What changed in this filing

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Item 1. Financial Statements

2026-07-31 compared with 2026-05-04 · 162 added, 101 removed, 745 unchanged (26% of the section changed)

3 unchanged sentences

(in millions, except per share data)

March 31, 2026 December 31, 2025

June 30, 2026 December 31, 2025

Agency securities, at fair value (including pledged securities of $ 80,761 and $ 74,149 , respectively)

34 unchanged sentences

(in millions, except per share data)

Three Months Ended March 31,

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

2026 2025 2026 2025

Interest income:

2 unchanged sentences

Net interest income

305 162 624 321

Other gain (loss), net:

2 unchanged sentences

Gain (loss) on derivative instruments and other investments, net 485 ( 367 ) 867 ( 1,386 )

Total other loss, net:

Total other gain (loss), net:

379 ( 274 ) ( 54 ) ( 355 )

27 unchanged sentences

Shares Amount

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

Net income — — — — 50 — 50

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

— — — — ( 140 ) — ( 140 )

Other comprehensive income:

Unrealized gain on available-for-sale securities, net

— — — — — 48 48

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

Issuance of preferred stock, net of offering cost — — — — — — —

Issuance of common stock — 92.6 1 798 — — 799

1 unchanged sentence

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

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

Balance, March 31, 2026 $ 1,968 1,147.8 $ 11 $ 19,656 $ ( 9,123 ) $ ( 331 ) $ 12,181

— — — — 654 — 654

Other comprehensive loss:

Unrealized loss on available-for-sale securities, net

— — — — — ( 7 ) ( 7 )

Stock-based compensation, net — 0.2 — 8 — — 8

Issuance of common stock — 16.2 1 166 — — 167

Preferred dividends declared — — — — ( 44 ) — ( 44 )

Common dividends declared — — — — ( 416 ) — ( 416 )

Balance, June 30, 2026 $ 1,968 1,164.2 $ 12 $ 19,830 $ ( 8,929 ) $ ( 338 ) $ 12,543

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

Net loss — — — — ( 90 ) — ( 90 )

Other comprehensive income:

Unrealized gain on available-for-sale securities, net — — — — — 141 141

Stock-based compensation, net — 2.0 — 4 — — 4

Issuance of common stock — 142.3 1 1,307 — — 1,308

Preferred dividends declared — — — — ( 73 ) — ( 73 )

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

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

Balance, December 31, 2025 $ 1,968 1,107.6 $ 11 $ 19,261 $ ( 8,524 ) $ ( 323 ) $ 12,393

Net income — — — — 506 — 506

Other comprehensive loss:

4 unchanged sentences

Common dividends declared — — — — ( 823 ) — ( 823 )

Balance, March 31, 2026 $ 1,968 1,147.8 $ 11 $ 19,656 $ ( 9,123 ) $ ( 331 ) $ 12,181

Balance, June 30, 2026 $ 1,968 1,164.2 $ 12 $ 19,830 $ ( 8,929 ) $ ( 338 ) $ 12,543

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in millions)

Three Months Ended

Six Months Ended

Operating activities:

6 unchanged sentences

(Gain) loss on derivative instruments and other securities, net ( 867 ) 1,386

(Increase) decrease in other assets 23 ( 17 )

Increase in other assets ( 78 ) ( 34 )

Increase in other liabilities 22 68

70 unchanged sentences

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.

Accounting Standards Codification (“ASC”) Topic 320, Investments—Debt 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 .

6 unchanged sentences

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

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

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

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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.

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.

35 unchanged sentences

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

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.

The initial margin amount is intended to be set at a level sufficient to protect the exchange 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.

61 unchanged sentences

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

balance sheets.

As of June 30, 2026 and December 31, 2025, our investment portfolio consisted of $87.4 billion and $81.7 billion investment securities, at fair value, respectively, $ 9.7 billion and $ 13.0 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 70 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 $ 52 million and $ 71 million as of June 30, 2026 and December 31, 2025, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets.

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

As of March 31, 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).

As of June 30, 2026 and December 31, 2025, our investment securities had a net unamortized premium balance of $ 0.6 billion and $ 1.0 billion, respectively.

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

June 30, 2026 December 31, 2025

Investment Securities Amortized

11 unchanged sentences

Total investment securities $ 88,471 $ 87,381 $ 81,817 $ 81,719

March 31, 2026

June 30, 2026

December 31, 2025

28 unchanged sentences

________________________________

Non-Agency amounts exclude other mortgage credit investments of $ 69 million and $ 70 million as of March 31, 2026 and December 31, 2025, respectively.

Non-Agency amounts exclude other mortgage credit investments of $ 70 million and $ 70 million as of June 30, 2026 and December 31, 2025, respectively.

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.

As of June 30, 2026 and December 31, 2025, Agency RMBS interest-only securities had a par value of $ 5,923 million and $ 4,475 million, respectively, and non-Agency interest-only securities had a par value of $ 16 million and $ 16 million, respectively.

The following table presents the Company’s Agency RMBS portfolio by issuing GSE or U.S.

Government agency at fair value as of March 31, 2026 and December 31, 2025 (in millions):

Investment Type March 31, 2026

Government agency at fair value as of June 30, 2026 and December 31, 2025 (in millions):

Investment Type June 30, 2026

December 31, 2025

3 unchanged sentences

Total $ 86,784 $ 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

As of June 30, 2026 and December 31, 2025, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

June 30, 2026 December 31, 2025

CRT and Non-Agency Security Credit Ratings 1

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Represents the lowest of Standard and Poor’s (“S&P”), Moody’s, Fitch, DBRS, Kroll Bond Rating Agency (“KBRA”) and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date.

RMBS excludes other mortgage credit investments of $ 69 million and $ 70 million as of March 31, 2026 and December 31, 2025, respectively.

RMBS excludes other mortgage credit investments of $ 70 million and $ 70 million as of June 30, 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.

3 unchanged sentences

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.

As of June 30, 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 8.6 % 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

The following table summarizes our investments as of June 30, 2026 and December 31, 2025 according to their estimated weighted average life classification (dollars in millions):

June 30, 2026 December 31, 2025

Estimated Weighted Average Life of Investment Securities 1

11 unchanged sentences

________________________________

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):

Table excludes other mortgage credit investments of $ 70 million and $ 70 million as of June 30, 2026 and December 31, 2025, respectively.

Unrealized Loss Position For

4 unchanged sentences

Value Unrealized

March 31, 2026

June 30, 2026

$ — $ — $ 3,047 $ ( 338 ) $ 3,047 $ ( 338 )

2 unchanged sentences

Gains and Losses on Sale of Investment Securities

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

Three Months Ended March 31,

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and six months ended June 30, 2026 and 2025 by investment classification of accounting (in millions):

Three Months Ended June 30,

Investment Securities Available-for-Sale

Fair Value Option Securities Total Available-for-Sale

Fair Value Option Securities Total

Investment securities sold, at cost $ — $ ( 12,652 ) $ ( 12,652 ) $ ( 109 ) $ ( 9,499 ) $ ( 9,608 )

Proceeds from investment securities sold 1

— 12,636 12,636 95 9,336 9,431

Net gain (loss) on sale of investment securities $ — $ ( 16 ) $ ( 16 ) $ ( 14 ) $ ( 163 ) $ ( 177 )

Gross gain on sale of investment securities $ — $ 30 $ 30 $ — $ 12 $ 12

Gross loss on sale of investment securities — ( 46 ) ( 46 ) ( 14 ) ( 175 ) ( 189 )

Net gain (loss) on sale of investment securities $ — $ ( 16 ) $ ( 16 ) $ ( 14 ) $ ( 163 ) $ ( 177 )

Six Months Ended June 30,

Investment Securities Available-for-Sale

Securities 2,3

12 unchanged sentences

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

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.

During the six months ended June 30, 2026 and 2025, we received principal repayments on available-for-sale securities of $ 221 million and $ 273 million, respectively.

Repurchase Agreements and Reverse Repurchase Agreements

3 unchanged sentences

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

As of March 31, 2026, we had met all margin call requirements.

As of June 30, 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.

As of June 30, 2026 and December 31, 2025, we had $ 89.8 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):

March 31, 2026 December 31, 2025

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

party repo agreement.

The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of June 30, 2026 and December 31, 2025 (dollars in millions):

June 30, 2026 December 31, 2025

Remaining Maturity Repurchase Agreements Weighted

5 unchanged sentences

> 1 to ≤ 3 months 5,421 3.80 % 71 2,949 4.01 % 49

> 3 to ≤ 6 months 5,509 3.78 % 114 — — % —

Investment Securities Repo 79,512 3.75 % 13 72,946 3.98 % 12

2 unchanged sentences

Total $ 89,808 3.75 % 12 $ 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.

As of June 30, 2026 and December 31, 2025, $ 31.2 billion and $ 27.5 billion, respectively, of our investment securities repurchase agreements and $ 10.3 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 June 30, 2026, we had $ 35.1 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 1 day and a weighted average interest rate of 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.

As of June 30, 2026 and December 31, 2025, 58 % 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 44 % and 44 % of our repurchase agreement funding outstanding as of June 30, 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.

As of June 30, 2026 and December 31, 2025, we had $18.4 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 $18.2 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.

As of June 30, 2026 and December 31, 2025, $ 5.4 billion and $ 5.2 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Derivative and Other Hedging Instruments

5 unchanged sentences

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

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2026 and December 31, 2025 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location March 31,

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of June 30, 2026 and December 31, 2025 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,

Interest rate swaps 1

9 unchanged sentences

Treasury futures - long Derivative liabilities, at fair value ( 1 ) —

Treasury futures - short Derivative liabilities, at fair value ( 108 ) —

SOFR futures contracts - long Derivative liabilities, at fair value ( 4 ) —

Total derivative liabilities, at fair value

6 unchanged sentences

________________________________

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

As of June 30, 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 $ 2.2 billion and $ 1.3 billion, respectively.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2026 and December 31, 2025 (dollars in millions):

Pay Fixed / Receive Variable Interest Rate Swaps June 30, 2026

December 31, 2025

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________________________________

As of March 31, 2026, 95 % and 5 % of notional amount receive index references SOFR and OIS, respectively.

As of June 30, 2026, 98 % and 2 % 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.

5 unchanged sentences

Amount Average Fixed Receive

March 31, 2026 ≤ 1 year $ 70 $ 18 6 $ 7,000 3.04 % 9.2

June 30, 2026 ≤ 1 year $ 71 $ 31 7 $ 7,750 3.24 % 9.0

December 31, 2025 ≤ 1 year $ 70 $ 24 9 $ 7,000 3.04 % 9.2

2 unchanged sentences

Treasury Securities 1

March 31, 2026 December 31, 2025

June 30, 2026 December 31, 2025

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

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________________________________

As of March 31, 2026 and December 31, 2025, short U.S.

As of June 30, 2026 and December 31, 2025, short U.S.

Treasury securities totaling $( 18.2 ) billion and $( 16.5 ) billion, at fair value, respectively, had a weighted average yield of 4.28 % and 4.21 %, respectively.

As of March 31, 2026 and December 31, 2025, long U.S.

As of June 30, 2026 and December 31, 2025, long U.S.

Treasury securities totaling $ 12.3 billion and $ 13.5 billion, at fair value, respectively, had a weighted average yield of 3.71 % and 3.67 %, respectively.

Treasury Futures 1

March 31, 2026 December 31, 2025

June 30, 2026 December 31, 2025

Years to Maturity Notional

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________________________________

As of March 31, 2026 and December 31, 2025, short U.S.

As of June 30, 2026 and December 31, 2025, short U.S.

Treasury futures totaled $( 5.6 ) billion and $( 3.7 ) billion, at fair value, respectively.

As of March 31, 2026 and December 31, 2025, long U.S.

As of June 30, 2026 and December 31, 2025, long U.S.

Treasury futures totaled $ 9.3 billion and $ 5.2 billion, at fair value, respectively.

2 unchanged sentences

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

June 30, 2026 December 31, 2025

TBA Securities by Coupon Notional

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≥ 4.5% $ 267 $ 270 $ 269 $ ( 1 ) $ 148 $ 151 $ 151 $ —

4.0% 250 247 244 ( 3 ) — — — —

≥ 4.5% 123 125 125 — 148 151 151 —

Total 15-Year TBA securities 267 270 269 ( 1 ) 148 151 151 —

13 unchanged sentences

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):

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three and six months ended June 30, 2026 and 2025 (in millions):

Derivative and Other Hedging Instruments Beginning

4 unchanged sentences

on Derivative Instruments and Other Securities, Net 1

Three months ended March 31, 2026:

Three months ended June 30, 2026:

TBA securities, net $ 10,909 51,648 ( 52,510 ) $ 10,047 $ ( 36 )

5 unchanged sentences

Treasury futures contracts - long position $ 12,455 9,280 ( 13,068 ) $ 8,667 ( 79 )

Three months ended March 31, 2025:

Three months ended June 30, 2025:

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

6 unchanged sentences

Treasury futures contracts - long position $ 668 600 ( 1,268 ) $ — ( 13 )

Six months ended June 30, 2026:

TBA securities, net $ 13,180 105,065 ( 108,198 ) $ 10,047 $ ( 90 )

Interest rate swaps - payer $ 64,632 51,020 ( 41,900 ) $ 73,752 1,095

Receiver swaptions $ ( 7,000 ) ( 3,750 ) 3,000 $ ( 7,750 ) ( 21 )

Treasury securities - short position $ ( 16,378 ) ( 10,339 ) 8,347 $ ( 18,370 ) 259

Treasury securities - long position $ 13,458 25,807 ( 26,765 ) $ 12,500 ( 134 )

Treasury futures contracts - short position $ ( 3,210 ) ( 9,839 ) 8,129 $ ( 4,920 ) 4

Treasury futures contracts - long position $ 4,606 37,199 ( 33,138 ) $ 8,667 ( 244 )

Six months ended June 30, 2025:

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

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

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

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

Treasury securities - short position $ ( 17,792 ) ( 11,792 ) 8,188 $ ( 21,396 ) ( 599 )

Treasury securities - long position $ 1,585 9,356 ( 7,396 ) $ 3,545 60

Treasury futures contracts - short position $ ( 4,373 ) ( 6,805 ) 9,214 $ ( 1,964 ) ( 83 )

Treasury futures contracts - long position $ — 1,350 ( 1,350 ) $ — ( 13 )

________________________________

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.

Additionally, as of June 30, 2026 and 2025, we held SOFR futures contracts with a long notional position of $ 2.6 billion and $ 1.2 billion, respectively, measured on a two-year swap equivalent basis.

For the three and six months ended June 30, 2026, we recognized a loss of $ 4 million and for the three and six months ended June 30, 2025, we recognized a gain of $ 3 million and $ 13 million , respectively, on our SOFR futures contracts in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Pledged Assets

14 unchanged sentences

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.

As of June 30, 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 1 % of our tangible stockholders’ equity.

As of June 30, 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

June 30, 2026

Assets Pledged to Counterparties 1

Repurchase Agreements 2

Repurchase Agreements Debt of

VIEs Derivative Agreements and Other Total

22 unchanged sentences

Includes $ 30 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2025.

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

June 30, 2026 December 31, 2025

Securities Pledged by Remaining Maturity of Repurchase Agreements Fair Value of Pledged Securities Amortized

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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

As of June 30, 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).

June 30, 2026 December 31, 2025

Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total

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We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets.

The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2026 and December 31, 2025 (in millions):

Offsetting of Financial and Derivative Assets

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Financial Instruments Collateral Received 2

March 31, 2026

June 30, 2026

Interest rate swap and swaption agreements, at fair value 1

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Financial Instruments Collateral Pledged 2

March 31, 2026

June 30, 2026

TBA securities, at fair value 1

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Fair Value Measurements

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2026 and December 31, 2025, based on their categorization within the valuation hierarchy (in millions).

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

March 31, 2026 December 31, 2025

June 30, 2026 December 31, 2025

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

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— 111 — — 57 —

— 31 — — 24 —

TBA securities — 76 — — 77 —

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Treasury futures 109 — — — — —

SOFR Futures 4 — — — — —

Total $ 18,263 $ 24 $ — $ 16,452 $ 62 $ —

________________________________

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.

As of June 30, 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 $ 2.2 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.

As of June 30, 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.

As of June 30, 2026 and December 31, 2025, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 70 million and $ 70 million.

Net Income (Loss) Per Common Share

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

Three Months Ended March 31,

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

2026 2025 2026 2025

Weighted average number of common shares issued and outstanding 1,155.1 1,015.6 1,137.0 966.1

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Net income (loss) per common share - diluted $ 0.52 $ ( 0.17 ) $ 0.37 $ ( 0.17 )

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.

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

Stockholders’ Equity

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

As of March 31, 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.

As of June 30, 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 June 30, 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.

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Beginning on each series’ optional redemption date, we may redeem shares at $ 25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared), exclusively at our option.

The following table includes a summary of preferred stock depositary shares issued and outstanding as of March 31, 2026 (dollars and shares in millions):

The following table includes a summary of preferred stock depositary shares issued and outstanding as of June 30, 2026 (dollars and shares in millions):

Cumulative Redeemable Preferred Stock Issue Date Depositary

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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 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 June 30, 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.

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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.

We are authorized by our Board of Directors to enter into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time under two separate at-the-market programs, up to a maximum aggregate offering price under each program.

As of June 30, 2026, shares of our common stock with an aggregate offering price of $ 0.1 billion remained authorized for issuance through December 31, 2026 under one program and $ 2.0 billion remained authorized for issuance through December 31, 2027 under a second program.

The following table includes a summary of shares of our common stock issued under the sales agreements during the three and six months ended June 30, 2026 and 2025 (in millions, except for per share data).

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

Three months ended:

March 31, 2026

March 31, 2025

June 30, 2026

June 30, 2025

Six months ended:

June 30, 2026

June 30, 2025

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):

The following table summarizes changes to accumulated OCI for the three and six months ended June 30, 2026 and 2025 (in millions):

Three Months Ended

Six Months Ended

Accumulated Other Comprehensive Income (Loss) 2026 2025 2026 2025

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OCI before reclassifications

( 7 ) 34 ( 21 ) 127

Net (gain) loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net — 14 6 14

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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.

common share basis.

This measure is used to monitor actual results, benchmark performance against peers, and inform management’s compensation.

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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 1. Financial Statements