AGNC Investment Corp. 10-Q

Item 1. Financial Statements AGNC INVESTMENT CORP. CONSOLIDATED BALANCE SHEETS (in millions, except per share data) March 31, 2026 December 31, 2025 (Unaudited) Assets: Agency securities, at fair value (including pledged securities of $ 77,364 and $ 74,149 , respectively) $ 84,447 $ 81,003 Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) — 85 Credit risk transfer securities, at fair value (including pledged securities of $ 545 and $ 558 , respectively) 593 606 Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $ 8 and $ 13 , respectively) 93 95 U.S. Treasury securities, at fair value (including pledged securities of $ 12,313 and $ 13,056 , respectively) 12,582 13,477 Cash and cash equivalents 493 450 Restricted cash 1,864 1,292 Derivative assets, at fair value 178 169 Receivable for investment securities sold (including pledged securities of $0 and $ 149 , respectively) — 152 Receivable under reverse repurchase agreements 17,644 16,615 Goodwill 526 526 Other assets 477 607 Total assets $ 118,897 $ 115,077 Liabilities: Repurchase agreements $ 87,616 $ 85,286 Debt of consolidated variable interest entities, at fair value — 56 Payable for investment securities purchased 933 193 Derivative liabilities, at fair value 440 6 Dividends payable 182 182 Obligation to return securities borrowed under reverse repurchase agreements, at fair value 17,032 16,452 Other liabilities 513 509 Total liabilities 106,716 102,684 Stockholders’ equity: Preferred Stock - aggregate liquidation preference of $ 2,033 1,968 1,968 Common stock - $ 0.01 par value; 2,250 shares authorized, 1,147.8 and 1,107.6 shares issued and outstanding, respectively 11 11 Additional paid-in capital 19,656 19,261 Retained deficit ( 9,123 ) ( 8,524 ) Accumulated other comprehensive loss ( 331 ) ( 323 ) Total stockholders’ equity 12,181 12,393 Total liabilities and stockholders’ equity $ 118,897 $ 115,077 See accompanying notes to consolidated financial statements. 2 AGNC INVESTMENT CORP. CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) (in millions, except per share data) Three Months Ended March 31, 2026 2025 Interest income: Interest income $ 1,050 $ 846 Interest expense 731 687 Net interest income 319 159 Other gain (loss), net: Gain (loss) on sale of investment securities, net 74 ( 245 ) Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 889 ) 1,183 Gain (loss) on derivative instruments and other investments, net 382 ( 1,019 ) Total other loss, net: ( 433 ) ( 81 ) Expenses: Compensation and benefits 23 19 Other operating expense 11 9 Total operating expense 34 28 Net income (loss) ( 148 ) 50 Dividends on preferred stock 44 35 Net income (loss) available (attributable) to common stockholders $ ( 192 ) $ 15 Net income (loss) $ ( 148 ) $ 50 Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net ( 8 ) 93 Comprehensive income (loss) ( 156 ) 143 Dividends on preferred stock 44 35 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 (loss) per common share - basic $ ( 0.17 ) $ 0.02 Net income (loss) per common share - diluted $ ( 0.17 ) $ 0.02 Dividends declared per common share $ 0.36 $ 0.36 See accompanying notes to consolidated financial statements. 3 AGNC INVESTMENT CORP. CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY (Unaudited) (in millions) Preferred Stock Common Stock Additional Paid-in Capital Retained Deficit Accumulated Other Comprehensive Income (Loss) Total Shares Amount Balance, December 31, 2024 $ 1,634 897.4 $ 9 $ 17,264 $ ( 8,554 ) $ ( 591 ) $ 9,762 Net income — — — — 50 — 50 Other comprehensive income: Unrealized gain on available-for-sale securities, net — — — — — 93 93 Stock-based compensation, net — 1.9 — ( 4 ) — — ( 4 ) Issuance of common stock — 49.7 — 509 — — 509 Preferred dividends declared — — — — ( 35 ) — ( 35 ) Common dividends declared — — — — ( 333 ) — ( 333 ) Balance, March 31, 2025 $ 1,634 949.0 $ 9 $ 17,769 $ ( 8,872 ) $ ( 498 ) $ 10,042 Balance, December 31, 2025 $ 1,968 1,107.6 $ 11 $ 19,261 $ ( 8,524 ) $ ( 323 ) $ 12,393 Net loss — — — — ( 148 ) — ( 148 ) Other comprehensive loss: Unrealized loss on available-for-sale securities, net — — — — — ( 8 ) ( 8 ) Stock-based compensation, net — 2.2 — ( 6 ) — — ( 6 ) Issuance of common stock — 38.0 — 401 — — 401 Preferred dividends declared — — — — ( 44 ) — ( 44 ) Common dividends declared — — — — ( 407 ) — ( 407 ) Balance, March 31, 2026 $ 1,968 1,147.8 $ 11 $ 19,656 $ ( 9,123 ) $ ( 331 ) $ 12,181 See accompanying notes to consolidated financial statements. 4 AGNC INVESTMENT CORP. CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) (in millions) Three Months Ended March 31, 2026 2025 Operating activities: Net income (loss) $ ( 148 ) $ 50 Adjustments to reconcile net income to net cash provided by operating activities: Amortization of premiums and discounts on mortgage-backed securities, net 52 39 Stock-based compensation, net ( 6 ) ( 4 ) (Gain) loss on sale of investment securities, net ( 74 ) 245 Unrealized (gain) loss on investment securities measured at fair value through net income, net 889 ( 1,183 ) (Gain) loss on derivative instruments and other securities, net ( 382 ) 1,019 (Increase) decrease in other assets 23 ( 17 ) Increase in other liabilities 33 43 Net cash provided by operating activities 387 192 Investing activities: Purchases of Agency mortgage-backed securities ( 15,327 ) ( 6,878 ) Purchases of credit risk transfer and non-Agency securities and other mortgage credit investments — ( 41 ) Proceeds from sale of Agency mortgage-backed securities 8,750 2,199 Proceeds from sale of credit risk transfer and non-Agency securities 6 52 Principal collections on Agency mortgage-backed securities 3,241 1,538 Principal collections on credit risk transfer and non-Agency securities 3 6 Payments on U.S. Treasury securities ( 29,380 ) ( 9,578 ) Proceeds from U.S. Treasury securities 30,920 7,818 Net payments on reverse repurchase agreements ( 868 ) ( 261 ) Net proceeds from (payments on) derivative instruments 660 ( 582 ) Net cash used in investing activities ( 1,995 ) ( 5,727 ) Financing activities: Proceeds from repurchase arrangements 2,360,629 1,523,750 Payments on repurchase agreements ( 2,358,299 ) ( 1,518,410 ) Payments on debt of consolidated variable interest entities ( 57 ) ( 4 ) Net proceeds from common stock issuances 401 509 Cash dividends paid ( 451 ) ( 363 ) Net cash provided by financing activities 2,223 5,482 Net change in cash, cash equivalents and restricted cash 615 ( 53 ) Cash, cash equivalents and restricted cash at beginning of period 1,742 1,771 Cash, cash equivalents and restricted cash at end of period $ 2,357 $ 1,718 Reconciliation of cash, cash equivalents and restricted cash end of period: Cash and cash equivalents $ 493 $ 455 Restricted cash 1,864 1,263 Total cash, cash equivalents and restricted cash, end of period $ 2,357 $ 1,718 See accompanying notes to consolidated financial statements. 5 AGNC INVESTMENT CORP. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) Note 1. Organization AGNC Investment Corp. (referred throughout this report as the “Company,” “we,” “us” and “our”) was organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol “AGNC.” We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency residential mortgage-backed securities (“Agency RMBS”) for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise (“GSE”) or a U.S. Government agency. We also invest in Agency multifamily mortgage-backed securities (“Agency multifamily MBS”) that are similarly guaranteed by the GSEs and in other types of mortgage and mortgage-related securities, such as credit risk transfer (“CRT”) securities and non-Agency residential and commercial mortgage-backed securities (“non-Agency RMBS” and “CMBS,” respectively), where repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency, and other assets related to the housing, mortgage or real estate markets. We fund our investments primarily through collateralized borrowings structured as repurchase agreements. We operate to qualify to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). As a REIT, we are required to distribute annually 90 % of our taxable income, and we will generally not be subject to U.S. federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100 % of our taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year. We are internally managed with the principal objective of generating favorable long-term stockholder returns with a substantial yield component. We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities. Note 2. Summary of Significant Accounting Policies Basis of Presentation Our accompanying consolidated financial statements and related notes have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2025. The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of consolidated financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year. Investment Securities Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations (“CMOs”) guaranteed by the Federal National Mortgage Association (“Fannie Mae”), Federal Home Loan Mortgage Corporation (“Freddie Mac,” and together with Fannie Mae, the “GSEs”) or the Government National Mortgage Association (“Ginnie Mae”). Agency multifamily MBS consist of securities backed by one or more mortgage loans secured by one or more multifamily properties that are similarly guaranteed by a GSE. Our investments in Agency multifamily MBS primarily consist of securities issued under Fannie Mae’s Delegated Underwriting and Servicing (“DUS”) program, which are generally backed by a single mortgage loan secured by a single property and include lender risk-sharing. 6 CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential and multifamily mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS and Agency multifamily MBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, “credit risk transfer” is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the principal amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans. Non-Agency RMBS and CMBS (together, “non-Agency MBS”) are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, over-collateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS. All of our securities are reported at fair value on our consolidated balance sheet. Accounting Standards Codification (“ASC”) Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for securities pursuant to ASC Topic 825, Financial Instruments . Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income (“OCI”), whereas unrealized gains and losses on securities for which we elected the fair value option, or are classified as trading, are reported in net income through other gain (loss). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments. We generally recognize gains or losses through net income on available-for-sale securities only if the security is sold; however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair value in net income as a component of other gain (loss). We did not recognize any loss on available for sale securities through net income that we held as of March 31, 2026 because, as of such date, we neither intended to sell any securities in an unrealized loss position nor was it more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. Since all of our available-for-sale designated securities consist of Agency RMBS, we do not have an allowance for credit losses. We have not recognized impairment losses on our available-for-sale securities through net income for the periods presented in our consolidated financial statements. Interest Income Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments, using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs . We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, primary to secondary mortgage rate spreads, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service for reasonableness with consideration given to both historical prepayment speeds and current market conditions. If based on our assessment, we believe that the third-party model does not fully reflect our expectations of the current prepayment landscape we may make adjustments to the models. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security’s acquisition date through the reporting date. 7 At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates, collateral call provisions, and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment adjusted for credit impairments, if any. Repurchase Agreements We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with our lending counterparties. Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the securities at a future date. We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments. Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase agreements as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year. Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less. Derivative Instruments We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps (“swaptions”), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS “to-be-announced” market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS. We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging (“ASC 815”). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Net cash receipts from and payments on our derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. Interest rate swap agreements We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate (“payer swaps”) based on a short-term benchmark rate, such as the Secured Overnight Financing Rate (“SOFR”) and Overnight Index Swap Rate (“OIS”). Our interest rate swaps typically have terms from one to 10 years. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an “initial margin” amount determined by the exchange. The initial margin amount is intended to be set at a level sufficient to protect the exchange 8 from the interest rate swap’s maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors. We also exchange daily settlements of “variation margin” based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability. Interest rate swaptions We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our interest rate swaption agreements are not subject to central clearing. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid. TBA securities A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a “dollar roll transaction”). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or “price drop,” is the economic equivalent of interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as “dollar roll income”). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing. We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. U.S. Treasury securities and US Treasury futures contracts We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We enter into short-sales of U.S. Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying U.S. Treasury security as of the reporting date. Treasury futures contracts are standardized contracts that obligate us to sell or buy U.S. Treasury securities for future delivery. Gains and losses associated with U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Fair Value Measurements We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date. We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: • Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date. • Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. 9 • Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated. The majority of our financial instruments are classified as Level 2 inputs. The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. We typically obtain price estimates from multiple third-party pricing sources, such as pricing services and dealers, or, if applicable, from the registered clearing exchange. We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity. We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities and for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation procedures and our market knowledge and expertise that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price. The following is a description of the valuation methodologies used for financial instruments measured at fair value on a recurring basis classified as Level 2 inputs. These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of these markets and the similarity of our instruments to those actively traded enable our pricing sources and us to utilize the observed quoted prices as a basis for formulating fair value measurements. Investment securities - are valued based on prices obtained from multiple third-party pricing sources. The pricing sources utilize various valuation approaches, including market and income approaches. For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for TBA securities having the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities. TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity. Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve. Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any. U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs. Recent Accounting Pronouncements We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption. Note 3. Investment Securities As of March 31, 2026 and December 31, 2025, our investment portfolio consisted of $85.1 billion and $81.7 billion investment securities, at fair value, respectively, $ 9.5 billion and $ 13.0 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 69 million and $ 70 million, respectively, which we account for under the equity method of accounting. Our TBA position is reported at its net carrying value totaling $( 194 ) million and $ 71 million as of March 31, 2026 and December 31, 2025, respectively, in derivative assets / (liabilities) on our accompanying consolidated 10 balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying security and the cost basis or the forward price to be paid or received for the underlying security. As of March 31, 2026 and December 31, 2025, our investment securities had a net unamortized premium balance of $ 1.2 billion and $ 1.0 billion, respectively. The following tables summarize our investment securities as of March 31, 2026 and December 31, 2025, excluding TBA securities and other mortgage credit investments (dollars in millions). Details of our TBA securities are included in Note 5. March 31, 2026 December 31, 2025 Investment Securities Amortized Cost Fair Value Amortized Cost Fair Value Agency RMBS: Fixed rate $ 81,497 $ 80,466 $ 77,643 $ 77,483 Adjustable rate 824 829 858 867 CMO 81 78 85 83 Interest-only and principal-only strips 121 114 122 116 Multifamily 2,956 2,960 2,521 2,539 Total Agency RMBS 85,479 84,447 81,229 81,088 Non-Agency RMBS 1 16 15 16 15 CMBS 11 9 11 10 CRT securities 552 593 561 606 Total investment securities $ 86,058 $ 85,064 $ 81,817 $ 81,719 March 31, 2026 December 31, 2025 Non-Agency 1 Non-Agency 1 Investment Securities Agency RMBS RMBS CMBS CRT Total Agency RMBS RMBS CMBS CRT Total Available-for-sale securities: Par value 2 $ 3,324 $ — $ — $ — $ 3,324 $ 3,517 $ — $ — $ — $ 3,517 Unamortized discount — — — — — — — — — — Unamortized premium 194 — — — 194 210 — — — 210 Amortized cost 3,518 — — — 3,518 3,727 — — — 3,727 Gross unrealized gains — — — — — — — — — — Gross unrealized losses ( 331 ) — — — ( 331 ) ( 323 ) — — — ( 323 ) Total available-for-sale securities, at fair value 3,187 — — — 3,187 3,404 — — — 3,404 Securities remeasured at fair value through earnings: Par value 2 80,947 18 11 547 81,523 76,729 18 11 555 77,313 Unamortized discount ( 494 ) ( 3 ) — ( 9 ) ( 506 ) ( 521 ) ( 3 ) — ( 10 ) ( 534 ) Unamortized premium 1,508 1 — 14 1,523 1,294 1 — 16 1,311 Amortized cost 81,961 16 11 552 82,540 77,502 16 11 561 78,090 Gross unrealized gains 564 1 — 41 606 1,129 1 — 45 1,175 Gross unrealized losses ( 1,265 ) ( 2 ) ( 2 ) — ( 1,269 ) ( 947 ) ( 2 ) ( 1 ) — ( 950 ) Total securities remeasured at fair value through earnings 81,260 15 9 593 81,877 77,684 15 10 606 78,315 Total securities, at fair value $ 84,447 $ 15 $ 9 $ 593 $ 85,064 $ 81,088 $ 15 $ 10 $ 606 $ 81,719 ________________________________ 1. Non-Agency amounts exclude other mortgage credit investments of $ 69 million and $ 70 million as of March 31, 2026 and December 31, 2025, respectively. 2. Par value excludes interest-only securities. As of March 31, 2026 and December 31, 2025, Agency RMBS interest-only securities had a par value of $ 4,793 million and $ 4,475 million, respectively, and non-Agency interest-only securities had a par value of $ 16 million and $ 16 million, respectively. 11 The following table presents the Company’s Agency RMBS portfolio by issuing GSE or U.S. Government agency at fair value as of March 31, 2026 and December 31, 2025 (in millions): Investment Type March 31, 2026 December 31, 2025 Fannie Mae $ 45,175 $ 43,148 Freddie Mac 39,173 37,670 Ginnie Mae 99 270 Total $ 84,447 $ 81,088 As of March 31, 2026 and December 31, 2025, our investments in CRT and non-Agency securities had the following credit ratings (in millions): March 31, 2026 December 31, 2025 CRT and Non-Agency Security Credit Ratings 1 CRT RMBS 2 CMBS CRT RMBS 2 CMBS AAA $ — $ 1 $ — $ — $ 1 $ — AA 8 — — 13 — — A — — — — — — BBB 13 2 5 — 2 5 BB 33 — — 46 — — B 10 — — 11 — 5 Not Rated 529 12 4 536 12 — Total $ 593 $ 15 $ 9 $ 606 $ 15 $ 10 ________________________________ 1. Represents the lowest of Standard and Poor’s (“S&P”), Moody’s, Fitch, DBRS, Kroll Bond Rating Agency (“KBRA”) and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date. 2. RMBS excludes other mortgage credit investments of $ 69 million and $ 70 million as of March 31, 2026 and December 31, 2025, respectively. Our CRT securities primarily reference the performance of single-family and multifamily mortgage loans underlying Agency RMBS and CMBS issued by Fannie Mae or Freddie Mac, which are subject to the respective agency’s underwriting standards. The remainder of our CRT holdings reference single-family loans originated and issued by third-party market participants and may not be subject to the same standards. The actual maturities of our investment securities are generally shorter than their stated contractual maturities. The actual maturities of our Agency and high credit quality non-Agency RMBS are primarily affected by principal prepayments and to a lesser degree the contractual lives of the underlying mortgages and periodic contractual principal repayments. The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates. As of March 31, 2026 and December 31, 2025, the weighted average expected constant prepayment rate (“CPR”) over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 10.3 % and 9.6 %, respectively. Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs. The following table summarizes our investments as of March 31, 2026 and December 31, 2025 according to their estimated weighted average life classification (dollars in millions): March 31, 2026 December 31, 2025 Estimated Weighted Average Life of Investment Securities 1 Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield Fair Value Amortized Cost Weighted Average Coupon Weighted Average Yield ≤ 3 years $ 10,346 $ 10,372 6.52 % 5.36 % $ 4,670 $ 4,630 6.59 % 5.50 % > 3 years and ≤ 5 years 13,791 13,681 5.89 % 5.49 % 19,068 18,755 5.85 % 5.50 % > 5 years and ≤10 years 59,273 60,363 4.90 % 4.72 % 55,562 56,048 4.86 % 4.68 % > 10 years 1,654 1,642 4.91 % 5.21 % 2,419 2,384 4.93 % 5.11 % Total $ 85,064 $ 86,058 5.25 % 4.93 % $ 81,719 $ 81,817 5.19 % 4.93 % ________________________________ 1. Table excludes other mortgage credit investments of $ 69 million and $ 70 million as of March 31, 2026 and December 31, 2025, respectively. The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2026 and December 31, 2025 (in millions): 12 Unrealized Loss Position For Less than 12 Months 12 Months or More Total Securities Classified as Available-for-Sale Fair Value Unrealized Loss Fair Value Unrealized Loss Fair Value Unrealized Loss March 31, 2026 $ — $ — $ 3,173 $ ( 331 ) $ 3,173 $ ( 331 ) December 31, 2025 $ — $ — $ 3,391 $ ( 323 ) $ 3,391 $ ( 323 ) Gains and Losses on Sale of Investment Securities The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2026 and 2025 by investment classification of accounting (in millions): Three Months Ended March 31, 2026 2025 Investment Securities Available-for-Sale Securities 2,3 Fair Value Option Securities Total Available-for-Sale Securities 2,3 Fair Value Option Securities Total Investment securities sold, at cost $ ( 93 ) $ ( 8,437 ) $ ( 8,530 ) $ — $ ( 3,405 ) $ ( 3,405 ) Proceeds from investment securities sold 1 87 8,517 8,604 — 3,160 3,160 Net gain (loss) on sale of investment securities $ ( 6 ) $ 80 $ 74 $ — $ ( 245 ) $ ( 245 ) Gross gain on sale of investment securities $ — $ 95 $ 95 $ — $ 21 $ 21 Gross loss on sale of investment securities ( 6 ) ( 15 ) ( 21 ) — ( 266 ) ( 266 ) Net gain (loss) on sale of investment securities $ ( 6 ) $ 80 $ 74 $ — $ ( 245 ) $ ( 245 ) ________________________________ 1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end. 2. See Note 9 for a summary of changes in accumulated OCI. 3. During the three months ended March 31, 2026 and 2025, we received principal repayments on available-for-sale securities of $ 108 million and $ 134 million, respectively. Note 4. Repurchase Agreements and Reverse Repurchase Agreements Repurchase Agreements We pledge our securities as collateral under our borrowings structured as repurchase agreements with financial institutions. Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security, and liquidity conditions within the banking, mortgage finance and real estate industries. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as “margin calls.” Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of March 31, 2026, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6. As of March 31, 2026 and December 31, 2025, we had $ 87.6 billion and $ 85.3 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S. Treasury securities. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis or subject to a tri-party repo agreement. The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2026 and December 31, 2025 (dollars in millions): 13 March 31, 2026 December 31, 2025 Remaining Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Repurchase Agreements Weighted Average Interest Rate Weighted Average Days to Maturity Investment Securities Repo ≤ 1 month $ 63,462 3.77 % 9 $ 69,997 3.98 % 11 > 1 to ≤ 3 months 6,869 3.80 % 54 2,949 4.01 % 49 > 3 to ≤ 6 months 5,509 3.78 % 114 — — % — Investment Securities Repo 75,840 3.77 % 20 72,946 3.98 % 12 U.S. Treasury Repo: ≤ 1 month 11,776 3.65 % 1 12,340 3.90 % 2 Total $ 87,616 3.76 % 18 $ 85,286 3.97 % 11 As of March 31, 2026 and December 31, 2025, $ 28.0 billion and $ 27.5 billion, respectively, of our investment securities repurchase agreements and $ 11.2 billion and $ 10.9 billion, respectively, of our U.S. Treasury repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand. As of March 31, 2026, we had $ 39.5 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 2 days and a weighted average interest rate of 3.71 %. As of December 31, 2025, we had $ 24.7 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 2 days and a weighted average interest rate of 3.81 %. As of March 31, 2026 and December 31, 2025, 55 % and 57 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC (“BES”). Amounts sourced through BES include funding from the General Collateral Finance Repo service (“GCF Repo”) offered by the Fixed Income Clearing Corporation (“FICC”), which totaled 43 % and 44 % of our repurchase agreement funding outstanding as of March 31, 2026 and December 31, 2025, respectively. Reverse Repurchase Agreements As of March 31, 2026 and December 31, 2025, we had $17.6 billion and $16.6 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S. Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $17.0 billion and $16.5 billion, respectively. As of March 31, 2026 and December 31, 2025, $ 5.2 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES. Note 5. Derivative and Other Hedging Instruments For the periods presented, our interest rate based hedges primarily consisted of interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We also utilized forward contracts, primarily consisting of TBA securities, for the purchase and sale of investment securities. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 2. 14 Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2026 and December 31, 2025 (in millions): Derivative and Other Hedging Instruments Balance Sheet Location March 31, 2026 December 31, 2025 Interest rate swaps 1 Derivative assets, at fair value $ — $ 57 Swaptions Derivative assets, at fair value 18 24 TBA and forward settling non-Agency securities Derivative assets, at fair value 53 77 U.S. Treasury futures - long Derivative assets, at fair value — 3 U.S. Treasury futures - short Derivative assets, at fair value 107 8 Total derivative assets, at fair value $ 178 $ 169 Interest rate swaps 1 Derivative liabilities, at fair value $ — $ — TBA and forward settling non-Agency securities Derivative liabilities, at fair value ( 247 ) ( 6 ) U.S. Treasury futures - long Derivative liabilities, at fair value ( 193 ) — Total derivative liabilities, at fair value $ ( 440 ) $ ( 6 ) U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 12,582 $ 13,477 U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value ( 17,032 ) ( 16,452 ) Total U.S. Treasury securities, net at fair value $ ( 4,450 ) $ ( 2,975 ) ________________________________ 1. As of March 31, 2026 and December 31, 2025, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $ 1.7 billion and $ 1.3 billion, respectively. The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2026 and December 31, 2025 (dollars in millions): Pay Fixed / Receive Variable Interest Rate Swaps March 31, 2026 December 31, 2025 Years to Maturity Notional Amount Average Fixed Pay Rate Average Variable Receive Rate 1 Average Maturity (Years) Notional Amount Average Fixed Pay Rate Average Variable Receive Rate 1 Average Maturity (Years) ≤ 1 year $ 6,550 0.19 % 3.67 % 0.3 $ 7,300 0.20 % 3.80 % 0.5 > 1 to ≤ 3 years 33,271 2.70 % 3.68 % 1.9 20,421 2.38 % 3.86 % 2.1 > 3 to ≤ 5 years 9,000 2.18 % 3.68 % 4.3 8,970 2.26 % 3.85 % 4.5 > 5 to ≤ 7 years 15,420 3.30 % 3.68 % 6.6 13,980 3.43 % 3.87 % 6.8 > 7 to ≤ 10 years 12,261 3.48 % 3.68 % 8.7 13,961 3.43 % 3.87 % 8.6 Total $ 76,502 2.67 % 3.68 % 4.1 $ 64,632 2.57 % 3.86 % 4.7 ________________________________ 1. As of March 31, 2026, 95 % and 5 % of notional amount receive index references SOFR and OIS, respectively. As of December 31, 2025, 95 % and 5 % of notional amount receive index references SOFR and OIS, respectively. Receiver Swaptions Option Underlying Receiver Swap Option Expiration Date Cost Basis Fair Value Average Months to Option Expiration Date Notional Amount Average Fixed Receive Rate 1 Average Term (Years) March 31, 2026 ≤ 1 year $ 70 $ 18 6 $ 7,000 3.04 % 9.2 December 31, 2025 ≤ 1 year $ 70 $ 24 9 $ 7,000 3.04 % 9.2 ________________________________ 1. Pay index references SOFR. 15 U.S. Treasury Securities 1 March 31, 2026 December 31, 2025 Years to Maturity Face Amount Long/(Short) Cost Basis Fair Value Face Amount Long/(Short) Cost Basis Fair Value ≤ 5 years $ 10,579 $ 10,515 $ 10,475 $ 12,470 $ 12,465 $ 12,467 > 5 year ≤ 7 years ( 734 ) ( 731 ) ( 666 ) ( 838 ) ( 834 ) ( 774 ) > 7 year ≤ 10 years ( 12,159 ) ( 12,096 ) ( 12,115 ) ( 12,390 ) ( 12,334 ) ( 12,493 ) > 10 years ( 2,162 ) ( 2,209 ) ( 2,144 ) ( 2,162 ) ( 2,210 ) ( 2,175 ) Total U.S. Treasury securities, net $ ( 4,476 ) $ ( 4,521 ) $ ( 4,450 ) $ ( 2,920 ) $ ( 2,913 ) $ ( 2,975 ) ________________________________ 1. As of March 31, 2026 and December 31, 2025, short U.S. Treasury securities totaling $( 17.0 ) billion and $( 16.5 ) billion, at fair value, respectively, had a weighted average yield of 4.20 % and 4.21 %, respectively. As of March 31, 2026 and December 31, 2025, long U.S. Treasury securities totaling $ 12.6 billion and $ 13.5 billion, at fair value, respectively, had a weighted average yield of 3.71 % and 3.67 %, respectively. U.S. Treasury Futures 1 March 31, 2026 December 31, 2025 Years to Maturity Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 2 Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 2 ≤ 5 years $ 5,099 $ 5,391 $ 5,344 $ ( 47 ) $ — $ — $ — $ — > 5 year ≤ 7 years 7,356 8,314 8,168 ( 146 ) 4,606 5,175 5,178 3 > 7 year ≤ 10 years — — — — — — — — > 10 years ( 3,210 ) ( 3,762 ) ( 3,655 ) 107 ( 3,210 ) ( 3,718 ) ( 3,710 ) 8 Total U.S. Treasury futures, net $ 9,245 $ 9,943 $ 9,857 $ ( 86 ) $ 1,396 $ 1,457 $ 1,468 $ 11 ________________________________ 1. As of March 31, 2026 and December 31, 2025, short U.S. Treasury futures totaled $( 3.7 ) billion and $( 3.7 ) billion, at fair value, respectively. As of March 31, 2026 and December 31, 2025, long U.S. Treasury futures totaled $ 13.5 billion and $5.2 billion, at fair value, respectively. 2. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. March 31, 2026 December 31, 2025 TBA Securities by Coupon Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 Notional Amount Long (Short) Cost Basis Fair Value Net Carrying Value 1 15-Year TBA securities: 3.5% $ 250 $ 243 $ 240 $ ( 3 ) $ — $ — $ — $ — 4.0% 250 247 244 ( 3 ) — — — — ≥ 4.5% 123 125 125 — 148 151 151 — Total 15-Year TBA securities 623 615 609 ( 6 ) 148 151 151 — 30-Year TBA securities: ≤ 3.0% 6,591 5,713 5,613 ( 100 ) — — — — 3.5% — ( 5 ) — 5 452 415 417 2 4.0% — — — — — — — — 4.5% 2,044 2,005 1,971 ( 34 ) 5,317 5,156 5,193 37 5.0% 6,204 6,186 6,120 ( 66 ) 5,679 5,643 5,666 23 5.5% 2,418 2,445 2,427 ( 18 ) 1,842 1,851 1,857 6 6.0% ( 1,088 ) ( 1,115 ) ( 1,109 ) 6 1,745 1,780 1,786 6 ≥ 6.5% ( 5,883 ) ( 6,102 ) ( 6,083 ) 19 ( 2,003 ) ( 2,079 ) ( 2,082 ) ( 3 ) Total 30-Year TBA securities, net 10,286 9,127 8,939 ( 188 ) 13,032 12,766 12,837 71 Total TBA securities, net $ 10,909 $ 9,742 $ 9,548 $ ( 194 ) $ 13,180 $ 12,917 $ 12,988 $ 71 ________________________________ 1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets. 16 Gain (Loss) From Derivative Instruments and Other Securities, Net The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three months ended March 31, 2026 and 2025 (in millions): Derivative and Other Hedging Instruments Beginning Notional Amount Additions Settlement, Termination, Expiration or Exercise Ending Notional Amount Gain/(Loss) on Derivative Instruments and Other Securities, Net 1 Three months ended March 31, 2026: TBA securities, net $ 13,180 53,417 ( 55,688 ) $ 10,909 $ ( 54 ) Interest rate swaps - payer $ 64,632 50,620 ( 38,750 ) $ 76,502 455 Receiver swaptions $ ( 7,000 ) — — $ ( 7,000 ) ( 6 ) U.S. Treasury securities - short position $ ( 16,378 ) ( 4,999 ) 4,215 $ ( 17,162 ) 178 U.S. Treasury securities - long position $ 13,458 25,050 ( 25,822 ) $ 12,686 ( 67 ) U.S. Treasury futures contracts - short position $ ( 3,210 ) ( 3,210 ) 3,210 $ ( 3,210 ) 41 U.S. Treasury futures contracts - long position $ 4,606 27,919 ( 20,070 ) $ 12,455 ( 165 ) $ 382 Three months ended March 31, 2025: TBA securities, net $ 6,955 27,967 ( 27,111 ) $ 7,811 $ 77 Interest rate swaps - payer $ 39,646 8,150 — $ 47,796 ( 569 ) Payer swaptions $ 2,000 1,500 ( 1,500 ) $ 2,000 ( 19 ) Receiver swaptions $ ( 150 ) — — $ ( 150 ) — U.S. Treasury securities - short position $ ( 17,792 ) ( 3,821 ) 3,977 $ ( 17,636 ) ( 460 ) U.S. Treasury securities - long position $ 1,585 5,388 ( 3,757 ) $ 3,216 60 U.S. Treasury futures contracts - short position $ ( 4,373 ) ( 2,191 ) 4,373 $ ( 2,191 ) ( 100 ) U.S. Treasury futures contracts - long position $ — 750 ( 82 ) $ 668 — $ ( 1,011 ) ________________________________ 1. Amounts exclude other miscellaneous gains and losses and other interest income (expense) recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Additionally, as of March 31, 2025, we held SOFR futures contracts with a long notional position of $ 1.2 billion, measured on a two-year swap equivalent basis. For the three months ended March 31, 2025, we recognized a gain (loss) of $ 10 million on our SOFR futures contracts in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Note 6. Pledged Assets Our funding agreements require us to fully collateralize our obligations based on our counterparties’ collateral requirements and their determination of the fair value of the securities pledged, which fluctuates with changes in interest rates, credit spreads, liquidity, and overall market conditions. Bilateral funding agreements typically include a “haircut,” or discount applied to the market value of pledged collateral, which reflects the risk characteristics of the underlying securities. Haircuts are determined on a transaction-specific basis and are not contractually fixed under the applicable Master Repurchase Agreement. Margin requirements for centrally cleared repurchase agreements executed through the Fixed Income Clearing Corporation (“FICC”) are determined in accordance with the FICC’s clearing rules. These include an initial margin requirement, calculated daily using a Value-at-Risk (“VaR”) model, which takes into account any offsetting risk sensitivities of positions such as repos and reverse repos and is intended to protect the FICC against potential future exposure from a member default. The FICC also imposes variation margin based on amounts borrowed plus accrued interest, adjusted daily for fluctuations in collateral value, which is intended to cover our current repo exposure. Initial margin posted to the FICC may also be mutualized, meaning it can be used to absorb losses from the default of another clearing member, subject to applicable caps and withdrawal provisions. 17 We are also required to post collateral under our derivative agreements. These agreements typically require the posting of initial margin at inception and the daily exchange of variation margin as market values change. Initial margin for derivatives is generally based on counterparty risk models, including VaR-based approaches, and is intended to cover potential future exposure in the event of a default. Variation margin reflects current exposure and serves to settle gains and losses on a daily basis. Our funding and derivative agreements expose us to credit risk in the event a counterparty fails to perform its obligations. We seek to mitigate this risk by actively monitoring our collateral positions and limiting our counterparties to registered clearinghouses and regulated financial institutions, including banks and broker-dealers (both bank affiliated and independent) with acceptable credit ratings. In the event of a counterparty default, we may experience delays or losses in recovering pledged collateral or receiving payments due. We believe the credit risk associated with centrally cleared transactions is limited by the clearinghouses’ daily margin practices, mutualized loss protections, designations as systemically important financial market utilities, and other risk management safeguards. As of March 31, 2026, our maximum amount at risk with any counterparty related to our repurchase agreements (i.e., the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables), excluding the FICC, was less than 2 % of our tangible stockholders’ equity. As of March 31, 2026, less than 11 % of our tangible stockholders’ equity was at risk with the FICC. Assets Pledged to Counterparties The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2026 and December 31, 2025 (in millions): March 31, 2026 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements and Other Total Agency RMBS - fair value $ 77,190 $ — $ 174 $ 77,364 CRT - fair value 545 — — 545 Non-Agency - fair value 8 — — 8 U.S. Treasury securities - fair value 12,196 — 470 12,666 Accrued interest on pledged securities 407 — 2 409 Restricted cash 137 — 1,727 1,864 Total $ 90,483 $ — $ 2,373 $ 92,856 December 31, 2025 Assets Pledged to Counterparties 1 Repurchase Agreements 2 Debt of Consolidated VIEs Derivative Agreements and Other Total Agency RMBS - fair value $ 74,213 $ 85 $ 115 $ 74,413 CRT - fair value 558 — — 558 Non-Agency - fair value 13 — — 13 U.S. Treasury securities - fair value 12,636 — 440 13,076 Accrued interest on pledged securities 430 — 4 434 Restricted cash 44 — 1,248 1,292 Total $ 87,894 $ 85 $ 1,807 $ 89,786 ________________________________ 1. Includes repledged assets received as collateral from counterparties and securities sold but not yet settled. 2. Includes $ 30 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2025. 18 The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of March 31, 2026 and December 31, 2025 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 . March 31, 2026 December 31, 2025 Securities Pledged by Remaining Maturity of Repurchase Agreements Fair Value of Pledged Securities Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities Fair Value of Pledged Securities 1 Amortized Cost of Pledged Securities Accrued Interest on Pledged Securities ≤ 1 month $ 76,197 $ 76,835 $ 348 $ 83,600 $ 83,502 $ 415 > 1 and ≤ 2 months 5,185 5,245 23 3,324 3,435 13 > 2 and ≤ 3 months 2,559 2,600 11 496 503 2 > 3 months 5,998 6,160 25 — — — Total $ 89,939 $ 90,840 $ 407 $ 87,420 $ 87,440 $ 430 ________________________________ 1. Includes $ 30 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2025. Assets Pledged from Counterparties As of March 31, 2026 and December 31, 2025, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). March 31, 2026 December 31, 2025 Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Agency securities - fair value $ — $ — $ 3 $ 3 $ — $ — $ 33 $ 33 U.S. Treasury securities - fair value 17,489 — — 17,489 16,429 — 10 16,439 Cash — 19 — 19 — 100 19 119 Total $ 17,489 $ 19 $ 3 $ 17,511 $ 16,429 $ 100 $ 62 $ 16,591 Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2026 and December 31, 2025 (in millions): 19 Offsetting of Financial and Derivative Assets Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Received 2 March 31, 2026 Interest rate swap and swaption agreements, at fair value 1 $ 18 $ — $ 18 $ — $ ( 18 ) $ — TBA securities, at fair value 1 53 — 53 ( 53 ) — — Receivable under reverse repurchase agreements 17,644 — 17,644 ( 12,990 ) ( 4,638 ) 16 Total $ 17,715 $ — $ 17,715 $ ( 13,043 ) $ ( 4,656 ) $ 16 December 31, 2025 Interest rate swap and swaption agreements, at fair value 1 $ 81 $ — $ 81 $ — $ ( 24 ) $ 57 TBA securities, at fair value 1 77 — 77 ( 6 ) ( 71 ) — Receivable under reverse repurchase agreements 16,615 — 16,615 ( 12,503 ) ( 4,112 ) — Total $ 16,773 $ — $ 16,773 $ ( 12,509 ) $ ( 4,207 ) $ 57 Offsetting of Financial and Derivative Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments Collateral Pledged 2 March 31, 2026 TBA securities, at fair value 1 $ 247 $ — $ 247 $ ( 53 ) $ ( 194 ) $ — Repurchase agreements 87,616 — 87,616 ( 12,990 ) ( 74,626 ) — Total $ 87,863 $ — $ 87,863 $ ( 13,043 ) $ ( 74,820 ) $ — December 31, 2025 TBA securities, at fair value 1 $ 6 $ — $ 6 $ ( 6 ) $ — $ — Repurchase agreements 85,286 — 85,286 ( 12,503 ) ( 72,783 ) — Total $ 85,292 $ — $ 85,292 $ ( 12,509 ) $ ( 72,783 ) $ — ________________________________ 1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. 2. Includes cash and securities pledged / received as collateral, at fair value. Amounts include repledged collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. Note 7. Fair Value Measurements The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2026 and December 31, 2025, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income. 20 March 31, 2026 December 31, 2025 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets: Agency securities $ — $ 84,447 $ — $ — $ 81,003 $ — Agency securities transferred to consolidated VIEs — — — — 85 — Credit risk transfer securities — 593 — — 606 — Non-Agency securities — 24 — — 25 — U.S. Treasury securities 12,582 — — 13,477 — — Interest rate swaps 1 — — — — 57 — Swaptions — 18 — — 24 — TBA securities — 53 — — 77 — SOFR Futures — — — — — — U.S. Treasury futures 107 — — 11 — — Total $ 12,689 $ 85,135 $ — $ 13,488 $ 81,877 $ — Liabilities: Debt of consolidated VIEs $ — $ — $ — $ — $ 56 $ — Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 17,032 — — 16,452 — — Interest rate swaps 1 — — — — — — TBA securities — 247 — — 6 — U.S. Treasury futures 193 — — — — — Total $ 17,225 $ 247 $ — $ 16,452 $ 62 $ — ________________________________ 1. As of March 31, 2026 and December 31, 2025, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $ 1.7 billion and $ 1.3 billion, respectively, based on “Level 2” inputs. Excluded from the table above are financial instruments reported at cost and other mortgage credit investments reported under the equity method of accounting in our consolidated financial statements. As of March 31, 2026 and December 31, 2025, the fair value of our repurchase agreements approximated cost, given their short-term nature (less than one year) and the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market. The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of such dates due to their short duration. We estimate the fair value of these instruments carried at cost using “Level 1” or “Level 2” inputs. As of March 31, 2026 and December 31, 2025, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 69 million and $ 70 million, respectively. Note 8. Net Income (Loss) Per Common Share Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time- and performance-based restricted stock units (“RSUs”) that were outstanding during the period, which were granted under our long-term incentive program to employees and non-employee members of the Board of Directors (“the Board”). Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless doing so would reduce a loss or increase income per common share. Our potential common stock equivalents consist of unvested time- and performance-based RSUs. The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated (shares and dollars in millions): Three Months Ended March 31, 2026 2025 Weighted average number of common shares issued and outstanding 1,118.8 916.1 Weighted average number of fully vested restricted stock units outstanding 3.8 2.2 Weighted average number of common shares outstanding - basic 1,122.6 918.3 Weighted average number of dilutive unvested restricted stock units outstanding — 3.6 Weighted average number of common shares outstanding - diluted 1,122.6 921.9 Net income (loss) available (attributable) to common stockholders $ ( 192 ) $ 15 Net income (loss) per common share - basic $ ( 0.17 ) $ 0.02 Net income (loss) per common share - diluted $ ( 0.17 ) $ 0.02 21 For the three months ended March 31, 2026, 4.7 million of potentially dilutive unvested time and performance based RSUs outstanding were excluded from the computation of diluted net income (loss) per common share because inclusion of such RSUs would have otherwise been anti-dilutive for the period. Note 9. Stockholders’ Equity Preferred Stock We are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. As of March 31, 2026 and December 31, 2025, 13,800 , 10,350 , 16,100 , 23,000 , 6,900 and 13,800 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 7.75 % Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock and 8.75 % Series H Fixed-Rate Cumulative Redeemable Preferred stock, respectively, (referred to as “Series C, D, E, F, G and H Preferred Stock”, respectively). As of March 31, 2026 and December 31, 2025, 13,000 , 9,400 , 16,100 , 23,000 , 6,000 and 13,800 shares of Series C, D, E, F, G and H Preferred Stock, respectively, were issued and outstanding. Each share of preferred stock is represented by 1,000 depositary shares. Each share of preferred stock has a liquidation preference of $25,000 per share ($25 per depositary share). Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Our preferred stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and each series of preferred stock ranks on parity with one another. Under certain circumstances upon a change of control, our preferred stock is convertible to shares of our common stock. Holders of our preferred stock and depositary shares underlying our preferred stock have no voting rights, except under limited conditions. Beginning on each series’ optional redemption date, we may redeem shares at $ 25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared), exclusively at our option. The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2026 (dollars and shares in millions): Cumulative Redeemable Preferred Stock Issue Date Depositary Shares Issued and Outstanding Carrying Value Aggregate Liquidation Preference Per Annum Dividend Rate 1,2 First Optional Redemption Date / Conversion Date 2,3 Fixed-to-Floating Rate: Series C August 22, 2017 13.0 $ 315 $ 325 9.04374% October 15, 2022 Series D March 6, 2019 9.4 227 235 8.26474% April 15, 2024 Series E October 3, 2019 16.1 390 403 8.92574% October 15, 2024 Series F February 11, 2020 23.0 557 575 8.62974% April 15, 2025 Fixed-Rate Reset: Series G September 14, 2022 6.0 145 150 7.75000% October 15, 2027 Fixed-Rate Series H September 10, 2025 13.8 334 345 8.75000% October 15, 2030 Total 81.3 $ 1,968 $ 2,033 ________________________________ 1. The depositary shares underlying our preferred stock accrue dividends on the $25.00 liquidation preference per depositary share from the issuance date until they are redeemed in accordance with their terms. The per annum dividend rates for the depositary shares underlying the Series C, D, E and F Preferred Stock represent the rates in effect as of March 31, 2026, and are reset quarterly. The depositary shares underlying the Series G Preferred Stock accrue dividends at an initial annual fixed rate until the fixed-rate-reset conversion date, after which dividends on these depositary shares accrue on a fixed-rate-reset basis equal to the conversion rate plus a fixed spread. The depositary shares underlying the Series H Preferred Stock accrue dividends at a fixed rate. 2. The Series C, D, E and F dividends accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus spreads of 5.111 %, 4.332 %, 4.993 % and 4.697 %, respectively, per annum, resetting quarterly in accordance with the certificate of designations for such series and the Adjustable Interest Rate (LIBOR) Act of 2021 (the “LIBOR Act”). At the conclusion of the fixed rate period for the Series G Preferred Stock, the dividend will accrue at a floating rate equal to the 5-Year US Treasury rate plus a spread of 4.39 % per annum and will reset in accordance with the certificate of designations for such series. 3. Shares may be redeemed prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for U.S federal income tax purposes. 22 At-the-Market Offering Program We are authorized by our Board to enter into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to a maximum aggregate offering price of our common stock. The following table includes a summary of shares of our common stock issued under the sales agreements during the three months March 31, 2026 and 2025 (in millions, except for per share data). As of March 31, 2026, shares of our common stock with an aggregate offering price of $ 0.3 billion remained authorized for issuance under this program through December 31, 2026. ATM Offerings Average Price Received Per Share, Net Shares Net Proceeds Three months ended: March 31, 2026 $ 10.54 38.0 $ 401 March 31, 2025 $ 10.23 49.7 $ 509 Accumulated Other Comprehensive Income (Loss) The following table summarizes changes to accumulated OCI for the three months ended March 31, 2026 and 2025 (in millions): Three Months Ended March 31, Accumulated Other Comprehensive Income (Loss) 2026 2025 Beginning Balance $ ( 323 ) $ ( 591 ) OCI before reclassifications ( 14 ) 93 Net (gain) loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net 6 — Ending Balance $ ( 331 ) $ ( 498 ) Note 10. Segment Reporting Our investment portfolio consists primarily of Agency RMBS, and we fund our investments primarily through collateralized borrowings structured as repurchase agreements. As part of our operations, we are exposed to market risks, including interest rate, prepayment, extension, spread, and credit risks. Our portfolio is managed as a whole, with investment and hedging decisions assessed collectively by the Chief Operating Decision Maker (CODM). The CODM, represented by our Chief Executive Officer with the support of our Executive Management Committee, allocates resources and evaluates financial performance by considering the market risks identified above. The CODM also considers factors such as total assets and repurchase agreements outstanding, as reported on the consolidated balance sheet; our TBA position, as disclosed in Note 5. Derivative and Other Hedging Instruments ; our ability to hedge certain risks; and our intention to qualify as a REIT. Consequently, the Company operates as a single reportable segment, as reflected in the accompanying consolidated financial statements and notes. The CODM assesses performance using comprehensive income (loss), as reported on the consolidated statement of comprehensive income (loss). Comprehensive income (loss) is a key determinant of the Company’s economic return, calculated as the change in tangible stockholders’ equity attributable to common stockholders plus common stock dividends declared, divided by the prior period’s ending tangible stockholders’ equity attributable to common stockholders, each computed on a per common share basis. This measure is used to monitor actual results, benchmark performance against peers, and inform management’s compensation. Additionally, the CODM also evaluates consolidated expense information, including interest expense, compensation and benefits, and other operating expenses, as significant metrics in decision-making. 23