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Item 2. Management’s Discussion and Analysis

2026-05-04 compared with 2025-10-31 · 171 added, 248 removed, 506 unchanged (45% 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 September 30, 2025.

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, 2026.

Our MD&A is presented in the following sections:

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Government agency, such as Government National Mortgage Association (“Ginnie Mae”).

We may also invest in other assets related to the housing, mortgage or real estate markets that are not guaranteed by a GSE or U.S.

We may also invest in Agency multifamily MBS that are similarly guaranteed by a GSE and in other assets related to the housing, mortgage or real estate markets that are not guaranteed by a GSE or U.S.

Government agency.

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Market Trends

In the third quarter of 2025, the pivot by the Federal Reserve (the "Fed") to a less restrictive monetary policy stance, combined with easing fiscal policy concerns, drove strong financial market performance and a notable improvement in investor sentiment.

Agency RMBS were one of the best-performing fixed income asset classes during the quarter and have outperformed U.S.

Treasuries for five consecutive months for the first time since 2013.

In this favorable investment environment, AGNC generated an economic return on tangible common equity of 10.6% for the third quarter.

At its September meeting, the Fed lowered the federal funds rate as expected and signaled further monetary policy accommodation with the possibility of additional rate cuts at the October and December meetings.

On the fiscal policy front, the passage of the tax bill early in the quarter and several positive tariff developments reduced uncertainty that had weighed on the investment outlook in the second quarter.

Collectively, these investor-friendly developments contributed to a material decline in interest rate volatility and supported the relative outperformance of Agency RMBS.

Looking ahead, a number of macroeconomic dynamics support a constructive outlook for Agency RMBS.

First, the Administration has begun to focus on mortgage spreads as a means of improving housing affordability.

In a late-September interview, the Treasury Secretary underscored this view, stating:

"the really important thing here is that we either maintain mortgage spreads, or narrow them further, to help the American people."

Second, the supply and demand dynamic for Agency RMBS remains well balanced.

With the primary mortgage rate year-to-date remaining above 6%, net new issuance of Agency RMBS is expected to total approximately $200 billion in 2025—toward the lower end of initial expectations.

Meanwhile, the demand outlook has improved, with banks expected to increase demand following anticipated regulatory reforms.

In addition, money manager demand for Agency RMBS, which increased meaningfully in the third quarter, should remain robust given the favorable shift in monetary policy.

Third, the financing market for Agency RMBS remains strong.

The Fed recently announced that it will conclude the reduction of its aggregate securities holdings on December 1, 2025 to ensure bank reserves remain at levels consistent with ongoing funding market liquidity.

Over the longer-term, the Fed is also considering joining the FICC for purposes of the Standing Repo Facility and moving to a repo-based rate as its primary policy target.

If implemented, each of these measures would further strengthen the repo market for U.S.

Treasuries and Agency RMBS, particularly during periods of market stress.

Fourth, the outlook for GSE reform continues to move in a favorable direction, with policymakers emphasizing the importance of maintaining mortgage market stability.

To that end, the Treasury Department has emphasized three guiding principles for GSE reform:

(i) maximize taxpayer value;

(ii) lower mortgage rates through stable or tighter mortgage spreads;

and (iii) avoid disruptions to the housing finance system.

While these dynamics currently point in a favorable direction for Agency RMBS, episodes of financial market volatility and disruption are possible given ongoing monetary and fiscal policy uncertainty.

In this evolving investment environment, AGNC’s disciplined approach to asset selection and risk management positions it well to generate favorable risk-adjusted returns.

Portfolio and Summary Financial Results

For the third quarter, AGNC generated total comprehensive income of $0.78 per diluted common share and an economic return of 10.6% on tangible common equity, comprised of $0.36 in dividends declared and a $0.47 increase in tangible net book value per common share.

For the first three quarters of 2025, total comprehensive income was $0.80 per diluted common share, resulting in an economic return of 11.3%, comprised of $1.08 in dividends and a $0.13 decline in tangible net book value per common share.

Agency spreads to both Treasury and swap rates tightened meaningfully across the coupon stack during the third quarter, reflecting a sharp decline in interest rate volatility.

Intermediate coupon securities performed the best, supported by strong index-based demand from money managers.

Higher coupon RMBS also generated positive excess returns, though to a lesser extent, as the sizable intra-quarter rally in long-term interest rates increased prepayment concerns associated with these coupons.

Hedge composition was another meaningful driver of performance, as swap spreads widened 2 to 5 basis points across the curve.

Our investment portfolio totaled $90.8 billion as of September 30, 2025, an increase of $8.5 billion from the prior quarter, reflecting the full deployment of preferred and common equity capital raised in the second and third quarters.

As is typically the case when new capital is deployed, the assets added were primarily newly originated production coupon RMBS.

Over time, we seek to optimize the composition of our asset base by rotating into pools with more favorable prepayment characteristics as market opportunities arise.

Consistent with the growth in our investment portfolio, our TBA position increased to $13.8 billion at quarter end from $8.3 billion as of June 30, 2025.

As a result, the percentage of assets with favorable prepayment attributes 1 declined to 76%, compared to 81% at June 30, 2025.

The weighted average coupon of our portfolio, excluding TBAs, increased modestly to 5.17% as of quarter end, compared to 5.14% as of June 30, 2025.

Including TBAs, the weighted average coupon was unchanged at 5.15%.

The average projected life CPR of our portfolio increased to 8.6% at quarter end from 7.8% as of June 30, 2025, reflecting lower mortgage rates.

Actual CPRs averaged 8.3% for the quarter, down from 8.7% in the second quarter.

We ended the third quarter with tangible “at risk” leverage of 7.6x, unchanged from the prior quarter, and a substantial liquidity position of $7.2 billion in unencumbered cash and Agency RMBS, which represented 66% of tangible equity, up slightly from the second quarter.

The notional balance of our swap and Treasury-based hedges remained relatively stable during the third quarter;

however, the composition shifted toward a greater share of longer-dated swap-based hedges.

In duration dollar terms, swap-based hedges increased to 59% of our overall hedge portfolio, compared to 54% as of June 30, 2025.

Given the convexity profile of our assets and the significant decline in interest rate volatility, we added $7 billion of receiver swaptions during the third quarter to provide additional protection in a declining rate environment.

Our duration gap,

which measures the estimated difference between the interest rate sensitivity of our assets and liabilities including hedges, was 0.3 years at quarter end compared to 0.2 years as of June 30, 2025.

Net spread and dollar roll income (a non-GAAP measure) declined $0.03 to $0.35 per common share for the third quarter.

This decline was primarily driven by lower swap income due to the maturity of legacy interest rate swaps with ultra-low fixed pay rates totaling $3.8 billion in the third quarter and $5.3 billion in the second quarter, as well as a timing mismatch between the issuance and deployment of new preferred and common equity capital.

Another important driver of net spread and dollar roll income is the amount of unhedged short-term debt in our funding mix, as measured by our hedge ratio.

As of September 30, 2025, our interest rate hedge ratio—excluding option-based hedges—declined to 77% of total funding liabilities, compared to 86% as of June 30, 2025.

This decline reflects our expectations for an accommodative monetary policy environment and positions AGNC’s earnings profile to benefit from future rate cuts as they occur.

Looking ahead, lower funding costs resulting from the September rate cut and potential future rate cuts, together with the full deployment of recently raised equity capital and a shift in our hedge mix toward a greater share of swap-based hedges, are likely to benefit net spread and dollar roll income, despite a gradual decline in the benefit of legacy swaps.

Agency RMBS performance in the first quarter of 2026 was driven by two divergent macroeconomic themes.

In January and February, the Administration’s focus on reducing interest rate volatility, maintaining mortgage spread stability, and improving housing affordability drove strong performance across the broader fixed income complex and Agency RMBS specifically.

This favorable investment environment was, however, quickly eclipsed in March by the war in Iran and the potential for more widespread conflict in the Middle East.

The associated increase in volatility and negative shift in investor sentiment caused Agency RMBS spreads to benchmark rates to widen, and, as a result, AGNC’s economic return on tangible net book value per common share in the first quarter was -1.6%.

1 Despite the quarter-over-quarter spread widening, Agency RMBS generated a positive excess return relative to both U.S.

Treasuries and investment grade corporate bonds in the first quarter, demonstrating the diversification benefit of this high credit quality, fixed income asset class.

We continue to believe that many of the positive catalysts for Agency RMBS performance observed at the beginning of the year remain intact, with several improving further during the first quarter.

First, mortgage spreads to benchmark rates widened significantly in March, and these wider spread levels provide investors with compelling value on both an absolute and relative basis.

Second, supply-demand technicals have improved as a result of higher mortgage rates, increased bond fund inflows, and proposed regulatory capital changes.

Third, the higher rate environment also increases the likelihood of actions by the Administration to stabilize or reduce mortgage spreads as a means to mitigate housing affordability issues.

Finally, although

interest rate volatility has increased and future Federal Reserve monetary policy actions have become somewhat more uncertain, we believe that, with some form of resolution or easing of tensions in the Middle East, these factors could quickly revert to positive catalysts for Agency RMBS.

As a result, our longer-term outlook for Agency RMBS remains constructive, despite near-term challenges associated with heightened geopolitical and macroeconomic risks.

Agency RMBS Performance Drivers

During the first quarter, Agency RMBS performance varied meaningfully by coupon and hedge type.

Lower coupon Agency RMBS significantly outperformed higher coupon Agency RMBS due to strong index demand from money managers as a result of outsized bond fund inflows.

Specifically, spreads of lower coupon Agency RMBS to U.S.

Treasuries tightened about 10 basis points during the quarter, while spreads of higher coupon Agency RMBS to U.S.

Treasuries widened about 5 basis points on average.

Agency RMBS performance was also materially impacted by hedge type as U.S.

Treasury hedges outperformed swap hedges during the quarter.

Ten-year swap spreads to U.S.

Treasuries, for example, tightened by almost 10 basis points.

As a result, an Agency RMBS position hedged with a 10-year pay-fixed swap experienced spread widening of about 10 basis points when compared to the same position hedged with a 10-year Treasury.

This tightening in swap spreads was largely driven by increased demand for swap hedges amid heightened Middle East uncertainty.

Portfolio and Summary Financial Highlights

For the first quarter, AGNC generated a total comprehensive loss of $(0.18) per diluted common share and an economic return of -1.6% on tangible common equity, comprised of $0.36 in dividends per common share declared during the first quarter and a $(0.50) decrease in tangible net book value per common share.

This compares to total comprehensive income of $0.89 per diluted common share and an economic return of 11.6% for the fourth quarter of 2025, comprised of $0.36 in dividends and a $0.60 increase in tangible net book value per common share.

Net spread and dollar roll income (a non-GAAP measure) was $0.42 per diluted common share for the first quarter, compared to $0.35 per diluted common share for the fourth quarter.

The increase was largely due to a 25-basis point increase in our net interest spread, which was driven by the combination of a greater allocation to interest rate swaps in our hedge portfolio, lower repo funding costs, more favorable TBA implied financing levels, and a modest increase in the yield on our asset portfolio.

Quarter-over-quarter results also benefited from reduced compensation expense, as our fourth quarter results included year-end incentive compensation accrual adjustments.

Our investment portfolio totaled $94.7 billion as of March 31, 2026, compared to $94.8 billion as of December 31, 2025.

During the first quarter we rotated a portion of our portfolio down in coupon and purchased $1.7 billion of predominately low coupon specified pools.

Consistent with these portfolio changes, the weighted average coupon on our portfolio, inclusive of TBAs, declined to 4.95% from 5.12% as of December 31, 2025 and the portion of our fixed-rate portfolio with favorable prepayment attributes 2 increased slightly to 77% as of March 31, 2026, compared to 76% as of December 31, 2025.

The average projected life Constant Prepayment Rate ("CPR") for our portfolio increased to 10.3% as of March 31, 2026, from 9.6% as of December 31, 2025, largely due to prepayment model updates implemented in the first quarter and portfolio composition changes, partly offset by higher mortgage rates.

Actual CPRs averaged 13.2% for the first quarter, compared to 9.7% for the fourth quarter.

As of March 31, 2026, our "at risk" leverage was 7.4x tangible equity, compared to 7.2x as of December 31, 2025, while average leverage for the quarter was unchanged at 7.4x.

We ended the quarter with $7.0 billion of unencumbered cash and Agency RMBS, representing 60% of tangible equity, compared to $7.6 billion and 64%, respectively, as of December 31, 2025.

As of March 31, 2026, our hedge ratio was 83%, reflecting the level of interest rate swap and U.S.

Treasury hedges (excluding option-based hedges) relative to total funding liabilities, compared to 77% as of December 31, 2025.

The notional balance of our interest rate swaps increased to $76.5 billion, representing 89% of our funding liabilities as of March 31, 2026, compared to $64.6 billion and 75%, respectively, as of December 31, 2025.

Our duration gap, which measures the estimated difference between the interest rate sensitivity of our assets and liabilities, including hedges, extended to 0.7 years as of quarter-end, compared to 0.4 years as of December 31, 2025, which we believe provides additional prepayment protection in a declining rate scenario.

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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Specified pools with favorable prepayment attributes include:

Economic return represents the sum of the change in tangible net book value per common share and dividends declared per share of common stock during the period over beginning tangible net book value per common share.

Agency RMBS 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.

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Interest Rate/Security Price 1

31, 2025 June 30, 2025 Sept.

30, 2025 Dec.

31, 2025 Mar.

31, 2025 June 30, 2025 Sept.

30, 2025 Sept.

June 30, 2025

31, 2026 Mar.

Target Federal Funds Rate:

Target Federal Funds Rate - Upper Band

5.00% 4.50% 4.50% 4.50% 4.25% -25 bps -25 bps

SOFR Rate 4.96% 4.49% 4.41% 4.45% 4.24% -21 bps -25 bps

4.50% 4.50% 4.25% 3.75% 3.75% — bps

SOFR Rate 4.41% 4.45% 4.24% 3.87% 3.68% -19 bps

SOFR Interest Rate Swap Rate:

3.44% 4.08% 3.72% 3.49% 3.40% -9 bps -68 bps

3.25% 4.04% 3.65% 3.43% 3.39% -4 bps -65 bps

3.32% 4.07% 3.76% 3.69% 3.66% -3 bps -41 bps

3.30% 3.93% 3.79% 3.90% 3.93% +3 bps — bps

3.72% 3.49% 3.40% 3.31% 3.62% +31 bps

3.65% 3.43% 3.39% 3.46% 3.62% +16 bps

3.76% 3.69% 3.66% 3.80% 3.87% +7 bps

3.79% 3.90% 3.93% 4.17% 4.13% -4 bps

Treasury Security Rate:

3.64% 4.24% 3.89% 3.72% 3.61% -11 bps -63 bps

3.56% 4.38% 3.95% 3.80% 3.74% -6 bps -64 bps

3.78% 4.57% 4.21% 4.23% 4.15% -8 bps -42 bps

4.12% 4.78% 4.57% 4.78% 4.73% -5 bps -5 bps

3.89% 3.72% 3.61% 3.48% 3.80% +32 bps

3.95% 3.80% 3.74% 3.73% 3.94% +21 bps

4.21% 4.23% 4.15% 4.17% 4.32% +15 bps

4.57% 4.78% 4.73% 4.85% 4.91% +6 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 Sept.

Mortgage Rate/Credit Spread Mar.

31, 2025 June 30, 2025 Sept.

30, 2025 Dec.

31, 2025 Mar.

31, 2025 June 30, 2025 Sept.

30, 2025 Sept.

June 30, 2025

31, 2026 Mar.

Mortgage Rate:

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30-Year Agency Current Coupon Yield to 3/5/10-Year Swap Spread 183 197 174 151 169 +18

30-Year Agency Current Coupon Yield 4.96% 5.83% 5.51% 5.48% 5.20% -28 bps -63 bps

30-Year Mortgage Rate 6.14% 6.86% 6.60% 6.67% 6.32% -35 bps -54 bps

30-Year Agency Current Coupon Yield 5.51% 5.48% 5.20% 5.04% 5.38% +34 bps

30-Year Mortgage Rate 6.60% 6.67% 6.32% 6.16% 6.35% +19 bps

Credit Spread (in bps):

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FINANCIAL CONDITION

As of September 30, 2025 and December 31, 2024, our investment portfolio totaled $90.8 billion and $73.3 billion, respectively, consisting of:

As of March 31, 2026 and December 31, 2025, our investment portfolio totaled $94.7 billion and $94.8 billion, respectively, consisting of:

$84.4 billion and $81.1 billion Agency RMBS, at fair value, respectively;

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and other mortgage credit investments of $69 million and $70 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 September 30, 2025 and December 31, 2024 (dollars in millions):

September 30, 2025 December 31, 2024

The following table is a summary of our investment securities (including TBA securities) as of March 31, 2026 and December 31, 2025 (dollars in millions):

March 31, 2026 December 31, 2025

Investment Securities (Includes TBAs) 1

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________________________________

Table excludes other mortgage credit investments of $69 million and $64 million as of September 30, 2025 and December 31, 2024, respectively.

Table excludes other mortgage credit investments of $69 million and $70 million as of March 31, 2026 and December 31, 2025, 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 September 30, 2025 and December 31, 2024, our TBA securities had a net carrying value of $36 million and $(26) million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets.

As of March 31, 2026 and December 31, 2025, our TBA securities had a net carrying value of $(194) million and $71 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 September 30, 2025 and December 31, 2024, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.94% and 4.77%, respectively.

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

September 30, 2025

As of March 31, 2026 and December 31, 2025, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.93% and 4.93%, respectively.

The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of March 31, 2026 and December 31, 2025 (dollars in millions):

March 31, 2026

Includes Net TBA Position Excludes Net TBA Position

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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 September 30, 2025, lower balance specified pools had a weighted average original loan balance of $188,000 and $141,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 142% for 15-year and 30-year securities, respectively.

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

As of March 31, 2026, lower balance specified pools had a weighted average original loan balance of $181,000 and $143,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 146% for 15-year and 30-year securities, respectively.

Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of March 31, 2026.

December 31, 2025

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

For additional details regarding our CRT and non-Agency securities, including credit ratings, as of September 30, 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 March 31, 2026 and December 31, 2025, please refer to Note 3 of our Consolidated Financial Statements in this Form 10-Q.

RESULTS OF OPERATIONS

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We also believe it is important for users of our financial information to consider information related to our current financial performance without the effects of certain measures and one-time events that are not necessarily indicative of our current investment portfolio performance and operations.

Specifically, in the case "net spread and dollar roll income available to common stockholders" and components of such measure, "economic interest income" and "economic interest expense," we believe the inclusion of TBA dollar roll income is meaningful as TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements.

Similarly, we believe that the inclusion of periodic interest rate swap settlements is meaningful as interest rate swaps are the primary instrument we use to economically hedge against fluctuations in our borrowing costs, and it is more indicative of our total cost of funds than interest expense alone.

Additionally, we believe the exclusion of "catch-up" premium amortization adjustments is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such adjustments is more indicative of the current earnings potential of our investment portfolio.

Specifically, with respect to “net spread and dollar roll income available to common stockholders” and its components, “economic interest income” and “economic interest expense,” we believe the inclusion of TBA dollar roll income is meaningful because TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements.

Similarly, we believe that the inclusion of periodic interest rate swap settlements is meaningful because interest rate swaps are the primary instruments we use to economically hedge against fluctuations in our borrowing costs, and their inclusion is more indicative of our total cost of funds than interest expense alone.

Additionally, we believe the exclusion of “catch-up” premium amortization adjustments is meaningful because it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, is more indicative of the current earnings potential of our investment portfolio.

However, because such measures are incomplete measures of our financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP.

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Management’s Discussion and Analysis of Financial Condition and Results of Operations (in millions, except per share amounts):

September 30,

Balance Sheet Data 2026

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Three Months Ended

September 30,

Nine Months Ended

September 30,

Statement of Comprehensive Income Data (Unaudited)

2025 2024 2025 2024

Interest income $ 1,050 $ 846

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Net interest income (expense) 319 159

Other gain, net 688 440 333 916

Other loss, net (433) (81)

Operating expenses 34 28

Net income 806 346 716 741

Net income (loss) (148) 50

Dividends on preferred stock 44 35

Net income available to common stockholders $ 764 $ 313 $ 601 $ 645

Net income $ 806 $ 346 $ 716 $ 741

Other comprehensive income, net 61 200 202 105

Comprehensive income 867 546 918 846

Net income (loss) available (attributable) to common stockholders $ (192) $ 15

Net income (loss) $ (148) $ 50

Other comprehensive income (loss), net (8) 93

Comprehensive income (loss) (156) 143

Dividends on preferred stock 44 35

Comprehensive income available to common stockholders $ 825 $ 513 $ 803 $ 750

Comprehensive income (loss) available (attributable) to common stockholders $ (200) $ 108

Weighted average number of common shares outstanding - basic 1,122.6 918.3

Weighted average number of common shares outstanding - diluted 1,122.6 921.9

Net income per common share - basic $ 0.73 $ 0.39 $ 0.60 $ 0.86

Net income per common share - diluted $ 0.72 $ 0.39 $ 0.60 $ 0.86

Comprehensive income per common share - basic $ 0.78 $ 0.64 $ 0.81 $ 1.00

Comprehensive income per common share - diluted $ 0.78 $ 0.63 $ 0.80 $ 1.00

Net income (loss) per common share - basic $ (0.17) $ 0.02

Net income (loss) per common share - diluted $ (0.17) $ 0.02

Comprehensive income (loss) per common share - basic $ (0.18) $ 0.12

Comprehensive income (loss) per common share - diluted $ (0.18) $ 0.12

Dividends declared per common share $ 0.36 $ 0.36

Three Months Ended

September 30,

Nine Months Ended

September 30,

Other Data (Unaudited) * 2026 2025

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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 7.2:1 7.6:1 7.2:1

Economic return on tangible common equity 7

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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 and nine months ended September 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):

The following table summarizes our economic interest income (a non-GAAP measure) for the three months ended March 31, 2026 and 2025, 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

September 30,

Nine Months Ended

September 30,

2025 2024 2025 2024

Amount Yield Amount Yield Amount Yield Amount Yield

Amount Yield Amount Yield

Interest income:

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TBA dollar roll income represents the price differential, or “price drop,” between the TBA price for current month settlement versus the TBA price for forward month settlement and is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period.

Amount is net of TBAs used for hedging purposes.

Amount includes dollar roll income (loss) on long and short TBA securities.

Amount excludes TBA mark-to-market adjustments.

The combined asset yield is calculated on a weighted average basis based on our average investment and TBA balances outstanding during the period and their respective yields.

The combined asset yield is calculated on a weighted average basis based on our average investment and net TBA balance outstanding during the period and their respective yields.

30-year fixed rate mortgage rates are sourced from Optimal Blue.

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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 and nine months ended September 30, 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 months ended March 31, 2026 compared to the prior year period (in millions):

Impact of Changes in the Principal Elements Impacting Economic Interest Income

Due to Change in Average

Three months ended:

Total Increase /

(Decrease) Portfolio

Interest Income (GAAP measure) $ 147 $ 92 $ 55

Estimated "catch-up" premium amortization due to change in CPR forecast (10) — (10)

Interest income, excluding "catch-up" premium amortization 137 92 45

TBA dollar roll income - implied interest income 96 111 (15)

Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 233 $ 203 $ 30

Three Months Ended March 31, 2026 vs.

March 31, 2025

Due to Change in Average

Nine months ended:

Total Increase /

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Economic interest income, excluding “catch-up” amortization (non-GAAP measure) $ 233 $ 210 $ 23

Our average investment portfolio (at cost), inclusive of TBAs, increased 23% and 23% for the three and nine months ended September 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 22 and 24 basis points for the three and nine months ended September 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 average investment portfolio (at cost), inclusive of TBAs, increased 22% for the three months ended March 31, 2026, 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 11 basis points for the three months ended March 31, 2026, largely due to an increase in the average coupon of our portfolio.

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

September 30, 2025 $ 66,654 $ 70,066 $ 69,057 $ 10,163 $ 13,805 7.5:1 7.6:1

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

March 31, 2026 $ 77,120 $ 79,681 $ 75,840 $ 10,343 $ 9,742 7.4:1 7.4:1

December 31, 2025 $ 69,943 $ 74,195 $ 73,002 $ 13,764 $ 12,917 7.4:1 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, 2025 $ 61,707 $ 63,789 $ 63,312 $ 7,428 $ 7,429 7.3:1 7.5:1

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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 and nine months ended September 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:

The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for the three months ended March 31, 2026 and 2025 (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

September 30,

Nine Months Ended

September 30,

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) $ 731 3.79 % $ 687 4.45 %

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The implied funding cost (benefit) of TBA dollar roll transactions is determined using the price differential, or “price drop,” between the TBA price for current month settlement versus the TBA price for forward month settlement and market based assumptions regarding the “cheapest-to-deliver” collateral that can be delivered to satisfy the TBA contract, such as the anticipated collateral’s weighted average coupon, weighted average maturity and projected 1-month CPR.

The average implied funding cost (benefit) for all TBA transactions is weighted based on our daily average TBA balance outstanding for the period.

The average implied funding cost for TBA transactions represents our long TBA position, weighted based on our daily average long position outstanding for the period.

The combined cost of funds for total mortgage borrowings outstanding, before interest rate swap periodic income, is calculated on a weighted average basis based on average investment securities repurchase agreements, other debt and TBA securities outstanding during the period and their respective cost of funds.

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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 and nine months ended September 30, 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 months ended March 31, 2026 compared to the prior year period (in millions):

Impact of Changes in the Principal Elements of Economic Interest Expense

Three Months Ended March 31, 2026 vs.

March 31, 2025

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 $ 163 $ 22 $ 141

Due to Change in Average

Nine months ended:

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

Investment securities repurchase agreement and other debt interest expense $ (80) $ 399 $ (479)

TBA dollar roll income - implied interest benefit/expense 116 181 (65)

Interest rate swap periodic income/cost 666 (19) 685

Total change in economic interest benefit/expense $ 702 $ 561 $ 141

Our average mortgage borrowings, inclusive of TBAs, increased 24% and 25% for the three and nine months ended September 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 98 and 99 basis points for the three and nine months ended September 30, 2025, respectively, due to lower short-term interest rates.

Interest rate swap periodic income declined for the three and nine months ended September 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.

interest rate swaps outstanding to mortgage borrowings also declined, reflecting a 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 and nine months ended September 30, 2025 (dollars in millions).

Our average mortgage borrowings, inclusive of TBAs, increased 27% for the three months ended March 31, 2026, 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 69 basis points for the three months ended March 31, 2026, due to a decline in short-term interest rates.

Interest rate swap periodic income declined for the three months ended March 31, 2026, primarily due to higher pay rates on our pay-fixed swaps, driven by the maturity of lower-cost legacy swaps and an increase in our interest rate swap position at higher prevailing rates, as well as lower receive rates.

The ratio of interest rate swaps outstanding to mortgage borrowings increased due to a greater allocation to interest rate swaps in our hedge portfolio.

The following table summarizes our interest rate swaps outstanding during the three months ended March 31, 2026 and 2025 (dollars in millions).

Amounts exclude forward starting swaps not yet in effect.

Three Months Ended

September 30,

Nine Months Ended

September 30,

Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding 2026 2025

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Ratio of average interest rate swaps to mortgage borrowings outstanding

59 % 72 % 62 % 77 %

Average interest rate swap pay-fixed rate (excluding forward starting swaps) 2.65 % 1.73 %

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(1.02) % (2.65) %

For the three and nine months ended September 30, 2025, we had an average forward starting net pay-fixed rate swap balance of $238 million and $196 million, respectively.

For the three and nine months ended September 30, 2024, we had an average forward starting net pay-fixed rate swap balance of $1 million and $894 million, respectively.

For the three months ended March 31, 2026 and 2025, we had an average forward starting net pay-fixed rate swap balance of $2.1 billion and $286 million, 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 and nine months ended September 30, 2025 and 2024:

Three Months Ended September 30,

Nine Months Ended

September 30,

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, 2026 and 2025:

Three Months Ended

Investment and TBA Securities - Net Interest Spread 2026 2025

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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 and nine months ended September 30, 2025 and 2024 (dollars in millions):

Three Months Ended September 30,

Nine Months Ended

September 30,

2025 2024 2025 2024

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 months ended March 31, 2026 and 2025 (dollars in millions):

Three Months Ended

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

$ (200) $ 108

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Realized (gain) loss on sale of investment securities, net

81 (106) 503 100

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

(805) (1,742) (2,258) (1,010)

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

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

36 1,408 1,422 (6)

Adjustment to exclude unrealized gain reported through other comprehensive income:

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

(61) (200) (202) (105)

Adjustment to exclude unrealized (gain) loss reported through other comprehensive income:

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

Other adjustments:

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TBA dollar roll income, net 2

Interest rate swap periodic income (cost), net 2

245 456 820 1,486

Interest rate swap periodic income, net 2

Other interest income (expense), net 2,3

7 (12) (7) (79)

Net spread and dollar roll income available to common stockholders (non-GAAP measure) 475 403

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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 and nine months ended September 30, 2025 and 2024 (in millions):

Three Months Ended September 30,

Nine Months Ended

September 30,

The following table is a summary of our net gain (loss) on investment securities for the three months ended March 31, 2026 and 2025 (in millions):

Three Months Ended

Gain (Loss) on Investment Securities, Net 1

2025 2024 2025 2024

Gain (loss) on sale of investment securities, net $ 74 $ (245)

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

805 1,742 2,258 1,010

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

61 200 202 105

Total gain on investment securities, net

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

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

Total (loss) gain on investment securities, net

$ (823) $ 1,031

________________________________

Amounts exclude gain (loss) on TBA securities, which are reported in gain (loss) on derivative instruments and other securities, net in our Consolidated Statements of Comprehensive Income.

Amounts exclude gain (loss) on TBA securities, which is reported in gain (loss) on derivative instruments and other securities, net in our Consolidated Statements of Comprehensive Income.

Investment securities acquired after fiscal year 2016 are measured at fair value through net income (see Note 2 of our Consolidated Financial Statements in this Form 10-Q).

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 and nine months ended September 30, 2025 and 2024 (in millions):

Three Months Ended September 30,

Nine Months Ended

September 30,

2025 2024 2025 2024

The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three months ended March 31, 2026 and 2025 (in millions):

Three Months Ended

TBA securities, dollar roll income $ 51 $ 23

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Interest rate swaps, mark-to-market gain (loss) 273 (862)

Credit default swaps - buy protection — (3) — (6)

Payer swaptions — (19)

Receiver swaptions (6) —

Treasury securities - short position (148) (509) (747) (8)

Treasury securities - long position 15 36 75 (19)

Treasury futures contracts - short position (27) (17) (123) 258

Treasury securities 111 (400)

Treasury futures contracts (124) (100)

SOFR futures contracts - long position — 10

Other interest income (expense)

7 (12) (7) (79)

Other gain (loss) (6) (7)

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Leverage and Financing Sources

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 7.6x and 7.2x as of September 30, 2025 and December 31, 2024, respectively.

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

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 ten 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 7.4x and 7.2x as of March 31, 2026 and December 31, 2025, respectively.

The following table includes a summary of our mortgage borrowings outstanding as of March 31, 2026 and December 31, 2025 (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.

September 30, 2025 December 31, 2024

March 31, 2026 December 31, 2025

Mortgage Borrowings Amount % Amount %

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E xcludes U.S.

Treasury repurchase agreements totaling $5.2 billion and $1.4 billion as of September 30, 2025 and December 31, 2024, respectively.

As of September 30, 2025 and December 31, 2024, 44% and 47%, respectively, of our total repurchase agreements, including 47% and 49% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service.

Treasury repurchase agreements totaling $11.8 billion and $12.3 billion as of March 31, 2026 and December 31, 2025, respectively.

As of March 31, 2026 and December 31, 2025, 43% and 44%, respectively, of our total repurchase agreements, including 49% and 51% 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”).

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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.

TBA dollar roll transactions enhance our funding diversification, expand our available pool of assets, and improve our liquidity position by typically requiring less 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

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.

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

These factors may 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 continued compliance with regulatory and FICC membership 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.

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

When collateral values decline, counterparties typically issue a margin call 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.

For centrally cleared GCF repo transactions, margin requirements 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.

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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 September 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.

Margin thresholds may increase during periods of elevated market volatility, which could adversely affect our liquidity position.

In addition, repo counterparties typically reduce the collateral values assigned to Agency RMBS each month to reflect principal repayments.

Bilateral repo counterparties make this adjustment upon the publication of the pay-down factor by Fannie Mae, Freddie Mac or Ginnie Mae on the fifth business day following month-end, even though principal payments are generally not received until the 25 th calendar day following month-end.

The FICC assesses margin on the last business day of each month—prior to the factor release—using internally projected pay-down rates and subsequently adjusts collateral requirements to reflect the actual factor data when released.

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 September 30, 2025, approximately 15% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs.

As of March 31, 2026, 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 13%.

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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 nine months ended September 30, 2025, haircuts and initial margin requirements on our repo funding arrangements remained stable.

As of September 30, 2025, the weighted average haircut and initial margin on our repurchase agreements was approximately 2.9% 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 September 30, 2025, our unencumbered assets totaled approximately $7.3 billion, or 66% of tangible equity, consisting of $7.2 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.

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 those required by the clearing exchange.

Collateral requirements for non-centrally cleared derivatives are set by the counterparty financial institution.

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

Margin calls for repo and TBA transactions are typically due on the same business day, while margin calls for interest rate swaps and other derivative transactions are typically due on the next business day, subject to notice provisions.

During the three months ended March 31, 2026, haircuts and initial margin requirements on our repo funding arrangements remained stable.

As of March 31, 2026, the weighted average haircut and initial margin on our repurchase agreements were approximately 3.3% of the value of our collateral, compared to 3.1% as of December 31, 2025.

We were in compliance with all margin requirements as of March 31, 2026.

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

As of March 31, 2026, our unencumbered assets totaled approximately $7.1 billion, or 61% of tangible equity, consisting of $7.0 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.

This compares to $7.7 billion of unencumbered assets, or 65% of tangible equity, as of December 31, 2025, consisting of $7.6 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.

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Counterparty Risk

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.

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

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

As of September 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 less than 5% of our tangible stockholders' equity.

As of September 30, 2025, less than 8% of our tangible stockholders' equity was at risk with the FICC.

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

As of March 31, 2026, 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 less than 5% of our tangible stockholders’ equity.

As of March 31, 2026, less than 11% of our tangible stockholders’ equity was at risk with the FICC.

Excluding central clearing exchanges, as of March 31, 2026, 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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Capital Markets

The equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs of our business.

Equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs.

The availability of equity capital is dependent on market conditions and investor demand for our common and preferred stock.

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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 September 30, 2025, shares of our common stock with an aggregate repurchase price of $1.0 billion remained authorized for repurchase through December 31, 2026.

As of March 31, 2026, $1.0 billion remained authorized to repurchase shares of our common stock 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 September 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 September 30, 2025, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.

As of March 31, 2026, 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, 2026, 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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• changes in U.S.

monetary policy or interest rates, including actions taken by the Federal Reserve to normalize monetary policy and to reduce the size of its U.S.

Treasury and Agency RMBS bond portfolio;

monetary policy or interest rates, including actions taken by the Federal Reserve to adjust the size or composition of its U.S.

Treasury and Agency RMBS bond portfolio or to influence funding markets;

• changes in U.S.

government entity purchases or dispositions of Agency RMBS or other actions that directly or indirectly increase demand or supply of Agency RMBS or affect prepayment speeds;

• the direct or indirect effects of actions by the federal, state, or local governments that affect the economy, the housing sector or financial markets, including actions relating to fiscal policy;

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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