and limit our borrowing capacity.

During the three and six months ended June 30, 2025, haircuts and initial margin requirements on our repo funding arrangements remained stable.

As of June 30, 2025, the weighted average haircut and initial margin on our repurchase agreements was approximately 3.0% of the value of our collateral, compared to 3.2% as of December 31, 2024.

To mitigate the risk of margins calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or sold for cash.

As of March 31, 2025, our unencumbered assets totaled approximately $6.1 billion, or 64% of tangible equity, consisting of $6.0 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.

As of June 30, 2025, our unencumbered assets totaled approximately $6.5 billion, or 66% of tangible equity, consisting of $6.4 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.

This compares to $6.2 billion of unencumbered assets, or 67% of tangible equity, as of December 31, 2024, consisting of $6.1 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.

For additional details regarding assets pledged under our repo and derivative agreements refer to Note 6 to our Consolidated Financial Statements in this Form 10-Q.

Counterparty Risk

Collateral requirements imposed by counterparties subject us to the risk that the counterparty does not return pledged assets to us as and when required.

We attempt to manage this risk by monitoring our collateral positions and limiting our counterparties to registered clearinghouses and major financial institutions with acceptable credit ratings.

We also diversify our funding across multiple counterparties and by region.

As of March 31, 2025, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was less than 2% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing 5% of our tangible stockholders' equity.

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

Excluding central clearing exchanges, as of March 31, 2025, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders' equity.

Collateral requirements imposed by counterparties subject us to the risk that pledged assets may not be returned to us as required.

We attempt to manage this risk by actively monitoring our collateral positions and limiting our counterparties to registered clearinghouses and regulated financial institutions with acceptable credit ratings.

We also diversify our funding sources across multiple counterparties and geographic region.

As of June 30, 2025, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was less than 2% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing 5% of our tangible stockholders' equity.

As of June 30, 2025, 10% of our tangible stockholders' equity was at risk with the FICC.

Excluding central clearing exchanges, as of June 30, 2025, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders' equity.

Agency RMBS securities are among the most liquid fixed income securities, and the TBA market is the second most liquid market (after the U.S.

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We may also be unable to raise additional equity capital at suitable times or on favorable terms.

Furthermore, when the trading price of our common stock is less than our then-current estimate of our tangible net book value per common share, among other conditions, we may repurchase shares of our common stock pursuant to the stock repurchase plan authorized by our Board, which as of March 31, 2025, shares of our common stock with an aggregate repurchase price of $1.0 billion remained authorized for repurchase through December 31, 2026.

Please refer to Notes 9 and 11 of our Consolidated Financial Statements in this Form 10-Q for further details regarding our recent equity capital transactions and our new At-the-Market Offering Program established in April 2025.

Furthermore, when the trading price of our common stock is less than our then-current estimate of our tangible net book value per common share, among other conditions, we may repurchase shares of our common stock pursuant to the stock repurchase plan authorized by our Board, which as of June 30, 2025, shares of our common stock with an aggregate repurchase price of $1.0 billion remained authorized for repurchase through December 31, 2026.

Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-Q for further details regarding our recent equity capital transactions.

OFF-BALANCE SHEET ARRANGEMENTS

As of March 31, 2025, we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes.

Additionally, as of March 31, 2025, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.

As of June 30, 2025, we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes.

Additionally, as of June 30, 2025, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.

FORWARD-LOOKING STATEMENTS

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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 2. Management’s Discussion and Analysis