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agnc-20240930

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2024

OR


☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission file number 001-34057

https://cdn.kscope.io/191fbd6c2fa470e5ec92bbb86accb535-agnclogowhitespacinginv1a01.jpg

AGNC INVESTMENT CORP.

(Exact name of registrant as specified in its charter)

_________________________________________________________


Delaware						26-1701984
(State or Other Jurisdiction of Incorporation or Organization)						(I.R.S. Employer Identification No.)

7373 Wisconsin Avenue, 22nd Floor

Bethesda, Maryland 20814

(Address of principal executive offices)

(301) 968-9315

(Registrant’s telephone number, including area code)

_________________________________________________________

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class

Trading Symbol(s)

Name of Exchange on Which Registered

Common Stock, par value $0.01 per share

AGNC

The Nasdaq Global Select Market

Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

AGNCN

The Nasdaq Global Select Market

Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

AGNCM

The Nasdaq Global Select Market

Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

AGNCO

The Nasdaq Global Select Market

Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

AGNCP

The Nasdaq Global Select Market

Depositary shares of 7.75% Series G Fixed-Rate Reset Cumulative
Redeemable Preferred Stock

AGNCL

The Nasdaq Global Select Market

Securities Registered Pursuant to Section 12(g) of the Act: None

Indicate by check mark whether the registrant (1) has filed all reports to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes x No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☒

Accelerated filer

☐

Non-accelerated filer

☐

Smaller Reporting Company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No x

The number of shares of the issuer's common stock, $0.01 par value, outstanding as of October 31, 2024 was 885,639,833.

AGNC INVESTMENT CORP.

TABLE OF CONTENTS


PART I.			FINANCIAL INFORMATION
Item 1.			Financial Statements			2
Item 2.			Management's Discussion and Analysis of Financial Condition and Results of Operations			26
Item 3.			Quantitative and Qualitative Disclosures About Market Risk			44
Item 4.			Controls and Procedures			47

PART II.			OTHER INFORMATION
Item 1.			Legal Proceedings			48
Item 1A.			Risk Factors			48
Item 2.			Unregistered Sales of Equity Securities and Use of Proceeds			48
Item 3.			Defaults upon Senior Securities			48
Item 4.			Mine Safety Disclosures			48
Item 5.			Other Information			48
Item 6.			Exhibits			48

Signatures						51

1

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

AGNC INVESTMENT CORP.

CONSOLIDATED BALANCE SHEETS

(in millions, except per share data)



			September 30, 2024						December 31, 2023
			(Unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $62,331 and $49,575, respectively)			$	67,938					$	53,673
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)			106						121
Credit risk transfer securities, at fair value (including pledged securities of $588 and $678, respectively)			620						723
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $224 and $262, respectively)			334						351
U.S. Treasury securities, at fair value (including pledged securities of $2,527 and $1,530, respectively)			2,570						1,540
Cash and cash equivalents			507						518
Restricted cash			1,279						1,253
Derivative assets, at fair value			157						185
Receivable for investment securities sold (including pledged securities of $1,612 and $0, respectively)			1,706						—
Receivable under reverse repurchase agreements			13,494						11,618
Goodwill			526						526
Other assets			353						1,088
Total assets			$	89,590					$	71,596
Liabilities:
Repurchase agreements			$	65,979					$	50,426
Debt of consolidated variable interest entities, at fair value			69						80
Payable for investment securities purchased			324						210
Derivative liabilities, at fair value			53						362
Dividends payable			134						115
Obligation to return securities borrowed under reverse repurchase agreements, at fair value			13,009						10,894
Other liabilities			366						1,252
Total liabilities			79,934						63,339
Stockholders' equity:
Preferred Stock - aggregate liquidation preference of $1,688			1,634						1,634
Common stock - $0.01 par value; 1,500 shares authorized; 844.2 and 694.3 shares issued and outstanding, respectively			8						7
Additional paid-in capital			16,746						15,281
Retained deficit			(8,320)						(8,148)
Accumulated other comprehensive loss			(412)						(517)
Total stockholders' equity			9,656						8,257
Total liabilities and stockholders' equity			$	89,590					$	71,596

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 September 30,												Nine Months Ended September 30,
			2024						2023						2024						2023
Interest income:
Interest income			$	756					$	593					$	2,093					$	1,401
Interest expense			820						646						2,190						1,621
Net interest income (expense)			(64)						(53)						(97)						(220)
Other gain (loss), net:
Gain (loss) on sale of investment securities, net			106						(534)						(100)						(870)
Unrealized gain (loss) on investment securities measured at fair value through net income, net			1,742						(1,356)						1,010						(1,125)
Gain (loss) on derivative instruments and other investments, net			(1,408)						1,574						6						2,026
Total other gain (loss), net:			440						(316)						916						31
Expenses:
Compensation and benefits			21						14						52						42
Other operating expense			9						9						26						26
Total operating expense			30						23						78						68
Net income (loss)			346						(392)						741						(257)
Dividends on preferred stock			33						31						96						92

Net income (loss) available (attributable) to common stockholders			$	313					$	(423)					$	645					$	(349)

Net income (loss)			$	346					$	(392)					$	741					$	(257)
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net			200						(213)						105						(136)
Comprehensive income (loss)			546						(605)						846						(393)
Dividends on preferred stock			33						31						96						92

Comprehensive income (loss) available (attributable) to common stockholders			$	513					$	(636)					$	750					$	(485)

Weighted average number of common shares outstanding - basic			807.2						622.0						750.0						600.2
Weighted average number of common shares outstanding - diluted			810.1						622.0						752.3						600.2
Net income (loss) per common share - basic			$	0.39					$	(0.68)					$	0.86					$	(0.58)
Net income (loss) per common share - diluted			$	0.39					$	(0.68)					$	0.86					$	(0.58)
Dividends declared per common share			$	0.36					$	0.36					$	1.08					$	1.08

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, June 30, 2023			$	1,634					603.3						$	6					$	14,466					$	(7,633)					$	(595)					$	7,878
Net loss			—						—						—						—						(392)						—						(392)
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net			—						—						—						—						—						(213)						(213)
Stock-based compensation, net			—						—						—						3						—						—						3

Issuance of common stock			—						44.7						—						432						—						—						432

Preferred dividends declared			—						—						—						—						(31)						—						(31)
Common dividends declared			—						—						—						—						(227)						—						(227)
Balance, September 30, 2023			$	1,634					648.0						$	6					$	14,901					$	(8,283)					$	(808)					$	7,450

Balance, June 30, 2024			$	1,634					766.1						$	8					$	15,960					$	(8,338)					$	(612)					$	8,652
Net income			—						—						—						—						346						—						346
Other comprehensive income:
Unrealized gain on available-for-sale securities, net			—						—						—						—						—						200						200
Stock-based compensation, net			—						—						—						5						—						—						5


Issuance of common stock			—						78.1						—						781						—						—						781

Preferred dividends declared			—						—						—						—						(33)						—						(33)
Common dividends declared			—						—						—						—						(295)						—						(295)
Balance, September 30, 2024			$	1,634					844.2						$	8					$	16,746					$	(8,320)					$	(412)					$	9,656

Balance, December 31, 2022			$	1,634					574.6						$	6					$	14,186					$	(7,284)					$	(672)					$	7,870
Net loss			—						—						—						—						(257)						—						(257)
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net			—						—						—						—						—						(136)						(136)
Stock-based compensation, net			—						0.9						—						6						—						—						6

Issuance of common stock			—						72.5						—						709						—						—						709

Preferred dividends declared			—						—						—						—						(92)						—						(92)
Common dividends declared			—						—						—						—						(650)						—						(650)
Balance, September 30, 2023			$	1,634					648.0						$	6					$	14,901					$	(8,283)					$	(808)					$	7,450

Balance, December 31, 2023			$	1,634					694.3						$	7					$	15,281					$	(8,148)					$	(517)					$	8,257
Net income			—						—						—						—						741						—						741
Other comprehensive income:
Unrealized gain on available-for-sale securities, net			—						—						—						—						—						105						105
Stock-based compensation, net			—						0.9						—						10						—						—						10

Issuance of common stock			—						149.0						1						1,455						—						—						1,456

Preferred dividends declared			—						—						—						—						(96)						—						(96)
Common dividends declared			—						—						—						—						(817)						—						(817)
Balance, September 30, 2024			$	1,634					844.2						$	8					$	16,746					$	(8,320)					$	(412)					$	9,656

See accompanying notes to consolidated financial statements.

4

AGNC INVESTMENT CORP.

CONSOLIDATED STATEMENTS OF CASH FLOWS

(Unaudited)

(in millions)


			Nine Months Ended September 30,
			2024						2023
Operating activities:
Net income (loss)			$	741					$	(257)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net			134						185
Stock-based compensation, net			10						6
Loss on sale of investment securities, net			100						870
Unrealized (gain) loss on investment securities measured at fair value through net income, net			(1,010)						1,125
Gain on derivative instruments and other securities, net			(6)						(2,026)
(Increase) decrease in other assets			735						(75)
Increase (decrease) in other liabilities			(697)						85
Net cash provided by (used in) operating activities			7						(87)
Investing activities:
Purchases of Agency mortgage-backed securities			(28,166)						(27,386)
Purchases of credit risk transfer and non-Agency securities and other mortgage credit investments			(222)						(299)
Proceeds from sale of Agency mortgage-backed securities			9,316						5,675
Proceeds from sale of credit risk transfer and non-Agency securities			278						650
Principal collections on Agency mortgage-backed securities			3,854						3,158
Principal collections on credit risk transfer and non-Agency securities			101						56
Payments on U.S. Treasury securities			(16,462)						(24,576)
Proceeds from U.S. Treasury securities			17,010						26,973
Net payments on reverse repurchase agreements			(1,343)						(1,938)
Net proceeds from (payments on) derivative instruments			(461)						1,515
Net cash used in investing activities			(16,095)						(16,172)
Financing activities:
Proceeds from repurchase arrangements			3,980,103						2,590,724
Payments on repurchase agreements			(3,964,550)						(2,574,879)
Payments on debt of consolidated variable interest entities			(12)						(14)


Net proceeds from common stock issuances			1,455						709

Cash dividends paid			(893)						(733)
Net cash provided by financing activities			16,103						15,807
Net change in cash, cash equivalents and restricted cash			15						(452)
Cash, cash equivalents and restricted cash at beginning of period			1,771						2,334
Cash, cash equivalents and restricted cash at end of period			$	1,786					$	1,882

Reconciliation of cash, cash equivalents and restricted cash end of period:
Cash and cash equivalents			$	507					$	493
Restricted cash			1,279						1,389
Total cash, cash equivalents and restricted cash, end of period			$	1,786					$	1,882

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 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, 2023.

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").

CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool

6

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

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 September 30, 2024 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.

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

7

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 under our master repurchase agreements (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 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.

8

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.

•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-

9

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 September 30, 2024 and December 31, 2023, our investment portfolio consisted of $68.9 billion and $54.8 billion investment securities, at fair value, respectively, $4.1 billion and $5.4 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $61 million and $44 million, respectively, which we account for under the equity method of accounting. Our TBA position is reported at its net carrying value totaling $1 million and $66 million as of September 30, 2024 and December 31, 2023, 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 September 30, 2024 and December 31, 2023, our investment securities had a net unamortized premium balance of $0.9 billion and $1.2 billion, respectively.

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The following tables summarize our investment securities as of September 30, 2024 and December 31, 2023, excluding TBA securities and other mortgage credit investments (dollars in millions). Details of our TBA securities are included in Note 5.


						September 30, 2024												December 31, 2023
Investment Securities						Amortized Cost						Fair Value						Amortized Cost						Fair Value
Agency RMBS:
Fixed rate						$	67,727					$	66,668					$	55,289					$	53,161
Adjustable rate						768						776						293						290
CMO						108						104						127						120
Interest-only and principal-only strips						61						57						67						61
Multifamily						429						439						161						162
Total Agency RMBS						69,093						68,044						55,937						53,794
Non-Agency RMBS 1						17						15						43						34
CMBS						278						258						303						273
CRT securities						573						620						682						723
Total investment securities						$	69,961					$	68,937					$	56,965					$	54,824


						September 30, 2024
						Agency RMBS																		Non-Agency 1
Investment Securities						Fannie Mae						Freddie Mac						Ginnie Mae						RMBS						CMBS						CRT						Total
Available-for-sale securities:
Par value 2						$	3,541					$	1,049					$	1					$	—					$	—					$	—					$	4,591
Unamortized discount						(1)						—						—						—						—						—						(1)
Unamortized premium						204						66						—						—						—						—						270
Amortized cost						3,744						1,115						1						—						—						—						4,860
Gross unrealized gains						—						—						—						—						—						—						—
Gross unrealized losses						(312)						(100)						—						—						—						—						(412)
Total available-for-sale securities, at fair value						3,432						1,015						1						—						—						—						4,448
Securities remeasured at fair value through earnings:
Par value 2						34,734						28,811						30						19						285						562						64,441
Unamortized discount						(270)						(208)						(1)						(3)						(8)						(8)						(498)
Unamortized premium						694						443						—						1						1						19						1,158
Amortized cost						35,158						29,046						29						17						278						573						65,101
Gross unrealized gains						405						352						—						—						3						47						807
Gross unrealized losses						(953)						(441)						—						(2)						(23)						—						(1,419)
Total securities remeasured at fair value through earnings						34,610						28,957						29						15						258						620						64,489
Total securities, at fair value						$	38,042					$	29,972					$	30					$	15					$	258					$	620					$	68,937
Weighted average coupon as of September 30, 2024 3						4.81		%				5.13		%				4.51		%				5.28		%				6.68		%				11.20		%				5.01		%
Weighted average yield as of September 30, 2024 4						4.44		%				4.86		%				4.98		%				6.69		%				7.40		%				8.96		%				4.68		%

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						December 31, 2023
						Agency RMBS																		Non-Agency 1
Investment Securities						Fannie Mae						Freddie Mac						Ginnie Mae						RMBS						CMBS						CRT						Total
Available-for-sale securities:
Par value 2						$	3,881					$	1,152					$	1					$	—					$	—					$	—					$	5,034
Unamortized discount						(1)						—						—						—						—						—						(1)
Unamortized premium						227						73						—						—						—						—						300
Amortized cost						4,107						1,225						1						—						—						—						5,333
Gross unrealized gains						—						—						—						—						—						—						—
Gross unrealized losses						(392)						(125)						—						—						—						—						(517)
Total available-for-sale securities, at fair value						3,715						1,100						1						—						—						—						4,816
Securities remeasured at fair value through earnings:
Par value 2						29,910						19,503						283						44						307						679						50,726
Unamortized discount						(108)						(59)						(3)						(3)						(7)						(9)						(189)
Unamortized premium						702						376						—						2						3						12						1,095
Amortized cost						30,504						19,820						280						43						303						682						51,632
Gross unrealized gains						170						111						1						—						2						41						325
Gross unrealized losses						(1,270)						(638)						—						(9)						(32)						—						(1,949)
Total securities remeasured at fair value through earnings						29,404						19,293						281						34						273						723						50,008
Total securities, at fair value						$	33,119					$	20,393					$	282					$	34					$	273					$	723					$	54,824
Weighted average coupon as of December 31, 2023 3						4.68		%				4.90		%				4.94		%				4.61		%				7.27		%				10.45		%				4.85		%
Weighted average yield as of December 31, 2023 4						4.22		%				4.53		%				5.16		%				4.92		%				7.04		%				8.87		%				4.41		%

________________________________

1.Non-Agency amounts exclude other mortgage credit investments of $61 million and $44 million as of September 30, 2024 and December 31, 2023, respectively.

2.Par value excludes interest-only securities. As of September 30, 2024 and December 31, 2023, Agency RMBS interest-only securities had a par value of $319 million and $336 million, respectively, and non-Agency interest-only securities had a par value of $97 million and $98 million, respectively.

3.Weighted average coupon excludes interest-only and principle-only securities. As of September 30, 2024 and December 31, 2023 Agency RMBS interest-only securities have a weighted average coupon of 1.83% and 1.77%, respectively, and non-Agency interest-only securities had a weighted average coupon of 0.81% and 0.71%, respectively.

4.Incorporates a weighted average future constant prepayment rate assumption of 13.2% and 11.4% based on forward rates as of September 30, 2024 and December 31, 2023, respectively.

As of September 30, 2024 and December 31, 2023, our investments in CRT and non-Agency securities had the following credit ratings (in millions):


						September 30, 2024																		December 31, 2023
CRT and Non-Agency Security Credit Ratings 1						CRT						RMBS 2						CMBS						CRT						RMBS 2						CMBS
AAA						$	—					$	1					$	21					$	—					$	1					$	9
AA						9						—						35						—						—						31
A						—						—						29						—						—						25
BBB						8						1						28						144						14						44
BB						75						1						57						137						7						81
B						40						—						36						39						2						55
Not Rated						488						12						52						403						10						28
Total						$	620					$	15					$	258					$	723					$	34					$	273

________________________________

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 $61 million and $44 million as of September 30, 2024 and December 31, 2023, respectively.

Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards.

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

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rates. As of September 30, 2024 and December 31, 2023, 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 13.2% and 11.4%, 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 September 30, 2024 and December 31, 2023 according to their estimated weighted average life classification (dollars in millions):


						September 30, 2024																								December 31, 2023
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						$	6,517					$	6,440					6.21%						5.71%						$	942					$	961					6.57%						5.93%
> 3 years and ≤ 5 years						18,818						18,580						5.83%						5.45%						10,381						10,331						5.94%						5.52%
> 5 years and ≤10 years						40,879						42,219						4.52%						4.17%						40,895						42,988						4.55%						4.10%
> 10 years						2,723						2,722						4.19%						4.70%						2,606						2,685						4.77%						4.63%
Total						$	68,937					$	69,961					5.01%						4.68%						$	54,824					$	56,965					4.85%						4.41%

________________________________

1.Table excludes other mortgage credit investments of $61 million and $44 million as of September 30, 2024 and December 31, 2023, 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 September 30, 2024 and December 31, 2023 (in millions):


						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
September 30, 2024						$	—					$	—					$	4,430					$	(412)					$	4,430					$	(412)
December 31, 2023						$	—					$	—					$	4,797					$	(517)					$	4,797					$	(517)

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 and nine months ended September 30, 2024 and 2023 by investment classification of accounting (in millions):

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						Three Months Ended September 30,
						2024																		2023
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						$	—					$	(4,805)					$	(4,805)					$	—					$	(3,175)					$	(3,175)
Proceeds from investment securities sold 1						—						4,911						4,911						—						2,641						2,641
Net gain (loss) on sale of investment securities						$	—					$	106					$	106					$	—					$	(534)					$	(534)

Gross gain on sale of investment securities						$	—					$	106					$	106					$	—					$	4					$	4
Gross loss on sale of investment securities						—						—						—						—						(538)						(538)
Net gain (loss) on sale of investment securities						$	—					$	106					$	106					$	—					$	(534)					$	(534)

						Nine Months Ended September 30,
						2024																		2023
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						$	—					$	(11,400)					$	(11,400)					$	(418)					$	(6,968)					$	(7,386)
Proceeds from investment securities sold 1						—						11,300						11,300						370						6,146						6,516
Net gain (loss) on sale of investment securities						$	—					$	(100)					$	(100)					$	(48)					$	(822)					$	(870)

Gross gain on sale of investment securities						$	—					$	126					$	126					$	—					$	15					$	15
Gross loss on sale of investment securities						—						(226)						(226)						(48)						(837)						(885)
Net gain (loss) on sale of investment securities						$	—					$	(100)					$	(100)					$	(48)					$	(822)					$	(870)

________________________________

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 and nine months ended September 30, 2024, we received principal repayments on available-for-sale securities of $444 million and $882 million, respectively. During the three and nine months ended September 30, 2023, we received principal repayments on available-for-sale securities of $547 million and $1.1 billion, 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 September 30, 2024, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6.

As of September 30, 2024 and December 31, 2023, we had $66.0 billion and $50.4 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 September 30, 2024 and December 31, 2023 (dollars in millions):

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						September 30, 2024																		December 31, 2023
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						$	53,118					5.26		%				8						$	40,946					5.61		%				11
> 1 to ≤ 3 months						9,904						5.08		%				51						7,933						5.55		%				64
> 3 to ≤ 6 months						377						4.86		%				95						—						—		%				—




Investment securities repo						63,399						5.23		%				15						48,879						5.60		%				19
U.S. Treasury repo:
≤ 1 month						2,580						5.06		%				1						1,547						5.54		%				2
Total						$	65,979					5.22		%				14						$	50,426					5.60		%				19

As of September 30, 2024 and December 31, 2023, $31.7 billion and $16.7 billion, respectively, of our investment securities repurchase agreements and all 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 September 30, 2024, we had $26.7 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 5.15%. As of December 31, 2023, we had $8.8 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 4 days and a weighted average interest rate of 5.54%. As of September 30, 2024 and December 31, 2023, 50% and 48%, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 47% and 43% of our repurchase agreement funding outstanding as of September 30, 2024 and December 31, 2023, respectively.

Reverse Repurchase Agreements

As of September 30, 2024 and December 31, 2023, we had $13.5 billion and $11.6 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 $13.0 billion and $10.9 billion, respectively. As of September 30, 2024 and December 31, 2023, $4.1 billion and $3.1 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.

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

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of September 30, 2024 and December 31, 2023 (in millions):




Derivative and Other Hedging Instruments						Balance Sheet Location						September 30, 2024						December 31, 2023
Interest rate swaps 1						Derivative assets, at fair value						$	96					$	15
Swaptions						Derivative assets, at fair value						2						89
TBA and forward settling non-Agency securities						Derivative assets, at fair value						49						81
U.S. Treasury futures - short						Derivative assets, at fair value						3						—
SOFR futures contracts - long						Derivative assets, at fair value						7						—
Total derivative assets, at fair value												$	157					$	185

Interest rate swaps 1						Derivative liabilities, at fair value						$	—					$	(1)
TBA and forward settling non-Agency securities						Derivative liabilities, at fair value						(48)						(15)
U.S. Treasury futures - short						Derivative liabilities, at fair value						—						(336)
SOFR futures contracts - long						Derivative liabilities, at fair value						(5)						(10)
Credit default swaps 1						Derivative liabilities, at fair value						—						—
Total derivative liabilities, at fair value												$	(53)					$	(362)

U.S. Treasury securities - long						U.S. Treasury securities, at fair value						$	2,570					$	1,540
U.S. Treasury securities - short						Obligation to return securities borrowed under reverse repurchase agreements, at fair value						(13,009)						(10,894)
Total U.S. Treasury securities, net at fair value												$	(10,439)					$	(9,354)

________________________________

1.As of September 30, 2024 and December 31, 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $1.4 billion and $2.9 billion, respectively. As of September 30, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was a net asset (liability) of $(7) million and $(6) million, respectively.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of September 30, 2024 and December 31, 2023 (dollars in millions):


Pay Fixed / Receive Variable Interest Rate Swaps						September 30, 2024																								December 31, 2023
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 years						$	7,750					0.13%						4.90%						0.8						$	13,750					0.14%						5.37%						0.4
> 1 to ≤ 3 years						11,300						0.22%						4.93%						1.9						15,800						0.17%						5.36%						2.0
> 3 to ≤ 5 years						3,800						0.25%						4.96%						4.2						5,800						0.24%						5.38%						3.9
> 5 to ≤ 7 years						4,150						2.15%						4.94%						6.0						3,900						0.92%						5.37%						6.2
> 7 to ≤ 10 years						12,146						3.51%						4.96%						9.0						5,226						3.06%						5.38%						9.2

Total						$	39,146					1.43%						4.94%						4.5						$	44,476					0.57%						5.37%						3.0

________________________________

1.As of September 30, 2024, 82% and 18% of notional amount receive index references SOFR and OIS, respectively. As of December 31, 2023, 80% and 20% of notional amount receive index references SOFR and OIS, respectively.

16


Receive Fixed / Pay Variable Interest Rate Swaps						September 30, 2024																								December 31, 2023
Years to Maturity						Notional Amount						Average Variable Pay Rate 1						Average Fixed Receive Rate						Average Maturity (Years)						Notional Amount						Average Variable Pay Rate 1						Average Fixed Receive Rate						Average Maturity (Years)

> 1 to ≤ 3 years						$	—					—%						—%						0.0						$	(1,000)					5.38%						4.65%						1.5

________________________________

1.Pay index references SOFR.


Payer Swaptions						Option																		Underlying Payer Swap
Current Option Expiration Date						Cost Basis						Fair Value						Average Months to Current Option Expiration Date						Notional Amount						Average Fixed Pay Rate 1						Average Term (Years)







December 31, 2023
≤ 1 year						$	28					$	86					5						$	1,250					2.61%						10.0

________________________________

1.Receive index references SOFR.


Receiver Swaptions						Option																		Underlying Receiver Swap
Current Option Expiration Date						Cost Basis						Fair Value						Average Months to Current Option Expiration Date						Notional Amount						Average Fixed Receive Rate						Average Term (Years)
September 30, 2024
> 1 year ≤ 2 years						$	3					$	2					15						$	150					2.98%						5.0

December 31, 2023
≤ 1 year						$	3					$	3					24						$	150					2.98%						5.0


U.S. Treasury Securities 1						September 30, 2024																		December 31, 2023
Years to Maturity						Face Amount Long/(Short)						Cost Basis						Fair Value						Face Amount Long/(Short)						Cost Basis						Fair Value
≤ 5 years						$	2,451					$	2,464					$	2,493					$	1,408					$	1,419					$	1,454
> 5 year ≤ 7 years						(1,635)						(1,633)						(1,470)						(818)						(821)						(703)
> 7 year ≤ 10 years						(9,729)						(9,442)						(9,547)						(8,649)						(8,277)						(8,187)
> 10 years						(1,782)						(1,830)						(1,915)						(1,796)						(1,796)						(1,918)
Total U.S. Treasury securities						$	(10,695)					$	(10,441)					$	(10,439)					$	(9,855)					$	(9,475)					$	(9,354)

________________________________

1.As of September 30, 2024 and December 31, 2023, short U.S. Treasury securities totaling $(13.0) billion and $(10.9) billion, at fair value, respectively, had a weighted average yield of 3.69% and 3.64%, respectively. As of September 30, 2024 and December 31, 2023, long U.S. Treasury securities totaling $2.6 billion and $1.5 billion, at fair value, respectively, had a weighted average yield of 4.06% and 4.39%, respectively.

17


U.S. Treasury Futures						September 30, 2024																								December 31, 2023
Years to Maturity						Notional Amount Long (Short)						Cost Basis						Fair Value						Net Carrying Value 1						Notional Amount Long (Short)						Cost Basis						Fair Value						Net Carrying Value 1

> 5 year ≤ 7 years						$	750					$	857					$	857					$	—					$	(2,714)					$	(2,961)					$	(3,064)					$	(103)
> 7 year ≤ 10 years						—						—						—						—						(2,924)						(3,294)						(3,451)						(157)
> 10 years						(791)						(986)						(983)						3						(791)						(913)						(989)						(76)
Total U.S. Treasury futures						$	(41)					$	(129)					$	(126)					$	3					$	(6,429)					$	(7,168)					$	(7,504)					$	(336)

________________________________

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 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.


						September 30, 2024																								December 31, 2023
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:





≥ 5.0%						$	—					$	—					$	—					$	—					$	90					$	89					$	91					$	2
Total 15-Year TBA securities						—						—						—						—						90						89						91						2
30-Year TBA securities:
≤ 3.0%						(704)						(654)						(642)						12						(29)						(24)						(25)						(1)
3.5%						289						267						268						1						—						—						—						—
4.0%						(116)						(110)						(111)						(1)						—						—						—						—
4.5%						5,461						5,402						5,376						(26)						363						343						352						9
5.0%						3,865						3,841						3,865						24						1,717						1,704						1,704						—
5.5%						(3,902)						(3,950)						(3,948)						2						2,034						2,014						2,047						33
6.0%						(1,253)						(1,268)						(1,280)						(12)						20						10						21						11
≥ 6.5%						524						539						540						1						1,137						1,152						1,164						12
Total 30-Year TBA securities, net						4,164						4,067						4,068						1						5,242						5,199						5,263						64
Total TBA securities, net						$	4,164					$	4,067					$	4,068					$	1					$	5,332					$	5,288					$	5,354					$	66

________________________________

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.

As of September 30, 2024 and December 31, 2023, we held SOFR futures contracts with a long notional position of $1.0 billion and $0.9 billion, respectively, measured on a two-year swap equivalent basis, with a net carrying value of $(5) million and $(10) million, respectively.

As of September 30, 2024 and December 31, 2023, we held centrally cleared credit default swaps ("CDS") with a notional value of $96 million and $95 million, respectively, that reference the Markit CDX Investment Grade or High Yield Grade Index, maturing in June 2029 and December 2028, respectively. Under the terms of these contracts, we make fixed periodic payments equal to 1% per annum of the notional value and we are entitled to receive payments in the event of qualifying credit events. As of September 30, 2024 and December 31, 2023, the credit default swaps had a market value of $(7) million and $(6) million, respectively, and a carrying value of zero dollars, net of variation margin settlements. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the CDS asset or liability.

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 and nine months ended September 30, 2024 and 2023 (in millions):

18


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 September 30, 2024:
TBA securities, net						$	5,511					27,804						(29,151)						$	4,164								$	98

Interest rate swaps - payer						$	48,696					25						(9,575)						$	39,146								(1,036)

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

Receiver swaptions						$	(150)					—						—						$	(150)								1
U.S. Treasury securities - short position						$	(13,999)					(3,983)						4,759						$	(13,223)								(509)
U.S. Treasury securities - long position						$	2,427					4,349						(4,248)						$	2,528								36
U.S. Treasury futures contracts - short position						$	(41)					(41)						41						$	(41)								(17)
																																	$	(1,430)

Three months ended September 30, 2023:
TBA securities, net						$	10,289					35,448						(43,386)						$	2,351								$	(148)

Interest rate swaps - payer						$	48,726					1,920						(5,250)						$	45,396								759
Interest rate swaps - receive, net						$	(1,000)					—						—						$	(1,000)								(6)
Credit default swaps - buy protection						$	(710)					(297)						836						$	(171)								—
Payer swaptions						$	1,600					—						(250)						$	1,350								89

U.S. Treasury securities - short position						$	(8,627)					(5,668)						4,161						$	(10,134)								537
U.S. Treasury securities - long position						$	1,543					1,499						(2,782)						$	260								(20)
U.S. Treasury futures contracts - short position						$	(5,900)					(10,070)						7,001						$	(8,969)								412
																																	$	1,623

Nine months ended September 30, 2024:
TBA securities, net						$	5,332					89,717						(90,885)						$	4,164								$	11

Interest rate swaps - payer						$	44,476					11,595						(16,925)						$	39,146								(199)
Interest rate swaps - receiver						$	(1,000)					—						1,000						$	—								(9)
Credit default swaps - buy protection						$	(96)					(96)						96						$	(96)								(6)
Payer swaptions						$	1,250					—						(1,250)						$	—								33
Receiver swaptions						$	(150)					—						—						$	(150)								1
U.S. Treasury securities - short position						$	(11,347)					(10,247)						8,371						$	(13,223)								(8)
U.S. Treasury securities - long position						$	1,492					7,690						(6,654)						$	2,528								(19)
U.S. Treasury futures contracts - short position						$	(6,429)					(4,007)						10,395						$	(41)								258
																																	$	62

Nine months ended September 30, 2023:
TBA securities, net						$	19,050					138,448						(155,147)						$	2,351								$	(172)

Interest rate swaps - payer						$	47,825					5,396						(7,825)						$	45,396								1,387
Interest rate swaps - receive, net						$	—					(1,000)						—						$	(1,000)								(9)
Credit default swaps - buy protection						$	(215)					(1,292)						1,336						$	(171)								(8)
Payer swaptions						$	3,050					—						(1,700)						$	1,350								49

U.S. Treasury securities - short position						$	(7,373)					(15,470)						12,709						$	(10,134)								614
U.S. Treasury securities - long position						$	357					11,786						(11,883)						$	260								(75)
U.S. Treasury futures contracts - short position						$	(9,213)					(23,185)						23,429						$	(8,969)								389
																																	$	2,175

19

________________________________

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 September 30, 2024 and December 31, 2023, we held SOFR futures contracts with a long notional position of $1.0 billion and $0.9 billion, respectively, measured on a two-year swap equivalent basis. For the three and nine months ended September 30, 2024, we recognized a gain of $36 million and $23 million, respectively, and for the three and nine months ended September 30, 2023, we recognized a loss of and $(6) million and $(25) million, respectively, 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 under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract. We are typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value. Our brokerage and custody agreements and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits. If we breach our collateral requirements, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral.

Our counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value. Our agreements do not specify the haircut; rather, haircuts are determined on an individual transaction basis. Consequently, our funding agreements and derivative contracts expose us to credit risk relating to potential losses that could be recognized if our counterparties fail to perform their obligations under such agreements. We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses and U.S. government agencies, and we monitor our positions with individual counterparties. In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments as and when due to us under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark-to-market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.

As of September 30, 2024, our maximum amount at risk with any counterparty related to our repurchase agreements, excluding the Fixed Income Clearing Corporation, was less than 2% of our tangible stockholders' equity (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables). As of September 30, 2024, 7% of our tangible stockholder's equity was at risk with the Fixed Income Clearing Corporation.

20

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 September 30, 2024 and December 31, 2023 (in millions):


						September 30, 2024
Assets Pledged to Counterparties 1						Repurchase Agreements 2						Debt of Consolidated VIEs						Derivative Agreements and Other						Total
Agency RMBS - fair value						$	63,973					$	106					$	8					$	64,087
CRT - fair value						588						—						—						588
Non-Agency - fair value						224						—						—						224
U.S. Treasury securities - fair value						2,560						—						—						2,560
Accrued interest on pledged securities						290						—						—						290
Restricted cash						338						—						941						1,279
Total						$	67,973					$	106					$	949					$	69,028


						December 31, 2023
Assets Pledged to Counterparties 1						Repurchase Agreements 2						Debt of Consolidated VIEs						Derivative Agreements and Other						Total
Agency RMBS - fair value						$	49,602					$	121					$	15					$	49,738
CRT - fair value						678						—						—						678
Non-Agency - fair value						262						—						—						262
U.S. Treasury securities - fair value						1,865						—						62						1,927
Accrued interest on pledged securities						217						—						—						217
Restricted cash						9						—						1,244						1,253
Total						$	52,633					$	121					$	1,321					$	54,075

________________________________

1.Includes repledged assets received as collateral from counterparties and securities sold but not yet settled.

2.Includes $37 million and $42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2024 and December 31, 2023, respectively.

The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of September 30, 2024 and December 31, 2023 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4.


						September 30, 2024																		December 31, 2023
Securities Pledged by Remaining Maturity of Repurchase Agreements 1,2						Fair Value of Pledged Securities						Amortized Cost of Pledged Securities						Accrued Interest on Pledged Securities						Fair Value of Pledged Securities						Amortized Cost of Pledged Securities						Accrued Interest on Pledged Securities
≤ 1 month						$	56,653					$	57,151					$	251					$	43,701					$	44,918					$	188
> 1 and ≤ 2 months						7,671						7,851						28						2,847						3,069						10
> 2 and ≤ 3 months						2,598						2,697						10						5,524						5,947						19
> 3 months						390						406						1						—						—						—
Total						$	67,312					$	68,105					$	290					$	52,072					$	53,934					$	217

________________________________

1.Includes $37 million and $42 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of September 30, 2024 and December 31, 2023, respectively.

2.Excludes $33 million and $397 million of repledged U.S. Treasury securities received as collateral from counterparties as of September 30, 2024 and December 31, 2023, respectively.

Assets Pledged from Counterparties

As of September 30, 2024 and December 31, 2023, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

21


						September 30, 2024																								December 31, 2023
Assets Pledged to AGNC						Reverse Repurchase Agreements						Derivative Agreements						Repurchase Agreements						Total						Reverse Repurchase Agreements						Derivative Agreements						Repurchase Agreements						Total
Agency securities - fair value						$	—					$	—					$	30					$	30					$	—					$	—					$	—					$	—
U.S. Treasury securities - fair value						13,334						—						—						13,334						11,667						—						306						11,973
Cash						—						2						21						23						—						89						49						138
Total						$	13,334					$	2					$	51					$	13,387					$	11,667					$	89					$	355					$	12,111

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 September 30, 2024 and December 31, 2023 (in millions):


						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
September 30, 2024
Interest rate swap and swaption agreements, at fair value 1						$	97					$	—					$	97					$	—					$	(2)					$	95
TBA securities, at fair value 1						50						—						50						(48)						(2)						—
Receivable under reverse repurchase agreements						13,494						—						13,494						(10,756)						(2,738)						—
Total						$	13,641					$	—					$	13,641					$	(10,804)					$	(2,742)					$	95

December 31, 2023
Interest rate swap and swaption agreements, at fair value 1						$	104					$	—					$	104					$	—					$	(89)					$	15
TBA securities, at fair value 1						80						—						80						(15)						(65)						—
Receivable under reverse repurchase agreements						11,618						—						11,618						(8,433)						(3,181)						4
Total						$	11,802					$	—					$	11,802					$	(8,448)					$	(3,335)					$	19


						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
September 30, 2024

TBA securities, at fair value 1						$	48					$	—					$	48					$	(48)					$	—					$	—
Repurchase agreements						65,979						—						65,979						(10,756)						(55,223)						—
Total						$	66,027					$	—					$	66,027					$	(10,804)					$	(55,223)					$	—

December 31, 2023

TBA securities, at fair value 1						$	15					$	—					$	15					$	(15)					$	—					$	—
Repurchase agreements						50,426						—						50,426						(8,433)						(41,993)						—
Total						$	50,441					$	—					$	50,441					$	(8,448)					$	(41,993)					$	—

________________________________

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.

22

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 September 30, 2024 and December 31, 2023, 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.


						September 30, 2024																		December 31, 2023
						Level 1						Level 2						Level 3						Level 1						Level 2						Level 3
Assets:
Agency securities						$	—					$	67,938					$	—					$	—					$	53,673					$	—
Agency securities transferred to consolidated VIEs						—						106						—						—						121						—
Credit risk transfer securities						—						620						—						—						723						—
Non-Agency securities						—						273						—						—						307						—
U.S. Treasury securities						2,570						—						—						1,540						—						—
Interest rate swaps 1						—						96						—						—						15						—
Swaptions						—						2						—						—						89						—
TBA securities						—						49						—						—						81						—
SOFR Futures						7						—						—						—						—						—
U.S. Treasury futures						3						—						—						—						—						—
Total						$	2,580					$	69,084					$	—					$	1,540					$	55,009					$	—
Liabilities:
Debt of consolidated VIEs						$	—					$	69					$	—					$	—					$	80					$	—
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements						13,009						—						—						10,894						—						—
Interest rate swaps 1						—						—						—						—						1						—
Credit default swaps 1						—						—						—						—						—						—
TBA securities						—						48						—						—						15						—
U.S. Treasury futures						—						—						—						336						—						—
SOFR Futures						5						—						—						10						—						—
Total						$	13,014					$	117					$	—					$	11,240					$	96					$	—

________________________________

1.As of September 30, 2024 and December 31, 2023, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $1.4 billion and $2.9 billion, respectively, based on "Level 2" inputs. As of September 30, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was a net asset (liability) of $(7) million and $(6) million, respectively, based on "Level 2" inputs. See Notes 2 and 5 for additional details.

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 September 30, 2024 and December 31, 2023, the fair value of our repurchase agreements approximated cost, as 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 September 30, 2024 and December 31, 2023, the carrying value of other mortgage credit investments reported under the equity method of accounting was $61 million and $44 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. 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):

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						Three Months Ended September 30,												Nine Months Ended September 30,
						2024						2023						2024						2023
Weighted average number of common shares issued and outstanding						805.0						620.2						747.9						598.4
Weighted average number of fully vested restricted stock units outstanding						2.2						1.8						2.1						1.8
Weighted average number of common shares outstanding - basic						807.2						622.0						750.0						600.2
Weighted average number of dilutive unvested restricted stock units outstanding						2.9						—						2.3						—
Weighted average number of common shares outstanding - diluted						810.1						622.0						752.3						600.2
Net income (loss) available (attributable) to common stockholders						$	313					$	(423)					$	645					$	(349)
Net income (loss) per common share - basic						$	0.39					$	(0.68)					$	0.86					$	(0.58)
Net income (loss) per common share - diluted						$	0.39					$	(0.68)					$	0.86					$	(0.58)

For the three and nine months ended September 30, 2023, 1.3 million and 1.1 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 including them would have 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 September 30, 2024 and December 31, 2023, 13,800, 10,350, 16,100, 23,000 and 6,900 shares of preferred stock were designated as 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock, respectively, (referred to as "Series C, D, E, F and G Preferred Stock", respectively). As of September 30, 2024 and December 31, 2023, 13,000, 9,400, 16,100, 23,000 and 6,000 shares of Series C, D, E, F and G Preferred Stock, respectively, were issued and outstanding. Each share of preferred stock is represented by 1,000 depositary shares. 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 September 30, 2024 (dollars and shares in millions):


Cumulative Redeemable Preferred Stock 1						Issue Date						Depositary Shares Issued and Outstanding						Carrying Value						Aggregate Liquidation Preference						Per Annum Dividend Rate 2,3						First Optional Redemption Date / Conversion Date 3,4
Fixed-to-Floating Rate:
Series C						August 22, 2017						13.0						$	315					$	325					10.65872%						October 15, 2022
Series D						March 6, 2019						9.4						227						235						9.87972%						April 15, 2024
Series E						October 3, 2019						16.1						390						403						6.500%						October 15, 2024
Series F						February 11, 2020						23.0						557						575						6.125%						April 15, 2025
Fixed-Rate Reset:
Series G						September 14, 2022						6.0						145						150						7.750%						October 15, 2027
Total												67.5						$	1,634					$	1,688

________________________________

1.The depositary shares underlying our preferred stock accrue dividends at an initial annual fixed rate of the $25.00 liquidation preference per depositary share from the issuance date up to, but not including, the fixed-to-floating rate or fixed-rate-reset conversion date; thereafter, dividends will accrue on a floating rate or fixed-rate-reset basis equal to the conversion rate plus a fixed spread.

2.The Series C and D per annum dividend rates represent the rates in effect as of September 30, 2024.

3.The Series C and D dividends accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 5.111% and 4.332%, respectively, per annum, resetting quarterly in accordance with the certificate of designations for such series and the Adjustable Interest Rate (LIBOR) Act of 2021 (the “LIBOR Act”). At the conclusion of the fixed rate period (the conversion date) for the Series E and F Preferred Stock, the

24

dividend for such series will accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus a spread of 4.993% and 4.697%, respectively, per annum, resetting quarterly in accordance with the certificate of designations for such series and 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.

4.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.

At-the-Market Offering Program

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 up to a maximum aggregate offering price of our common stock. During the three and nine months ended September 30, 2024, we sold 78.1 million and 149.0 million shares, respectively, of our common stock under the sales agreements for proceeds of $781 million and $1,456 million, respectively, or $10.00 and $9.78 per common share, respectively, net of offering costs. As of September 30, 2024, shares of our common stock with an aggregate offering price of $189 million remained authorized for issuance under this program through December 31, 2025. See Note 10. Subsequent Events for additional information regarding our At-the-Market Offering Program.

Accumulated Other Comprehensive Income (Loss)

The following table summarizes changes to accumulated OCI for the three and nine months ended September 30, 2024 and 2023 (in millions):


						Three Months Ended September 30,												Nine Months Ended September 30,
Accumulated Other Comprehensive Income (Loss)						2024						2023						2024						2023
Beginning Balance						$	(612)					$	(595)					$	(517)					$	(672)
OCI before reclassifications						200						(213)						105						(184)
Net loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net						—						—						—						48
Ending Balance						$	(412)					$	(808)					$	(412)					$	(808)

Note 10. Subsequent Events

At-the-Market Offering Program

During October 2024, we entered into amendments to the agreements with the sales agents that govern our At-the-Market Offering Program (see Note 9. Stockholders' Equity). Pursuant to these amendments and the prospectus supplement filed in connection with the amendments, we may publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to a maximum aggregate offering price of our common stock of $1.5 billion from and after the date of the amendment through December 31, 2025.

Common Stock Repurchase Program

We have maintained a stock repurchase plan that enables us to repurchase shares of our common stock from time to time. We intend to repurchase shares under the stock repurchase program only when the repurchase price is less than our then-current estimate of tangible net book value per common share. Our existing stock repurchase plan, which had $1 billion in remaining capacity, was due to expire on December 31, 2024. During October 2024, our Board of Directors terminated this stock repurchase plan and replaced it with a new plan authorizing us to repurchase up to $1 billion of common stock through December 31, 2026. Under the new plan, we may repurchase shares in the open market or through privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act. Our stock repurchase program may be limited or terminated at any time without prior notice.

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Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

Management's Discussion and Analysis of Financial Condition and Results of Operations ("MD&A") is designed to provide a reader of AGNC Investment Corp.'s consolidated financial statements with a narrative from the perspective of management and should be read in conjunction with the consolidated financial statements and accompanying notes included in this Quarterly Report on Form 10-Q for quarterly period ended September 30, 2024. Our MD&A is presented in the following sections:

•Executive Overview

•Financial Condition

•Results of Operations

•Liquidity and Capital Resources

•Off-Balance Sheet Arrangements

•Forward-Looking Statements

•Website and Social Media Disclosure

EXECUTIVE OVERVIEW

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") on a leveraged basis. These investments consist of residential mortgage pass-through securities and collateralized mortgage obligations for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise, such as Federal National Mortgage Association ("Fannie Mae") and Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs"), or by a U.S. Government agency, such as Government National Mortgage Association ("Ginnie Mae"). We may also invest in other assets related to the housing, mortgage or real estate markets that are not guaranteed by a GSE or U.S. Government agency.

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. We fund our investments primarily through collateralized borrowings structured as repurchase agreements. We operate in a manner to qualify to be taxed as a REIT under the Internal Revenue Code.

We employ an active management strategy that is dynamic and responsive to evolving market conditions. The composition of our portfolio and our investment, funding, and hedging strategies are tailored to reflect our analysis of market conditions and the relative values of available options. Market conditions are influenced by a variety of factors, including interest rates, prepayment expectations, liquidity, housing prices, unemployment rates, general economic conditions, government participation in the mortgage market, regulations and relative returns on other assets.

Trends and Recent Market Impacts

The favorable investment environment, characterized by Agency mortgage spreads to benchmark interest rates that remained materially wider than historical norms and within a relatively narrow trading range, declining interest rate volatility, and the emerging accommodative monetary policy stance by the Federal Reserve (the "Fed"), continued to strengthen in the third quarter of 2024. The shift in monetary policy was further supported by the Fed's initial rate cut in September, which was larger than many expected. More importantly, the September rate cut marked the end of an extended period of monetary policy restraint, with the Fed communicating its intention to lower short-term rates to a neutral level over time. As a result, Treasury rates declined across the yield curve, and the yield curve ended the quarter with a positive slope for the first time in two years.

Against this favorable backdrop, AGNC generated an economic return on tangible common equity per share of 9.3% for the third quarter, comprised of $0.36 of dividends per common share and a $0.42, or 5%, increase in tangible net book value per common share, bringing our year-to-date economic return through September 30, 2024 to 13.8% per common share. Consistent with Agency RMBS spreads trading in a relatively narrow range, our year-to-date economic return consisted of a modest increase in our tangible net book value per common share of 1.4% and a $1.08 of dividends per common share.

Looking ahead, the outlook for Agency RMBS is decidedly better today than it was in 2022 and 2023 given the current economic outlook, the stance of the Fed, and our expectation that long-term interest rates and Agency RMBS spreads will remain relatively stable. While the path of financial markets is never perfectly smooth and periods of volatility are inevitable, our view is based, in part, on our belief that the supply and demand dynamics for Agency RMBS will remain in reasonable balance. Given the recent modest decline in mortgage rates during the third quarter, it is possible that the supply of Agency

26

RMBS will increase somewhat over the intermediate term. On the demand side, however, accommodative monetary policy, a steeper yield curve, historically large money market mutual fund balances, and the potential for less onerous bank capital reforms than originally proposed suggest that demand for high-quality fixed income assets is likely to increase as the Fed reduces short-term interest rates.

Agency RMBS performance during the third quarter varied considerably by coupon and hedge composition, with lower coupon RMBS outperforming higher coupons, driven by favorable technical factors and strong demand from fixed income bond funds. Our performance benefited from having a diversified mix of assets as well as a meaningful share of longer-term US Treasury-based hedges. During the quarter, we reduced our swap-based hedges and increased our allocation to Treasury-based hedges. Additionally, we expanded our use of longer-term hedges in response to the shift in monetary policy and our expectations for further yield curve steepening. Consistent with our transition toward longer-term hedges, our overall interest rate hedge position declined to 72% of the outstanding balance of our Investment Securities Repo, TBA position, and other debt by the end of the quarter, down from 98% as of the second quarter.

The weighted average coupon on our fixed-rate Agency RMBS and TBA securities decreased to 4.90% as of the end of the third quarter, from 4.95% at the end of the second quarter. Consistent with the decline in interest rates during the third quarter, the average projected life CPR for our portfolio increased 4.0% to 13.2%. Actual CPRs for the third quarter averaged 7.3%, up slightly from 7.1% in the second quarter.

Our "at risk" leverage decreased modestly to 7.2x tangible stockholders’ equity at the end of the quarter, from 7.4x as of June 30, 2024. Additionally, we concluded the quarter with $6.2 billion in cash and unencumbered Agency RMBS, or 68% of our tangible equity, up from $5.3 billion, or 65% of our tangible equity, at the end of the second quarter.

Net spread and dollar roll income per diluted common share (a non-GAAP measure) declined by $0.10 to $0.43 per share in the third quarter, driven by a reduction in our net interest rate spread, which narrowed by 48 basis points to 221 basis points. Approximately half of the decline in our net interest spread was due to the maturity of $6.5 billion of low-cost pay-fixed interest rate swaps during the quarter. No additional swaps are scheduled to mature until the second quarter of 2025. The remaining decline was largely due to our decision to further reduce our swap-based hedges in favor of Treasury-based hedges, which are not reflected in our reported net interest spread.

During the third quarter, we issued $781 million of common equity through our At-the-Market ("ATM") offering program, bringing our year-to-date issuances to $1.46 billion. The significant increase in ATM issuances during the third quarter was aligned with the substantial price-to-book premium of our common stock and contributed to meaningful book value accretion for our common stockholders. Additionally, the positive investment environment provided a favorable backdrop for deploying this new capital.

For information regarding non-GAAP financial measures, including reconciliations to the most comparable GAAP measure please refer to Results of Operations included in this MD&A below. For information regarding the sensitivity of our tangible net book value per common share to changes in interest rates and mortgage spreads, please refer to Item 3. Quantitative and Qualitative Disclosures about Market Risk in this form 10-Q.

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Market Information

The following table summarizes benchmark interest rates and prices of generic fixed rate Agency RMBS as of each date presented below:


Interest Rate/Security Price 1						Sept. 30, 2023						Dec. 31, 2023						Mar. 31, 2024						June 30, 2024						Sept. 30, 2024						Sept. 30, 2024 vs June 30, 2024									Sept. 30, 2024 vs Dec. 31, 2023
Target Federal Funds Rate:
Target Federal Funds Rate - Upper Band						5.50%						5.50%						5.50%						5.50%						5.00%						-50			bps						-50			bps
SOFR:
SOFR Rate						5.31%						5.38%						5.34%						5.33%						4.96%						-37			bps						-42			bps
SOFR Interest Rate Swap Rate:
2-Year Swap						4.97%						4.07%						4.55%						4.61%						3.44%						-117			bps						-63			bps
5-Year Swap						4.38%						3.53%						3.98%						4.10%						3.25%						-85			bps						-28			bps
10-Year Swap						4.27%						3.47%						3.84%						3.98%						3.32%						-66			bps						-15			bps
30-Year Swap						4.01%						3.32%						3.62%						3.76%						3.30%						-46			bps						-2			bps
U.S. Treasury Security Rate:
2-Year U.S. Treasury						5.05%						4.25%						4.62%						4.76%						3.64%						-112			bps						-61			bps
5-Year U.S. Treasury						4.61%						3.85%						4.21%						4.38%						3.56%						-82			bps						-29			bps
10-Year U.S. Treasury						4.57%						3.88%						4.20%						4.40%						3.78%						-62			bps						-10			bps
30-Year U.S. Treasury						4.70%						4.03%						4.34%						4.56%						4.12%						-44			bps						+9			bps
30-Year Fixed Rate Agency Price:
2.5%						$79.39						$85.24						$82.77						$81.87						$86.22						+$4.35									+$0.98
3.0%						$82.75						$88.58						$86.16						$85.26						$89.68						+$4.42									+$1.10
3.5%						$86.02						$91.86						$89.61						$88.67						$93.09						+$4.42									+$1.23
4.0%						$89.09						$94.69						$92.74						$91.68						$95.98						+$4.30									+$1.29
4.5%						$91.85						$97.04						$95.34						$94.45						$98.27						+$3.82									+$1.23
5.0%						$94.39						$99.04						$97.70						$96.81						$99.90						+$3.09									+$0.86
5.5%						$96.68						$100.56						$99.58						$98.76						$101.15						+$2.39									+$0.59
6.0%						$98.74						$101.63						$100.98						$100.39						$102.19						+$1.80									+$0.56
6.5%						$100.52						$102.51						$102.21						$101.88						$103.10						+$1.22									+$0.59
15-Year Fixed Rate Agency Price:
1.5%						$83.27						$86.86						$86.69						$85.61						$89.16						+$3.55									+$2.30
2.0%						$85.81						$89.47						$88.71						$88.00						$91.41						+$3.41									+$1.94
2.5%						$88.21						$92.14						$91.07						$90.44						$93.68						+$3.24									+$1.54
3.0%						$90.54						$94.30						$93.17						$92.61						$95.82						+$3.21									+$1.52
3.5%						$92.52						$96.39						$95.13						$94.61						$97.88						+$3.27									+$1.49
4.0%						$94.42						$98.10						$96.95						$96.24						$99.28						+$3.04									+$1.18

________________________________

1.Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Price information is sourced from Barclays. Interest rate information is sourced from Bloomberg.

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


Mortgage Rate/Credit Spread						Sept. 30, 2023						Dec. 31, 2023						Mar. 31, 2024						June 30, 2024						Sept. 30, 2024						Sept. 30, 2024 vs June 30, 2024									Sept. 30, 2024 vs Dec. 31, 2023
Mortgage Rate: 1
30-Year Agency Current Coupon Yield to 5-Year U.S. Treasury Spread						175						140						139						149						140						-9									—
30-Year Agency Current Coupon Yield to 10-Year U.S. Treasury Spread						179						137						140						147						118						-29									-19
30-Year Agency Current Coupon Yield to 5/10-Year U.S. Treasury Spread						177						139						139						149						129						-20									-10
30-Year Agency Current Coupon Yield						6.36%						5.25%						5.60%						5.87%						4.96%						-91			bps						-29			bps
30-Year Mortgage Rate						7.41%						6.56%						6.74%						6.94%						6.14%						-80			bps						-42			bps
Credit Spread (in bps): 2
CRT M2						252						206						182						166						159						-7									-47
CMBS AAA						137						118						88						100						91						-9									-27
CDX IG						74						56						51						54						53						-1									-3

________________________________

1.30-Year Current Coupon Yield represents yield on new production Agency RMBS. 30-Year Current Coupon Yields are sourced from Bloomberg and 30-Year Mortgage Rates are sourced from Clear Blue.

2.CRT and CDX spreads sourced from JP Morgan. CMBS spreads are the average of spreads sourced from Bank of America, JP Morgan and Wells Fargo.

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FINANCIAL CONDITION

As of September 30, 2024 and December 31, 2023, our investment portfolio totaled $73.1 billion and $60.2 billion, respectively, consisting of: $68.0 billion and $53.8 billion Agency RMBS, at fair value, respectively; $4.1 billion and $5.4 billion net TBA securities, at fair value, respectively; $0.9 billion and $1.0 billion CRT, non-Agency RMBS and CMBS, at fair value, respectively; and other mortgage credit investments of $61 million and $44 million, respectively, which we account for under the equity method of accounting. The following table is a summary of our investment securities (including TBA securities) as of September 30, 2024 and December 31, 2023 (dollars in millions):


						September 30, 2024																								December 31, 2023
Investment Securities (Includes TBAs) 1						Amortized Cost						Fair Value						Average Coupon						%						Amortized Cost						Fair Value						Average Coupon						%
Fixed rate Agency RMBS and TBA securities:
≤ 15-year:
≤ 15-year RMBS						$	105					$	101					2.72		%				—		%				$	759					$	718					3.25		%				1		%
15-year TBA securities						—						—						—		%				—		%				89						91						5.00		%				—		%
Total ≤ 15-year						105						101						2.72		%				—		%				848						809						3.44		%				1		%
20-year RMBS						593						537						3.11		%				1		%				872						768						2.82		%				1		%
30-year:
30-year RMBS						67,029						66,030						4.98		%				90		%				53,658						51,675						4.82		%				86		%
30-year TBA securities, net 2						4,067						4,068						3.99		%				6		%				5,199						5,263						5.50		%				9		%
Total 30-year						71,096						70,098						4.92		%				96		%				58,857						56,938						4.88		%				95		%
Total fixed rate Agency RMBS and TBA securities						71,794						70,736						4.90		%				97		%				60,577						58,515						4.83		%				97		%
Adjustable rate Agency RMBS						768						776						4.80		%				1		%				293						290						4.67		%				—		%
Multifamily						429						439						4.64		%				1		%				161						162						4.47		%				—		%
CMO Agency RMBS:
CMO						108						104						3.32		%				—		%				127						120						3.28		%				—		%
Interest-only strips						35						33						1.83		%				—		%				40						35						1.77		%				—		%
Principal-only strips						26						24						—		%				—		%				27						26						—		%				—		%
Total CMO Agency RMBS 3						169						161						3.32		%				—		%				194						181						3.28		%				1		%
Total Agency RMBS and TBA securities 3						73,160						72,112						4.90		%				99		%				61,225						59,148						4.83		%				98		%
Non-Agency RMBS 1,3						17						15						5.28		%				—		%				43						34						4.61		%				—		%
CMBS 3						278						258						6.68		%				—		%				303						273						7.27		%				—		%
CRT						573						620						11.20		%				1		%				682						723						10.45		%				1		%
Total investment securities 3						$	74,028					$	73,005					4.95		%				100		%				$	62,253					$	60,178					4.90		%				100		%

________________________________

1.Table excludes other mortgage credit investments of $61 million and $44 million as of September 30, 2024 and December 31, 2023, respectively.

2.TBA securities are presented net of long and short positions. For further details of our TBA securities refer to Note 5 of our Consolidated Financial Statements in this Form 10-Q

3.Average coupon excludes interest-only and principal-only securities.

TBA securities are recorded as derivative instruments in our accompanying consolidated financial statements, and our TBA dollar roll transactions represent a form of off-balance sheet financing. As of September 30, 2024 and December 31, 2023, our TBA securities had a net carrying value of $1 million and $66 million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value represents the difference between the fair value of the underlying security in the TBA contract and the price to be paid or received for the underlying security.

As of September 30, 2024 and December 31, 2023, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.68% and 4.41%, respectively.

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The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of September 30, 2024 and December 31, 2023 (dollars in millions):


						September 30, 2024
						Includes Net TBA Position																														Excludes Net TBA Position
Fixed Rate Agency RMBS and TBA Securities						Par Value						Amortized Cost						Fair Value						Specified Pool % 1						Weighted Average Coupon						Amortized Cost Basis						Weighted Average												Projected CPR 2
																																										Yield 2						Age (Months)
Fixed rate
≤ 15-year:
2.0%						36						36						33						100%						2.00%						102.6%						1.33%						45						9%
2.5%						13						13						13						100%						2.50%						99.4%						2.80%						139						15%
3.0%						38						38						37						100%						3.00%						100.9%						2.39%						133						14%
3.5%						10						10						10						100%						3.50%						101.3%						2.61%						134						15%
4.0%						7						7						7						8%						4.00%						101.3%						1.94%						162						31%
≥ 4.5%						1						1						1						100%						4.51%						101.2%						2.71%						162						28%

Total ≤ 15-year						105						105						101						94%						2.72%						101.4%						2.07%						106						14%
20-year:
2.5%						315						329						285						—%						2.50%						104.5%						1.73%						51						5%
3.0%						24						25						23						97%						3.00%						103.5%						2.28%						62						8%
3.5%						102						104						100						79%						3.50%						101.7%						2.97%						133						9%
4.0%						60						62						59						92%						4.00%						103.7%						3.08%						90						9%
≥ 4.5%						69						73						70						96%						4.56%						104.8%						3.29%						89						11%
Total 20-year:						570						593						537						41%						3.11%						103.9%						2.30%						75						7%
30-year:
≤ 3.0%						4,294						4,187						3,717						71%						2.43%						96.9%						2.91%						39						6%
3.5%						5,331						5,515						5,056						81%						3.50%						104.1%						2.83%						106						7%
4.0%						6,390						6,694						6,240						86%						4.00%						104.6%						3.22%						84						8%
4.5%						12,526						12,630						12,393						30%						4.50%						102.3%						4.07%						46						8%
5.0%						11,495						11,471						11,554						34%						5.00%						100.0%						4.98%						22						9%
5.5%						13,219						13,273						13,492						41%						5.50%						100.6%						5.34%						14						14%
6.0%						12,461						12,623						12,856						34%						6.00%						101.3%						5.58%						13						21%
≥ 6.5%						4,588						4,703						4,790						39%						6.51%						102.4%						5.70%						12						22%
Total 30-year						70,304						71,096						70,098						45%						4.92%						101.3%						4.65%						34						13%
Total fixed rate						$	70,979					$	71,794					$	70,736					45%						4.90%						101.4%						4.62%						35						13%

________________________________

1.Specified pools include pools backed by lower balance loans with original loan balances of up to $200K, HARP pools (defined as pools that were issued between May 2009 and December 2018 and backed by 100% refinance loans with original LTVs ≥ 80%), and pools backed by loans 100% originated in New York and Puerto Rico. As of September 30, 2024, lower balance specified pools had a weighted average original loan balance of $188,000 and $147,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively.

2.Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of September 30, 2024.

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						December 31, 2023
						Includes Net TBA Position																														Excludes Net TBA Position
Fixed Rate Agency RMBS and TBA Securities						Par Value						Amortized Cost						Fair Value						Specified Pool % 1						Weighted Average Coupon						Amortized Cost Basis						Weighted Average												Projected CPR 2
																																										Yield 2						Age (Months)
Fixed rate
≤ 15-year:

≤ 2.5%						58						59						54						100%						2.16%						101.7%						1.77%						65						10%
3.0%						442						450						423						99%						3.00%						101.5%						2.54%						71						10%
3.5%						14						14						13						100%						3.50%						101.5%						2.60%						126						14%
4.0%						229						235						227						95%						4.00%						102.8%						2.98%						70						13%
4.5%						1						1						1						99%						4.50%						101.7%						2.70%						154						21%
≥ 5.0%						90						89						91						—%						5.00%						100.9%						2.54%						168						41%
Total ≤ 15-year						834						848						809						87%						3.44%						101.9%						2.62%						71						11%
20-year:
≤ 2.0%						219						225						188						—%						2.00%						102.6%						1.58%						37						5%
2.5%						337						352						301						—%						2.50%						104.7%						1.72%						42						6%
3.0%						27						28						25						97%						3.00%						103.6%						2.28%						53						8%
3.5%						117						119						113						79%						3.50%						101.7%						2.96%						125						10%
≥ 4.0%						142						148						141						96%						4.26%						104.3%						3.14%						83						11%
Total 20-year:						842						872						768						32%						2.82%						103.6%						2.11%						59						7%
30-year:
≤ 3.0%						3,816						3,861						3,263						55%						2.43%						101.0%						2.28%						34						6%
3.5%						5,580						5,811						5,230						86%						3.50%						104.1%						2.84%						97						7%
4.0%						6,586						6,960						6,358						92%						4.00%						105.7%						3.08%						80						8%
4.5%						6,542						6,763						6,426						64%						4.50%						103.9%						3.83%						46						8%
5.0%						9,696						9,719						9,657						39%						5.00%						100.5%						4.91%						14						9%
5.5%						12,352						12,391						12,486						25%						5.50%						100.6%						5.39%						10						12%
6.0%						9,305						9,384						9,507						22%						6.00%						101.0%						5.71%						7						19%
≥ 6.5%						3,889						3,968						4,011						29%						6.50%						102.3%						5.78%						6						21%
Total 30-year						57,766						58,857						56,938						46%						4.88%						102.2%						4.41%						35						11%
Total fixed rate						$	59,442					$	60,577					$	58,515					47%						4.83%						102.2%						4.34%						35						11%

________________________________

1.See Note 1 of preceding table for specified pool composition. As of December 31, 2023, lower balance specified pools had a weighted average original loan balance of $132,000 and $153,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively.

2.Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2023.

For additional details regarding our CRT and non-Agency securities, including credit ratings, as of September 30, 2024 and December 31, 2023, please refer to Note 3 of our Consolidated Financial Statements in this Form 10-Q.

RESULTS OF OPERATIONS

Non-GAAP Financial Measures

In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "economic interest income," "economic interest expense," and "net spread and dollar roll income available to common stockholders"1 and the related per common share measures and certain financial metrics derived from such non-GAAP information.

"Economic interest income" is measured as interest income (GAAP measure), adjusted to (i) exclude retrospective "catch-up" adjustments to premium amortization cost associated with changes in projected CPR estimates and (ii) include TBA dollar roll implied interest income. "Economic interest expense" is measured as interest expense (GAAP measure) adjusted to include TBA dollar roll implied interest expense/benefit and interest rate swap periodic cost/income. "Net spread and dollar roll income available to common stockholders" is measured as comprehensive income (loss) available (attributable) to common stockholders (GAAP measure) adjusted to: (i) exclude gains/losses on investment securities recognized through net income and other comprehensive income and gains/losses on derivative instruments and other securities (GAAP measures); (ii) exclude retrospective "catch-up" adjustments to premium amortization cost associated with changes in projected CPR estimates; and (iii) include interest rate swap periodic income/cost, TBA dollar roll income and other interest income/expense. As defined "Net

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

By providing such measures, in addition to the related GAAP measures, we believe we give greater transparency into the information used by our management in its financial and operational decision-making. We also believe it is important for users of our financial information to consider information related to our current financial performance without the effects of certain measures and one-time events that are not necessarily indicative of our current investment portfolio performance and operations.

Specifically, in the case "net spread and dollar roll income available to common stockholders" and components of such measure, "economic interest income" and "economic interest expense," we believe the inclusion of TBA dollar roll income is meaningful as TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements. Similarly, we believe that the inclusion of periodic interest rate swap settlements is meaningful as interest rate swaps are the primary instrument we use to economically hedge against fluctuations in our borrowing costs and it is more indicative of our total cost of funds than interest expense alone. Additionally, we believe the exclusion of "catch-up" premium amortization adjustments is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such adjustments is more indicative of the current earnings potential of our investment portfolio.

However, because such measures are incomplete measures of our financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP. In addition, because not all companies use identical calculations, our presentation of such non-GAAP measures may not be comparable to other similarly titled measures of other companies.

________________________________

1.Prior to December 31, 2023, "Net spread and dollar roll income available to common stockholders" was referred to as "net spread and dollar roll income, excluding 'catch-up' premium amortization, available to common stockholders". "Net spread and dollar roll income available to common stockholders" continues to exclude "catch-up" premium amortization.

Selected Financial Data

The following selected financial data is derived from our interim consolidated financial statements and the notes thereto. The tables below present our condensed consolidated balance sheets as of September 30, 2024 and December 31, 2023 and condensed consolidated statements of comprehensive income and key statistics for the three and nine months ended September 30, 2024 and 2023 (in millions, except per share amounts):



						September 30,						December 31,
Balance Sheet Data						2024						2023
						(Unaudited)
Investment securities, at fair value of $68,937 and $54,824, respectively, and other mortgage credit investments						$	68,998					$	54,868
Total assets						$	89,590					$	71,596
Repurchase agreements and other debt						$	66,048					$	50,506
Total liabilities						$	79,934					$	63,339
Total stockholders' equity						$	9,656					$	8,257
Net book value per common share 1						$	9.44					$	9.46
Tangible net book value per common share 2						$	8.82					$	8.70

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						Three Months Ended September 30,												Nine Months Ended September 30,
Statement of Comprehensive Income Data (Unaudited)						2024						2023						2024						2023
Interest income						$	756					$	593					$	2,093					$	1,401
Interest expense						820						646						2,190						1,621
Net interest income (expense)						(64)						(53)						(97)						(220)
Other gain (loss), net						440						(316)						916						31
Operating expenses						30						23						78						68
Net income (loss)						346						(392)						741						(257)
Dividends on preferred stock						33						31						96						92

Net income (loss) available (attributable) to common stockholders						$	313					$	(423)					$	645					$	(349)

Net income (loss)						$	346					$	(392)					$	741					$	(257)
Other comprehensive income (loss), net						200						(213)						105						(136)
Comprehensive income (loss)						546						(605)						846						(393)
Dividends on preferred stock						33						31						96						92

Comprehensive income (loss) available (attributable) to common stockholders						$	513					$	(636)					$	750					$	(485)

Weighted average number of common shares outstanding - basic						807.2						622.0						750.0						600.2
Weighted average number of common shares outstanding - diluted						810.1						622.0						752.3						600.2
Net income (loss) per common share - basic						$	0.39					$	(0.68)					$	0.86					$	(0.58)
Net income (loss) per common share - diluted						$	0.39					$	(0.68)					$	0.86					$	(0.58)
Comprehensive income (loss) per common share - basic						$	0.64					$	(1.02)					$	1.00					$	(0.81)
Comprehensive income (loss) per common share - diluted						$	0.63					$	(1.02)					$	1.00					$	(0.81)
Dividends declared per common share						$	0.36					$	0.36					$	1.08					$	1.08


						Three Months Ended September 30,												Nine Months Ended September 30,
Other Data (Unaudited) *						2024						2023						2024						2023
Average investment securities - at par						$	65,748					$	54,387					$	59,756					$	49,491
Average investment securities - at cost						$	66,674					$	55,665					$	60,842					$	50,921




Average net TBA dollar roll position - at cost						$	2,650					$	7,340					$	5,206					$	11,687
Average total assets - at fair value						$	84,245					$	65,025					$	76,291					$	61,964
Average repurchase agreements and other debt outstanding 3						$	59,322					$	47,073					$	52,969					$	42,841
Average stockholders' equity 4						$	9,151					$	7,758					$	8,661					$	7,843
Average tangible net book value "at risk" leverage 5						7.2:1						7.5:1						7.2:1						7.5:1
Tangible net book value "at risk" leverage (as of period end) 6						7.2:1						7.9:1						7.2:1						7.9:1
Economic return on tangible common equity 7						9.3		%				(10.1)		%				13.8		%				(6.9)		%
Expenses % of average total assets - annualized						0.14		%				0.14		%				0.14		%				0.15		%
Expenses % of average assets, including average net TBA position - annualized						0.14		%				0.13		%				0.13		%				0.12		%
Expenses % of average stockholders' equity - annualized						1.31		%				1.19		%				1.20		%				1.16		%

________________________________

* Except as noted below, average numbers for each period are weighted based on days on our books and records.

1.Net book value per common share is calculated as total stockholders' equity, less preferred stock liquidation preference, divided by number of common shares outstanding as of period end.

2.Tangible net book value per common share excludes goodwill.

3.Amount represents the daily weighted average repurchase agreements outstanding for the period used to fund our investment securities and other debt. Amount excludes U.S. Treasury repurchase agreements and TBA contracts. Other debt includes debt of consolidated VIEs.

4.Average stockholders' equity calculated as average month-ended stockholders' equity during the period.

5.Average tangible net book value "at risk" leverage is calculated by dividing the sum of daily weighted average repurchase agreements used to fund our investment securities, other debt, and TBA and forward settling securities (at cost) (collectively "mortgage borrowings") outstanding for the period by the sum of average stockholders' equity adjusted to exclude goodwill for the period. Leverage excludes U.S. Treasury repurchase agreements.

6.Tangible net book value "at risk" leverage as of period end is calculated by dividing the sum of mortgage borrowings outstanding and receivable/payable for unsettled investment securities as of period end by the sum of total stockholders' equity adjusted to exclude goodwill as of period end. Leverage excludes U.S. Treasury repurchase agreements.

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

Economic Interest Income and Asset Yields

The following table summarizes our economic interest income (a non-GAAP measure) for the three and nine months ended September 30, 2024 and 2023, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" premium amortization adjustments for the cumulative effect from prior reporting periods due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions):


						Three Months Ended September 30,																								Nine Months Ended September 30,
						2024												2023												2024												2023
						Amount						Yield						Amount						Yield						Amount						Yield						Amount						Yield
Interest income:
Cash/coupon interest income						$	825					5.02		%				$	613					4.51		%				$	2,227					4.97		%				$	1,586					4.27		%
Net premium amortization benefit (cost)						(69)						(0.48)		%				(20)						(0.25)		%				(134)						(0.38)		%				(185)						(0.60)		%
Interest income (GAAP measure)						756						4.54		%				593						4.26		%				2,093						4.59		%				1,401						3.67		%
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast						24						0.14		%				(31)						(0.22)		%				—						—		%				27						0.07		%
Interest income, excluding "catch-up" premium amortization						780						4.68		%				562						4.04		%				2,093						4.59		%				1,428						3.74		%
TBA dollar roll income - implied interest income 1,2						39						5.82		%				99						5.40		%				216						5.51		%				448						5.12		%
Economic interest income (non-GAAP measure) 3						$	819					4.73		%				$	661					4.20		%				$	2,309					4.66		%				$	1,876					4.00		%

Weighted average actual portfolio CPR for investment securities held during the period						7.3		%										7.1		%										6.7		%										6.3		%
Weighted average projected CPR for the remaining life of investment securities held as of period end						13.2		%										8.3		%										13.2		%										8.3		%
30-year fixed rate mortgage rate as of period end 4						6.14		%										7.41		%										6.14		%										7.41		%
10-year U.S. Treasury rate as of period end 4						3.78		%										4.57		%										3.78		%										4.57		%

________________________________

1.Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.

2.Implied interest income from TBA dollar roll transactions is computed as the sum of (i) TBA dollar roll income and (ii) estimated TBA implied funding cost (see Economic Interest Expense and Aggregate Cost of Funds below). TBA dollar roll income represents the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement and is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period. Amount is net of TBAs used for hedging purposes. Amount excludes TBA mark-to-market adjustments.

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

4.30-year fixed rate mortgage rates are sourced from Optimal Blue. 10-year U.S. Treasury rates are sourced from Bloomberg.

The principal elements impacting our economic interest income are the average size of our investment portfolio and the average yield on our securities. The following table includes a summary of the estimated impact of each of these elements on our economic interest income for the three and nine months ended September 30, 2024 compared to the prior year period (in millions):

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Impact of Changes in the Principal Elements Impacting Economic Interest Income
Periods ended September 30, 2024 vs. September 30, 2023
												Due to Change in Average
Three months ended:						Total Increase / (Decrease)						Portfolio Size						Asset Yield
Interest Income (GAAP measure)						$	163					$	117					$	46
Estimated "catch-up" premium amortization due to change in CPR forecast						55						—						55
Interest income, excluding "catch-up" premium amortization						218						117						101
TBA dollar roll income - implied interest income						(60)						(63)						3
Economic interest income, excluding "catch-up" amortization (non-GAAP measure)						$	158					$	54					$	104

												Due to Change in Average
Nine months ended:						Total Increase / (Decrease)						Portfolio Size						Asset Yield
Interest Income (GAAP measure)						$	692					$	273					$	419
Estimated "catch-up" premium amortization due to change in CPR forecast						(27)						—						(27)
Interest income, excluding "catch-up" premium amortization						665						273						392
TBA dollar roll income - implied interest income						(232)						(248)						16
Economic interest income, excluding "catch-up" amortization (non-GAAP measure)						$	433					$	25					$	408

Our average investment portfolio (at cost), inclusive of TBAs, increased 10% and 5% for the three and nine months ended September 30, 2024, respectively, primarily due to an increase in our capital base. The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 53 and 66 basis points for the three and nine months ended September 30, 2024, respectively, largely as a result of shifting our asset portfolio from TBA and lower coupon holdings toward a greater share of higher coupon, specified pools.

Leverage

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

We include our net TBA position in our measure of leverage because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. Similarly, a TBA contract for the forward sale of Agency securities has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. (Refer to Liquidity and Capital Resources in this Form 10-Q for further discussion of TBA securities and dollar roll transactions). Repurchase agreements used to fund short-term investments in U.S. Treasury securities ("U.S. Treasury Repo") are excluded from our measure of leverage due to the temporary and highly liquid nature of these investments. The following table presents a summary of our leverage ratios for the periods listed (dollars in millions):


						Investment Securities Repurchase Agreements and Other Debt 1																		Net TBA Position Long/(Short) 2												Average Tangible Net Book Value "At Risk" Leverage during the Period 3						Tangible Net Book Value "At Risk" Leverage as of Period End 4
Quarter Ended						Average Daily Amount						Maximum Daily Amount						Ending Amount						Average Daily Amount						Ending Amount
September 30, 2024						$	59,322					$	64,585					$	63,468					$	2,650					$	4,067					7.2:1						7.2:1
June 30, 2024						$	50,784					$	55,507					$	54,682					$	6,805					$	5,318					7.2:1						7.4:1
March 31, 2024						$	48,730					$	49,894					$	48,216					$	6,190					$	8,405					7.0:1						7.1:1
December 31, 2023						$	47,548					$	52,643					$	48,959					$	4,993					$	5,288					7.4:1						7.0:1
September 30, 2023						$	47,073					$	52,888					$	51,931					$	7,340					$	2,407					7.5:1						7.9:1
June 30, 2023						$	41,546					$	42,408					$	40,962					$	9,985					$	10,320					7.2:1						7.2:1
March 31, 2023						$	39,824					$	42,919					$	42,022					$	17,851					$	10,385					7.7:1						7.2:1

________________________________

1.Other debt includes debt of consolidated VIEs. Amounts exclude U.S. Treasury Repo agreements.

2.Daily average and ending net TBA position outstanding measured at cost. Includes forward settling non-Agency securities.

3.Average tangible net book value "at risk" leverage during the period represents the sum of our daily weighted average repurchase agreements and other debt used to fund acquisitions of investment securities and net TBA and forward settling securities position outstanding, divided by the sum of our average month-ended stockholders' equity, adjusted to exclude goodwill.

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4.Tangible net book value "at risk" leverage as of period end represents the sum of our repurchase agreements and other debt used to fund acquisitions of investments securities, net TBA and forward settling securities position (at cost), and net receivable/payable for unsettled investment securities outstanding as of period end, divided by total stockholders' equity, adjusted to exclude goodwill as of period end.

Economic Interest Expense and Aggregate Cost of Funds

The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for the three and nine months ended September 30, 2024 and 2023 (dollars in millions), which includes the combination of interest expense on repurchase agreements and other debt used to fund acquisitions of investment securities (GAAP measure), implied financing cost of our TBA securities and interest rate swap periodic income:


						Three Months Ended September 30,																								Nine Months Ended September 30,
						2024												2023												2024												2023
Economic Interest Expense and Aggregate Cost of Funds 1						Amount						Cost of Funds						Amount						Cost of Funds						Amount						Cost of Funds						Amount						Cost of Funds
Investment securities repurchase agreement and other debt - interest expense (GAAP measure)						$	820					5.41		%				$	646					5.37		%				$	2,190					5.43		%				$	1,621					4.99		%
TBA dollar roll income - implied interest expense 2,3						35						5.10		%				99						5.28		%				207						5.20		%				424						4.79		%
Economic interest expense - before interest rate swap periodic income, net 4						855						5.40		%				745						5.36		%				2,397						5.41		%				2,045						4.95		%
Interest rate swap periodic income, net 2,5						(456)						(2.88)		%				(583)						(4.19)		%				(1,486)						(3.36)		%				(1,654)						(4.00)		%
Total economic interest expense (non-GAAP measure)						$	399					2.52		%				$	162					1.17		%				$	911					2.05		%				$	391					0.95		%

________________________________

1.Amounts exclude interest rate swap termination fees and variation margin settlements paid or received, forward starting swaps and the impact of other supplemental hedges, such as swaptions and U.S. Treasury positions.

2.Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

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

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

5.Interest rate swap periodic income is measured as a percent of average mortgage borrowings outstanding for the period.

The principal elements impacting our economic interest expense are (i) the size of our average mortgage borrowings and interest rate swap portfolio outstanding during the period, (ii) the average interest rate on our mortgage borrowings and (iii) the average net interest rate paid/received on our interest rate swaps. The following table includes a summary of the estimated impact of these elements on our economic interest expense for the three and nine months ended September 30, 2024 compared to the prior year period (in millions):


Impact of Changes in the Principal Elements of Economic Interest Expense
Periods ended September 30, 2024 vs. September 30, 2023
												Due to Change in Average
Three months ended:						Total Increase / (Decrease)						Borrowing / Swap Balance						Borrowing / Swap Rate
Investment securities repurchase agreement and other debt interest expense						$	174					$	168					$	6
TBA dollar roll income - implied interest expense						(64)						(63)						(1)
Interest rate swap periodic income/cost						127						25						102
Total change in economic interest expense						$	237					$	130					$	107

												Due to Change in Average
Nine months ended:						Total Increase / (Decrease)						Borrowing / Swap Balance						Borrowing / Swap Rate
Investment securities repurchase agreement and other debt interest expense						$	569					$	389					$	180
TBA dollar roll income - implied interest benefit/expense						(217)						(234)						17
Interest rate swap periodic income/cost						168						117						51
Total change in economic interest benefit/expense						$	520					$	272					$	248

Our average mortgage borrowings, inclusive of TBAs, increased 14% and 7% for the three and nine months ended September 30, 2024, respectively, consistent with the increase in our investment portfolio. The average interest rate on our

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mortgage borrowings, excluding the impact interest rate swap periodic income, increased 4 and 46 basis points for the three and nine months ended September 30, 2024, respectively, due to higher short-term interest rates.

Interest rate swap periodic income declined for the three and nine months ended September 30, 2024 primarily due to higher pay rates on our pay-fixed swaps largely driven by the maturity of low cost interest swaps. The following is a summary of our average interest rate swaps outstanding and their average pay and receive rates for the three and nine months ended September 30, 2024 (dollars in millions). Amounts exclude forward starting swaps not yet in effect.


						Three Months Ended September 30,												Nine Months Ended September 30,
Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding						2024						2023						2024						2023
Average investment securities repo and other debt outstanding						$	59,322					$	47,073					$	52,969					$	42,841
Average net TBA dollar roll position outstanding - at cost						$	2,650					$	7,340					$	5,206					$	11,687
Average mortgage borrowings outstanding						$	61,972					$	54,413					$	58,175					$	54,528
Average notional amount of interest rate swaps outstanding (excluding forward starting swaps), net						$	44,781					$	46,808					$	44,650					$	48,153
Ratio of average interest rate swaps to mortgage borrowings outstanding						72		%				86		%				77		%				88		%

Average interest rate swap pay-fixed rate (excluding forward starting swaps)						1.38		%				0.64		%				1.13		%				0.51		%
Average interest rate swap receive-floating rate						(5.36)		%				(5.51)		%				(5.50)		%				(5.04)		%
Average interest rate swap net pay/(receive) rate						(3.98)		%				(4.87)		%				(4.37)		%				(4.53)		%

For the three and nine months ended September 30, 2024, we had an average forward starting net pay-fixed rate swap balance of $1 million and $474 million, respectively. For the three and nine months ended September 30, 2023, we had an average forward starting net pay and (receive) fixed rate swap balance of $(928) million and $(294) million, respectively. Forward starting interest rate swaps do not impact our economic interest expense and aggregate cost of funds until they commence accruing net interest settlements on their forward start dates.

Net Interest Spread

The following table presents a summary of our net interest spread (including the impact of TBA dollar roll income, interest rate swaps and excluding "catch-up" premium amortization) for the three and nine months ended September 30, 2024 and 2023:


						Three Months Ended September 30,												Nine Months Ended September 30,
Investment and TBA Securities - Net Interest Spread						2024						2023						2024						2023
Average asset yield						4.73		%				4.20		%				4.66		%				4.00		%
Average aggregate cost of funds						(2.52)		%				(1.17)		%				(2.05)		%				(0.95)		%
Average net interest spread						2.21		%				3.03		%				2.61		%				3.05		%

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Net Spread and Dollar Roll Income

The following table presents a reconciliation of net spread and dollar roll income available to common stockholders (non-GAAP measure) from comprehensive income (loss) available (attributable) to common stockholders (the most comparable GAAP financial measure) for the three and nine months ended September 30, 2024 and 2023 (dollars in millions):


						Three Months Ended September 30,												Nine Months Ended September 30,
						2024						2023						2024						2023
Comprehensive income (loss) available (attributable) to common stockholders						$	513					$	(636)					$	750					$	(485)
Adjustments to exclude realized and unrealized (gains) losses reported through net income:
Realized (gain) loss on sale of investment securities, net						(106)						534						100						870
Unrealized (gain) loss on investment securities measured at fair value through net income, net						(1,742)						1,356						(1,010)						1,125
(Gain) loss on derivative instruments and other securities, net						1,408						(1,574)						(6)						(2,026)

Adjustment to exclude unrealized (gain) loss reported through other comprehensive income:
Unrealized (gain) loss on available-for-sale securities measure at fair value through other comprehensive income, net						(200)						213						(105)						136
Other adjustments:
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 1						24						(31)						—						27
TBA dollar roll income, net 2						4						—						9						24
Interest rate swap periodic income (cost), net 2						456						583						1,486						1,654
Other interest income (expense), net 2,3						(12)						(42)						(79)						(111)
Net spread and dollar roll income available to common stockholders (non-GAAP measure) 4						345						403						1,145						1,214

Weighted average number of common shares outstanding - basic						807.2						622.0						750.0						600.2
Weighted average number of common shares outstanding - diluted						810.1						623.3						752.3						601.3
Net spread and dollar roll income per common share - basic						$	0.43					$	0.65					$	1.53					$	2.02
Net spread and dollar roll income per common share - diluted						$	0.43					$	0.65					$	1.52					$	2.02

________________________________

1.Reported in interest income in our consolidated statements of comprehensive income.

2.Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

3.Other interest income (expense), net includes interest income on cash and cash equivalents; price alignment interest income (expense) ("PAI") on interest rate swap margin deposits posted by or (to) the Company; and other miscellaneous interest income (expense).

4.Prior to December 31, 2023, this measure was referred to as "net spread and dollar roll income, excluding 'catch-up' premium amortization cost/benefit, per common share." Though it continues to exclude "catch-up" premium amortization cost/benefit, its title has been condensed to its revised title in the table above.

Gain (Loss) on Investment Securities, Net

The following table is a summary of our net gain (loss) on investment securities for the three and nine months ended September 30, 2024 and 2023 (in millions):


						Three Months Ended September 30,												Nine Months Ended September 30,
Gain (Loss) on Investment Securities, Net 1						2024						2023						2024						2023
Gain (loss) on sale of investment securities, net						$	106					$	(534)					$	(100)					$	(870)
Unrealized gain (loss) on investment securities measured at fair value through net income, net 2						1,742						(1,356)						1,010						(1,125)
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income, net						200						(213)						105						(136)
Total gain (loss) on investment securities, net						$	2,048					$	(2,103)					$	1,015					$	(2,131)

________________________________

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

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

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

The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three and nine months ended September 30, 2024 and 2023 (in millions):


						Three Months Ended September 30,												Nine Months Ended September 30,
						2024						2023						2024						2023
TBA securities, dollar roll income						$	4					$	—					$	9					$	24
TBA securities, mark-to-market gain (loss)						94						(148)						2						(196)

Interest rate swaps, periodic income						456						583						1,486						1,654
Interest rate swaps, mark-to-market gain (loss)						(1,492)						170						(1,694)						(276)
Credit default swaps - buy protection						(3)						—						(6)						(8)
Payer swaptions						—						89						33						49
U.S. Treasury securities - short position						(509)						537						(8)						614
U.S. Treasury securities - long position						36						(20)						(19)						(75)
U.S. Treasury futures contracts - short position						(17)						412						258						389
SOFR futures contracts - long position						36						(6)						23						(25)
Other interest income (expense)						(12)						(42)						(79)						(110)
Other gain (loss)						(1)						(1)						1						(14)
Total gain (loss) on derivative instruments and other securities, net						$	(1,408)					$	1,574					$	6					$	2,026

For further details regarding our use of derivative instruments and related activity refer to Notes 2 and 5 of our Consolidated Financial Statements in this Form 10-Q.

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LIQUIDITY AND CAPITAL RESOURCES

Our business is dependent on our ability to maintain adequate levels of liquidity and capital resources to fund day-to-day operations, fulfill collateral requirements under our funding and derivative agreements, and to satisfy our dividend distribution requirement of at least 90% of our taxable income to maintain our qualification as a REIT. Our primary sources of liquidity are unencumbered cash and securities, borrowings available under repurchase agreements, TBA dollar roll financing and monthly receipts of principal and interest payments. We may also conduct asset sales, change our asset or funding mix, issue equity or undertake other capital enhancing actions to maintain adequate levels of liquidity and capital resources. There are various risks and uncertainties that can impact our liquidity, such as those described in Item 1A. Risk Factors of our most recent Annual Report on Form 10-K and Item 3. Quantitative and Qualitative Disclosures of Market Risks in this Form 10-Q. In assessing our liquidity, we consider a number of factors, including our current leverage, collateral levels, access to capital markets, overall market conditions, and the sensitivity of our tangible net book value over a range of scenarios. We believe that we have sufficient liquidity and capital resources available to meet our obligations and execute our business strategy.

Leverage and Financing Sources

Our leverage will vary depending on market conditions and our assessment of relative risks and returns, but we generally expect our leverage to be between six and twelve times the amount of our tangible stockholders' equity, measured as the sum of our total mortgage borrowings and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders' equity adjusted to exclude goodwill. Our tangible net book value "at risk" leverage ratio was 7.2x and 7.0x as of September 30, 2024 and December 31, 2023, respectively. The following table includes a summary of our mortgage borrowings outstanding as of September 30, 2024 and December 31, 2023 (dollars in millions). For additional details of our mortgage borrowings refer to Notes 2, 4 and 5 to our Consolidated Financial Statements in this Form 10-Q.


						September 30, 2024												December 31, 2023
Mortgage Borrowings						Amount						%						Amount						%
Investment securities repurchase agreements 1,2						$	63,399					94		%				$	48,879					90		%
Debt of consolidated variable interest entities, at fair value						69						—		%				80						—		%
Total debt						63,468						94		%				48,959						90		%
TBA and forward settling non-Agency securities, at cost						4,067						6		%				5,288						10		%
Total mortgage borrowings						$	67,535					100		%				$	54,247					100		%

________________________________

1.Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. Excludes U.S. Treasury repurchase agreements totaling $2.6 billion and $1.5 billion as of September 30, 2024 and December 31, 2023, respectively.

2.As of September 30, 2024 and December 31, 2023, 47% and 43%, respectively, of our total repurchase agreements, including 49% and 45% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service.

Our primary financing sources are collateralized borrowings structured as repurchase agreements. We enter into repurchase agreements, or "repo," through bi-lateral arrangements with financial institutions and independent dealers. We also enter into third-party repurchase agreements through our wholly-owned registered broker-dealer subsidiary, Bethesda Securities, LLC, such as tri-party repo offered through the FICC's GCF Repo service. We manage our repurchase agreement funding position through a variety of methods, including diversification of counterparties, maintaining a suitable maturity profile and utilization of interest rate hedging strategies. We also use TBA dollar roll transactions as a means of synthetically financing Agency RMBS.

The terms and conditions of our repurchase agreements are determined on a transaction-by-transaction basis when each such borrowing is initiated or renewed and, in the case of GCF Repo, by the prevailing margin requirements calculated by the FICC, which acts as the central counterparty. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an assessed discount, referred to as a "haircut," that reflects the underlying risk of the specific collateral and protects the counterparty against a change in its value. Interest rates are generally fixed based on prevailing rates corresponding to the term of the borrowing. None of our repo counterparties are obligated to renew or otherwise enter into new borrowings at the conclusion of our existing borrowings.

The use of TBA dollar roll transactions increases our funding diversification, expands our available pool of assets, and increases our overall liquidity position, as TBA contracts typically have lower implied haircuts relative to Agency RMBS pools funded with repo financing. TBA dollar roll transactions may also have a lower implied cost of funds than comparable repo funded transactions (referred to as "dollar roll specialness") offering incremental return potential. However, if it were to become uneconomical to roll our TBA contracts into future months it may be necessary to take physical delivery of the underlying securities and fund those assets with cash or other financing sources, which could reduce our liquidity position.

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Collateral Requirements and Unencumbered Assets

Amounts available to be borrowed under our repurchase agreements are dependent upon prevailing interest rates, the lender’s "haircut" requirements and collateral value. Each of these elements may fluctuate with changes in interest rates, credit quality and liquidity conditions within the financial markets. To help manage the adverse impact of interest rate changes on our borrowings, we utilize an interest rate risk management strategy involving the use of derivative financial instruments. In particular, we attempt to mitigate the risk of the cost of our short-term funding liabilities increasing at a faster rate than the earnings of our long-term fixed rate assets during a period of rising interest rates.

The collateral requirements, or haircut levels, under our repo agreements are typically determined on an individual transaction basis or by the prevailing requirements established by the FICC for GCF tri-party repo. Consequently, haircut levels and minimum margin requirements can change over time and may increase during periods of elevated market volatility. If the fair value of our collateral declines, our counterparties will typically require that we post additional collateral to re-establish the agreed-upon collateral levels, referred to as "margin calls." Similarly, if the estimated fair value of our investment securities increases, we may request that counterparties release collateral back to us. Our counterparties typically have the sole discretion to determine the value of pledged collateral but are required to act in good faith in making determinations of value. Our agreements generally provide that in the event of a margin call, collateral must be posted on the same business day, subject to notice requirements. As of September 30, 2024, we had met all our margin requirements.

The value of Agency RMBS collateral is impacted by market factors and is reduced by monthly principal pay-downs on the underlying mortgage pools. Fannie Mae and Freddie Mac publish monthly security pay-down factors for their mortgage pools on the fifth day after month-end, but do not remit payment to security holders until generally the 25th day after month-end. Bi-lateral repo counterparties assess margin to account for the reduction in value of Agency collateral when factors are released. The FICC assesses margin on the last day of each month, prior to the factor release date, based on its internally projected pay-down rates (referred to as the "blackout period exposure adjustment" or "blackout margin"). On the factor release date, the blackout margin is released and collateralization requirements are adjusted to actual factor data. Due to the timing difference between associated margin calls and our receipt of principal pay-downs, our liquidity is temporarily reduced each month for principal repayments. We attempt to manage the liquidity risk associated with principal pay-downs by monitoring conditions impacting prepayment rates and through asset selection. As of September 30, 2024, approximately 6% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs. The remainder of our portfolio primarily consisted of Agency RMBS, which had an average one-year CPR forecast of 14% as of September 30, 2024.

Collateral requirements under our derivative agreements are subject to our counterparties' assessment of their maximum risk of loss associated with the derivative instrument, referred to as the initial or minimum margin requirement, and may be adjusted based on changes in market volatility and other factors. We are also subject to daily variation margin requirements based on changes in the value of the derivative instrument and/or collateral pledged. Daily variation margin requirements also entitle us to receive collateral if the value of amounts owed to us under the derivative agreement exceeds the minimum margin requirement. The collateral requirements under our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC. Collateral levels for interest rate derivative agreements are typically governed by the central clearing exchange and the associated futures commission merchants ("FCMs"), which may establish margin levels in excess of the clearing exchange. Collateral levels for interest rate derivative agreements not subject to central clearing are established by the counterparty financial institution.

Haircut levels and minimum margin requirements imposed by our counterparties reduce the amount of our unencumbered assets and limit the amount we can borrow against our investment securities. During the nine months ended September 30, 2024, haircuts on our repo funding arrangements remained stable. As of September 30, 2024, the weighted average haircut on our repurchase agreements was approximately 2.9% of the value of our collateral, compared to 3.1% as of December 31, 2023.

To mitigate the risk of margins calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or sold for cash. As of September 30, 2024, our unencumbered assets totaled approximately $6.3 billion, or 69% of tangible equity, consisting of $6.2 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets. This compares to $5.2 billion of unencumbered assets, or 67% of tangible equity, as of December 31, 2023, consisting of $5.1 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.

Counterparty Risk

Collateral requirements imposed by counterparties subject us to the risk that the counterparty does not return pledged assets to us as and when required. We attempt to manage this risk by monitoring our collateral positions and limiting our counterparties to registered clearinghouses and major financial institutions with acceptable credit ratings. We also diversify our funding across multiple counterparties and by region.

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As of September 30, 2024, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was less than 2% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing 5% of our tangible stockholders' equity. As of September 30, 2024, 7% of our tangible stockholder's equity was at risk with the FICC. Excluding central clearing exchanges, as of September 30, 2024, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders' equity.

Asset Sales

Agency RMBS securities are among the most liquid fixed income securities, and the TBA market is the second most liquid market (after the U.S. Treasury market). Although market conditions fluctuate, the vitality of these markets enables us to sell assets under most conditions to generate liquidity through direct sales or delivery into TBA contracts, subject to "good delivery" provisions promulgated by the Securities Industry and Financial Markets Association ("SIFMA"). Under certain market conditions, however, we may be unable to realize the full carrying value of our securities. We attempt to manage this risk by maintaining at least a minimum level of securities that trade at or near TBA values that in our estimation enhances our portfolio liquidity across a wide range of market conditions. Please refer to Trends and Recent Market Impacts of this Management Discussion and Analysis for further information regarding Agency RMBS and TBA market conditions.

Capital Markets

The equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs of our business. The availability of equity capital is dependent on market conditions and investor demand for our common and preferred stock. We will typically not issue common stock at times when we believe the capital raised will not be accretive to our tangible net book value or earnings, and we will typically not issue preferred equity when its cost exceeds acceptable hurdle rates of return on our equity. We may also be unable to raise additional equity capital at suitable times or on favorable terms. Furthermore, when the trading price of our common stock is less than our then-current estimate of our tangible net book value per common share, among other conditions, we may repurchase shares of our common stock pursuant to the stock repurchase plan authorized by our Board of Directors, which as of the end of the third quarter had $1 billion in remaining capacity and was set to expire on December 31, 2024. Please refer to Notes 9 and 10 of our Consolidated Financial Statements in this Form 10-Q for further details regarding our recent equity capital transactions and additional information about amendments to our At-the-Market Offering Program and the reauthorization of our stock repurchase plan through December 31, 2026.

OFF-BALANCE SHEET ARRANGEMENTS

As of September 30, 2024, we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes. Additionally, as of September 30, 2024, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.

FORWARD-LOOKING STATEMENTS

The statements contained in this Quarterly Report that are not historical facts, including estimates, projections, beliefs, expectations concerning conditions, events, or the outlook for our business, strategy, performance, operations or the markets or industries in which we operate, are forward-looking statements within the meaning of the Private Securities Litigation Reform Act. Forward-looking statements are typically identified by words such as “believe,” “plan,” “expect,” “anticipate,” “see,” “intend,” “outlook,” “potential,” “forecast,” “estimate,” “will,” “could,” “should,” “likely” and other similar, correlative or comparable words and expressions.

Forward-looking statements are based on management’s assumptions, projections and beliefs as of the date of this Quarterly Report, but they involve a number of risks and uncertainties. Actual results may differ materially from those anticipated in forward-looking statements, as well as from historical performance. Factors that could cause actual results to vary from our forward-looking statements include, but are not limited to, the following:

•changes in U.S. monetary policy or interest rates, including actions taken by the Federal Reserve to normalize monetary policy and to reduce the size of its U.S. Treasury and Agency RMBS bond portfolio;

•fluctuations in the yield curve;

•the level, degree and extent of volatility in interest rates or the yield on our assets relative to interest rate benchmarks;

•fluctuations in mortgage prepayment rates on the loans underlying our Agency RMBS;

•the availability and terms of financing and our hedge positions;

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•changes in the market value of our assets, including from changes in net interest spreads, market liquidity or depth, and changes in our "at risk" leverage or hedge positions;

•the effectiveness of our risk mitigation strategies;

•conditions in the market for Agency RMBS and other mortgage securities, including changes in the available supply of such securities or investor appetite therefor;

•actions by the federal, state, or local governments that affect the economy, the housing sector or financial markets;

•the direct or indirect effects of geopolitical events, including war, terrorism, civil discord, embargos, trade or other disputes, or natural disasters, on conditions in the markets for Agency RMBS or other mortgage securities, the terms or availability of funding for our business, or our ongoing business operations;

•the availability of personnel, operational resources, information technology and other systems to conduct our operations;

•changes to laws, regulations, rules or policies that affect U.S. housing finance activity, the GSE's or the markets for Agency RMBS; and

•legislative or regulatory changes that affect our status as a REIT, our exemption from the Investment Company Act of 1940 or the mortgage markets in which we participate.

Forward-looking statements speak only as of the date made, and we do not assume any duty and do not undertake to update forward-looking statements. A further discussion of risks and uncertainties that could cause actual results to differ from any of our forward-looking statements is included under Item 1A. Risk Factors in Part I of our most recent Annual Report on Form 10-K and Part II of this Form 10-Q. We caution readers not to place undue reliance on our forward-looking statements.

WEBSITE AND SOCIAL MEDIA DISCLOSURE

We use our website (www.AGNC.com) and AGNC’s LinkedIn (www.linkedin.com/company/agnc-investment-corp/) and X (www.x.com/AGNCInvestment) accounts to distribute information about the Company. Investors should monitor these channels in addition to our press releases, filings with the U.S. Securities and Exchange Commission (“SEC”), public conference calls and webcasts, as information posted through them may be deemed material. Our website, alerts and social media channels are not incorporated by reference into, and are not a part of, this or any other report filed with or furnished to the SEC. Investors and others may automatically receive emails and information about AGNC when they sign up for investor alerts on the "Investor Resources" tab of the Investor Relations section of our website.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Market risk is the exposure to loss resulting from changes in market factors such as interest rates, foreign currency exchange rates, commodity prices and equity prices. The primary market risks that we are exposed to are interest rate, prepayment, spread, liquidity, extension and credit risks.

Interest Rate Risk

We are subject to interest rate risk in connection with the fixed income nature of our assets and the short-term, variable rate nature of our financing obligations. Our operating results depend in large part on differences between the income earned on our assets and our cost of borrowing and hedging activities. The costs associated with our borrowings are generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase while the yields earned on our existing portfolio of leveraged fixed-rate assets will largely remain static. This can result in a decline in our net interest spread. Changes in the level of interest rates can also affect the rate of mortgage prepayments and the value of our assets.

Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political considerations, as well as other factors beyond our control. Subject to maintaining our qualification as a REIT, we engage in a variety of interest rate management techniques to mitigate the influence of interest rate changes on our net interest income and fluctuations of our tangible net book value. The principal instruments that we use to hedge our interest rate risk are interest rate swaps, swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. Our hedging techniques are highly complex and are partly based on assumed levels of prepayments of our assets. If prepayments are slower or faster than assumed, the maturity of our investments will also differ from our expectations, which could reduce the effectiveness of our hedging strategies and may cause losses on such transactions and adversely affect our cash flow.

The severity of potential declines in our tangible net book value due to fluctuations in interest rates would depend on our asset, liability, and hedge composition at the time, as well as the magnitude and duration of the interest rate change. Primary measures of an instrument's price sensitivity to interest rate fluctuations are its duration and convexity. Duration measures the

44

estimated percentage change in market value of an instrument that would be caused by a parallel change in short and long-term interest rates. The duration of our assets will vary with changes in interest rates and tends to increase when interest rates rise and decrease when interest rates fall. This "negative convexity" generally increases the interest rate exposure of our investment portfolio in excess of what is measured by duration alone.

We estimate the duration and convexity of our assets using a third-party risk management system and market data. We review the estimates for reasonableness, giving consideration to any unique characteristics of our securities, market conditions and other factors likely to impact these estimates, and based on our judgement we may make adjustments to the third-party estimates. Our estimated duration gap, which is a measure of the difference between the interest rate sensitivity of our assets and our liabilities, inclusive of interest rate hedges, was 0.2 years as of September 30, 2024, compared to -0.5 years as of December 31, 2023.

The table below quantifies the estimated changes in the fair value of our investment portfolio (including derivatives and other securities used for hedging purposes) and in our tangible net book value per common share as of September 30, 2024 and December 31, 2023 should interest rates go up or down by 25, 50 and 75 basis points, assuming instantaneous parallel shifts in the yield curve and including the impact of both duration and convexity. All values in the table below are measured as percentage changes from the base interest rate scenario. The base interest rate scenario assumes interest rates and prepayment projections as of September 30, 2024 and December 31, 2023.

To the extent that these estimates or other assumptions do not hold true, which may be more likely during periods of elevated market volatility, actual results could differ materially from our projections. Moreover, if different models were employed in the analysis, materially different projections could result. Lastly, while the table below reflects the estimated impact of interest rate changes on a static portfolio, we actively manage our portfolio, and we continuously adjust the size and composition of our asset and hedge portfolio.


Interest Rate Sensitivity 1,2
						September 30, 2024												December 31, 2023
Change in Interest Rate						Estimated Change in Portfolio Market Value						Estimated Change in Tangible Net Book Value Per Common Share						Estimated Change in Portfolio Market Value						Estimated Change in Tangible Net Book Value Per Common Share

-75 Basis Points						-0.3%						-2.4%						-0.7%						-7.0%
-50 Basis Points						-0.1%						-0.6%						-0.4%						-3.8%
-25 Basis Points						0.0%						+0.2%						-0.1%						-1.5%
+25 Basis Points						-0.1%						-1.1%						+0.1%						+0.7%
+50 Basis Points						-0.3%						-3.1%						+0.1%						+0.7%
+75 Basis Points						-0.6%						-5.9%						0.0%						0.0%

________________________________

1.Derived from models that are dependent on inputs and assumptions, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.

2.Includes the effect of derivatives and other securities used for hedging purposes. Interest rates are assumed to be floored at 0% in down rate scenarios.

Prepayment Risk and Extension Risk

Prepayment risk is the risk that our assets will be repaid at a faster rate than anticipated. Interest rates and numerous other factors affect the rate of prepayments, such as housing prices, general economic conditions, loan age, size and loan-to-value ratios, and GSE buyouts of delinquent loans underlying our securities. Generally, declining mortgage rates increase the rate of prepayments, while rising rates have the opposite effect.

If our assets prepay at a faster rate than anticipated, we may be unable to reinvest the repayments at acceptable yields. If the proceeds are reinvested at lower yields than our existing assets, our net interest income would be negatively impacted. We also amortize or accrete premiums and discounts we pay or receive at purchase relative to the stated principal of our assets into interest income over their projected lives using the effective interest method. If the actual and estimated future prepayment experience differs from our prior estimates, we are required to record an adjustment to interest income for the impact of the cumulative difference in the effective yield.

Extension risk is the risk that our assets will be repaid at a slower rate than anticipated and generally increases when interest rates rise. In a rising or higher interest rate environment, we may be required to finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities as a result of borrowers prepaying their

45

mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.

As of September 30, 2024 and December 31, 2023, our investment securities (excluding TBAs) had a weighted average projected CPR of 13.2% and 11.4%, respectively, and a weighted average yield of 4.68% and 4.41%, respectively. The table below presents estimated weighted average projected CPRs and yields for our investment securities should interest rates go up or down instantaneously by 25, 50 and 75 basis points. Estimated yields exclude the impact of retroactive "catch-up" premium amortization adjustments for prior periods due to changes in the projected CPR assumption.


Interest Rate Sensitivity 1
						September 30, 2024												December 31, 2023
Change in Interest Rate						Weighted Average Projected CPR						Weighted Average Asset Yield 2						Weighted Average Projected CPR						Weighted Average Asset Yield 2

-75 Basis Points						22.6%						4.54%						17.8%						4.33%
-50 Basis Points						19.1%						4.58%						15.4%						4.36%
-25 Basis Points						15.9%						4.63%						13.2%						4.39%
Actual as of Period End						13.2%						4.68%						11.4%						4.41%
+25 Basis Points						10.7%						4.71%						9.7%						4.44%
+50 Basis Points						9.0%						4.74%						8.5%						4.46%
+75 Basis Points						7.9%						4.77%						7.7%						4.47%

________________________________

1.Derived from models that are dependent on inputs and assumptions and assumes a static portfolio. Actual results could differ materially from these estimates. Table excludes TBA securities.

2.Asset yield based on historical cost basis and does not include the impact of retroactive "catch-up" premium amortization adjustments due to changes in projected CPR.

Spread Risk

Spread risk is the risk that the market spread between the yield on our assets and the yield on benchmark interest rates linked to our interest rate hedges, such as U.S. Treasury rates and interest rate swap rates, may vary. As a levered investor in mortgage-backed securities, spread risk is an inherent component of our investment strategy. Therefore, although we use hedging instruments to attempt to protect against moves in interest rates, our hedges are generally not designed to protect against spread risk, and our tangible net book value could decline if spreads widen.

Fluctuations in mortgage spreads can occur due to a variety of factors, including changes in interest rates, prepayment expectations, actual or anticipated monetary policy actions by the U.S. and foreign central banks, liquidity conditions, required rates of returns on different assets and other market supply and demand factors. The table below quantifies the estimated changes in the fair value of our assets, net of hedges, and our tangible net book value per common share as of September 30, 2024 and December 31, 2023 should spreads widen or tighten by 10, 25 and 50 basis points. The estimated impact of changes in spreads is in addition to our interest rate shock sensitivity included in the interest rate shock table above. The table below assumes a spread duration of 4.6 and 4.7 years as of September 30, 2024 and December 31, 2023, respectively, based on interest rates and prices as of such dates; however, our portfolio's sensitivity to mortgage spread changes will vary with changes in interest rates and in the size and composition of our portfolio. Therefore, actual results could differ materially from our estimates.

Spread Sensitivity 1,2

September 30, 2024

December 31, 2023

Change in MBS Spread

Estimated Change in Portfolio Market Value

Estimated Change in Tangible Net Book Value Per Common Share

Estimated Change in Portfolio Market Value

Estimated Change in Tangible Net Book Value Per Common Share

-50 Basis Points

+2.3%

+22.4%

+2.3%

+23.1%

-25 Basis Points

+1.1%

+11.2%

+1.2%

+11.6%

-10 Basis Points

+0.5%

+4.5%

+0.5%

+4.6%

+10 Basis Points

-0.5%

-4.5%

-0.5%

-4.6%

+25 Basis Points

-1.1%

-11.2%

-1.2%

-11.6%

+50 Basis Points

-2.3%

-22.4%

-2.3%

-23.1%

46

________________________________

1.Spread sensitivity is derived from models that are dependent on inputs and assumptions, assumes there are no changes in interest rates and assumes a static portfolio. Actual results could differ materially from these estimates.

2.Includes the effect of derivatives and other securities used for hedging purposes.

Liquidity Risk

Our liquidity risk principally arises from financing long-term fixed rate assets with shorter-term variable rate borrowings. Future borrowings are dependent upon the willingness of lenders to finance our investments, lender collateral requirements and the lenders’ determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates and liquidity conditions within the commercial banking and mortgage finance industries.

As of September 30, 2024, we believe that we have sufficient liquidity and capital resources available to execute our business strategy (see Liquidity and Capital Resources in this Form 10-Q for additional details). However, should the value of our collateral or the value of our derivative instruments suddenly decrease, or margin requirements increase, we may be required to post additional collateral for these arrangements, causing an adverse change in our liquidity position. Furthermore, there is no assurance that we will always be able to renew (or roll) our short-term funding liabilities. In addition, our counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, thereby reducing the amount that can be borrowed against an asset even if they agree to renew or roll our funding liabilities. Significantly higher haircuts can reduce our ability to leverage our portfolio or may even force us to sell assets, especially if correlated with asset price declines or faster prepayment rates on our assets.

Credit Risk

Our credit sensitive investments, such as CRT and non-Agency securities, expose us to the risk of nonpayment of principal, interest or other remuneration we are contractually entitled to. We are also exposed to credit risk in the event our repurchase agreement counterparties default on their obligations to resell the underlying collateral back to us at the end of the repo term or in the event our derivative counterparties do not perform under the terms of our derivative agreements.

We accept credit exposure related to our credit sensitive assets at levels we deem prudent within the context of our overall investment strategy. We attempt to manage this risk through careful asset selection, pre-acquisition due diligence, post-acquisition performance monitoring, and the sale of assets where we identify negative credit trends. We may also manage credit risk with credit default swaps or other financial derivatives that we believe are appropriate. Additionally, we may vary the mix of our interest rate and credit sensitive assets or our duration gap to adjust our credit exposure and/or improve the return profile of our assets, such as when we believe credit performance is inversely correlated with changes in interest rates. Our credit risk related to derivative and repurchase agreement transactions is largely mitigated by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered central clearinghouses and monitoring concentration levels with any one counterparty. We also continuously monitor and adjust the amount of collateral pledged based on changes in market value. However, our efforts to manage credit risk may be unsuccessful and we could suffer losses as a result. Excluding central clearing exchanges, as of September 30, 2024, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was less than 2% and less than 1%, respectively, of tangible stockholders' equity.

Item 4. Controls and Procedures

We maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in our Exchange Act reports is recorded, processed, summarized and reported within the time periods specified in the SEC's rules and forms, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure based on the definition of "disclosure controls and procedures" as promulgated under the Exchange Act and the rules and regulations thereunder. In designing and evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures.

We, including our Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures as of September 30, 2024. Based on the foregoing, our Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective.

Changes in Internal Control over Financial Reporting

There have been no changes in our "internal control over financial reporting" (as defined in Rule 13a-15(f) of the Exchange Act) that occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

47

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

Neither we, nor any of our consolidated subsidiaries, are currently subject to any material litigation nor, to our knowledge, is any material litigation threatened against us or any consolidated subsidiary, other than routine litigation and administrative proceedings arising in the ordinary course of business. Such proceedings are not expected to have a material adverse effect on the business, financial conditions, or results of our operations.

Item 1A. Risk Factors

There have been no material changes to the risk factors previously disclosed in our Annual Report on Form 10-K for the year ended December 31, 2023.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

None.

Item 3. Defaults upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

During the fiscal quarter ended September 30, 2024, none of our directors or officers (as defined in Rule 16a-1(f) under the Exchange Act) informed us of the adoption or termination of a “Rule 10b5-1 trading arrangement” or “non-Rule 10b5-1 trading arrangement” (as each term is defined in Regulation S-K, Item 408), except as follows:

On August 27, 2024, Peter Federico, our President and Chief Executive Officer and director, adopted a Rule 10b5-1 trading arrangement intended to satisfy the affirmative defense of Rule 10b5-1(c) providing for the sale of up to 145,000 shares of our common stock. The trading arrangement will expire on August 20, 2025 or earlier if all transactions under the trading arrangement are completed.

Item 6. Exhibits and Financial Statement Schedules

(a) Exhibit Index

Exhibit No. Description

*3.1 AGNC Investment Corp. Amended and Restated Certificate of Incorporation, as amended, incorporated by reference from Exhibit 3.1 of Form 10-K for the year ended December 31, 2021 (File No. 001-34057), filed February 23, 2022.

*3.2 AGNC Investment Corp. Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No. 001-34057), filed July 21, 2023.

*3.3 Certificate of Designations of 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.5 of Form 8-A (File No. 001-34057), filed August 18, 2017.

*3.4 Certificate of Elimination of 8.000% Series A Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No 001-34057), filed October 26, 2017.

*3.5 Certificate of Designations of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.5 of Form 8-A (File No 001-34057), filed March 6, 2019.

*3.6 Certificate of Designations of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.6 of Form 8-A (File No 001-34057), filed October 3, 2019.

*3.7 Certificate of Elimination of 7.750% Series B Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No 001-34057), filed December 13, 2019.

48

*3.8 Certificate of Designations of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.6 of Form 8-A (File No 001-34057), filed February 11, 2020.

*3.9 Certificate of Designations of 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.7 of Form 8-A (File No 001-34057), filed September 14, 2022.

*4.1 Instruments defining the rights of holders of securities: See Article IV of our Amended and Restated Certificate of Incorporation, as amended, incorporated herein by reference to Exhibit 3.1 of Form 10-K for the year ended December 31, 2021 (File No. 001-34057), filed February 23, 2022.

*4.2 Instruments defining the rights of holders of securities: See Article VI of our Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 3.1 of Form 8-K, filed July 21, 2023.

*4.3 Form of Certificate for Common Stock, incorporated herein by reference to Exhibit 4.3 of Form 10-Q for the quarter ended September 30, 2022 (File No. 001-34057), filed November 7, 2022.

*4.4 Specimen 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed August 18, 2017.

*4.5 Specimen 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed March 6, 2019.

*4.6 Specimen 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed October 3, 2019.

*4.7 Specimen 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No 001-34057), filed February 11, 2020.

*4.8 Specimen 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No 001-34057), filed September 14, 2022.

*4.9 Deposit Agreement relating to 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated August 22, 2017, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed August 22, 2017.

*4.10 Form of Depositary Receipt representing 1/1,000th of a share of 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.9), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed August 22, 2017.

*4.11 Deposit Agreement relating to 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated March 6, 2019, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed March 6, 2019.

*4.12 Form of Depositary Receipt representing 1/1,000th of a share of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.11), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed March 6, 2019.

*4.13 Deposit Agreement relating to 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated October 3, 2019, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed October 3, 2019.

*4.14 Form of Depositary Receipt representing 1/1,000th of a share of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.13), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed October 3, 2019.

*4.15 Deposit Agreement relating to 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated February 11, 2020, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.1 of Form 8-K (File No. 001-34057) filed February 11, 2020.

49

*4.16 Form of Depositary Receipt representing 1/1,000th of a share of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.15), incorporated herein by reference to Exhibit A of Exhibit 4.1 of Form 8-K (File No. 001-34057) filed February 11, 2020.

*4.17 Deposit Agreement relating to 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock, dated September 14, 2022, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed September 14, 2022.

*4.18 Form of Depositary Receipt representing 1/1,000th of a share of 7.75% Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.17), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed September 14, 2022.

†*10 Amended and Restated Employment Agreement dated July 18, 2024 between AGNC Mortgage Management, LLC and Gary Kain, incorporated herein by reference to Exhibit 10.1 of Form 8-K (File No. 001-34057) filed July 19, 2024.

*14 AGNC Investment Corp. Code of Ethics and Conduct, adopted July 18, 2024, incorporated herein by reference to Exhibit 14 of Form 10-Q (File No. 001-34057) filed August 5, 2024.

31.1 Certification of CEO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.

31.2 Certification of CFO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.

32 Certification of CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS** The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document

101.SCH** XBRL Taxonomy Extension Schema Document

101.CAL** XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB** XBRL Taxonomy Extension Labels Linkbase Document

101.PRE** XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF** XBRL Taxonomy Extension Definition Linkbase Document

________________________________

* Previously filed

** This exhibit is being furnished rather than filed, and shall not be deemed incorporated by reference into any filing, in accordance with Item 601 of Regulation S-K

† Management contract or compensatory plan or arrangement

(b) Exhibits

See the exhibits filed herewith.

(c) Additional financial statement schedules

None.

50

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Company has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AGNC INVESTMENT CORP.

By:

/s/ PETER J. FEDERICO

Peter J. Federico
President and
Chief Executive Officer (Principal Executive Officer)

Date:

November 1, 2024

By:

/s/ BERNICE E. BELL

Bernice E. Bell
Executive Vice President and
Chief Financial Officer (Principal Financial Officer and Principal Accounting Officer)

Date:

November 1, 2024

51

Document

Exhibit 31.1

AGNC Investment Corp.

Certification Pursuant to Section 302(a)

of the Sarbanes-Oxley Act of 2002

I, Peter J. Federico, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of AGNC Investment Corp.;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors:

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:			November 1, 2024

			/s/ PETER J. FEDERICO
			Peter J. Federico
			President and Chief Executive Officer (Principal Executive Officer)

Document

Exhibit 31.2

AGNC Investment Corp.

Certification Pursuant to Section 302(a)

of the Sarbanes-Oxley Act of 2002

I, Bernice E. Bell, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of AGNC Investment Corp;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entitles, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors:

(a) All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:			November 1, 2024

			/s/ BERNICE E. BELL
			Bernice E. Bell
			Executive Vice President and Chief Financial Officer (Principal Financial Officer)

Document

Exhibit 32

AGNC Investment Corp.

Certification of CEO and CFO Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

We, Peter J. Federico, President and Chief Executive Officer, and Bernice E. Bell, Executive Vice President and Chief Financial Officer of AGNC Investment Corp. (the “Company”), certify pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350 that:

1.The Quarterly Report on Form 10-Q of the Company for the quarter ended September 30, 2024 (the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934 (15 U.S.C. 78m); and

2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.


			/s/ PETER J. FEDERICO
Name:			Peter J. Federico
Title:			President and Chief Executive Officer (Principal Executive Officer)
Date:			November 1, 2024

			/s/ BERNICE E. BELL
Name:			Bernice E. Bell
Title:			Executive Vice President and Chief Financial Officer (Principal Financial Officer)
Date:			November 1, 2024

A signed original of this written statement required by Section 906 has been provided to the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.